Dollar Borrowing, Firm-Characteristics, and FX-Hedged Funding Opportunities

Abstract

BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors and not necessarily the views of the BIS. This publication is available on the BIS website (www.bis.org).

The benefits are at the tail: Uncovering the impact of macroprudential policy on growth-at-risk

“…The authors find out that leverage imbalances and assets prices disequilibria have large negative effects on the left tail of the GDP growth distribution 4 and 12 quarters ahead. propose to use quantile regressions and local projections, as in Jorda (2005), in order to identify the effects of monetary policy, credit conditions, and productivity shocks on the tails of the GDP growth distribution. Applying this method to US data, the authors find that the effects of these shocks affect disproportionately more the left tail than other quantiles.…”

Economic Consequences of High Public Debt: Evidence from Three Large Scale DSGE Models

“…14 See, for example, Bacchiocchi and Missale (2005), Faraglia et al (2008), or Hatchondo and Martínez (2013).…”

Emu Deepening and Sovereign Debt Spreads: Using Political Space to Achieve Policy Space

“…Thus, each of the betas will capture the true abnormal return in each day within the assessment window. By aggregating the effect of the betas, the statistical inference will take into account the mean yield and mean variances across countries in each day, as Pynnönen (2005) suggests for event windows that Under the usual assumptions that the errors are not correlated with the explanatory variables in every t and the expected value of the residuals is zero, each of the estimated coefficients will be equal to the population coefficients. Thus, each of the betas will capture the true abnormal return in each day within the assessment window.…”