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Volatility Risk Premia and Future Commodities Returns
Ornelas, Jose 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
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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
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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
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Macroeconomic Implications of Financial Imperfections : A Survey
Claessens, Stijn - 2017
This paper surveys the theoretical and empirical literature on the macroeconomic implications of financial imperfections. It focuses on two major channels through which financial imperfections can affect macroeconomic outcomes. The first channel, which operates through the demand side of finance...
Persistent link: https://www.econbiz.de/10012942918
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Asset Prices and Macroeconomic Outcomes : A Survey
Claessens, Stijn - 2017
This paper surveys the literature on the linkages between asset prices and macroeconomic outcomes. It focuses on three major questions. First, what are the basic theoretical linkages between asset prices and macroeconomic outcomes? Second, what is the empirical evidence supporting these...
Persistent link: https://www.econbiz.de/10012942935
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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
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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
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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
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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
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How Important is the Global Financial Cycle? Evidence from Capital Flows
Cerutti, Eugenio - 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