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Risk, monetary policy and asset prices in a global world

Bekaert, Geert; Hoerova, Marie; Xu, Nancy R. - 2023

We study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan, differentiating between "traditional" monetary policy and communication events, each decomposed into "pure" and information shocks. Communication shocks from the US spill over to risk in the...

Persistent link: https://www.econbiz.de/10014483035

Disentangling the role of the exchange rate in oil-related scenarios for the European stock market

Ojea Ferreiro, Javier - 2019

Until now, stock market responses to a distress scenario for oil prices have been analysed considering prices in domestic currency. This assumption implies merging the commodity risk with the exchange rate risk when oil and stocks are traded in different currencies. This article proposes...

Persistent link: https://www.econbiz.de/10012034482

The certification role of the EU-wide stress testing exercises in the stock market : what can we learn from the stress tests (2014-2021)?

Durrani, Agha; Ongena, Steven; Marques, Aurea Ponte - 2022

model. Second, we study whether both returns and volatility of bank stock prices changes upon the disclosure of stress tests … in returns and an increase in volatility, while the reverse holds true for banks performing well. Banks performing … correlation between bank abnormal returns or equity volatility and stress test performance, which experiences a steady increase …

Persistent link: https://www.econbiz.de/10013342212

America First? : a US-centric view of global capital flows

McQuade, Peter; Schmitz, Martin - 2019

Both academic researchers and policymakers posit a unique role for the US in the inter-national financial system. This paper investigates the characteristics and determinants of US cross-border financial flows and examines how these contrast with those of the rest of the world. We analyse the...

Persistent link: https://www.econbiz.de/10011975553

Monetary policy spillovers, capital controls and exchange rate flexibility, and the financial channel of exchange rates

Georgiadis, Georgios; Zhu, Feng - 2019

We assess the empirical validity of the trilemma (or impossible trinity) in the 2000s for a large sample of advanced and emerging economies. To do so, we estimate Taylor-rule type monetary policy reaction functions, relating the local policy rate to real-time forecasts of domestic fundamentals,...

Persistent link: https://www.econbiz.de/10011997477

Interdependence and contagion in global asset markets

Beirne, John; Gieck, Jana - 2012

Persistent link: https://www.econbiz.de/10009765960

Financial globalisation, monetary policy spillovers and macro-modelling : tales from 1001 shocks

Georgiadis, Georgios; Jančoková, Martina - 2017

Financial globalisation and spillovers have gained immense prominence over the last two decades. Yet, powerful cross-border financial spillover channels have not become a standard element of structural monetary models. Against this background, we hypothesise that New Keynesian DSGE models that...

Persistent link: https://www.econbiz.de/10011664579

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

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

The yield curve as a predictor and emerging economies

Mehl, Arnaud (contributor) - 2006

This paper investigates the extent to which the slope of the yield curve in emerging economies predicts domestic inflation and growth. It also examines international financial linkages and how the US and the euro area yield curves help to predict. It finds that the domestic yield curve in...

Persistent link: https://www.econbiz.de/10003396761

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