Arbeitspapier
Eurozone exit risk
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: CEPIE Working Paper ; No. 07/17
- Classification
-
Wirtschaft
Foreign Exchange
Current Account Adjustment; Short-term Capital Movements
Financial Crises
Asset Pricing; Trading Volume; Bond Interest Rates
International Financial Markets
- Subject
-
Eurozone Exit Risk
American Depositary Receipts
- Event
-
Geistige Schöpfung
- (who)
-
Eichler, Stefan
Rövekamp, Ingmar
- Event
-
Veröffentlichung
- (who)
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Technische Universität Dresden, Center of Public and International Economics (CEPIE)
- (where)
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Dresden
- (when)
-
2017
- Handle
- URN
-
urn:nbn:de:bsz:14-qucosa-226362
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Eichler, Stefan
- Rövekamp, Ingmar
- Technische Universität Dresden, Center of Public and International Economics (CEPIE)
Time of origin
- 2017
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The Redenomination Risk of Eurozone Exit for Greece
Competitiveness, adjustment and macroeconomic risk management in the eurozone
Mispricing of Sovereign Risk and Multiple Equilibria in the Eurozone
Sovereign default swap market efficiency and country risk in the eurozone
Sovereign risk contagion in the Eurozone: A time-varying coefficient approach
Predicting economic activity via Eurozone yield spreads: Impact of credit risk
Eurozone Exit Risk
The Eurozone needs exit rules
Institutionalizing Eurozone exit: A modified NEWNEY approach
Institutionalizing eurozone exit: A modified NEWNEY approach
Institutionalizing eurozone exit: a modified NEWNEY approach
Accession to the Eurozone as Lithuania's exit strategy from the currency board system
The Redenomination Risk of Eurozone Exit for Greece
Competitiveness, adjustment and macroeconomic risk management in the eurozone
Mispricing of Sovereign Risk and Multiple Equilibria in the Eurozone
Sovereign default swap market efficiency and country risk in the eurozone
Sovereign risk contagion in the Eurozone: A time-varying coefficient approach