This paper provides new evidence on the pricing of exchange risk in global stock markets. We conduct empirical tests in a conditional setting with a multivariate GARCH-in-Mean specification and time-varying prices of risk for the US and nine emerging markets to determine whether exchange risk is...

We provide new evidence on the pricing of exchange risk in the global stock markets. We conduct empirical tests in a conditional setting for ten developed markets and twelve emerging markets to determine whether emerging market currency risk affects emerging market equities and if it spills over...

In this paper we provide new evidence about the unconditional pricing of exchange risk in the stock market based on emerging market data. We conduct empirical tests using cross-sectional data at the market, portfolio and firm level from nine emerging markets to determine whether exchange risk is...

Market liberalization may not result in global pricing or full market integration if implicit barriersare important. We test this proposition for 22 emerging markets using the conditional version ofErrunza and Losq (1985) model. We estimate and compare the degree of integration for stocksthat...

We examine the role of emerging markets in providing currency diversification benefits. We use global sectoral portfolios for developed and emerging markets. Our empirical tests based on a conditional international asset pricing model show that on average the prices of currency risks are very...

This paper revisits the relationship between liberalization and systemic banking crisis in light of a more comprehensive measure of financial liberalization and its interaction with various measures of banking governance and institutional quality. We estimate the probability of systemic banking...

This paper examines the presence and the determinants of exchange risk premia in stock returns using firm level data from South Korea. We conduct empirical asset pricing tests based on cross-sectional data sorted by firm characteristics such as firm size, liquidity, foreign ownership, and...

This paper analyzes the size and nature of green fiscal stimulus policies in the G20 countries in response to the COVID-19 crisis. We exploit a new dataset, the Energy Policy Tracker (EPT), with detailed information on countries’ policies since the start of the pandemic. Between January 2020...

This paper revisits the relationship between liberalization and systemic banking crisis in light of a more comprehensive measure of financial liberalization and its interaction with various measures of banking governance and institutional quality. We estimate the probability of systemic banking...

Market liberalization may not result in global pricing or full market integration if implicit barriers are important. We use the conditional version of the Errunza and Losq (1985) model to estimate pricing of investable indices for 22 emerging markets and test this proposition. Our results show...