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A Decomposition of Global Linkages in Financial Markets Over Time
Forbes, Kristin J. - 2003
This paper tests if real and financial linkages between countries can explain why movements in the world's largest … between the world's 5 largest economies and about 40 other markets to decompose the cross-country factor loadings into: direct … to be the most important determinant of how movements in the world's largest markets affect financial markets around the …
Persistent link: https://www.econbiz.de/10012469145
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Identification through Heteroskedasticity : Measuring "Contagion
Rigobon, Roberto - 2000
In this paper, I develop a new identification method to solve the problem of simultaneous equations, based on heteroskedasticity of the structural shocks. I show that if the heteroskedasticity can be described as a two-regime process, then the system is just identified under relatively weak...
Persistent link: https://www.econbiz.de/10012471283
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Contagion : How to Measure It?
Rigobon, Roberto - 2001
The empirical literature on contagion has mainly measured the propagation of shocks across countries using daily stock markets, interest rates, and exchange rates. Several methodologies have been used for this purpose, however, the properties of the data introduces important limitations on the...
Persistent link: https://www.econbiz.de/10012470611
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The Curse of Non-Investment Grade Countries
Rigobon, Roberto - 2001
identification procedure based on conditional heteroskedasticity (ARCH) that solves the problem of estimation in a linear …
Persistent link: https://www.econbiz.de/10012470080
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Conditional PPP and Real Exchange Rate Convergence in the Euro Area
Bergin, Paul R. - 2016
While economic theory highlights the usefulness of flexible exchange rates in promoting adjustment in international …
Persistent link: https://www.econbiz.de/10012456694
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On the Measurement of the International Propagation of Shocks
Rigobon, Roberto - 1999
In this paper I offer an alternative identification assumption that allows one to test for changing patterns regarding the international propagation of shocks when endogenous variables, omitted variables, and heteroskedasticity are present in the data. Using this methodology, I demonstrate that...
Persistent link: https://www.econbiz.de/10012471430
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News Shocks in Open Economies : Evidence from Giant Oil Discoveries
Arezki, Rabah - 2015
This paper explores the effect of news shocks on the current account and other macroeconomic variables using worldwide giant oil discoveries as a directly observable measure of news shocks about future output-the delay between a discovery and production is on average 4 to 6 years. We first...
Persistent link: https://www.econbiz.de/10012457809
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Globalization and Changing Patterns in the International Transmission of Shocks in Financial Markets
Bordo, Michael D. - 2002
of both advanced and emerging countries during two periods of globalization -- the pre-World War I classical gold …
Persistent link: https://www.econbiz.de/10012469694
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Monetary Shocks and Real Exchange Rates in Sticky Price Models of International Business Cycles
Chari, V. V. - 1997
The data show large and persistent deviations of real exchange rates from purchasing power parity. Recent work has shown that to a large extent these movements are driven by deviations from the law of one price for traded goods. In the data, real and nominal exchange rates are about 6 times as...
Persistent link: https://www.econbiz.de/10012472952
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Competitive Devaluations : A Welfare-Based Approach
Corsetti, Giancarlo - 1999
This paper studies the mechanism of international transmission of exchange rate shocks within a 3-country Center-Periphery model, providing a choice-theoretic framework for the policy analysis and empirical assessment of competitive devaluations. If relative prices and terms of trade exhibit...
Persistent link: https://www.econbiz.de/10012471922