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From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on …
Persistent link: https://www.econbiz.de/10011276429
market countries (Brazil, Russia, India and China), adding constraints that reflect a central bank%u2019s desire to hold a …
Persistent link: https://www.econbiz.de/10005089082
Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion of zero daily firm returns, averaged over the month. We...
Persistent link: https://www.econbiz.de/10005049807
In this paper, we present data on trends over time in government debt financing in Japan since 2010 with emphasis on the importance of foreign holders and speculate about the determinants of those trends. We find that Japanese government securities were held primarily by domestic holders until...
Persistent link: https://www.econbiz.de/10010951434
This paper seeks to understand the interplay between banks, bank regulation, sovereign default risk and central bank … guarantees in a monetary union. I assume that banks can use sovereign bonds for repurchase agreements with a common central bank … cheaply, effectively shifting the risk of some of the potential sovereign default losses on the common central bank. …
Persistent link: https://www.econbiz.de/10010951167
This paper studies the international propagation of sovereign debt default. We posit a two-country economy where capital constrained banks grant loans to firms and invest in bonds issued by the domestic and the foreign government. The model economy is calibrated to data from Europe, with the two...
Persistent link: https://www.econbiz.de/10010785623
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 "carry" until the deteriorating GIPSI bond returns inflicted losses on banks …
Persistent link: https://www.econbiz.de/10010950931
Recent work suggests that financial development is important for economic growth, since financial markets more effectively allocate capital to firms with high value projects. For firms in poorly developed financial markets, implicit borrowing in the form of trade credit may provide an...
Persistent link: https://www.econbiz.de/10005084613
A key precursor of twentieth-century financial crises in emerging and advanced economies alike was the rapid buildup of leverage. Those emerging economies that avoided leverage booms during the 2000s also were most likely to avoid the worst effects of the twenty-first century's first global...
Persistent link: https://www.econbiz.de/10009228893
allocation, where distance is bank-affiliate specific and depends on the ex ante relative importance of such locations as local …
Persistent link: https://www.econbiz.de/10009277239