Статті в журналах: "Redenomination risk"

1

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

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2

Holik, Abdul. "Pengujian Resiko Redenominasi terhadap Nilai Tukar Rupiah." Owner 5, no. 2 (August 25, 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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3

Borri, Nicola. "Redenomination-risk spillovers in the Eurozone." Economics Letters 174 (January 2019): 173–78. http://dx.doi.org/10.1016/j.econlet.2018.11.013.

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4

Durand, Cédric, and Sébastien Villemot. "Balance sheets after the EMU: an assessment of the redenomination risk." Socio-Economic Review 18, no. 2 (January 30, 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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5

Cherubini, Umberto. "Estimating redenomination risk under Gumbel–Hougaard survival copulas." Journal of Economic Dynamics and Control 133 (December 2021): 104268. http://dx.doi.org/10.1016/j.jedc.2021.104268.

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6

Anelli, Michele, Michele Patanè, Mario Toscano, and 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 (July 10, 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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7

Gruppe, Mario, Tobias Basse, Meik Friedrich, and Carsten Lange. "Interest rate convergence, sovereign credit risk and the European debt crisis: a survey." Journal of Risk Finance 18, no. 4 (August 21, 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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8

Rodriguez Gonzalez, Miguel, Frederik Kunze, Christoph Schwarzbach, and Christoph Dieng. "Asset liability management and the euro crisis." Journal of Risk Finance 18, no. 4 (August 21, 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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9

Klose, Jens, and Benjamin Weigert. "Sovereign Yield Spreads During the Euro Crisis: Fundamental Factors Versus Redenomination Risk." International Finance 17, no. 1 (March 2014): 25–50. http://dx.doi.org/10.1111/infi.12042.

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10

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

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11

Lapavitsas, Costas. "The redenomination risk of exiting the Eurozone: An estimation based on the Greek case." European Law Journal 24, no. 2-3 (May 2018): 226–43. http://dx.doi.org/10.1111/eulj.12276.

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12

Pambudi, Andika, Bambang Juanda, and D. S. Priyarsono Priyarsono. "PENENTU KEBERHASILAN REDENOMINASI MATA UANG: PENDEKATAN HISTORIS DAN EKSPERIMENTAL." Buletin Ekonomi Moneter dan Perbankan 17, no. 2 (January 29, 2015): 167–96. http://dx.doi.org/10.21098/bemp.v17i2.48.

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Redenomination is a simplification of nominal value of currency by reducing digit (zero number) without reducing the real value of the currency. The main objective of this research was to examine whether the economic conditions at the time of redenomination may affect the success of currency redenomination. The methods used were regression analysis on historical data of 30 countries which are involved in redenominating their currencies, economic experiments with t-test, and survey of people’ perspective. Based on regression analysis, inflation will decrease and economic growth will rise higher after redenomination, if previously a country have experienced high economic growth as well. Based on experimental research, when inflation was high, redenomination could increase the selling price. Otherwise, when inflation was low, redenomination could decrease the selling price. Changes in selling price after redenomination was not affected significantly by differences in economic growth conditions. In different economic conditions, redenomination policy did not significantly affect the changes number of transactions and total value of transactions in the market. From the survey results, public did not believe government can control inflation after redenomination. Redenomination also will not affect consumption pattern. Keywords: Redenomination, Inflation, Economic Growth, Experiment JEL Classification: C91, E31, E42, E58

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13

Canofari, Paolo, Alessandra Marcelletti, and Marcello Messori. "Redenomination Risk and Bank Runs in a Monetary Union with and Without Deposit Insurance Schemes." Open Economies Review 31, no. 2 (November 16, 2019): 237–56. http://dx.doi.org/10.1007/s11079-019-09562-6.

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14

De Santis, Roberto A. "Quantifying the Redenomination Risk." SSRN Electronic Journal, 2014. http://dx.doi.org/10.2139/ssrn.2377773.

