Bibliographies thématiques / Redenomination risk

Littérature scientifique sur le sujet « Redenomination risk »

Auteur : Grafiati
Publié le 14 mars 2023

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Articles de revues sur le sujet "Redenomination risk"

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DE SANTIS, ROBERTO A. « Redenomination Risk ». Journal of Money, Credit and Banking 51, no 8 (4 décembre 2018) : 2173–206. http://dx.doi.org/10.1111/jmcb.12582.

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Holik, Abdul. « Pengujian Resiko Redenominasi terhadap Nilai Tukar Rupiah ». Owner 5, no 2 (25 août 2021) : 620–30. http://dx.doi.org/10.33395/owner.v5i2.495.

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The redenomination is a breakthrough policy to induce stabilization because making transactions easier among the economic agents. This quantitative research aims to find the properness of the redenomination policy in Indonesia. The focus of this research is to analyze the impact of redenomination risk on rupiah exchange rate performance. It is conducted from April 1st, 2015 until May 9th, 2016. The method of analysis used here is VECM (Vector Error Correction Model) to find relation reciprocally among the three variables: CDS (Credit Default Swap) as a proxy for redenomination risk, exchange rate, and sovereign yields. Based on the result, we find that there are negative impacts in the long-run and short-run from redenomination risk on the rupiah exchange rate. Meanwhile, the sovereign yield has a positive impact on the rupiah exchange rate in the long run. In the short run, the exchange rate has a positive impact on redenomination, as well as on sovereign yield. The sovereign yield also has a positive effect on the exchange rate, as well as on the redenomination risk. But there is no impact of redenomination risk on the sovereign yield. From this finding, we should suggest that redenomination is a not proper decision yet. It is because the weakness of rupiah after its implementation due to sentiment of over-confidence among the economic agents sometimes triggers uncontrollable and high inflation rate. For the successful policy, previously the government should take action to reduce the inflation rate.
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Borri, Nicola. « Redenomination-risk spillovers in the Eurozone ». Economics Letters 174 (janvier 2019) : 173–78. http://dx.doi.org/10.1016/j.econlet.2018.11.013.

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Durand, Cédric, et Sébastien Villemot. « Balance sheets after the EMU : an assessment of the redenomination risk ». Socio-Economic Review 18, no 2 (30 janvier 2018) : 367–94. http://dx.doi.org/10.1093/ser/mwy004.

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Abstract The probability of a partial or complete break-up of the euro has risen over the last years. Such an event could create a balance sheet problem for economic agents, if the redenomination process introduced significant currency mismatches between the asset and liability sides. We propose a new assessment of this redenomination risk, by country and by main institutional sector, for two scenarios: a single country exit and a complete break-up. Our main conclusion is that, even though the problem has to be taken seriously, its order of magnitude should not be exaggerated. Only a few sectors are at significant risk: public debts of Greece and Portugal, financial sectors of Greece, Ireland and Luxembourg. In particular, the balance sheet exposure of the non-financial private sector to the redenomination risk appears to be limited.
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Cherubini, Umberto. « Estimating redenomination risk under Gumbel–Hougaard survival copulas ». Journal of Economic Dynamics and Control 133 (décembre 2021) : 104268. http://dx.doi.org/10.1016/j.jedc.2021.104268.

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Anelli, Michele, Michele Patanè, Mario Toscano et Stefano Zedda. « The Role of Redenomination Risk in the Price Evolution of Italian Banks’ CDS Spreads ». Journal of Risk and Financial Management 13, no 7 (10 juillet 2020) : 150. http://dx.doi.org/10.3390/jrfm13070150.

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The recent financial crisis offered an interesting opportunity to analyze the markets’ behavior in a high-volatility framework. In this paper, we analyzed the price discovery process of the Italian banks’ Credit Default Swap (CDS) spreads through the Merton model, extended with the inclusion of a redenomination risk proxy, as to say, the risk that Italy could leave the eurozone. This paper contributes to the literature by integrating the classic Merton model with a political-sensitive market variable able to explain the greatest variance in the Italian banks’ CDS spreads during the most relevant and commonly recognized periods of socio-political and financial distress. Results show that the redenomination risk is progressively becoming the main driver of the process during crises, in particular for the sovereign debt crisis and in 2018.
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Gruppe, Mario, Tobias Basse, Meik Friedrich et Carsten Lange. « Interest rate convergence, sovereign credit risk and the European debt crisis : a survey ». Journal of Risk Finance 18, no 4 (21 août 2017) : 432–42. http://dx.doi.org/10.1108/jrf-01-2017-0013.

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Purpose This paper aims to briefly review the literature on interest rate convergence and the European debt crisis with a special focus on the current fiscal problems of some governments in Europe. Design/methodology/approach Relevant empirical papers are identified and reviewed focusing on time series analysis techniques. Findings The introduction of the euro has caused interest rate convergence among European Monetary Union (EMU) government bond yields. However, now sovereign credit risk and possibly even redenomination risk have caused divergences in European bond markets. Research limitations/implications A major limitation is that a relatively new field of the literature is surveyed. However, there are enough papers of relevance. This review paper could therefore be helpful in finding new approaches for additional empirical research examining the EMU bond market. Originality/value The results of empirical studies in a relatively new field of the literature are summarized. There meanwhile are some relevant papers. A brief survey of the results of these papers is provided. Important empirical findings with regard to interest rate convergence, sovereign credit risk and redenomination risk in the EMU are discussed and evaluated. The review is especially helpful for researchers and practitioners in the field of managerial finance and risk managers in the financial services industry.
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Rodriguez Gonzalez, Miguel, Frederik Kunze, Christoph Schwarzbach et Christoph Dieng. « Asset liability management and the euro crisis ». Journal of Risk Finance 18, no 4 (21 août 2017) : 466–83. http://dx.doi.org/10.1108/jrf-01-2017-0016.

