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Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean Analysis

Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016

The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...

Persistent link: https://www.econbiz.de/10011482859

A panic-prone pack? : the behavior of emerging market mutual funds

Borensztein, Eduardo; Gelos, Gaston - 2001

This paper explores the behavior of emerging market mutual funds using anovel database covering the holdings of individual funds over the periodJanuary 1996 to March 1999. An examination of individual crises shows that,on average, funds withdrew money one month prior to the events. Thedegree of...

Persistent link: https://www.econbiz.de/10011400340

Unbalanced financial globalization

Capelle, Damien; Pellegrino, Bruno - 2023

We examine the impact of the last five decades of financial globalization on world GDP and income distribution, using a … pattern Unbalanced Financial Globalization. We then simulate a counterfactual trajectory of the world economy where the RKO … capital allocation, a 2.8% lower world GDP, a 12% rise in the cross-country dispersion of GDP per capita, lower wages in …

Persistent link: https://www.econbiz.de/10014340224

Barriers to global capital allocation

Pellegrino, Bruno; Spolaore, Enrico; Wacziarg, Romain - 2021

large share of the observed variation in bilateral foreign investment positions. Our model predicts (out of sample) a … benchmark calibration, we estimate that the capital misallocation induced by these barriers reduces World GDP by 7%, compared to …-country inequality: the standard deviation of log capital per employee is 80% higher than it would be in a world without barriers to …

Persistent link: https://www.econbiz.de/10012514947

US municipal green bonds and financial integration

Caporale, Guglielmo Maria; Spagnolo, Nicola - 2023

This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of California, Colorado, Columbia and Ohio, and the role played by the recent Covid-19 pandemic and the COP policy announcements respectively. Specifically, four-variate VAR-GARCH-BEKK...

Persistent link: https://www.econbiz.de/10014234020

Financial, institutional, and macroeconomic determinants of cross-country portfolio equity flows

Afonso, António; Alves, José; Beck, Krzysztof; … - 2022

We consider a new dataset that provides a description of the population of financial equity flows between developed countries from 2001 to 2018. We follow the standard practice of controlling for pull and push factors as well as gravity-style variables, while also accounting for the business...

Persistent link: https://www.econbiz.de/10013332123

Exchange rate uncertainty and international portfolio flows

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - 2013

This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in-mean...

Persistent link: https://www.econbiz.de/10009743845

Geopolitical risk and cross-border portfolio flows : effects and Channels

Caporale, Guglielmo Maria; Ali, Faek Menla - 2024

when accounting for the role of some cross-sectional heterogeneity and its time variation. …

Persistent link: https://www.econbiz.de/10015065292

Can investments in emerging markets help to solve the aging problem?

Holzmann, Robert - 2000

Prefunding of pension commitments in OECD economies is increasingly seen as a central strategy to cope with the aging of their populations. This paper argues that investments in emerging markets can help at the margin but are unable to solve the demographic problem. While these investments bring...

Persistent link: https://www.econbiz.de/10009781581

The crisis in the foreign exchange market

Melvin, Michael; Taylor, Mark P. - 2009

The financial crisis of 2007-2008 had major implications for the foreign exchange market. We review events and …

Persistent link: https://www.econbiz.de/10003861767