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15

Cinefra, Francesca, Michele Anelli, Michele Patanè, and Alessio Gioia. "The Dynamic Progression of the Redenomination and Sovereign Risk in the Price Discovery Process of Italian Banks’ CDSs." Journal of Applied Finance & Banking, February 10, 2021, 1–30. http://dx.doi.org/10.47260/jafb/1131.

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The recent global financial crisis and the subsequent sovereign debt crisis of the Eurozone peripheral countries have generated historic levels of volatility and instability in the financial markets. In particular, during the sovereign debt crisis market operators have begun to focus on the so-called “redenomination risk”, that is the hypothesis of exit from the EMU (Euro Monetary Union) by one or more countries and the consequent redenomination of their debt in the past national currency. This type of risk constitutes a form of additional credit risk premium due to expected systemic failure of the Eurozone. The effects of the economic-financial crisis, the weak economic growth and the political instability that have characterized especially the Italian system in recent years provide the ideal starting point to analyze the evolution of the redenomination risk in the pricing process of the Italian banks’ CDSs (Credit Default Swaps). The contribution of this work is to evaluate the dynamic evolution of sovereign and redenomination risk in the price discovery process of the Italian banks’ CDS spreads (or premia) by using rolling window regressions. Results show that redenomination risk explains a great part of the variance in the CDS spreads during periods of financial distress. The sovereign risk component explains a large part of the variance for almost the entire considered period. JEL Classification: G01, G12, G14, G20. Keywords: CDS spreads, Sovereign risk, Redenomination risk, Rolling window regressions, ISDA basis.

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16

Cherubini, Umberto. "The Econometrics of Redenomination Risk." SSRN Electronic Journal, 2019. http://dx.doi.org/10.2139/ssrn.3408534.

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17

De Santis, Roberto A. "A Measure of Redenomination Risk." SSRN Electronic Journal, 2015. http://dx.doi.org/10.2139/ssrn.2620732.

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18

Borri, Nicola. "Redenomination-Risk Spillovers in the Eurozone." SSRN Electronic Journal, 2018. http://dx.doi.org/10.2139/ssrn.3244471.

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19

Bayer, Christian, Chi Hyun Kim, and Alexander Kriwoluzky. "The Term Structure of Redenomination Risk." SSRN Electronic Journal, 2018. http://dx.doi.org/10.2139/ssrn.3194420.

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20

Bleaney, Michael, and Veronica Veleanu. "Redenomination risk in eurozone corporate bond spreads." European Journal of Finance, February 8, 2021, 1–23. http://dx.doi.org/10.1080/1351847x.2021.1882524.

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21

Klose, Jens. "Measuring redenomination risks in the Euro area – evidence from survey data." Studies in Economics and Finance ahead-of-print, ahead-of-print (August 4, 2021). http://dx.doi.org/10.1108/sef-11-2020-0476.

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Purpose This paper aims to introduce a new indicator to measure redenomination risks in Euro area countries. The measure is based on survey data. The influence of this indicator in determining sovereign bond yield spreads is estimated. Design/methodology/approach An autoregressive distributed lag approach is used to estimate the effects of redenomination risks on sovereign bond yields. Additional control variables are added. Findings The results for 10 European Economic and Monetary Union (EMU) countries in the period June 2012 to May 2019 show that the risk of depreciation is almost abandoned for most Euro area countries, i.e. the former crisis countries Ireland and Portugal. If anything an appreciation may occur for some countries once they leave the EMU. The only countries facing depreciation problems once leaving the monetary union are Italy and to some extent Spain. Originality/value With this new indicator, the literature on sovereign bond determination and i.e. on redenomination risks is expanded by an additional approach. Moreover, this study is one of few also looking at the period after the most severe tensions of the sovereign debt crisis in the Euro area in 2012.

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22

Nordvig, Jens J. "Legal Risk Premia During the Euro-Crisis: The Role of Credit and Redenomination Risk." SSRN Electronic Journal, 2015. http://dx.doi.org/10.2139/ssrn.2608852.

