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Baele, Lieven - 2014

Using only daily data on bond and stock returns, we identify and characterize flight to safety (FTS) episodes for 23 countries. On average, FTS days comprise less than 3% of the sample, and bond returns exceed equity returns by 2.5 to 4%. The majority of FTS events are country-specific not...

Persistent link: https://www.econbiz.de/10013051878

Global crises and equity market contagion

Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel - 2011

Using the 2007-2009 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use an asset pricing framework with global and local factors to predict crisis returns, defining unexplained increases in factor loadings as...

Persistent link: https://www.econbiz.de/10009380410

What do asset prices have to say about risk appetite and uncertainty?

Bekaert, Geert; Hoerova, Marie; Scheicher, Martin - 2009

Implied volatility indices should have information about risk parameters, once they are cleansed of the influence of … normal volatility dynamics and macroeconomic uncertainty. Building on intuition from the dynamic asset pricing literature, we … information regarding risk aversion whereas credit spreads have a lot to say about both risk aversion and uncertainty. Moreover …

Persistent link: https://www.econbiz.de/10003832589

Risk, monetary policy and asset prices in a global world

Bekaert, Geert; Hoerova, Marie; Xu, Nancy R. - 2023

between "traditional" monetary policy and communication events, each decomposed into "pure" and information shocks … effects to risk. Both monetary policy and communication shocks spill over to stocks, with euro area information spillovers …

Persistent link: https://www.econbiz.de/10014483035