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The microstructure of foreign exchange markets

Frankel, Jeffrey A. (ed.); Galli, Giampaolo (contributor); … - 1996

Persistent link: https://www.econbiz.de/10013480894

Volatility in an Era of Reduced Uncertainty : Lessons from Pax Britannica

Brown, William O. - 2005

Although it has been well established that financial volatility is related to news and macroeconomic shocks, there has … consol returns since 1729 and identify a greater-than-50% decline in volatility from the end of the Napoleonic wars in 1815 … until the First World War. News events and macroeconomic variables cannot account for this extended period of reduced …

Persistent link: https://www.econbiz.de/10012467364

The internationalization of equity markets

Frankel, Jeffrey A. (ed.) - 1994

Persistent link: https://www.econbiz.de/10013480848

Managing currency crises in emerging markets

Dooley, Michael P. (ed.); Frankel, Jeffrey A. (contributor) - 2003

Persistent link: https://www.econbiz.de/10001664020

Preventing currency crises in emerging markets

Edwards, Sebastian (ed.); Frankel, Jeffrey A. (contributor) - 2002

Persistent link: https://www.econbiz.de/10001664021

The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices

Longstaff, Francis A. - 2002

We examine whether there is a flight-to-liquidity premium in Treasury bond prices by comparing them with prices of bonds issued by Refcorp, a U.S. Government agency, which are guaranteed by the Treasury. We find a large liquidity premium in Treasury bonds, which can be more than fifteen percent...

Persistent link: https://www.econbiz.de/10012469394

Defying Gravity : How Long Will Japanese Government Bond Prices Remain High?

Hoshi, Takeo - 2012

Recent academic papers have shown that the Japanese sovereign debt situation is not sustainable. The puzzle is that the bond rate has remained low and stable. Some suggest that the low yield can be explained by domestic residents' willingness to hold Japanese government bonds (JGBs) despite its...

Persistent link: https://www.econbiz.de/10012460374

What Triggers Stock Market Jumps?

Baker, Scott; Bloom, Nicholas; Davis, Steven J.; … - National Bureau of Economic Research - 2021

market performance in the preceding three months. This pattern strengthens in the postwar period. Third, market volatility is … volatility and other controls. Fourth, greater clarity as to jump reason also foreshadows lower volatility. Clarity in this sense …

Persistent link: https://www.econbiz.de/10012510565

Determinants of Financial Stress and Recovery during the Great Recession

Aizenman, Joshua - 2010

In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size of the peak-trough declines in the stock price...

Persistent link: https://www.econbiz.de/10012462052

Are Stocks Really Less Volatile in the Long Run?

Pastor, Lubos - 2009

According to conventional wisdom, annualized volatility of stock returns is lower when computed over long horizons than …

Persistent link: https://www.econbiz.de/10012463890

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