Francesco Ravazzolo - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T13:45:19+00:00Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns
https://www.bankofcanada.ca/2017/05/staff-working-paper-2017-19/
Increased sovereign credit risk is often associated with sharp currency movements. Therefore, expectations of the probability of a sovereign default event can convey important information regarding future movements of exchange rates.2017-05-17T08:24:48+00:00enAssessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns2017-05-17Econometric and statistical methodsExchange ratesInternational financial marketsStaff Working Paper 2017-19https://www.bankofcanada.ca/wp-content/uploads/2017/05/swp2017-19.pdfAssessing the Predictive Ability of Sovereign Default Risk on Exchange Rate ReturnsClaudia ForoniFrancesco RavazzoloBarbara SadabaMay 2017CC2C22C5C52C53FF3F31