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Oil Prices, Exchange Rates and Asset Prices
Fratzscher, Marcel; Schneider, Daniel; Robays, Ine Van - CESifo - 2013
This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil...
Persistent link: https://www.econbiz.de/10010877722
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Capital Flight: China's Experience
Cheung, Yin-Wong; Qian, Xingwang - CESifo - 2010
We study the empirical determinants of China’s capital flight. In addition to the covered interest differential, our empirical exercise includes a rather exhaustive list of macroeconomic variables and a few institutional factors. Overall, our regression exercise shows that China’s capital...
Persistent link: https://www.econbiz.de/10008596571
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Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis
Beirne, John; Caporale, Guglielmo Maria; … - CESifo - 2009
This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...
Persistent link: https://www.econbiz.de/10008596577
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Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
Beirne, John; Caporale, Guglielmo Maria; … - CESifo - 2009
This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism—contagion—during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41...
Persistent link: https://www.econbiz.de/10005765747
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Investor Protection and Foreign Stakeholders
Giofré, Maela - CESifo - 2010
Different investor classes are endowed with different rights, and conflicting interests among them can make protections afforded to one party detrimental to another. Indeed, we find that investor protection laws have sizeable "cross" effects on foreign portfolio investment and the direction of...
Persistent link: https://www.econbiz.de/10008572590
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Financial Integration, Globalization, and Real Activity
Nicolò, Gianni De; Juvenal, Luciana - CESifo - 2012
distinct impact of financial integration and globalization on several dimensions of real activity. We find that: (a) financial … financial integration predict better growth prospects; (c) both advances in financial integration and globalization are … financial integration and globalization indeed foster countries’ growth, and there appears to be no trade-off between these …
Persistent link: https://www.econbiz.de/10009645640
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The Micro Dynamics of Macro Announcements
Mittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus - CESifo - 2013
We examine how regularly scheduled macroeconomic announcements for the U.S., Germany and the euro area affect the German stock market, using high–frequency, minute–by–minute DAX data. Our study extends the literature on high–frequency announcement effects in several ways. First, we...
Persistent link: https://www.econbiz.de/10010877723
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Payment Choice in International Trade: Theory and Evidence from Cross-country Firm Level Data
Hoefele, Andreas; Schmidt-Eisenlohr, Tim; Yu, Zhihong - CESifo - 2013
When trading, firms choose between different payment contracts. As shown theoretically in Schmidt-Eisenlohr (forthcoming), this allows firms in international trade to optimally trade-off differences in financing costs and enforcement across countries. This paper provides evidence from a large...
Persistent link: https://www.econbiz.de/10010877930
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Management of the External Value of the Renminbi
Oksanen, Heikki - CESifo - 2015
Pegging the renminbi (RMB) to the US dollar since 1994 has characterised China’s exchange rate policy, under either a fixed peg or appreciating crawling peg. The current policy, announced in June 2010, of ‘floating with reference to a basket’ has now in April 2015 made the RMB 19 per cent...
Persistent link: https://www.econbiz.de/10011272624
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Determinants of Country Beta Risk in Poland
Wdowinski, Piotr - CESifo - 2004
factors are expressed as differentials relative to the world economy for which stands the U.S. economy. According to Fair and …
Persistent link: https://www.econbiz.de/10005249463