Narrow search
Showing 1 - 10 of 1,456
Cover Image
Firm-Level Evidenceon International Stock Market Comovement
Brooks, Robin - 2003
We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific...
Persistent link: https://www.econbiz.de/10014403861
Cover Image
Scenario analysis with the DD-PD mapping approach : stock market shocks and U.S. corporate default risk
Chan-Lau, Jorge A. - 2021
This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative...
Persistent link: https://www.econbiz.de/10012613371
Cover Image
Global bonding : do U.S. bond and equity spillovers dominate global financial markets?
Bayoumi, Tamim A.; Bui, Trung - 2012
Persistent link: https://www.econbiz.de/10009679663
Cover Image
Global Bonding : Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets?
Bayoumi, Tamim - 2012
financial markets and spillovers from Europe to Japan. The results also suggest that the uncertainty about the direction of …
Persistent link: https://www.econbiz.de/10014395332
Cover Image
Should Korea worry about a permanently weak yen?
Ree, Joo Kyung; Hong, Gee Hee; Choi, Seoeun - 2015
Three years have passed since the Bank of Japan’s asset purchase program was introduced in 2011, causing a sharp … decline in the value of the Japanese Yen. What would be the implications for Japan and Korea’s exporters if the weak Yen is … shocks. We find that if the weak Yen persists, it would strengthen Japan’s price competitiveness over time as export prices …
Persistent link: https://www.econbiz.de/10011447113
Cover Image
Trilemma or dilemma : inspecting the heterogeneous response of local currency interest rates to foreign rates
Ricci, Luca Antonio; Shi, Wei - 2016
This paper studies the heterogeneous response across countries of local currency interest rates to foreign and domestic factors, thus contributing to the discussion on the policy trilemma in international economics. On average, floaters appear to be less affected by the U.S. in the short run (up...
Persistent link: https://www.econbiz.de/10011705583
Cover Image
Financial Crisis, US Unconventional Monetary Policy and International Spillovers
Chen, Qianying - 2015
We study the impact of the US quantitative easing (QE) on both the emerging and advanced economies, estimating a global vector error-correction model (GVECM) and conducting counterfactual analyses. We focus on the effects of reductions in the US term and corporate spreads. First, US QE measures...
Persistent link: https://www.econbiz.de/10014412116
Cover Image
Unforeseen Events Wait Lurking : Estimating Policy Spillovers From U.S. to Foreign Asset Prices
Bayoumi, Tamim - 2011
Event studies are used to analyze the impact of U.S. financial, fiscal, and monetary policies from US to foreign asset prices across a range of G20 countries and Switzerland. The initial announcement that the Administration supported tighter regulation of banks led to a generalized fall in...
Persistent link: https://www.econbiz.de/10014398520
Cover Image
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. - 2002
Management crisis period, the ""tech bubble"" period, and the ""stock market correction"" period. Hong Kong SAR , Japan, and …
Persistent link: https://www.econbiz.de/10014399563
Cover Image
Heterogeneity and persistence in returns to wealth
Fagereng, Andreas; Guiso, Luigi; Malacrino, Davide; … - 2018
We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway's administrative tax records. We document a number of novel results. First, during our sample period individuals earn markedly different average returns on their...
Persistent link: https://www.econbiz.de/10011905850