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Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market
Jordan, Steven J.; Vivian, Andrew; Wohar, Mark E. - In: Journal of International Money and Finance 41 (2014) C, pp. 95-109
We explore whether economic links via trade affect aggregate Chinese stock market returns. We find that market return indices from countries that China net imports from can forecast the Chinese aggregate market return at the weekly time horizon. The stock returns of countries that China net...
Persistent link: https://www.econbiz.de/10010743972
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Global liquidity risk in the foreign exchange market
Banti, Chiara; Phylaktis, Kate; Sarno, Lucio - In: Journal of International Money and Finance 31 (2012) 2, pp. 267-291
Using a broad data set of 20 US dollar exchange rates and order flow of institutional investors over 14 years, we construct a measure of global liquidity risk in the foreign exchange (FX) market. Our FX liquidity measure may be seen as the analog of the well-known Pastor–Stambaugh liquidity...
Persistent link: https://www.econbiz.de/10010577035
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Reduced cross-border lending and financing costs of SMEs
Bremus, Franziska; Neugebauer, Katja - In: Journal of International Money and Finance 80 (2018), pp. 35-58
This paper investigates how the withdrawal of banks from their cross-border business impacted the borrowing costs of European firms since the crisis. We combine aggregate information on total and cross-border credit with firm-level survey data for the period 2010–2014. We find that the decline...
Persistent link: https://www.econbiz.de/10012021996
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Credit ratings and cross-border bond market spillovers
Böninghausen, Benjamin; Zabel, Michael - In: Journal of International Money and Finance 53 (2015) C, pp. 115-136
This paper studies spillovers across sovereign debt markets in the wake of sovereign rating changes. We compile an extensive dataset covering all announcements by the three major agencies (Standard & Poor's, Moody's, Fitch) and daily sovereign bond market movements of up to 73 developed and...
Persistent link: https://www.econbiz.de/10011263950
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The determinants of the volatility of returns on cross-border asset holdings
Balli, Faruk; Basher, Syed Abul; Rana, Faisal - In: Journal of International Money and Finance 44 (2014) C, pp. 1-23
Using both panel and cross-sectional models for 28 industrialized countries observed from 2001–2009, we report a number of findings regarding the determinants of the volatility of returns on cross-border asset holdings (i.e., equity and debt). Greater portfolio concentration and an increase in...
Persistent link: https://www.econbiz.de/10010800894
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The impact of international portfolio composition on consumption risk sharing
Holinski, Nils; Kool, Clemens J.M.; Muysken, Joan - In: Journal of International Money and Finance 31 (2012) 6, pp. 1715-1728
Recent empirical work has shown that ongoing international financial integration facilitates cross-country consumption risk sharing. These studies typically find that countries with high equity home bias exhibit relatively low international consumption risk sharing. We extend this line of...
Persistent link: https://www.econbiz.de/10010599344
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No contagion, only globalization and flight to quality
Brière, Marie; Chapelle, Ariane; Szafarz, Ariane - In: Journal of International Money and Finance 31 (2012) 6, pp. 1729-1744
In this article, tests for globalization and contagion are separated using an ex ante definition of crises, and contagion tests are neutralized with respect to globalization effects. A large database is constructed to study the stability of correlation matrices for four asset classes: equities,...
Persistent link: https://www.econbiz.de/10010599348
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Is China or India more financially open?
Ma, Guonan; McCauley, Robert N. - In: Journal of International Money and Finance 39 (2013) C, pp. 6-27
Measures of de facto capital account openness for China and India raise the question whether the Chinn-Ito measure of de jure capital account openness is useful and whether the Lane-Milesi-Ferretti measure of de facto openness ranks the two countries correctly. We examine eight dimensions of de...
Persistent link: https://www.econbiz.de/10010719328
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Does the euro dominate Central and Eastern European money markets?
Kadow, Alexander; Cerrato, Mario; MacDonald, Ronald; … - In: Journal of International Money and Finance 32 (2013) C, pp. 700-718
Monetary System (EMS) interest rates during the pre-euro era. We reformulate this hypothesis for the Central and Eastern … European (CEE) countries that are on the verge of accessing the eurozone. We test this “Euro Dominance Hypothesis (EDH)” in a … global system. We find that euro area monetary policies are transmitted into CEE money market rates, providing evidence for …
Persistent link: https://www.econbiz.de/10011048475
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Exchange rate forecasts and expected fundamentals
Dick, Christian D.; MacDonald, Ronald; Menkhoff, Lukas - In: Journal of International Money and Finance 53 (2015) C, pp. 235-256
Using a large panel of individual professionals' forecasts, this paper demonstrates that good exchange rate forecasts are related to a proper understanding of fundamentals, specifically good interest rate forecasts. This relationship is robust to individual fixed effects and further controls....
Persistent link: https://www.econbiz.de/10011263948