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Global Volatility and Forex Returns in East Asia

Kalra, Sanjay - 2008

During 2001-07, increases in mature market volatility were associated with declines in forex returns for East Asian … increase in mature market equity volatility generated an exchange rate depreciation of up to 1⁄2 percent. This sensitivity rose …"" volatility in forex markets. Long-run forex volatility declined as Asian economies settled down with generally stronger …

Persistent link: https://www.econbiz.de/10014401382

Emerging Equity Markets in Middle Eastern Countries

El-Erian, Mohamed A. - 1994

Within a broad framework for analyzing portfolio capital flows to developing countries, the paper undertakes a comparative analysis of equity markets in six Middle Eastern countries. The analysis, based primarily on a range of quantitative indicators, identifies the principal characteristics of...

Persistent link: https://www.econbiz.de/10014398001

Stock returns and inflation redux : an explanation from monetary policy in advanced and emerging markets

Zhang, Zhongxia - 2021

Classical theories of monetary economics predict that real stock returns are negatively correlated with inflation when monetary policy is countercyclical. Previous empirical studies mostly focus on a small group of developed countries or a few countries with hyperinflation. In this paper, I...

Persistent link: https://www.econbiz.de/10012796818

Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets

International Monetary Fund - 2009

This study characterizes volatility dynamics in external emerging bond markets and examines how prices and volatility … markets are found to a¤ect both conditional returns and volatility, with the e¤ects on volatility being more pronounced and … volatility dynamics in external emerging bond markets …

Persistent link: https://www.econbiz.de/10014404285

Bond yields in emerging economies : it matters what state you are in

Jaramillo, Laura; Weber, Anke - 2012

While many studies have looked into the determinants of yields on externally issued sovereign bonds of emerging economies, analysis of domestically issued bonds has hitherto been limited, despite their growing relevance. This paper finds that the extent to which fiscal variables affect domestic...

Persistent link: https://www.econbiz.de/10009621689

International reserves and rollover risk

Bianchi, Javier; Hatchondo, Juan Carlos; Martinez, Leonardo - 2013

Persistent link: https://www.econbiz.de/10009706777

Pension Funds and Emerging Markets

Chan-Lau, Jorge A. - 2004

This paper focuses on the investment behavior of pension funds in developed and emerging market countries. First, it analyzes the main determinants of the emerging market asset allocation of pension funds in developed countries. Second, it assesses how pension funds in emerging markets have...

Persistent link: https://www.econbiz.de/10014404155

International Reserves and Rollover Risk

Bianchi, Javier - 2013

Two striking facts about international capital flows in emerging economies motivate this paper: (1) Governments hold large amounts of international reserves, for which they obtain a return lower than their borrowing cost. (2) Purchases of domestic assets by nonresidents and purchases of foreign...

Persistent link: https://www.econbiz.de/10014395406

Bond Yields in Emerging Economies : It Matters What State You Are In

Jaramillo, Laura - 2012

Persistent link: https://www.econbiz.de/10014395664

Stock Returns and Output Growth in Emerging and Advanced Economies

Mauro, Paolo - 2000

This paper studies the correlation between output growth and lagged stock returns in a panel of emerging market economies and advanced economies. It finds that the correlation is as strong in emerging market economies as in advanced economies. Asset prices therefore contain valuable information...

Persistent link: https://www.econbiz.de/10014399803

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