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23

Minenna, Marcello. "A Market-Based Analysis of Italy’s Redenomination Risk: between EMU Limits and Eurosceptic Sentiments." SSRN Electronic Journal, 2020. http://dx.doi.org/10.2139/ssrn.3710005.

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24

Deni, Priyarsono. "FAKTOR-FAKTOR YANG MEMPENGARUHI KEBERHASILAN REDENOMINASI MATA UANG: PENDEKATAN DATA HISTORIS DAN PERCOBAAN." Buletin Ekonomi Moneter dan Perbankan 17, no. 2 (May 2, 2018). http://dx.doi.org/10.21098/bemp.v17i2.10.

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Redenomination is a simplification of nominal value of currency by reducing digit (zero number) without reducing the real value of the currency. The main objective of this research was to examine whether the economic conditions at the time of redenomination may affect the success of currency redenomination. The methods used were regression analysis on historical data of 30 countries which are involved in redenominating their currencies, economic experiments with t-test, and survey of people’ perspective. Based on regression analysis, inflation will decrease and economic growth will rise higher after redenomination, if previously a country have experienced high economic growth as well. Based on experimental research, when inflation was high, redenomination could increase the selling price. Otherwise, when inflation was low, redenomination could decrease the selling price. Changes in selling price after redenomination was not affected significantly by differences in economic growth conditions. In different economic conditions, redenomination policy did not significantly affect the changes number of transactions and total value of transactions in the market. From the survey results, public did not believe government can control inflation after redenomination. Redenomination also will not affect consumption pattern

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25

Fracasso, Andrea. "Solidarity and Responsibility in the Euro Area: Foes or Friends?" Economists’ Voice 15, no. 1 (September 20, 2018). http://dx.doi.org/10.1515/ev-2018-0024.

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Abstract The recent debate on the reform of the economic governance in the euro area has been marred by a stark disagreement on the correct sequence between risk-reduction (responsibility) and risk-sharing (solidarity). In fact, the dichotomy between risk-reduction and risk-sharing may be fallacious as they reinforce each other, particularly in a monetary union with no lender of last resort for the public sector and no common macroeconomic stabilization mechanisms. The lack of risk-sharing mechanisms is per se a major source of redenomination and default risks and thus it makes the euro area prone to financial market segmentation along national borders and ultimately weaker. At the same time, greater structural convergence has to be achieved through structural reforms and fiscal prudence in order to reduce the likelihood of future negative idiosyncratic shocks in currently vulnerable countries. Notwithstanding some progress towards a politically viable solution encompassing both responsibility and solidarity, a number of important issues remain controversial. This short article summarizes the debate and introduces some of these controversial issues, ranging from the correct role of market discipline when markets are prone to self-fulfilling prophecies and multiple equilibria, to the (dis)advantages of sovereign debt restructuring mechanisms based on rules rather than discretion, from the pros and cons of new safe assets in the euro area to the primacy of coping with debt legacy problems, and the like.

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26

Malinen, Tuomas, Peter Nyberg, Heikki Koskenkylä, Elina Berghäll, Ilkka Mellin, Sami Miettinen, Jukka Ala-Peijari, and Stefan Törnqvist. "How to Leave the Eurozone: The Case of Finland." Economists’ Voice 15, no. 1 (November 17, 2018). http://dx.doi.org/10.1515/ev-2018-0020.

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Abstract This article provides thoughts and guidelines on how a country could exit from the Economic and Monetary Union (EMU) and its currency the euro. We take the hypothetical exit of Finland as a concrete example. Although there is a way out of the euro for Finland and other member countries, exit would not be easy, nor would its short-term costs be known beforehand with any clear margin. We find the lack of a domestic payments system and uncertainty concerning the redenomination costs to be the biggest risks associated with the cost of Finland’s exit. Still, the costs of Finland’s exit need not be very large, around 10 billion euros in the best-case scenario, but we also acknowledge a very costly scenario for the exit.

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Статті в журналах з теми "Redenomination risk"

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