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A new tail-based correlation measure and its application in global equity markets
Liu, Jinjing - 2019
The co-dependence between assets tends to increase when the market declines. This paper develops a correlation measure focusing on market declines using the expected shortfall (ES), referred to as the ES-implied correlation, to improve the existing value at risk (VaR)-implied correlation....
Persistent link: https://www.econbiz.de/10012004764
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Assessing the international comovement of equity returns
Abate, Girum Dagnachew; Servén, Luis - 2018
The international comovement of equity returns has been viewed as reflecting either pervasive common shocks or local linkages between countries. This paper brings these perspectives together by assessing the comovement of equity returns in a dynamic model that allows for both common factors and...
Persistent link: https://www.econbiz.de/10011902919
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Financial Globalization and Market Volatility : An Empirical Appraisal
Cordella, Tito - 2017
This paper computes a new financial globalization index for a large sample of countries for 1992-2016. Unlike other … measures, the financial globalization index corrects for the heteroscedasticity of global volatility. This leads to a downward … adjustment of financial globalization trends for developed, emerging, and frontier markets. The paper also shows that financial …
Persistent link: https://www.econbiz.de/10012246024
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The financial costs of the U.S.-China trade tensions : evidence from East Asian stock markets
De Nicola, Francesca; Kessler, Martin; Nguyen, Ha - 2019
This paper examines the impacts of U.S.-China trade tensions via the lens of East Asian stock markets. Studying 10 indices of the main East Asian stock markets, it finds that announcements of "trade war" escalation translated into 50 to 60 percent of the total declines in two major Chinese stock...
Persistent link: https://www.econbiz.de/10012167933
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Policy Matters : Regulatory Indicators for Sustainable Energy
Energy Sector Management Assistance Program - 2018
Sustainable energy is at the heart of the global development and climate change agenda. Reaching the targets set by the United Nation's Sustainable Development Goal 7 (SDG7) will require a rapid increase in energy access, renewable energy and the efficient use of existing energy resources....
Persistent link: https://www.econbiz.de/10012645799
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Conceptual aspects of global value chains : World Development Report 2020 background paper
Antràs, Pol - 2020
The paper offers an overview of some key conceptual aspects associated with the rise of global value chains (GVCs). It outlines a series of alternative interpretations and definitions of what the rise of GVCs entails, and it traces the implications of these alternative conceptualizations for the...
Persistent link: https://www.econbiz.de/10012228282
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The voice of foreign direct investment : foreign investor policy preferences and experiences in developing countries
Saurav, Abhishek; Kuo, Ryan - 2020
This paper provides insights to inform government efforts to attract and retain foreign direct investment, by analyzing the results of a survey of more than 2,400 affiliates of multinational enterprises across 10 middle-income countries. The paper explores corporate perspectives and...
Persistent link: https://www.econbiz.de/10012390331
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Global recessions
Kose, M. Ayhan; Sugawara, Naotaka; Terrones, Marco E. - 2020
The world economy has experienced four global recessions over the past seven decades: in 1975, 1982, 1991, and 2009 … internationally, with severe economic and financial disruptions in many countries around the world. The 2009 global recession, set off …
Persistent link: https://www.econbiz.de/10012230745
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An empirical investigation of trade diversion and global value chains : World Development Report 2020 : background paper
Soyres, François de; Maire, Julien; Sublet, Guillaume - 2019
Rules of Origin as an implicit trade barrier for imports from the rest of the world. Global Value Chains are most relevant …
Persistent link: https://www.econbiz.de/10012168114
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Inflation dynamics and global value chains : World Development Report 2020 : background paper
Soyres, François de; Franco, Sebastián - 2019
The global economy has witnessed a decline in inflation and an increase in inflation synchronization since the early 1980s. This paper investigates the relationship between inflation synchronization and trade integration, and documents the strong link between inflation co-movement and Global...
Persistent link: https://www.econbiz.de/10012168117