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What Lessons have been learnt since the East Asian Crisis in 1997/98? CIBS, Capital Flows, and Exchange Rates
Pircher, Marion - World Institute for Development Economic Research … - 2008
, India, Brazil, and South Africa (CIBS). Furthermore, we compare the level of financial stability, and the composition and …This paper discusses the movement of capital flows to and from the exchange rate regimes and monetary policies of China …
Persistent link: https://www.econbiz.de/10005001380
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Distinguishing global dollar reserves from official holdings in the United States
McCauley, Robert - In: BIS Quarterly Review (2005) September
Official holdings of US dollar reserves are partly invested outside the United States. These offshore investments do not strictly speaking finance the US current account, but do support the US dollar. Offshore holdings grow fast when intervention is large.
Persistent link: https://www.econbiz.de/10005063274
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The Cost of Insecure Property Rights: R2 Revisited
Bjuggren, Per-Olof; Eklund, Johan E - Ratioinstitutet - 2011
In the conventional CAPM model only a single risk factor is considered. However, using a world market portfolio to estimate systematic risk in national portfolios little of the required rate of return is explained in developing as compared to developed countries. Adding a factor representing...
Persistent link: https://www.econbiz.de/10009293912
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Property Rights and the Cost of Capital
Bjuggren, Per-Olof; Eklund, Johan - Swedish Entrepreneurship Forum - 2012
In countries with more secure property rights, the cost of capital is lower, suggesting higher investment rates. Using data from 49 countries we extend the conventional capital-asset pricing model (CAPM) to include a property rights risk-factor. In the conventional CAPM model only a single risk...
Persistent link: https://www.econbiz.de/10010616683
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A century of global equity market correlations
Quinn, Dennis; Voth, Joachim - Department of Economics and Business, Universitat … - 2006
In this paper, we use a unique long-run dataset of regulatory constraints on capital account openness to explain stock market correlations. Since stock returns themselves are highly volatile, any examination of what drives correlations needs to focus on long runs of data. This is particularly...
Persistent link: https://www.econbiz.de/10005827461
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Early warning for currency crises: what is the role of financial openness?
Frost, Jon; Saiki, Ayako - de Nederlandsche Bank - 2013
We explore the role of financial openness - capital account openness and gross capital inflows - and a newly constructed gravity-based contagion index to assess the importance of these factors in the run-up to currency crises. Using a quarterly data set of 46 advanced and emerging market...
Persistent link: https://www.econbiz.de/10010757284
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India's financial globalisation.
Shah, Ajay; Patnaik, Ila - 2011
India embarked on reintegration with the world econ- omy in the early 1990s. At first, a certain limited open- ing took …
Persistent link: https://www.econbiz.de/10008836203
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Funding under Borrowing Limits in International Portfolios
Trani, Tommaso - International Economics Section, The Graduate Institute … - 2012
I develop an open economy portfolio model to study how leveraged investors' wholesale funding affects the international transmission of shocks. Under binding borrowing limits, there is a link between the international investment positions of integrated economies as investors diversify the asset...
Persistent link: https://www.econbiz.de/10009646262
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Effectiveness of Capital Controls in India: Evidence from the Offshore NDF Market
Hutchison, Michael; Pasricha, Gurnain Kaur; Singh, Nirvikar - Bank of Canada - 2011
This paper examines the effectiveness of international capital controls in India over time by analyzing daily return … begin with a detailed narrative on the evolution of capital controls in India and calculate deviations from covered interest … several distinct periods reflecting changes in capital control application and intensity for India, and estimate the model …
Persistent link: https://www.econbiz.de/10009368873
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A Heterogenous Agents Model Usable for the Analysis of Currency Transaction Taxes
Demary, Markus - Institut für Volkswirtschaftslehre, … - 2007
We extend the model by DeGrauwe and Grimaldi (2006, EER) by currency transaction taxes. This model explains the exchange rate behavior by the interaction of heterogeneous traders who display either trend chasing behavior or rely on a return of the exchange rate back to its arbitrage free...
Persistent link: https://www.econbiz.de/10005082899