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Can Short-Term Capital Controls Promote Capital Inflows?

Cordella, Tito - 2005

In an economy a la Diamond and Dybvig (1983), we present an example in which foreign lenders find it profitable to invest in an emerging market if, and only if, the emerging market government imposes taxes on short-term capital inflows. This implies that capital controls that are effective in...

Persistent link: https://www.econbiz.de/10012737725

Competition Among Exchanges and Enforcement Policy

Pescatori, Andrea - 2013

In this paper, we explore how competition among stock exchanges, operated as self-regulatory organizations (SROs), affects the design of their members' surveillance. We develop a model where two for-profit SROs compete for trading volume, while brokers execute transactions on behalf of the...

Persistent link: https://www.econbiz.de/10013086309

Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia

Chan-Lau, Jorge A. - 2006

This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility spillovers to stock markets in the Asian region during three different periods in the last decade: the pre-Long Term Capital Management crisis period the tech bubble period, and the...

Persistent link: https://www.econbiz.de/10012735587

Have Institutional Investors Destabilized Emerging Markets?

Aitken, Brian - 2006

In the past few years there has been a large increase in portfolio capital flows into emerging markets, mostly fueled by mutual funds and other institutional investors. Based on a simple variance ratio test, this paper finds that emerging stock markets as a group experienced a sharp increase in...

Persistent link: https://www.econbiz.de/10012782065

The End : A New Indicator of Financial and Nonfinancial Corporate Sector Vulnerability

Chan-Lau, Jorge A. - 2006

This paper describes a corporate sector vulnerability indicator, the expected number of defaults (END), based on the joint occurrence of defaults among a number of firms and/or institutions. The END indicator is general enough to assess systemic risk in the corporate and financial sectors, as...

Persistent link: https://www.econbiz.de/10012783331

Asia's Stock Markets : Are There Crouching Tigers and Hidden Dragons?

Ong, Li - 2014

Stock markets play a key role in corporate financing in Asia. However, despite their increasing importance in terms of size and cross-border investment activity, the region's markets are reputed to be more “idiosyncratic” and less reliant on economic and corporate fundamentals in their...

Persistent link: https://www.econbiz.de/10013056805

Asset Bubbles : Re-Thinking Policy for the Age of Asset Management

Jones, Bradley - 2015

In distilling a vast literature spanning the rational — irrational divide, this paper offers reflections on why asset bubbles continue to threaten economic stability despite financial markets becoming more informationally-efficient, more complete, and more heavily influenced by sophisticated...

Persistent link: https://www.econbiz.de/10013026923

Fragilities in the U.S. Treasury Market : Lessons from the 'Flash Rally' of October 15, 2014

Bouveret, Antoine - 2016

. Traditional market makers have changed their liquidity provision by increasingly switching from risk warehousing to risk …-complementing the authorities' work-we suggest i) providing incentives for liquidity provision, ii) improving market safeguards, and iii …

Persistent link: https://www.econbiz.de/10013003019

Scarcity Effects of Quantitative Easing on Market Liquidity : Evidence from the Japanese Government Bond Market

Han, Fei - 2018

Quantitative easing could improve market liquidity through many channels such as relaxing bank funding constraints …, increasing risk appetite, and facilitating trades. However, it can also reduce market liquidity when the increase in the central …) effects of the Bank of Japan (BOJ)'s JGB purchases on market liquidity. Moreover, we also find evidence that such scarcity …

Persistent link: https://www.econbiz.de/10012913879

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

Severo, Tiago - 2012

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several … liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility … increases when liquidity conditions deteriorate. I do not find a strong association between bank size and exposure to the SLRI …

Persistent link: https://www.econbiz.de/10013098615

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