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Global Risk, Non-Bank Financial Intermediation, and Emerging Market Vulnerabilities

Chari, Anusha - National Bureau of Economic Research - 2023

Over the last two decades, the unprecedented increase in non-bank financial intermediation, particularly open-end mutual funds and ETFs, accounts for nearly half of the external financing flows to emerging markets exceeding cross-border lending by global banks. Evidence suggests that investment...

Persistent link: https://www.econbiz.de/10014250161

Global Liquidity : Drivers, Volatility and Toolkits

Goldberg, Linda S. - National Bureau of Economic Research - 2023

Global liquidity refers to the volumes of financial flows - largely intermediated through global banks and non-bank financial institutions - that can move at relatively high frequencies across borders. The amplitude of responses to global conditions like risk sentiment, discussed in the context...

Persistent link: https://www.econbiz.de/10014322743

Risk-On Risk-Off : A Multifaceted Approach to Measuring Global Investor Risk Aversion

Chari, Anusha; Stedman, Karlye Dilts; Lundblad, Christian - National Bureau of Economic Research - 2023

This paper defines risk-on risk-off (RORO), an elusive terminology in pervasive use, as the variation in global investor risk aversion. Our high-frequency RORO index captures time-varying investor risk appetite across multiple dimensions: advanced economy credit risk, equity market volatility,...

Persistent link: https://www.econbiz.de/10014437038

Exchange Rate Determination under Limits to CIP Arbitrage

Bacchetta, Philippe; Davis, Scott; Van Wincoop, Eric - National Bureau of Economic Research - 2024

Recent theories of exchange rate determination have emphasized limited UIP arbitrage by international financial … institutions. New regulations since 2008 have also lead to imperfect CIP arbitrage. We show that under limited CIP arbitrage the … operate through the swap market, which have no effect under perfect CIP arbitrage. More familiar financial shocks that impact …

Persistent link: https://www.econbiz.de/10015056203

The US, Economic News, and the Global Financial Cycle

Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2023

We provide evidence for a causal link between the US economy and the global financial cycle. Using intraday data, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all...

Persistent link: https://www.econbiz.de/10014247914

Day Traders, Noise, and Cost of Immediacy

Dalvi, Manoj; Deuskar, Prachi; Glosten, Lawrence R.; … - National Bureau of Economic Research - 2023

We identify different roles traders play using data with trader identities for all transactions in SENSEX-index stocks on the Bombay Stock Exchange from January 2005 to December 2011. Individual day traders (IDT) are identified as "noise traders", who play an important role in the market...

Persistent link: https://www.econbiz.de/10014250145

Know Your Customer : Informed Trading by Banks

Haselmann, Rainer; Leuz, Christian; Schreiber, Sebastian - National Bureau of Economic Research - 2022

This study analyzes information production and trading behavior of banks with lending relationships. We combine trade-by-trade supervisory data and credit-registry data to examine banks' proprietary trading in borrower stocks around a large number of corporate events. We find that relationship...

Persistent link: https://www.econbiz.de/10013388877

Household Investment in 529 College Savings Plans and Information Processing Frictions

Li, James J.; Mitchell, Olivia S.; Zhu, Christina - National Bureau of Economic Research - 2023

We investigate how information processing frictions contribute to household suboptimal saving and investment behavior. We find that 60% of open accounts in college 529 savings plans are invested suboptimally due to high expenses and tax inefficiency. Such investments yield an expected loss of 9%...

Persistent link: https://www.econbiz.de/10013537742

Sentiment, Productivity, and Economic Growth

Kōnstantinidēs, Giōrgos; Montone, Maurizio; Potì, … - National Bureau of Economic Research - 2023

Previous research finds correlation between sentiment and future economic growth, but disagrees on the channel that explains this result. In this paper, we shed new light on this issue by exploiting cross-country variation in sentiment and market efficiency. We find that sentiment shocks in G7...

Persistent link: https://www.econbiz.de/10014247952

Bound by Ancestors : Immigration, Credit Frictions, and Global Supply Chain Formation

Choi, Jaerim; Hyun, Jay; Park, Ziho - National Bureau of Economic Research - 2023

This paper shows that the ancestry composition shaped by century-long immigration to the US can explain the current structure of global supply chain networks. Using an instrumental variable strategy, combined with a novel dataset that links firm-to-firm global supply chain information with a US...

Persistent link: https://www.econbiz.de/10014250174

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