IDEAS home Printed from https://ideas.repec.org/a/onb/oenbmp/y2008i3b3.html
   My bibliography  Save this article

Economic Country Risks Emanating from Austria’s International Exposure

Author

Listed:
  • Matthias Fuchs

    () (Oesterreichische Nationalbank)

Abstract

Austria’s special role as one of the leading investors in Eastern and Southeastern European growth markets increasingly raises questions on the risk capacity of Austria’s foreign portfolio. Using selected macroeconomic indicators, this article assesses the economic country risk attached to Austria’s external assets. A scoring model facilitates the calculation of individual country risks, which are linked to detailed regional data from the external statistics of the Oesterreichische Nationalbank (OeNB), thus enabling us to draw conclusions on the regional and functional risk structure of Austrian international investment. This reveals that, in capitalweighted terms, the developed and leading financial markets of Europe and the U.S.A. have a far stronger influence on total risk than that of the 12 EU entrants since 2004 (EU-12) or the Eastern and Southeastern European countries. Despite its intensive investment in Eastern Europe, Austria’s international risk largely stems from securities holdings in developed industrialized countries. The EU-12 account for no more than a fifth of capital-weighted risk, while the region of Eastern and Southeastern Europe represents just a tenth of total exposure. Nevertheless, some growth markets, such as Hungary, Poland, the Czech Republic or Russia, already have more impact on Austria’s total risk than some Western European markets. The projection up to 2009 suggests a leveling off in the total risk presented by Austria’s external assets. A generally stable development in the EU-27 is somewhat offset by a more unfavorable risk environment in some European growth markets and in the U.S.A.

Suggested Citation

  • Matthias Fuchs, 2008. "Economic Country Risks Emanating from Austria’s International Exposure," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 41-64.
  • Handle: RePEc:onb:oenbmp:y:2008:i:3:b:3
    as

    Download full text from publisher

    File URL: https://www.oenb.at/dam/jcr:8004fc83-2296-4b41-9e2e-7295be68a4aa/mop_2008_3_fuchs_tcm16-92371.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Cashin, Paul & Cespedes, Luis F. & Sahay, Ratna, 2004. "Commodity currencies and the real exchange rate," Journal of Development Economics, Elsevier, vol. 75(1), pages 239-268, October.
    2. Yousefi, Ayoub & Wirjanto, Tony S., 2004. "The empirical role of the exchange rate on the crude-oil price formation," Energy Economics, Elsevier, vol. 26(5), pages 783-799, September.
    3. Lutz Kilian & Cheolbeom Park, 2009. "The Impact Of Oil Price Shocks On The U.S. Stock Market," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(4), pages 1267-1287, November.
    4. Michael Rauscher, 1992. "Cartel instability and periodic price shocks," Journal of Economics, Springer, vol. 55(2), pages 209-219, June.
    5. Frenkel, Jacob A, 1976. " A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence," Scandinavian Journal of Economics, Wiley Blackwell, vol. 78(2), pages 200-224.
    6. Clements, Kenneth W. & Fry, Renée, 2008. "Commodity currencies and currency commodities," Resources Policy, Elsevier, vol. 33(2), pages 55-73, June.
    7. Korhonen, Iikka & Juurikkala, Tuuli, 2007. "Equilibrium exchange rates in oil-dependent countries," BOFIT Discussion Papers 8/2007, Bank of Finland, Institute for Economies in Transition.
    8. Kaufmann, Robert K. & Dees, Stephane & Gasteuil, Audrey & Mann, Michael, 2008. "Oil prices: The role of refinery utilization, futures markets and non-linearities," Energy Economics, Elsevier, vol. 30(5), pages 2609-2622, September.
    9. Habib, Maurizio Michael & Kalamova, Margarita Manolova, 2007. "Are there oil currencies? The real exchange rate of oil exporting countries," Working Paper Series 839, European Central Bank.
    10. Chen, Shiu-Sheng & Chen, Hung-Chyn, 2007. "Oil prices and real exchange rates," Energy Economics, Elsevier, vol. 29(3), pages 390-404, May.
    11. Jesus Crespo Cuaresma & Adusei Jumah & Sohbet Karbuz, 2009. "Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 81-90.
    12. Eduardo Borensztein & Carmen M. Reinhart, 1994. "The Macroeconomic Determinants of Commodity Prices," IMF Staff Papers, Palgrave Macmillan, vol. 41(2), pages 236-261, June.
    13. Kunst, Robert M., 2003. "Testing for Relative Predictive Accuracy: A Critical Viewpoint," Economics Series 130, Institute for Advanced Studies.
    14. Mileva, Elitza & Siegfried, Nikolaus, 2012. "Oil market structure, network effects and the choice of currency for oil invoicing," Energy Policy, Elsevier, vol. 44(C), pages 385-394.
    15. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    16. Stevans, Lonnie & Sessions, David, 2008. "Speculation, Futures Prices, and the U.S. Real Price of Crude Oil," MPRA Paper 9456, University Library of Munich, Germany, revised 04 Jul 2008.
    17. Virginie Coudert & Valérie Mignon & Alexis Penot, 2008. "Oil Price and the Dollar," Post-Print halshs-00353404, HAL.
    18. Q. Farooq Akram, 2004. "Oil prices and exchange rates: Norwegian evidence," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 476-504, December.
    19. Ayoub Yousefi & Tony S. Wirjanto, 2005. "A stylized exchange rate pass-through model of crude oil price formation," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 29(3), pages 177-197, September.
    20. Mohammad Mazraati, 2005. "Real purchasing power of oil revenues for OPEC Member Countries: a broad currency basket and dynamic trade pattern approach," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 29(3), pages 153-175, September.
    21. Noureddine Krichene, 2006. "World Crude Oil Markets; Monetary Policy and the Recent Oil Shock," IMF Working Papers 06/62, International Monetary Fund.
    22. Reinhart, Carmen & Borensztein, Eduardo, 1994. "The Macroeconomic Determinants of Commodity Prices," MPRA Paper 6979, University Library of Munich, Germany.
    23. Ronald Macdonald & Mark P. Taylor, 1993. "The Monetary Approach to the Exchange Rate: Rational Expectations, Long-Run Equilibrium, and Forecasting," IMF Staff Papers, Palgrave Macmillan, vol. 40(1), pages 89-107, March.
    24. Stephan Schulmeister, "undated". "Globalization Without Global Money. The Double Role of the Dollar as National Currency and as World Currency and its Consequences," WIFO Working Papers 106, WIFO.
    25. Wohltmann, Hans-Werner & Winkler, Roland C., 2005. "Oil Price Shocks and Currency Denomination," Economics Working Papers 2005-10, Christian-Albrechts-University of Kiel, Department of Economics.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    country risk; financial integration; portfolio choice; international investment position;

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:onb:oenbmp:y:2008:i:3:b:3. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Claudia Kwapil). General contact details of provider: http://edirc.repec.org/data/oenbbat.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.