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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

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

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

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

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

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

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

The so-called German Dominance Hypothesis (GDH) claimed that Bundesbank policies were transmitted into other European 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...

Persistent link: https://www.econbiz.de/10011048475

The exchange rate effect of multi-currency risk arbitrage

Hau, Harald - In: Journal of International Money and Finance 47 (2014) C, pp. 304-331

Carry trade arbitrage strategies typically involve multiple currencies. Limits to arbitrage in such a setting not only … exchange rate in accordance with the marginal risk contribution of each speculative position to the overall arbitrage risk. The … paper uses a natural experiment to identify a particular global arbitrage opportunity and shows that arbitrage risk hedging …

Persistent link: https://www.econbiz.de/10010906598

Worth the hype? The effect of G20 summits on global financial markets

Lo Duca, Marco; Stracca, Livio - In: Journal of International Money and Finance 53 (2015) C, pp. 192-217

In the wake of the global financial crisis, the G20 has become the most important forum of global governance and cooperation, largely replacing the once powerful G7. Against this background, this paper looks at G20 meetings at Ministerial and Leaders level to see whether they had an impact on...

Persistent link: https://www.econbiz.de/10011263947

Size, value, and momentum in developed country equity returns: Macroeconomic and liquidity exposures

Cakici, Nusret; Tan, Sinan - In: Journal of International Money and Finance 44 (2014) C, pp. 179-209

The paper investigates value and momentum factors in 23 developed international stock markets. We find that typically value and momentum premia are smaller and more negatively correlated for large market capitalization stocks relative to small. Momentum factors are more highly correlated...

Persistent link: https://www.econbiz.de/10010836985

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