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The Effects of War Risk on U.S. Financial Markets

Rigobon, Roberto - 2003

This paper measures the effects of the risk of war on nine U.S. financial variables using a heteroskedasticity-based estimation technique. The results indicate that increases in the risk of war cause declines in Treasury yields and equity prices, a widening of lower-grade corporate spreads, a...

Persistent link: https://www.econbiz.de/10012469089

Exchange Rate Variability and the Riskiness of U.S. Multinational Firms : Evidence from the Breakdown of the Bretton Woods System

Bartov, Eli - 1995

the relation between exchange rate variability and stock return volatility and by decomposing this relation into … rates, we find a significant increase in the volatility of U.S. multinational monthly stock returns corresponding to the … period of increased exchange rate variability. This increase in stock return volatility is also significant relative to the …

Persistent link: https://www.econbiz.de/10012473547

China's Overseas Lending in Global Finance Cycle

Jiang, Zhengyang - National Bureau of Economic Research - 2025

China's rising presence in international finance, which has long lagged behind its prominence in international trade, is now reshaping global financial dynamics. Using a large sample of developing countries, this paper documents that countries more reliant on China's lending are less exposed to...

Persistent link: https://www.econbiz.de/10015326512

The Transmission of Federal Reserve Tapering News to Emerging Financial Markets

Aizenman, Joshua - 2014

This paper evaluates the impact of tapering "news" announcements by Fed senior policy makers on financial markets in emerging economies. We apply a panel framework using daily data, and find that emerging market asset prices respond most to statements by Fed Chairman Bernanke, and much less to...

Persistent link: https://www.econbiz.de/10012458684

Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets

Froot, Kenneth A. - 1987

Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...

Persistent link: https://www.econbiz.de/10012476706

Monetary Policy without Moving Interest Rates : The Fed Non-Yield Shock

Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2024

around FOMC announcements. Further, both of these asset classes display heightened volatility relative to non … and is identified from excess volatility in the S&P 500 and various dollar exchange rates. A positive non-yield shock …

Persistent link: https://www.econbiz.de/10014576665

Stock Market Cycles, Financial Liberalization and Volatility

Edwards, Sebastian - 2003

in emerging countries tend to have shorter duration and larger amplitude and volatility than in developed countries …

Persistent link: https://www.econbiz.de/10012468881

Emerging Equity Market Volatility

Bekaert, Geert - 1995

has focused on average returns, we analyze the volatility of the returns in emerging equity markets. We characterize the … time-series of volatility in emerging markets and explore the distributional foundations of the variance process. Of … particular interest is evidence of asymmetries in volatility and the evolution of the variance process after periods of capital …

Persistent link: https://www.econbiz.de/10012473563

Is Disinflation Good for the Stock Market?

Henry, Peter Blair - 2001

When countries attempt to stabilize annual inflation rates that are greater than 40 percent, the domestic stock market appreciates by 24 percent on average. The present value of the long-run benefits to shareholders of reducing high inflation outweighs the present value of the short-run costs....

Persistent link: https://www.econbiz.de/10012470435

Monetary Policy and Asset Prices : A Look Back at Past U.S. Stock Market Booms

Bordo, Michael D. - 2004

This paper examines the economic environments in which past U.S. stock market booms occurred as a first step toward understanding how asset price booms come about and whether monetary policy should be used to defuse booms. We identify several episodes of sustained rapid rise in equity prices in...

Persistent link: https://www.econbiz.de/10012467986