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German bond yields and debt supply : is there a "bund premium"?

Paret, Anne-Charlotte; Weber, Anke - 2019

Are Bunds special? This paper estimates the 'Bund premium' as the difference in convenience yields between other sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A higher premium suggests less substitutability of sovereign...

Persistent link: https://www.econbiz.de/10012154614

Portfolio Diversification, Leverage, and Financial Contagion

Smith, T. Todd - 1999

Models of “contagion” rely on market imperfections to explain why adverse shocks in one asset market might be … associated with asset sales in many unrelated markets. This paper demonstrates that contagion can be explained with basic … portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules …

Persistent link: https://www.econbiz.de/10014400415

The New Economy and Global Stock Return

Catão, Luis - 2000

This paper revisits the relative importance of global versus country-specific factors underlying stock returns. It constructs a new firm level data set covering emerging and developed markets and estimates a simple factor model, which breaks down stock returns into a global business cycle...

Persistent link: https://www.econbiz.de/10014401448

A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns

Del Negro, Marco - 2005

, both in- and out-of-sample. The shock exposures are thus a stock-selection device for international portfolio …

Persistent link: https://www.econbiz.de/10014400963

The transmission of external shocks in Asia : country characteristics and policy responses

Deb, Pragyan; Nadeem, Sanaa; Peiris, Shanaka Jayanath - 2021

Persistent link: https://www.econbiz.de/10012487199

Unanticipated Shocks and Systemic Influences : The Impact of Contagion in Global Equity Markets in 1998

González-Hermosillo, Brenda - 2003

14 developing and industrial countries. The results show that contagion was systemic during the period, with industrial … importance of studying them jointly. An implication of the empirical results is that models of contagion that exclude industrial …

Persistent link: https://www.econbiz.de/10014403951

Riding Global Financial Waves : The Economic Impact of Global Financial Shocks on Emerging Market Economies

Adler, Gustavo - 2012

integration with the rest of the world, arguably turning these economies more vulnerable to global financial shocks; and an …

Persistent link: https://www.econbiz.de/10014395685

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

International Stock Returns and Market Integration : A Regional Perspective

Del Negro, Marco - 2002

We investigate the relative importance of country and industry effects in international stock returns, with the innovation that we decompose country effects into region and within-region country effects. We divide the global stock market into the Americas, Asia, and Europe and find that most of...

Persistent link: https://www.econbiz.de/10014401376

International fiscal-financial spillovers : the effect of fiscal shocks on cross-border bank lending

Choi, Sangyup; Furceri, Davide; Yoon, Chansik - 2019

This paper sheds new light on the degree of international fiscal-financial spillovers by investigating the effect of domestic fiscal policies on cross-border bank lending. By estimating the dynamic response of U.S. cross-border bank lending towards the 45 recipient countries to exogenous...

Persistent link: https://www.econbiz.de/10012102123

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