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Capital flows, push versus pull factors and the global financial crisis
Fratzscher, Marcel - 2011
The causes of the 2008 collapse and subsequent surge in global capital flows remain an open and highly controversial issue. Employing a factor model coupled with a dataset of high-frequency portfolio capital flows to 50 economies, the paper finds that common shocks - key crisis events as well as...
Persistent link: https://www.econbiz.de/10009238006
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EME financial conditions : which global shocks matter?
Lodge, David; Manu, Ana-Simona - 2019
This paper provides a quantitative assessment of the relative importance of global structural shocks for changes in financial conditions across a sample of emerging market economies. We disentangle four key drivers of global financial markets (oil supply shocks, global economic news shocks,...
Persistent link: https://www.econbiz.de/10012009181
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Financial globalisation, monetary policy spillovers and macro-modelling : tales from 1001 shocks
Georgiadis, Georgios; Jančoková, Martina - 2017
data on monetary policy shock estimates for 29 economies obtained from more than 280 monetary models in the literature …. Consistent with the predictions from our hypothesis we find: Monetary policy shock estimates obtained from New Keynesian DSGE … contamination is more severe for economies that are more susceptible to financial spillovers in the data; and the shock estimates …
Persistent link: https://www.econbiz.de/10011664579
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Large global volatility shocks, equity markets and globalisation : 1885 - 2011
Mehl, Arnaud - 2013
Persistent link: https://www.econbiz.de/10009766418
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Getting beyond carry trade : what makes a safe haven currency?
Habib, Maurizio Michael; Stracca, Livio - 2011
There is already a substantial literature documenting the fact that low yield currencies typically appreciate during times of global financial stress and behave as safe havens. The main objective of this paper is to find out what the fundamentals of safe haven currencies are. We analyse a large...
Persistent link: https://www.econbiz.de/10008901495
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Interdependence and contagion in global asset markets
Beirne, John; Gieck, Jana - 2012
Persistent link: https://www.econbiz.de/10009765960
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The global capital flows cycle : structural drivers and transmission channels
Habib, Maurizio Michael; Venditti, Fabrizio - 2019
In this paper, we study the effects of structural shocks that influence global risk - the main factor behind a "global capital flows cycle" - and how risk, in turn, is transmitted to capital flows. Our results show that not all the risk shocks driving the global financial cycle have the same...
Persistent link: https://www.econbiz.de/10012009141
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Stigma? What stigma? : a contribution to the debate on financial market effects of IMF lending
Scheubel, Beatrice; Tafuro, Andrea; Vonessen, Benjamin - 2018
In the policy debate on the effectiveness of the Global Financial Safety Net, concerns have been raised that expectations of adverse effects of IMF programmes may deter countries from asking for an IMF programme when they need one, a form of "IMF stigma". We explore the existence of IMF...
Persistent link: https://www.econbiz.de/10011928948
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Attention to the tail(s) : global financial conditions and exchange rate risks
Eguren-Martin, Fernando; Sokol, Andrej - 2020
We document how the distribution of exchange rate returns responds to changes in global financial conditions. We measure global financial conditions as the common component of country-specific financial condition indices, computed consistently across a large panel of developed and emerging...
Persistent link: https://www.econbiz.de/10012197839
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The implications of global and domestic credit cycles for emerging market economies : measures of finance-adjusted output gaps
Grintzalis, Ioannis; Lodge, David; Manu, Ana-Simona - 2017
We present estimates of finance-adjusted output gaps which incorporate the information on the domestic and global credit cycles for a sample of emerging market economies (EMEs). Following recent BIS research, we use a state-space representation of an HP filter augmented with a measure of the...
Persistent link: https://www.econbiz.de/10011637326