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Carry
Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013
Any security’s expected return can be decomposed into its “carry” and its expected price appreciation, where carry is a model-free characteristic that can be observed in advance. While carry has been studied almost exclusively for currencies, we find that carry predicts returns both in the...
Persistent link: https://www.econbiz.de/10011083673
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Unanticipated Shocks and Systemic Influences; The Impact of Contagion in Global Equity Markets in 1998
González-Hermosillo, Brenda; Martin, Vance; Fry, Renee; … - International Monetary Fund (IMF) - 2003
14 developing and industrial countries. The results show that contagion was systemic during the period, with industrial … importance of studying them jointly. An implication of the empirical results is that models of contagion that exclude industrial …
Persistent link: https://www.econbiz.de/10005769188
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What Drives Contagion; Trade Neighborhood, or Financial Links?
Valdés, Rodrigo O.; Hernández, Leonardo - International Monetary Fund (IMF) - 2001
This paper presents evidence on the relative importance of alternative contagion channels during the Thai, Russian, and … to explain almost all contagion episodes. However, when crises are measured by stock market returns, trade links and … neighborhood effects appear to be relevant contagion channels during the Thai and Brazilian crises, while financial competition …
Persistent link: https://www.econbiz.de/10005605301
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The Crisis; Basic Mechanisms and Appropriate Policies
Blanchard, Olivier J. - International Monetary Fund (IMF) - 2009
The purpose of this lecture is to look beyond the complex events that characterize the global financial and economic crisis, identify the basic mechanisms, and infer the policies needed to resolve the current crisis, as well as the policies needed to reduce the probability of similar events in...
Persistent link: https://www.econbiz.de/10004999966
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The Role of Subordinated Debt in Market Discipline; The Case of Emerging Markets
Karacadag, Cem; Shrivastava, Animesh - International Monetary Fund (IMF) - 2000
This paper evaluates the potential role of mandatory subordinated debt (MSD) in enhancing market discipline in emerging markets. The conceptual merits and key preconditions of MSD are first reviewed. Then, the extent to which emerging markets satisfy these preconditions—among them the...
Persistent link: https://www.econbiz.de/10005599477
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Financial Development in Emerging Europe; The Unfinished Agenda
Zoli, Edda - International Monetary Fund (IMF) - 2007
This paper assesses the status of financial development in Emerging Europe, analyzes the factors that have shaped it, and discusses policy priorities. Financial development has progressed to varying degrees across the region. Macroeconomic stability and institutional quality have been important...
Persistent link: https://www.econbiz.de/10005605312
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Policy Responses to Capital Flows in Emerging Markets
Pradhan, Mahmood; Balakrishnan, Ravi; Baqir, Reza; … - International Monetary Fund (IMF) - 2011
Staff Discussion Notes showcase the latest policy-related analysis and research being developed by individual IMF staff and are published to elicit comment and to further debate. These papers are generally brief and written in nontechnical language, and so are aimed at a broad audience...
Persistent link: https://www.econbiz.de/10010790479
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Country Transparency and the Global Transmission of Financial Shocks
Marques, Luís Brandão; Gelos, Gaston; Melgar, Natalia - International Monetary Fund (IMF) - 2013
This paper considers the role of country-level opacity (the lack of availability of information) in amplifying shocks emanating from financial centers. We provide a simple model where, in the presence of ambiguity (uncertainty about the probability distribution of returns), prices in emerging...
Persistent link: https://www.econbiz.de/10011142117
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VaR Forecast and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds
McAleer, Michael; Hakim, Hakim, A. - Faculteit der Economische Wetenschappen, Erasmus … - 2009
The paper investigates the interdependence and conditional correlations between futures contracts and their underlying assets, both for stock and bond markets, and the impact of the interdependence and conditional correlations on VaR forecasts. The paper finds evidence of volatility spillovers...
Persistent link: https://www.econbiz.de/10010731676
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Crisis-Robust Bond Portfolios
Szafarz, Ariane; Briere, Marie - Centre Emile Bernheim, Solvay Brussels School of … - 2007
This paper defines a “crisis-robust portfolio” that satisfies the minimal crisis-to-quiet time volatility ratio. This type of portfolio is less demanding for the investor than a regime-wise asset allocation. Although general, the concept of a crisis-robust portfolio is especially pertinent...
Persistent link: https://www.econbiz.de/10005738695