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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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Intraday Dynamics of Euro Area Sovereign Credit Risk Contagion
Komarek, Lubos - 2016
transmission channels for credit risk contagion between sovereign entities. We analyse an intraday dataset for GIIPS countries as … markets were similarly important in the transmission of sovereign risk contagion, but that the importance of the bond market … in the pre-crisis sample. Our estimated sovereign risk contagion was greater during the crisis, with an average timeline …
Persistent link: https://www.econbiz.de/10012986255
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Interpreting TARGET2 Balances
Cecchetti, Stephen G. - 2014
The increase in the TARGET2 balance for the Bundesbank has led to a debate in Germany about the appropriate interpretation and policy response, if any. In this paper we review the evidence for the current account financing interpretation, and find it wanting in explaining the data in 2012. BIS...
Persistent link: https://www.econbiz.de/10013064804
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Explaining Monetary Spillovers : The Matrix Reloaded
Kearns, Jonathan - 2019
Using monetary policy shocks for seven advanced economy central banks, measured at high-frequency, we document the strength and characteristics of interest rate spillovers to 47 advanced and emerging market economies. Our main goal is to assess different channels through which spillovers occur...
Persistent link: https://www.econbiz.de/10012896702
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Asset Managers, Eurodollars and Unconventional Monetary Policy
Kreicher, Lawrence - 2016
An asset manager's rapid liquidation in the weeks around the end of September 2014 of a very large position in eurodollar futures, a huge derivatives market that allows traders to position on the future path of dollar money rates, raises two questions. What is the profile of asset managers in...
Persistent link: https://www.econbiz.de/10012984261
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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