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Managerial Incentives and Financial Contagion

Chakravorti, Sujit - 2004

optimal portfolio strategies by fund managers. In emerging markets, dedicated managers outperforming a benchmark index and … global managers maximizing absolute returns lead to systematic interactions between asset prices, without asymmetric …

Persistent link: https://www.econbiz.de/10014404100

Asset Prices and Time-Varying Risk

International Monetary Fund - 1988

time-varying risk. Some work by Abel provided us with the insights needed to produce such formulas. This paper gives a …

Persistent link: https://www.econbiz.de/10014396175

Optimal macroprudential policy and asset price bubbles

Biljanovska, Nina; Górnicka, Lucyna; Vardoulakis, … - 2019

An asset bubble relaxes collateral constraints and increases borrowing by credit-constrained agents. At the same time, as the bubble deflates when constraints start binding, it amplifies downturns. We show analytically and quantitatively that the macroprudential policy should optimally respond...

Persistent link: https://www.econbiz.de/10012103635

Price Volatility and Financial Instability

Leon, H. L. - 2001

Statistical measures of the volatility of exchange rates, interest rates, and stock prices are estimated for a number of countries. Periods of high volatility are identified and compared with periods of financial difficulty. The results indicate that GARCH models of volatility could be...

Persistent link: https://www.econbiz.de/10014399985

Interconnectedness and contagion analysis : a practical framework

Bricco, Jana; Xu, TengTeng - 2019

The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of …

Persistent link: https://www.econbiz.de/10012122482

The impact of political uncertainty on asset prices : the case of United Kingdom's EU membership referendum

Hanna, Joseph; Hansen, Niels-Jakob Harbo; MacDonald, Margaux - 2021

How did expectations of the outcome of the United Kingdom's (UK) referendum on European Union (EU) membership in 2016 affect prices in financial markets? We study this using high frequency data from betting and financial markets. We find that a one percentage point increase in the probability of...

Persistent link: https://www.econbiz.de/10012517941

The impact of geopolitical risk on stock returns : evidence from inter-Korea geopolitics

Jung, Seungho; Lee, Jongmin; Lee, Seohyun - 2021

We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has … risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK … index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the …

Persistent link: https://www.econbiz.de/10012796347

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

Lipinsky, Fabian - 2014

theory, as well as accounting literature, we find evidence of greater idiosyncratic influences in the pricing of Asia’s stock …

Persistent link: https://www.econbiz.de/10014411156

Bank Credit, Asset Prices and Financial Stability : Evidence From French Banks

Pouvelle, Cyril - 2012

This paper analyses the effect of asset prices on credit growth in France and tries to disentangle credit demand and supply factors, both for the whole 1993-2010 period and during periods of financial instability. Using bank-level panel data at a quarterly frequency, stock price growth is shown...

Persistent link: https://www.econbiz.de/10014396650

Bank credit, asset prices and financial stability : evidence from French banks

Pouvelle, Cyril - 2012

Persistent link: https://www.econbiz.de/10009615321