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Hoarding of International Reserves : Mrs Machlup's Wardrobe and the Joneses
Cheung, Yin-Wong; Qian, Xingwang - 2021
Motivated by the observed international reserve hoarding behavior in the post-1997 crisis period, we explore the Mrs Machlup's wardrobe hypothesis and the related keeping-up-with-the-Joneses argument. It is conceived that, in addition to psychological reasons, holding a relatively high level of...
Persistent link: https://www.econbiz.de/10013316903
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The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex
Caporale, Guglielmo Maria - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012837673
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Trading with the Informed and Against the Uninformed : Flows and Positioning in the Global Currency Market
Barrios, Aldo; Franolic, Robert; Giovanardi, Davide; … - 2022
yields positive risk-adjusted performance. Incorporating the liquidity trades signal improves risk-adjusted performance and … greatly lowers the tail risk of the model …
Persistent link: https://www.econbiz.de/10014077184
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Yield Curve and Financial Uncertainty : Evidence Based on Us Data
Castelnuovo, Efrem - 2019
How do short and long term interest rates respond to a jump in financial uncertainty? We address this question by conducting a local projections analysis with US monthly data, period: 1962-2018. The state-of-the-art financial uncertainty measure proposed by Ludvigson, Ma, and Ng (2019) is found...
Persistent link: https://www.econbiz.de/10012867014
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Oil Prices, Exchange Rates and Sectoral Stock Returns in the BRICS-T Countries : A Time-Varying Approach
Caporale, Guglielmo Maria; Catik, Abdurrahman Nazif; … - 2021
implies that appropriate energy policies should be adopted to reduce risk …
Persistent link: https://www.econbiz.de/10013211113
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Economic Policy Uncertainty : Persistence and Cross-Country Linkages
Aikins Abakah, Emmanuel Joel - 2020
This paper provides new evidence on the stochastic behaviour of the EPU (Economic Policy Uncertainty (EPU) index constructed by Baker et al. (2016) in six of the biggest economies (Canada, France, Japan, US, Ireland, and Sweden) over the period from January 1985 to October 2019. In particular,...
Persistent link: https://www.econbiz.de/10012833734
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The Global Effects of COVID-19-Induced Uncertainty
Caggiano, Giovanni - 2020
We estimate a three-variate VAR using proxies of global financial uncertainty, the global financial cycle, and world … outbreak. We predict the cumulative loss in world output one year after the uncertainty shock due to Covid-19 to be about 14% …
Persistent link: https://www.econbiz.de/10012834352
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Economic Uncertainty and Fertility
Gozgor, Giray; Bilgin, Mehmet; Rangazas, Peter - 2021
examine this prediction using a new measure of economic uncertainty, the World Uncertainty Index and focus on data from 126 …
Persistent link: https://www.econbiz.de/10013231969
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Cross-Country Unemployment Insurance, Transfers, and Trade-Offs in International Risk Sharing
Enders, Zeno; Vespermann, David - 2021
We assess to which degree an international transfer mechanism can enhance consumption risk sharing as well as … analyze the changing dynamics that a EUBS brings about. We find that a EUBS can provide risk sharing by stabilizing relative …-spending shocks. Yet, since this trade-off between allocative efficiency and consumption risk sharing does not exist after certain …
Persistent link: https://www.econbiz.de/10013236196
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Global Uncertainty
Caggiano, Giovanni; Castelnuovo, Efrem - 2021
the world output loss that materialized during the great recession would have been 13% lower in absence of GFU shocks. We … after GFU shocks, the larger the world output contraction is …
Persistent link: https://www.econbiz.de/10013246469