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Exchange Rate Uncertainty and International Portfolio Flows
Caporale, Guglielmo Maria - 2013
is negative in all countries except Canada (where it is positive) in the case of bond flows. Under the assumption of risk …
Persistent link: https://www.econbiz.de/10013081704
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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 bilateral data for the US vis-a-vis eight Asian developing and emerging countries (India, Indonesia, South Korea, Pakistan, Hong Kong, Thailand, the Philippines, and Taiwan) over...
Persistent link: https://www.econbiz.de/10013009868
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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 …
Persistent link: https://www.econbiz.de/10013155427
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International Reserves Before and After the Global Crisis : Is There No End to Hoarding?
Aizenman, Joshua - 2015
We evaluate the impact of the global financial crisis (GFC) and recent structural changes in the patterns of hoarding international reserves (IR). We confirm that the determinants of IR hoarding evolve with developments in the global economy. During the pre-GFC period of 1999-2006, gross saving...
Persistent link: https://www.econbiz.de/10013025974
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Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash
Pesaran, Bahram - 2013
making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …
Persistent link: https://www.econbiz.de/10013094817
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Commodity Windfalls, Polarization, and Net Foreign Assets : Panel Data Evidence on the Voracity Effect
Arezki, Rabah - 2013
This paper examines the effects that windfalls from international commodity price booms have on net foreign assets in a panel of 145 countries during the period 1970-2007. The main finding is that windfalls from international commodity price booms lead to a significant increase in net foreign...
Persistent link: https://www.econbiz.de/10013092044
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Commodity Price Volatility, Democracy and Economic Growth
Arezki, Rabah - 2013
We use a new dataset on non-resource GDP to examine the impact of commodity price volatility on economic growth in a panel of up to 158 countries during the period 1970-2007. Our main finding is that commodity price volatility leads to a significant increase in non-resource GDP growth in...
Persistent link: https://www.econbiz.de/10013092229
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Trade Imbalances and Multilateral Trade Cooperation
Marchetti, Juan A.; Ruta, Michele; Teh, Robert - 2021
Rising current account and merchandise trade imbalances marked the years before the global financial and economic crisis. These imbalances either contributed to or precipitated the crisis and to the extent that they create systemic risks, it is desirable that they be reduced. There are many...
Persistent link: https://www.econbiz.de/10013315818
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Modeling Optimism and Pessimism in the Foreign Exchange Market
De Grauwe, Paul; Rovira Kaltwasser, Pablo - 2021
) fundamental value. We also find that in such a world there is "sensitivity to initial conditions", i.e. small changes in beliefs …
Persistent link: https://www.econbiz.de/10013317108
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Cash Flow Duration and the Term Structure of Equity Returns
Weber, Michael - 2016
The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor...
Persistent link: https://www.econbiz.de/10012981605