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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

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

The role of oil price shocks in causing U.S. recessions

Kilian, Lutz; Vigfusson, Robert J. - 2016

Although oil price shocks have long been viewed as one of the leading candidates for explaining U.S. recessions, surprisingly little is known about the extent to which oil price shocks explain recessions. We provide a formal analysis of this question with special attention to the possible role...

Persistent link: https://www.econbiz.de/10011421672

Forging a global environmental agreement through trade sanctions on free riders?

Eichner, Thomas; Pethig, Rüdiger - 2015

on the degree of asymmetry and other parameters. On some subset of parameters, the embargo stabilizes the otherwise …

Persistent link: https://www.econbiz.de/10011281297

Global environmental agreements and international trade : asymmetry of countries matters

Eichner, Thomas; Pethig, Rüdiger - 2014

climate damage asymmetry tends to discourage cooperation in the grand coalition. The effects of fuel-demand asymmetry depend … fuel demand asymmetry. If fuel is sufficiently scarce, low degrees of fuel demand asymmetry discourage cooperation whereas … higher degrees of asymmetry stabilize the grand coalition. …

Persistent link: https://www.econbiz.de/10010428830

The impacts of the dollar-renminbi exchange rate misalignment on the China-United States commodity trade : an asymmetric analysis

Ferjani, Sabrine; Saafi, Sami; Nouira, Ridha; Rault, … - 2022

Contrary to most existing studies of the literature that assumed that the effects of real exchange rate (RE) misalignment on trade flows are symmetric, this paper considers a more general and realistic framework allowing for possible asymmetric effects. We use monthly time-series data over the...

Persistent link: https://www.econbiz.de/10013177135

Measuring euro area monetary policy

Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S.; … - 2019

We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...

Persistent link: https://www.econbiz.de/10012029090

Asymmetries in risk premia, macroeconomic uncertainty and business cycles

Görtz, Christoph; Yeromonahos, Mallory - 2019

measures for this risk premium, we document that it also exhibits growth asymmetry, i.e. the risk premium rises sharply in … which agents cannot perfectly observe the state of current productivity, can generate the observed asymmetry in the risk … accuracy. In addition to matching moments of the risk premium, the model is also successful in generating the growth asymmetry …

Persistent link: https://www.econbiz.de/10012129784

Capital controls and exchange rate regimes : an empirical investigation

Berger, Helge; Sturm, Jan-Egbert; Haan, Jakob de - 2001

It is often argued that deregulation of international transactions and its effects on the globalization of financial markets is behind the decline in the attractiveness of fixed exchange rate regimes. We argue that, instead, much of the recently observed decrease in the level of capital controls...

Persistent link: https://www.econbiz.de/10011398048

Trade and industrial policy of transition economies

Gonzales, José Luis Moraga; Viaene, Jean-Marie - 2001

Trade reforms in transition economies are analyzed in a model of trade and vertical product differentiation. We first show that trade liberalization in transition economies reduces the local firm s output and raises the prices of all variants. Second, we find that neither free trade nor the...

Persistent link: https://www.econbiz.de/10011398110