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International Portfolio Flows and Exchange Rate Volatility for Emerging Markets

Caporale, Guglielmo Maria - 2015

This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly … probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility … state. In particular, net bond inflows increase the probability of remaining in the low volatility state in the case of …

Persistent link: https://www.econbiz.de/10013009868

Global and Regional Spillovers in Emerging Stock Markets : A Multivariate Garch-in-Mean Analysis

Beirne, John - 2013

, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results …

Persistent link: https://www.econbiz.de/10013095613

Asymmetry in Volatility : A Comparison of Developed and Transition Stock Markets

Wdowinski, Piotr; Malecka, Marta - 2021

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

Persistent link: https://www.econbiz.de/10013316234

Exchange Rate Volatility and Growth in Emerging Europe and East Asia

Schnabl, Gunther - 2021

The paper investigates the impact of exchange rate volatility on growth in Emerging Europe and East Asia. Exchange … panel estimations provide evidence for a negative impact of exchange rate volatility on growth both in Emerging Europe and …

Persistent link: https://www.econbiz.de/10013317017

Volatility Transmission in Emerging European Foreign Exchange Markets

Bubak, Vit - 2013

This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign … exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet … parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well …

Persistent link: https://www.econbiz.de/10013094673

IMF Surveillance and Financial Markets - A Political Economy Analysis

Fratzscher, Marcel - 2014

The International Monetary Fund (IMF) is in the process of re-inventing itself with bilateral and multilateral surveillance emerging as a key function. The paper analyses how IMF surveillance announcements may be influenced by political power that member countries exert at the IMF. First, we...

Persistent link: https://www.econbiz.de/10013069721

Hybrid Historical Simulation VaR and ES : Performance in Developed and Emerging Markets

Zikovic, Sasa - 2009

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...

Persistent link: https://www.econbiz.de/10013155427

Is the Relationship between Financial Development and Economic Growth Monotonic? Evidence from a Sample of Middle Income Countries

Samargandi, Nahla - 2014

We revisit the relationship between financial development and economic growth in a panel of 52 middle income countries over the 1980-2008 period, using pooled mean group estimator in a dynamic heterogeneous panel setting. We show that financial development does not have a linear positive...

Persistent link: https://www.econbiz.de/10013054321

Political Booms, Financial Crises

Herrera, Helios - 2014

We show that political booms, measured by the rise in governments' popularity, predict financial crises above and beyond other better-known early warning indicators, such as credit booms. This predictive power, however, only holds in emerging economies. We show that governments in emerging...

Persistent link: https://www.econbiz.de/10013047326

World Market Access of Emerging-Market Firms : The Role of Foreign Ownership and Access to External Finance

Raff, Horst - 2013

This paper uses micro-data from the World Bank Investment Climate Surveys 2002-2006 to investigate how foreign …

Persistent link: https://www.econbiz.de/10013078522

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