Showing 1 - 10 of 667
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
This paper examines the performance of emerging market bank stocks around the time of rating changes by major international agencies. The data suggest that downgrades on average have followed periods of negative cumulative abnormal returns for banks, although upgrades have not followed periods...
Persistent link: https://www.econbiz.de/10014400871
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
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/10014395664
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
Persistent link: https://www.econbiz.de/10009706777
We analyze the long-run impact of emerging-market sovereign bond yields on corporate bond yields, finding that the average pass-through is around one. The pass-through is larger in countries with greater sovereign risks and where sovereign bonds are more liquid. It is also greater for corporate...
Persistent link: https://www.econbiz.de/10012612337
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
This paper investigates the determinants of fiscal policy behavior and its time-varying volatility, using panel data … more volatile fiscal behavior, while fiscal rules and higher institutional quality reduce the volatility of fiscal policy …
Persistent link: https://www.econbiz.de/10014411200
In this paper we first compare house price cycles in advanced and emerging economies using a new quarterly house price data set covering the period 1990-2012. We find that house prices in emerging economies grow faster, are more volatile, less persistent and less synchronized across countries...
Persistent link: https://www.econbiz.de/10014411931