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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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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 out to understand and quantify the impact of climate mitigation, with a focus on climate-related news, which represents an important information source that investors use to...
Persistent link: https://www.econbiz.de/10015059379
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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
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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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Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis
Fund, International Monetary - 2012
This study finds that equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk and to a lesser extent, by deteriorating funding conditions and investor sentiment....
Persistent link: https://www.econbiz.de/10012677547
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Asset Bubbles
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/10012686794
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Are Asset Price Guarantees Useful for Preventing Sudden Stops? A Quantitative Investigation of the Globalization Hazard-Moral Hazard Tradeoff.
Durdu, Ceyhun Bora - 2006
Intro -- Contents -- I. INTRODUCTION -- II. A MODEL OF GLOBALIZATION HAZARD AND PRICE GUARANTEES -- III. CHARACTERIZING THE GLOBALIZATION HAZARD-MORAL HAZARD TRADEOFF -- IV. QUANTITATIVE ANALYSIS -- V. NORMATIVE IMPLICATIONS AND SENSITIVITY ANALYSIS -- VI. CONCLUSIONS -- REFERENCES.
Persistent link: https://www.econbiz.de/10012691021
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Predicting Financial Crises: The Role of Asset Prices
Hennig, Tristan - 2023
We explore the early warning properties of a composite indicator which summarizes signals from a range of asset price growth and asset price volatility indicators to capture mispricing of risk in asset markets. Using a quarterly panel of 108 advanced and emerging economies over 1995-2017, we...
Persistent link: https://www.econbiz.de/10015059236
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Firm Leverage and Boom-Bust Cycles
Sever, Can - 2023
This paper explores the dynamic relationship between firm debt and real outcomes using data from 24 European economies over the period of 2000-2018. Based on macro data, it shows that a rise in credit to firms is associated with an increase in employment growth in the short-term, but employment...
Persistent link: https://www.econbiz.de/10015059332
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Herd Behavior in Financial Markets
Cipriani, Marco - 2008
, one in which the price adjusts to the order flow so that herding should never occur, and one in which event uncertainty … makes herding possible. In the first treatment, subjects herd seldom, in accordance with both the theory and previous … by the theory. In the second treatment, the proportion of herding decisions increases, but not as much as theor …
Persistent link: https://www.econbiz.de/10012677606