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Liquidity and Expected Returns : Lessons from Emerging Markets

Bekaert, Geert - 2012

Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting … to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion … of zero daily firm returns, averaged over the month. We find that our liquidity measures significantly predict future …

Persistent link: https://www.econbiz.de/10012755671

Lessons Unlearned? Corporate Debt in Emerging Markets

Alfaro, Laura - 2017

This paper documents a set of new stylized facts about leverage and financial fragility for emerging market firms following the Global Financial Crisis (GFC). Corporate debt vulnerability indicators during the Asian Financial Crisis (AFC) attributed to corporate financial roots provide a...

Persistent link: https://www.econbiz.de/10012956372

Individual Versus Aggregate Collateral Constraints and the Overborrowing Syndrome

Uribe, Martín - 2010

This paper compares the equilibrium dynamics of an economy facing an aggregate collateral constraint on external debt to the dynamics of an economy facing a collateral constraint imposed at the level of each individual agent. The aggregate collateral constraint is intended to capture an...

Persistent link: https://www.econbiz.de/10012761465

A Dual Liquidity Model for Emerging Markets

Caballero, Ricardo J.; Krishnamurthy, Arvind - 2021

emerging economy, and those affecting borrowing from foreign lenders. This 'dual liquidity' model offers a parsimonious …

Persistent link: https://www.econbiz.de/10013224671

Fiscal Policy and Financial Depth

Caballero, Ricardo J.; Krishnamurthy, Arvind - 2021

Most economists and observers place the lack of fiscal discipline at the core of the recent Argentine crisis. This begs the question of how countries like Belgium or Italy (pre-Maastricht) could run large fiscal deficits and accumulate debts far beyond those of Argentina, without experiencing...

Persistent link: https://www.econbiz.de/10013233772

Debt Intolerance

Reinhart, Carmen M.; Rogoff, Kenneth; Savastano, Miguel A. - 2021

This paper introduces the concept of debt intolerance,' which manifests itself in the extreme duress many emerging markets experience at debt levels that would seem manageable by advanced country standards. We argue that safe' external debt-to-GNP thresholds for debt intolerant countries are...

Persistent link: https://www.econbiz.de/10013249721