Gauging the Safehavenness of Currencies
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References listed on IDEAS
- Guarda, Paolo & Rouabah, Abdelaziz & Theal, John, 2012. "An MVAR framework to capture extreme events in macro-prudential stress tests," Working Paper Series 1464, European Central Bank.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- Tom Pak-wing Fong & Chun-shan Wong, 2008. "Stress Testing Banks' Credit Risk Using Mixture Vector Autoregressive Models," Working Papers 0813, Hong Kong Monetary Authority.
- Habib, Maurizio M. & Stracca, Livio, 2012.
"Getting beyond carry trade: What makes a safe haven currency?,"
Journal of International Economics,
Elsevier, vol. 87(1), pages 50-64.
- Habib, Maurizio Michael & Stracca, Livio, 2011. "Getting beyond carry trade: what makes a safe haven currency?," Working Paper Series 1288, European Central Bank.
- Marion Kohler, 2010. "Exchange rates during financial crises," BIS Quarterly Review, Bank for International Settlements, March.
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- repec:bla:reviec:v:25:y:2017:i:4:p:924-947 is not listed on IDEAS
More about this item
KeywordsSafe Haven Currency; Risk Reversal; Quantile Regression; Mixture Vector Autoregressive Models; Tail Risk; Crash Risk;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-10-02 (All new papers)
- NEP-IFN-2013-10-02 (International Finance)
- NEP-MON-2013-10-02 (Monetary Economics)
- NEP-RMG-2013-10-02 (Risk Management)
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