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La contagion financi`ere : une ´etude empirique sur les causalités lors de la crise asiatique
Elise, MARAIS - EconWPA - 2004
Cet article a pour objet d’´etudier empiriquement le ph´enom`ene de contagion lors de la crise asiatique de 1997 …
Persistent link: https://www.econbiz.de/10005408190
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Towards Transparency in Finance and Governance
Vishwanath, Tara; Kaufmann, Daniel - EconWPA - 2003
The study of transparency is increasingly a more topical, broadly relevant, but also more under-researched enterprise. The Asian financial crisis has highlighted not only the welfare consequences of financial sector transparency, sparking a series of yet unresolved debates, but has also linked...
Persistent link: https://www.econbiz.de/10005561607
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Do European Stock Markets Affect Latin American Stock Markets?
Rivas, Andrés; Verma, Rahul; Rodriguez, Antonio; … - EconWPA - 2005
In this study, we examine the response of Latin American stock markets to movements in European stock markets using VAR models. Our results vary depending on the openness of the country in terms of international trade. We find evidence that Latin American stock markets are responsive to changes...
Persistent link: https://www.econbiz.de/10005561729
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Financial Liberalization and Business Cycles: The Experience of Countries in the Baltics and Central Eastern Europe
Vinhas de Souza, Lúcio - Deutsche Bundesbank - 2004
This paper extends the work of Kaminsky and Schmukler (2003) to the Baltic and Central Eastern European future Member States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial integration is observed in this specific sample of ?emerging...
Persistent link: https://www.econbiz.de/10005083257
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Project Finance at the World Bank: An Overview of Policies and Instruments.
Benoit, P. - World Bank Group - 1996
Private and public sector sponsors of infrastructure, industrial and other commercial projects in developing countries are looking increasingly to the project finance structure to fund these operations. The World Bank has an array of financial instruments to support these projects. This paper...
Persistent link: https://www.econbiz.de/10005780263
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CONTAGION AND PORTFOLIO SHIFT IN EMERGING COUNTRIES´ SOVEREIGN BONDS
Herrero, Alicia Garcia; Rios, Antonio Diez de los - EconWPA - 2004
The paper tests whether there were events of contagion, and portfolio shift, in the sovereign bond markets of eleven … emerging countries' between January 1995 and November 2001. From existing definitions, we narrow down the concept of contagion … pricing model. We measure contagion (and portfolio shift) in terms of a causal positive (negative) dynamic co-movement between …
Persistent link: https://www.econbiz.de/10005125554
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International Stock-Bond Correlations in a Simple Affine Asset Pricing Model
d'Addona, Stefano; Kind, Axel H. - EconWPA - 2005
In this paper we use an affine asset pricing model to jointly value stocks and bonds. This enables us to derive endogenous correlations and to explain how economic fundamentals influence the correlation between stock and bond returns. The presented model is implemented for G7 post- war economies...
Persistent link: https://www.econbiz.de/10005134844
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International equity flows and returns: a quantitative equilibrium approach
Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - EconWPA - 2005
This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...
Persistent link: https://www.econbiz.de/10005062693
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Revisiting the Interest Rate-Exchange Rate Nexus: A Markov Switching Approach
Chen, Shiu-Sheng - EconWPA - 2003
In this paper the interest rate-exchange rate nexus and the effectiveness of interest rate defence are investigated theoretically and empirically. We construct a simple theoretical model by incorporating Taylor rule in the model proposed by Jeanne and Rose (2002). Mixing the macroeconomic theory...
Persistent link: https://www.econbiz.de/10005062695
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International Equity Flows and Returns: A Quantitative Equilibrium Approach
Albuquerque, Rui; Bauer, Gregory; Schneider, Martin - EconWPA - 2004
This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...
Persistent link: https://www.econbiz.de/10005062701