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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
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Financial Spillovers to Emerging Markets During the Global Financial Crisis
Frank, Nathaniel - 2009
In this paper potential financial linkages between liquidity and bank solvency measures in advanced economies and emerging market (EM) bond and stock markets are analyzedduring the latest crisis. A multivariate GARCH model is estimated in order to gauge the extent of co-movements of these...
Persistent link: https://www.econbiz.de/10014403188
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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
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Bond Yields in Emerging Economies : It Matters What State You Are In
Jaramillo, Laura - 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/10014395664
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Unconventional monetary policies in emerging markets and frontier countries
Fratto, Chiara; Vannier, Brendan Harnoys; Mircheva, … - 2021
The COVID-19 crisis induced an unprecedented launch of unconventional monetary policy through asset purchase programs (APPs) by emerging market and developing economies. This paper presents a new dataset of APP announcements and implementation from March until August 2020 for 27 emerging markets...
Persistent link: https://www.econbiz.de/10012487310
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Benchmark-driven investments in emerging market bond markets : taking stock
Arslanalp, Serkan; Drakopoulos, Dimitris; Goel, Rohit; … - 2020
This paper reviews the role of benchmark-driven investments in EM local bond markets. We provide an overview of how key EM bond benchmark indices are constructed, how they affect the behavior of investment funds, and what are the likely implications for capital flows and policy-making. Several...
Persistent link: https://www.econbiz.de/10012391578
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Local currency bond markets law reform : a methodology for emerging markets and developing economies
Bossu, Wouter; Hillier, Cory; Bergthaler, Wolfgang - 2020
Recent financial crises including the ongoing one caused by the COVID-19 pandemic have consistently drawn attention to the need to strengthen the quality of public debt management in emerging markets and developing countries. Deeper and more efficient domestic government debt markets-being, a...
Persistent link: https://www.econbiz.de/10012392641
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The Impact of Macroeconomic Announcementson Emerging Market Bonds
Andritzky, Jochen R. - 2005
This paper examines how emerging bond markets react to macroeconomic announcements. Global bond spreads respond to rating actions and changes in global interest rates rather than domestic data and policy announcements. All announcements affect market volatility. Data and policy announcements...
Persistent link: https://www.econbiz.de/10014400951
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Correlations in Emerging Market Bonds : The Role of Local and Global Factors
Hamann, A. Javier - 2010
that using a simple measure of cross-country correlations together with the commonly used average correlation coefficient …
Persistent link: https://www.econbiz.de/10014404323
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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 …, the paper finds that the strength of the correlation between output growth and lagged stock returns is significantly …
Persistent link: https://www.econbiz.de/10014399803