infonet-economy

(Working Papers SES ; 505)

Spescha, Andrin; Wörter, Martin

In: Verbands-Management, 2019, vol. 45, no. 2, p. 6-16

In: Verbands-Management, 2019, vol. 45, no. 2, p. 17-25

Deviations from the covered interest rate parity (CIP) are considerably smaller or even zero when calculated based on a particular set of repo rates, so-called cross-currency repo rates, instead of standard interest rates, such as overnight indexed swap or Interbank Offered rates. We attribute this (partial) solution of the CIP puzzle to the nearly identical risk characteristics of…

This paper examines the effect of currency conversion programs from Swiss franc-denominated loans to other currency loans on currency risk for banks in Central and Eastern Europe (CEE). Swiss franc mortgage loans proliferated in CEE countries prior to the financial crisis and contributed to the volume of non-performing loans as the Swiss franc strongly appreciated during the post-…

The ECB might seem to be the most independent central bank in the world. Its statutes were carefully designed to ensure independence and they are enshrined in an international treaty. Yet, while serving many governments may be a protection, it can also act as a constraint on policy decisions. This essay explains how the ECB has faced limits during the Eurozone crisis. First, it had…

An ongoing active debate considers the role of the Global Financial Cycle (GFC) in driving international capital flows - especially in emerging economies - as well as the policy options available to absorb their impact. We make two contributions to the debate. First, we rely on a structural measure of the GFC developed in a companion paper to identify episodes of large capital flows…