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Volatility Risk Premia and Future Commodities Returns

Ornelas, José Renato Haas - 2017

This paper extends the empirical literature on volatility risk premium (VRP) and future returns by analyzing the predictive ability of commodity currency VRP and commodity VRP. The empirical evidence throughout this paper provides support for a positive relationship of commodity currencies VRP...

Persistent link: https://www.econbiz.de/10012960210

From Turmoil to Crisis : Dislocations in the FX Swap Market Before and After the Failure of Lehman Brothers

Baba, Naohiko - 2013

This paper investigates dislocations in the foreign exchange (FX) swap market between the US dollar and three major European currencies. After the failure of Lehman Brothers in September 2008, deviations from covered interest parity (CIP) were negatively associated with the creditworthiness of...

Persistent link: https://www.econbiz.de/10013095699

The Euro as a Reserve Currency : A Challenge to the Pre-Eminence of the US Dollar?

Galati, Gabriele; Wooldridge, Philip D. - 2014

introduction of the euro greatly improved the functioning of euro financial markets. This paper investigates whether euro financial … markets have developed sufficiently to facilitate the emergence of the euro as a reserve currency on par with the US dollar …. We find that the liquidity and breadth of euro financial markets are fast approaching those of dollar markets, and as a …

Persistent link: https://www.econbiz.de/10014054281

Understanding Asian Equity Flows, Market Returns and Exchange Rates

Chai-Anant, Chayawadee; Ho, Corrinne - 2013

This paper examines from various angles foreign investors' daily transactions in six emerging Asian equity markets and their relationship with local market returns and exchange rate changes over the period 1999-2006. Confirming much of the literature, we find that equity market returns matter...

Persistent link: https://www.econbiz.de/10014218885

Do China's Capital Controls Still Bind? Implications for Monetary Autonomy and Capital Liberalisation

Ma, Guonan; McCauley, Robert N. - 2013

The paper argues that China's capital controls remain substantially binding. This has allowed the Chinese authorities to retain some degree of short-term monetary autonomy, despite the fixed exchange rate up to July 2005. Although the Chinese capital controls have not been watertight, we find...

Persistent link: https://www.econbiz.de/10014224179

How Important is the Global Financial Cycle? Evidence from Capital Flows

Cerutti, Eugenio M. - 2017

This study quantifies the importance of a Global Financial Cycle (GFCy) for capital flows. We use capital flow data disaggregated by direction and type between Q1 1990 and Q4 2015 for 85 countries, and conventional techniques, models and metrics. Since the GFCy is an unobservable concept, we use...

Persistent link: https://www.econbiz.de/10012948380

Is China or India More Financially Open?

Ma, Guonan - 2014

Measures of de facto capital account openness for China and India raise the question whether the Chinn-Ito measure of de jure capital account openness is useful and whether the Lane-Milesi-Ferretti measure of de facto openness ranks the two countries correctly. We examine eight dimensions of de...

Persistent link: https://www.econbiz.de/10013063964

Firms' Credit Risk and the Onshore Transmission of the Global Financial Cycle

Serena, José María - 2018

We investigate the role of firms' credit risk in the onshore transmission of international bond market conditions. We show that reductions in the global price of risk, measured by the excess bond premium, encourage more international bond borrowing by smaller and younger firms. Due to...

Persistent link: https://www.econbiz.de/10012923260

Has the Pricing of Stocks Become More Global?

Petzev, Ivan - 2016

We show that in recent years global factor models have been catching up significantly with their local counterparts in terms of explanatory power (R2) for international stock returns. This catch-up is driven by a rise in global factor betas, not a rise in factor volatilities, suggesting that the...

Persistent link: https://www.econbiz.de/10012991864

Financial Globalization, Governance, and the Evolution of the Home Bias

Kho, Bong-Chan - 2015

Despite the disappearance of formal barriers to international investment across countries, we find that the average home bias of US investors towards the 46 countries with the largest equity markets did not fall from 1994 to 2004 when countries are equally weighted but fell when countries are...

Persistent link: https://www.econbiz.de/10012707986