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Market Integration and Contagion

Bekaert, Geert - 2003

to providing new insights on contagion during crisis periods, we document patterns through time in world and regional …

Persistent link: https://www.econbiz.de/10012469193

Dating the Integration of World Equity Markets

Bekaert, Geert - 1998

Measuring the integration of world capital markets is notoriously difficult. For example, regulatory changes which … equity market becomes financially integrated with world capital markets. We find endogenous break dates that are very … markets are on average larger and more liquid than before; returns are more volatile and more highly correlated with the world …

Persistent link: https://www.econbiz.de/10012472089

Time-Varying World Market Integration

Bekaert, Geert - 1994

-switching model, allows us to describe expected returns in countries that are segmented from world capital markets in one part of the …

Persistent link: https://www.econbiz.de/10012474072

International Capital Flow Pressures

Goldberg, Linda S. - 2018

This paper presents a new measure of capital flow pressures in the form of a recast Exchange Market Pressure index. The measure captures pressures that materialize in actual international capital flows as well as pressures that result in exchange rate adjustments. The formulation is...

Persistent link: https://www.econbiz.de/10012453428

The Global Rise of Corporate Saving

Chen, Peter - 2017

The sectoral composition of global saving changed dramatically during the last three decades. Whereas in the early 1980s most of global investment was funded by household saving, nowadays nearly two-thirds of global investment is funded by corporate saving. This shift in the sectoral composition...

Persistent link: https://www.econbiz.de/10012455548

On the Global Financial Market Integration “Swoosh” and the Trilemma

Bekaert, Geert - 2017

We propose a simple measure of de facto financial market integration based on a factor model of monthly equity returns, which can be computed back to the first era of financial globalization for 17 countries. Global financial market integration follows a "swoosh" shape - i.e. high pre-1913,...

Persistent link: https://www.econbiz.de/10012455557

International Capital Flow Pressures and Global Factors

Goldberg, Linda S.; Krogstrup, Signe - National Bureau of Economic Research - 2023

The risk sensitivity of international capital flow pressures is explored using a new Exchange Market Pressure index that combines pressures observed in exchange rate adjustments with model-based estimates of incipient pressures that are masked by foreign exchange interventions and policy rate...

Persistent link: https://www.econbiz.de/10013537779

Corporate Debt Structure with Home and International Currency Bias

Maggiori, Matteo; Neiman, Brent; Schreger, Jesse - National Bureau of Economic Research - 2023

We explore the consequences of global capital market segmentation by currency for the optimal currency composition of borrowing by firms. Global bond portfolios are driven by the currency of denomination of assets as investors prefer to lend in their home currency or the international currency,...

Persistent link: https://www.econbiz.de/10014437022