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Purpose This paper aims to investigate the long-term relationships of long-term European Monetary Union (EMU) government bond yields. From an asset managers’ or risk managers’ perspective during the euro crisis, the relevance of sovereign credit and redenomination risk became a major issue. Furthermore, it has to be differentiated between core and non-core EMU member countries. Design/methodology/approach Methods of applied time series analysis are used to investigate EMU government bond yields and EMU government bond yield spreads for Spain, Italy, The Netherlands, Austria and Germany. Both standard unit root testing procedures and breakpoint unit root tests are used to examine cointegrating relationships and structural changes in these relationships. Findings The empirical results deliver clear evidence for structural shifts in the long-term relationship between German and the two non-core EMU countries (Italy and Spain). The timing of the breaks coincides with the timing of the euro crisis. On the contrary, the results for Austria and The Netherlands are different from the findings for the two non-core countries. Research limitations/implications One major limitation of the study is the limited availability of data regarding to the reaction of asset managers or risk managers to the euro crisis. Especially in the context of the discussion with regard to the relevant risk-free rate for investors, this strand of research is relatively new. Practical implications A deeper understanding of changes in the long-term relationship between government bond yields and the re-emergence of redenomination risk is important for asset managers and risk managers in the financial services industry. This is especially true for German life insurers. Originality/value The study provides various empirical contributions to the literature on the euro crisis and sovereign credit risk. First, previous results with regard to the structural changes in the long-term relationship between German and Spanish, German and Italian, German and Austrian as well as Germany and Dutch government bond yields are confirmed using unit root breakpoint tests. Second, investigating the autoregressive coefficient and the timing of the breaks delivers evidence that non-core countries have been more exposed to the fear of redenomination risk. Third, we raise the question which risk free interest rate is relevant for the affected countries.
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Klose, Jens, et Benjamin Weigert. « Sovereign Yield Spreads During the Euro Crisis : Fundamental Factors Versus Redenomination Risk ». International Finance 17, no 1 (mars 2014) : 25–50. http://dx.doi.org/10.1111/infi.12042.

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Tholl, Johannes, Christoph Schwarzbach, Sandro Pittalis et Hans-Jörg von Mettenheim. « Bank funding and the recent political development in Italy : What about redenomination risk ? » International Review of Law and Economics 64 (décembre 2020) : 105932. http://dx.doi.org/10.1016/j.irle.2020.105932.

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Thèses sur le sujet "Redenomination risk"

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MICHELE, ANELLI. « The price discovery process of the sovereign and bank credit risk in a high-volatility framework ». Doctoral thesis, Università di Siena, 2020. http://hdl.handle.net/11365/1095780.

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This research study presents three distinct and separate (but logically linked) essays focused on the price discovery process of credit risk. The aim of the first essay (working paper n. 1) is to analyse the long lasting dynamic relationship between the credit default swap (CDS) premia and the government bond spreads (GBS), by focusing particularly on the sovereign credit risk, in order to evaluate the lead-lag markets in the price discovery process against the backdrop of a deep crisis. The focus of this study concerns the case of Italy, one of the major countries subject to international speculative attacks by market operators because of the weak GDP growth, the high public debt and the political fragility, for the period 2007-2017. In the second essay (working paper n. 2) the analysis is extended to the lead-lag relationship between the PIIGS - excp Greece 10-year CDS premia and the respective government bond spreads (GBS) series by employing daily data, from January 2007 to October 2017, provided by Bloomberg. The time interval has been considered as whole in the first part of the analysis, without distinguishing the different stages of development of the recent crisis, while in the second part I focused on the sovereign debt crisis impact on the lead-lag relationship. In the third essay (working paper n. 3) It has been evaluated, as a preliminary stage of the investigation, the lead-lag relationship between the Italian sovereign 5Y CDS premia and the Italian banks proxy 5Y CDS premia series by employing daily data, for the interval Q2 2007- Q3 2018 (provided by Bloomberg). The latter series was built up by using the Intesa San Paolo 5y CDS contracts and the Unicredit 5y CDS contracts series weighted by the respective market capitalization. In the second part of the study, I extended the determinants inspired by the classic Merton (1974 ) model in order to investigate on the drivers of Italian bank credit risk during the most volatile phases of this decade: the financial crisis (August 2007- October 2009 ), the sovereign debt crisis (October 2009 - July 2012 ) and the anti-establishment Government/pre-Italy’s budget update (March 2018 - September 2018 ) period.
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Chapitres de livres sur le sujet "Redenomination risk"

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Chorafas, Dimitris N. « Redenomination Risk Following a Euro Breakup ». Dans Breaking Up the Euro, 171–94. New York : Palgrave Macmillan US, 2013. http://dx.doi.org/10.1057/9781137332295_8.

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High, Mette M. « Polluted Money ». Dans Fear and Fortune. Cornell University Press, 2017. http://dx.doi.org/10.7591/cornell/9781501707544.003.0005.

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This chapter studies local understandings of wealth, specifically the relationship between pastoral wealth and gold money. The dangers surrounding mining are transferred onto the money object itself upon its sale to resident gold traders. As a vector of pollution, money circulates as a material objectification of potential calamity. When using dirty money notes associated with the mines, people face a local redenomination and de facto lower purchasing power when spreading their money. Although the gold rush has enriched ninjas, the cash value of their money is intimately tied to its materiality in local moral understandings of value. The chapter thus shows how the booming mining economy has given rise to fears of circulating misfortune, irrespective of people's own ties to the mines.
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