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The pricing of FX forward contracts: Micro evidence from banks' dollar hedging
Abbassi, Puriya; Bräuning, Falk - 2018
We use transaction-level data on foreign exchange (FX) forward contracts for the period 2014 through 2016 in conjunction with supervisory balance sheet information to study the drivers of banks' dollar hedging costs. Comparing contracts of the same maturity that are initiated during the same...
Persistent link: https://www.econbiz.de/10012059597
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Modeling international stock market contagion using multivariate fractionally integrated APARCH approach
Mighri, Zouheir; Mansouri, Faysal - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-25
plunging stock market in the US, in the aftermath of global financial crisis (2007 - 2009), exerts contagion effects on … terms, and time-varying correlations. The empirical analysis shows a contagion effect for Brazil and Mexico during the early …
Persistent link: https://www.econbiz.de/10011559137
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Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies
Dedi, Lidija; Yavas, Burhan F. - In: Cogent Economics & Finance 4 (2016) 1, pp. 1-18
This paper investigates linkages among equity market returns and volatility spillovers in the following countries: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies are applied to daily data on country exchange-traded...
Persistent link: https://www.econbiz.de/10011988707
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Dynamic currency linkages between select emerging market economies: An empirical study
Mittal, Arjun; Sehgal, Sanjay; Mittal, Anand - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-31
and stood at 0.29, which rose to 0.39 in the post-crisis period implying contagion effects. Based on both ADCC results and …
Persistent link: https://www.econbiz.de/10014001605
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What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets
Śmiech, Sławomir; Papież, Monika; Dąbrowski, Marek A.; … - 2018
The aim of this study is to investigate sources of food prices volatility. The analysis uses daily series for volatility of corn, soybean, wheat, rice, US dollar, crude oil, and SP500 futures spanning the period January 4, 2000 to April 1, 2017. The authors employ the generalized vector...
Persistent link: https://www.econbiz.de/10011873184
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Effect of catastrophic disaster in financial market contagion
Siddikee, Md. Noman; Rahman, Mohammad Mafizur - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-13
The study examined the contagion effect of financial market volatility from Australian capital market to Indian, New … residuals after the catastrophes. Finally, Fishers r to z transformation was used for identifying contagion. After Victoria … respective z > +1.96 validates contagion. The adjusted correlation coefficient of Australia with China and Japan increased after …
Persistent link: https://www.econbiz.de/10011988709
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Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference
da Silva, Paulo Pereira; Rebelo, Paulo Tomaz; Afonso, … - 2013
Using copula methods and simulation-based inference the authors address the association between the performance of the stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of the markets when extreme events occur; (ii) checking...
Persistent link: https://www.econbiz.de/10010322502
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Fixed-income portfolio management in crisis period: Expected tail loss (ETL) approach
Mili, Mehdi - 2012
The purpose of this study is to develop an efficient strategy for managing fixed-income portfolios in crisis periods. We use the volatility ratio model of Briere and Szafarz (2008) and the Expected Tail Loss (ETL) approach of Litzenberger and Modest (2008). Our methodology is applied to U.S. and...
Persistent link: https://www.econbiz.de/10010309427
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Stages of the 2007/2008 Global Financial Crisis Is There a Wandering Asset-Price Bubble?
Orlowski, Lucjan T. - 2008
This study identifies five distinctive stages of the current global financial crisis: the meltdown of the subprime mortgage market; spillovers into broader credit market; the liquidity crisis epitomized by the fallout of Northern Rock, Bear Stearns and Lehman Brothers with counterparty risk...
Persistent link: https://www.econbiz.de/10010298579
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Emerging market capital flows: The role of fund manager portfolio allocation
Bush, Georgia; Cañón, Carlos Iván; Gray, Daniel - 2021
We exploit individual security holdings data for global mutual funds to distinguish between two reasons why a fund's holdings of emerging market economy (EME) bonds might change: (i) the amount invested in the fund changes and (ii) the fund manager changes portfolio allocations. We find that...
Persistent link: https://www.econbiz.de/10013162019