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Too Much, Too Little, or Too Volatile? International Capital Flows to Developing Countries in the 1990s
Nunnenkamp, Peter - Institut für Weltwirtschaft (IfW) - 2001
Developing countries are constrained in financing current account deficits as real capital mobility is still far from perfect. At the same time, capital flows to these countries proved to be extremely volatile. The paper argues that the long-term problem of "too little" should not be confused...
Persistent link: https://www.econbiz.de/10005818922
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The Microstructure of Exchange Rate Management: FX Intervention and Capital Controls in Brazil
Roure, Calebe de; Furnagiev, Steven; Reitz, Stefan - Institut für Weltwirtschaft (IfW) - 2013
This paper uses a microstructure approach to analyze the effectiveness of capital controls introduced in Brazil to counter an appreciation of the Real. Based on a rich data set from the Brazilian foreign exchange market, we estimate a reduced-form VAR to characterize the interaction of the...
Persistent link: https://www.econbiz.de/10010886994
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Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference
Silva, Paulo Pereira da; Rebelo, Paulo Tomaz; Afonso, … - Institut für Weltwirtschaft (IfW) - 2013
returns may reside in the too-big-to fail effect, that is, credit holders receive a subsidy from governments protecting them …
Persistent link: https://www.econbiz.de/10010956052
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Europe's Entry into the Venture Capital Business: Efficiency and Policy
Stolpe, Michael - Institut für Weltwirtschaft (IfW) - 2004
This paper provides new evidence on Europe's experience with venture capital in the 1990s. Individual countries' activity is not solely determined by country characteristics and a purely domestic history, but also by a common European experience: the interdependence of valuations in primary...
Persistent link: https://www.econbiz.de/10005755118
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The Accuracy of Press Reports Regarding the Foreign Exchange Interventions of the Bank of Japan
Frenkel, Michael; Pierdzioch, Christian; Stadtmann, Georg - Institut für Weltwirtschaft (IfW) - 2002
This paper presents evidence on the accuracy of press reports regarding the foreign exchange market interventions conducted by the Bank of Japan (BoJ) between January 1995 and December 1999. We find that the reports of interventions in the financial press are a relatively inaccurate indicator...
Persistent link: https://www.econbiz.de/10005755250
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GARCH Modeling of Robust Market Returns
Sáez, Lucía Cuadro; Moreno, Manuel - Institut für Weltwirtschaft (IfW) - 2007
Daily financial market returns (as log difference in closing prices) may be quite sensitive to operations with low … estimation of market, returns by providing a new indicator that accounts for the information content in prices and trading …
Persistent link: https://www.econbiz.de/10005818774
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Learning and Signalling in the French and German Venture Capital Industries
Stolpe, Michael - Institut für Weltwirtschaft (IfW) - 2003
This paper analyses the efficiency of venture capital and its impact on primary equity markets in France and Germany. It shows that venture capital operates according to the signalling model in France and according to the learning model in Germany. Only the learning model can serve as a...
Persistent link: https://www.econbiz.de/10005700526
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Modeling and predicting the market volatility index: The case of VKOSPI
Han, Heejoon; Kutan, Ali M.; Ryu, Doojin - Institut für Weltwirtschaft (IfW) - 2015
) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 … options and (b) macroeconomic and financial variables that can predict the implied volatility process of the index, using … the VKOSPI. In addition, we find that the stock market return and implied volatility index of the US market (i.e., the S …
Persistent link: https://www.econbiz.de/10011170357
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Business Cycle Volatility in Germany
Buch, Claudia M.; Doepke, Joerg; Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 2002
Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and … structural breaks in the dynamics and the volatility of the real output process in Germany can be detected. We report evidence … that output volatility has declined in Germany. Yet, this decline in output volatility is not as clear-cut as it is in the …
Persistent link: https://www.econbiz.de/10005755211
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Capital Flows, Financial Asset Prices and Real Financial Market Exchange - Rate: A Case Study for an Emerging Market, India
Ghosh, Saurabh; Reitz, Stefan - Institut für Weltwirtschaft (IfW) - 2012
In this paper we empirically investigate the relationship between capital flows and exchange rates in India based on a new index of real effective exchange rates for the Indian Rupiah. Instead of using consumer price indices we deflate exchange rates by MSCI asset price indices. The...
Persistent link: https://www.econbiz.de/10010886833