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The External Impact of China's Exchange Rate Policy : Evidence from Firm Level Data
Eichengreen, Barry - 2011
China's exchange rate policy in 2005 and 2010 and data on 6,050 firms in 44 countries. Renminbi appreciation has a positive … effect on firms exporting to China but little positive or even a negative impact on those providing inputs for China …'s processing exports. Stock prices rise for firms competing with China in their home market while falling for firms importing …
Persistent link: https://www.econbiz.de/10013118251
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The Return to Capital in China
Bai, Chong-En - 2007
China's investment rate is one of the highest in the world, which naturally leads one to suspect that the return to … capital in China must be quite low. Using the data from China's national accounts, we estimate the rate of return to capital … in China. We find that the aggregate rate of return to capital averaged 25% during 1978-1993, fell during 1993-1998, and …
Persistent link: https://www.econbiz.de/10012778136
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The European Union, the Euro, and Equity Market Integration
Bekaert, Geert - 2010
At a time of historic challenges to the viability of the Eurozone, we assess the contribution of the EU and the Euro to equity market integration in Europe. We use a simple and essentially model free measure of bilateral market segmentation: two countries are segmented if there is a wide...
Persistent link: https://www.econbiz.de/10013135396
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Volatiltiy and Links between National Stock Markets
King, Mervyn - 2010
The empirical objective of this study is to account for the time-variation the covariances between markets. Using data on sixteen national stock markets, we estimate a multivariate factor model in which the volatility of returns is induced by changing volatility in the orthogonal factors. Excess...
Persistent link: https://www.econbiz.de/10013138394
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Financial Integration : A New Methodology and an Illustration
Flood, Robert P. - 2010
This paper develops a simple new methodology to test for asset integration and applies it within and between American stock markets. Our technique is tightly based on a general intertemporal asset-pricing model, and relies on estimating and comparing expected risk-free rates across assets....
Persistent link: https://www.econbiz.de/10012762798
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Are the Gains from Foreign Diversification Diminishing? Assessing the Impact with Cross-Listed Stocks
Lewis, Karen K. - 2012
How important is foreign diversification? In this paper, we re-examine this question motivated by findings from the literature about foreign companies that are listed on US exchanges. Specifically, domestic portfolios including cross-listed stocks can provide the same diversification as foreign...
Persistent link: https://www.econbiz.de/10013096144
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The Comovement of Returns and Investment within the Multinational Firm
Desai, Mihir A. - 2012
Can financial integration, particularly the cross-border investments of multinational firms, help explain the synchronization of business cycles? This paper presents evidence on the comovement of returns and investment within U.S. multinational firms to address this question. These firms...
Persistent link: https://www.econbiz.de/10013104772
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International Capital Flows, Returns and World Financial Integration
Evans, Martin D.D. - 2005
International capital flows have increased dramatically since the 1980s, with much of the increase being due to trade in equity and debt markets. Such developments are often attributed to the increased integration of world financial markets. We present a model that allows us to examine how...
Persistent link: https://www.econbiz.de/10012784163
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How Big are the Gains from International Financial Integration?
Hoxha, Indrit - 2010
The literature has shown that the implied welfare gains from international financial integration are very small. We revisit the existing findings and document that welfare gains can be substantial if capital goods are not perfect substitutes. We use a model of optimal savings that includes a...
Persistent link: https://www.econbiz.de/10012758019
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Predictable Stock Returns in the United States and Japan : a Study of Long-Term Capital Market Integration
Campbell, John Y. - 2010
This paper studies the predictability of monthly excess returns on equity portfolios over the domestic short-term interest rate in the U.S. and Japan during the period 1971:1-1989:3. The paper finds that similar variables, including the dividend-price ratio and interest rate variables, help to...
Persistent link: https://www.econbiz.de/10012763162