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Bubble thy neighbor: portfolio effects and externalities from capital controls
Forbes, Kristin; Fratzscher, Marcel; Kostka, Thomas; … - 2012
We use changes in Brazil’s tax on capital inflows from 2006 to 2011 to test for direct portfolio effects and externalities from capital controls on investor portfolios. The analysis is structured based on information from investor interviews. We find that an increase in Brazil’s tax on...
Persistent link: https://www.econbiz.de/10011605501
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Volatility spillovers and contagion from mature to emerging stock markets
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission mechanism during turbulences in mature markets, and examines the implications for conditional correlations between mature and emerging market returns. Tri-variate GARCH-BEKK...
Persistent link: https://www.econbiz.de/10011605159
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Tax deferral and mutual fund inflows - evidence from a quasi-natural experiment
Cappelletti, Giuseppe; Guazzarotti, Giovanni; … - 2014
We propose a new method to identify the impact of a change in the tax burden on mutual fund inflows, exploiting a switch from an accrual-based to a realisation-based tax regime. We use quasi-experimental data from Italy where, starting from July 2011, the tax regime for domestic mutual funds was...
Persistent link: https://www.econbiz.de/10011605709
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Mutual funds and safe government bonds: Do returns matter?
Graziano, Marco; Habib, Maurizio Michael - 2024
This paper investigates the sensitivity of the demand for safe government debt to currency unhedged and hedged excess returns in a sample of US mutual funds. We find evidence of active rebalancing towards government bonds that offer relatively higher returns on an unhedged basis, in particular...
Persistent link: https://www.econbiz.de/10014543600
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Fund fragility: The role of investor base
Allaire, Nolwenn; Breckenfelder, Johannes; Hoerova, Marie - 2023
Using security-by-security data on investor holdings in the euro area, we study run dynamics across different fund-shares of the same fund during the unprecedented liquidity crisis in March 2020. For an average bond or equity mutual fund-share, households, other euro area funds, and the foreign...
Persistent link: https://www.econbiz.de/10014543612
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Investor heterogeneity and large-scale asset purchases
Breckenfelder, Johannes; De Falco, Veronica - 2024
Large-Scale Asset Purchases can impact the price of securities directly, when securities are targeted by the central bank, or indirectly through portfolio re-balancing of private investors. We quantify both the direct and the portfolio re-balancing impact, emphasizing the role of investor...
Persistent link: https://www.econbiz.de/10014543663
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Bank balance sheet constraints and bond liquidity
Breckenfelder, Johannes; Ivashina, Victoria - 2021
We explore the ties between bonds and individual dealers formed through home advantage and the persistence of previous underwriting relationships. Building on these connections, we show that the introduction of the leverage ratio for the European banks had a large impact on exposed bonds'...
Persistent link: https://www.econbiz.de/10012661617
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Liquidity support and distress resilience in bank-affiliated mutual funds
Bagattini, Giulio; Fecht, Falko; Maddaloni, Angela - 2023
Flows of funds run by banks or by firms that belong to the same financial group as a bank are less volatile and less sensitive to bad past performance. This enables bank-affiliated funds to better weather distress and to hold lower precautionary cash buffers in comparison with their unaffiliated...
Persistent link: https://www.econbiz.de/10014374587
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Systemic risk: A survey
De Bandt, Olivier; Hartmann, Philipp - 2000
related payment and settlement systems. At the heart of systemic risk are contagion effects, various forms of external effects … rigorous models of bank and payment system contagion have now been developed, although a general theoretical paradigm is still … missing. Direct econometric tests of bank contagion effects seem to be mainly limited to the United States. Empirical studies …
Persistent link: https://www.econbiz.de/10011604081
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Measuring contagion with a Bayesian, time-varying coefficient model
Ciccarelli, Matteo; Rebucci, Alessandro - 2003
Persistent link: https://www.econbiz.de/10011604309