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Rare Macroeconomic Disasters
Barro, Robert J.; Ursua, José F. - National Bureau of Economic Research (NBER) - 2011
The potential for rare macroeconomic disasters may explain an array of asset-pricing puzzles. Our empirical studies of these extreme events rely on long-term data now covering 28 countries for consumption and 40 for GDP. A baseline model calibrated with observed peak-to-trough disaster sizes...
Persistent link: https://www.econbiz.de/10009251532
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Momentum Trading, Return Chasing, and Predictable Crashes
Ghysels, Eric; Jagannathan, Ravi; Chabot, Benjamin - National Bureau of Economic Research (NBER) - 2014
We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies — momentum. We find that momentum has earned abnormally high risk-adjusted returns — a...
Persistent link: https://www.econbiz.de/10011096567
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The "Big C": Identifying Contagion
Forbes, Kristin - National Bureau of Economic Research (NBER) - 2012
This paper surveys and assesses the academic literature on defining, measuring, and identifying financial contagion and … contagion, highlighting contagion risks in the euro area. The paper defines "interdependence" as high correlations across … markets during all states of the world and "contagion" as the spillovers from extreme negative events. Interdependence has …
Persistent link: https://www.econbiz.de/10010950725
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Crowding Out Redefined: The Role of Reserve Accumulation
Reinhart, Carmen; Tashiro, Takeshi - National Bureau of Economic Research (NBER) - 2013
It is well understood that investment serves as a shock absorber at the time of crisis. The duration of the drag on investment, however, is perplexing. For the nine Asian economies we focus on in this study, average investment/GDP is about 6 percentage points lower during 1998-2012 than its...
Persistent link: https://www.econbiz.de/10010950831
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The "Greatest" Carry Trade Ever? Understanding Eurozone Bank Risks
Acharya, Viral V.; Steffen, Sascha - National Bureau of Economic Research (NBER) - 2013
We show that Eurozone bank risks during 2007-2012 can be understood as a "carry trade" behavior. Bank equity returns load positively on peripheral (Greece, Ireland, Portugal, Spain and Italy, or GIPSI) bond returns and negatively on German government bond returns, a position that generated...
Persistent link: https://www.econbiz.de/10010950931
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Carry Trade and Systemic Risk: Why are FX Options so Cheap?
Caballero, Ricardo J; Doyle, Joseph B. - National Bureau of Economic Research (NBER) - 2012
In this paper we document first that, in contrast with their widely perceived excess returns, popular carry trade strategies yield low systemic-risk-adjusted returns. In particular, we show that carry trade returns are highly correlated with the return of a VIX rolldown strategy --i.e., the...
Persistent link: https://www.econbiz.de/10010950969
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Global Banks and International Shock Transmission: Evidence from the Crisis
Cetorelli, Nicola; Goldberg, Linda S. - National Bureau of Economic Research (NBER) - 2010
Global banks played a significant role in the transmission of the 2007 to 2009 crisis to emerging market economies. We examine the relationships between adverse liquidity shocks on main developed-country banking systems to emerging markets across Europe, Asia, and Latin America, isolating loan...
Persistent link: https://www.econbiz.de/10008601667
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On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios
Raddatz, Claudio E.; Schmukler, Sergio - National Bureau of Economic Research (NBER) - 2011
This paper uses micro-level data on mutual funds from different financial centers investing in equity and bonds to study how investors and managers behave and transmit shocks across countries. The paper finds that the volatility of mutual fund investments is driven quantitatively by both the...
Persistent link: https://www.econbiz.de/10009277244
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Excessive Volatility in Capital Flows: A Pigouvian Taxation Approach
Jeanne, Olivier; Korinek, Anton - National Bureau of Economic Research (NBER) - 2010
This paper analyzes prudential controls on capital flows to emerging markets from the perspective of a Pigouvian tax that addresses externalities associated with the deleveraging cycle. It presents a model in which restricting capital inflows during boom times reduces the potential outflows...
Persistent link: https://www.econbiz.de/10008625925
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Market Response to Policy Initiatives during the Global Financial Crisis
Ait-Sahalia, Yacine; Tamirisa, Natalia; Andritzky, Jochen; … - National Bureau of Economic Research (NBER) - 2010
This paper examines the impact of macroeconomic and financial sector policy announcements in the United States, the United Kingdom, the euro area, and Japan during the recent crisis on interbank credit and liquidity risk premia. Announcements of interest rate cuts, liquidity support, liability...
Persistent link: https://www.econbiz.de/10008631687