Search Results

You are looking at 1 - 3 of 3 items for :

  • "Predicted Cross-Currency Basis" x
  • Financial crises x
Clear All
Mr. Adolfo Barajas, Andrea Deghi, Mr. Salih Fendoglu, and Yizhi Xu

). 6 In general, the March prediction error is in the ballpark of what was observed when the basis was at its peak during the global financial crisis ( Figure 5 , panel 2), although in some of the currencies (such as the Canadian dollar, Hong Kong dollar, Japanese yen, and Malaysian ringgit), the error was noticeably larger in March. Figure 5. Actual and Predicted Cross-Currency Basis: Standard Model Sources: Bank for International Settlements; Bloomberg Finance L.P.; and IMF staff calculations. Note: Panel 1 compares the average of the actual three