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Eurozone exit risk

Listed author(s):
  • Eichler, Stefan
  • Rövekamp, Ingmar
Registered author(s):

    In the course of eurozone exit, the underlying stocks of American Depositary Receipts (ADRs) would be redenominated from euros into the new national currency. We exploit ADR investors' exposure to currency redenomination losses to derive a novel measure of eurozone exit risk. We find that while domestic bank stocks are not significantly affected by domestic exit risk, there is a negative exposure to exit risk of other countries that is channeled through bilateral credit risk. For the real sector, exposure to eurozone exit risk is heterogeneous among industries and is less negative for more indebted companies.

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    File URL: https://www.econstor.eu/bitstream/10419/162552/1/890895791.pdf
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    Paper provided by Technische Universität Dresden, Center of Public and International Economics (CEPIE) in its series CEPIE Working Papers with number 07/17.

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    Date of creation: 2017
    Handle: RePEc:zbw:tudcep:0717
    Contact details of provider: Postal:
    01062 Dresden

    Phone: ++49 351 463 2196
    Fax: ++49 351 463 7739
    Web page: https://tu-dresden.de/gsw/wirtschaft/cepe
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