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World Income Components : Measuring and Exploiting International Risk Sharing Opportunities

Shiller, Robert J.; Athanasoulis, Stefano - 2021

We provide methods of decomposing the variance of world national incomes into components in such a way as to indicate … eigenvectors of a variance matrix of residuals produced when country incomes are regressed on world income. Another method uses a … matrix of deviations of country incomes from their respective contract-year shares of world income. The two methods are …

Persistent link: https://www.econbiz.de/10013224942

Country Risk and the Organization of International Capital Transfer

Eaton, Jonathan; Gersovitz, Mark - 2022

Foreign portfolio investment is threatened by the risk of default and repudiation, while direct foreign investment is threatened by the risk of expropriation. These two contractual forms of investment can differ substantially in: (1) the amount of capital they can transfer from abroad to...

Persistent link: https://www.econbiz.de/10013293439

Political Booms, Financial Crises

Herrera, Helios - 2014

We show that political booms, measured by the rise in governments' popularity, predict financial crises above and beyond other better-known early warning indicators, such as credit booms. This predictive power, however, only holds in emerging economies. We show that governments in emerging...

Persistent link: https://www.econbiz.de/10013049697

Are Leading Indicators of Financial Crises Useful for Assessing Country Vulnerability? Evidence from the 2008-09 Global Crisis

Frankel, Jeffrey A. - 2010

This paper investigates whether leading indicators can help explain the cross-country incidence of the 2008-09 financial crisis. Rather than looking for indicators with specific relevance to the current crisis, the selection of variables is driven by an extensive review of more than eighty...

Persistent link: https://www.econbiz.de/10013142551

Measuring Liquidity Mismatch in the Banking Sector

Krishnamurthy, Arvind - 2016

This paper implements a liquidity measure, “Liquidity Mismatch Index (LMI),” to gauge the mismatch between the market liquidity of assets and the funding liquidity of liabilities. We construct the LMIs for 2882 bank holding companies during 2002-2014 and investigate the time-series and...

Persistent link: https://www.econbiz.de/10012981612

Serial Default and the "Paradox" of Rich to Poor Capital Flows

Reinhart, Carmen M. - 2012

Lucas (1990) argued that it was a paradox that more capital does not flow from rich countries to poor countries. He rejected the standard explanation of expropriation risk and argued that paucity of capital flows to poor countries must instead be rooted in externalities in human capital...

Persistent link: https://www.econbiz.de/10013116221

Fundamentals and Sovereign Risk of Emerging Markets

Aizenman, Joshua - 2013

We empirically assess the relative importance of various economic fundamentals in accounting for the sovereign credit default swap (CDS) spreads of emerging markets during 2004-2012, which encompasses the global financial crisis of 2008-2009. Inflation, state fragility, external debt, and...

Persistent link: https://www.econbiz.de/10013083389

How Sovereign is Sovereign Credit Risk?

Longstaff, Francis A. - 2008

We study the nature of sovereign credit risk using an extensive sample of CDS spreads for 26 developed and emerging-market countries. Sovereign credit spreads are surprisingly highly correlated, with just three principal components accounting for more than 50 percent of their variation....

Persistent link: https://www.econbiz.de/10012773185

Transparency, Risk Management and International Financial Fragility

Draghi, Mario - 2003

Discussions of financial risk often fail to distinguish between risks that are consciously borne and those that are not. To understand the breeding conditions for financial crises the prime focus of concern should not be simply on large risk-taking per se, but on the unintended, or unanticipated...

Persistent link: https://www.econbiz.de/10012786498

Sovereign Risk Contagion

Arellano, Cristina - 2017

We develop a theory of sovereign risk contagion based on financial links. In our multi-country model, sovereign bond …

Persistent link: https://www.econbiz.de/10012943181

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