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Currency Risk Premia in Global Stock Markets.
Roache, Shaun K - 2006
Intro -- Contents -- I. INTRODUCTION -- II. PREVIOUS LITERATURE -- III. MODEL SPECIFICATION -- IV. ESTIMATION -- V. DATA AND PRELIMINARY STATISTICS -- VI. MAIN RESULTS -- VII. CONCLUSIONS -- REFERENCES.
Persistent link: https://www.econbiz.de/10012691179
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Policy Space Index: Short-Term Response to a Catastrophic Event
Ferrer, José - 2022
paper proposes a policy space index. The index combines a quantitative, albeit relatively limited and narrow, fiscal space … markets, debt distress level, and the exchange rate regime. The final policy space index is derived as a composite of the … three nominal policy space indicators, each adjusted for five institutional features. This index is different from the …
Persistent link: https://www.econbiz.de/10015060334
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Decomposing Climate Risks in Stock Markets
Yang, Yuanchen - 2023
Climate change poses an unprecedented challenge to the world economy and the global financial system. This paper sets … important information source that investors use to revise their subjective assessments of climate risks. Using full-text data …
Persistent link: https://www.econbiz.de/10015059379
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Carbon Policy and Stock Returns: Signals from Financial Markets
Hengge, Martina - 2023
This paper uses institutional features of the EU Emissions Trading System (ETS) and highfrequency data on more than 2,000 publicly listed European firms over 2011-21 to study the impact of carbon policy on stock returns. After extracting the surprise component of regulatory actions, we show that...
Persistent link: https://www.econbiz.de/10015059755
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Predicting Financial Crises: The Role of Asset Prices
Hennig, Tristan - 2023
income groups. Our results are consistent with the idea that measures based on asset prices can offer critical information …
Persistent link: https://www.econbiz.de/10015059236
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An Index Number Formula Problem
Silver, Mick - 2009
Index number theory informs us that if data on matched prices and quantities are available, a superlative index number … formula is best to aggregate heterogeneous items, and a unit value index to aggregate homogeneous ones. The formulas can give … as to why such formulas differ and proposes a solution to this index number problem …
Persistent link: https://www.econbiz.de/10012677703
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Difference Between Hedonic Imputation Indexes and Time Dummy Hedonic Indexes.
Silver, Mick - 2006
Intro -- Contents -- I. INTRODUCTION -- II. HEDONIC INDEXES -- III. WHY HEDONIC IMPUTATION AND DUMMY TIME HEDONIC INDEXES DIFFER -- IV. CHOICE BETWEEN HEDONIC INDEXES AND DUMMY TIME HEDONIC INDEXES -- V. CONCLUSIONS -- References.
Persistent link: https://www.econbiz.de/10012691089
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Too much finance?
Arcand, Jean-Louis L.; Berkes, Enrico; Panizza, Ugo - 2012
This paper examines whether there is a threshold above which financial development no longer has a positive effect on economic growth. We use different empirical approaches to show that there can indeed be ""too much"" finance. In particular, our results suggest that finance starts having a...
Persistent link: https://www.econbiz.de/10009618521
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Exchange rate fluctuations and international portfolio rebalancing in Thailand
Gyntelberg, Jacob; Loretan, Mico; Subhanij, Tientip - 2012
We present empirical evidence that the Thai baht's value is driven in part by investors' cross-border equity portfolio rebalancing decisions. Our results are based on comprehensive datasets of FX and stock market transactions undertaken by nonresident investors in Thailand in 2005 and 2006....
Persistent link: https://www.econbiz.de/10009621634
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Financial Spillovers to Emerging Markets during the Global Financial Crisis
Frank, Nathaniel - 2009
In this paper potential financial linkages between liquidity and bank solvency measures in advanced economies and emerging market (EM) bond and stock markets are analyzedduring the latest crisis. A multivariate GARCH model is estimated in order to gauge the extent of co-movements of these...
Persistent link: https://www.econbiz.de/10012677776