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How resilient and countercyclical were emerging economies during the global financial crisis?
Didier, Tatiana; Hevia, Constantino; Schmukler, Sergio L. - In: Journal of International Money and Finance 31 (2012) 8, pp. 2052-2077
By studying the cross-country incidence of the 2008–2009 global financial crisis, we document a structural break in the way emerging economies responded to the global shock. Contrary to popular perceptions, emerging economies suffered growth collapses (relative to the pre-crisis levels)...
Persistent link: https://www.econbiz.de/10010603324
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Why Do Emerging Economies Borrow Short Term?
Broner, Fernando - 2005
Broner, Lorenzoni, and Schmukler argue that emerging economies borrow short term due to the high risk premium charged by international capital markets on long-term debt. They first present a model where the debt maturity structure is the outcome of a risk-sharing problem between the government...
Persistent link: https://www.econbiz.de/10012785132
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Short-Run Pain, Long-Run Gain : The Effects of Financial Liberalization
Kaminsky, Graciela - 2004
Kaminsky and Schmukler examine the short- and long-run effects of financial liberalization on capital markets. To do so, they construct a new comprehensive chronology of financial liberalization in 28 developed and emerging economies since 1973. The authors also construct an algorithm to...
Persistent link: https://www.econbiz.de/10012786094
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Emerging Markets Instability : Do Sovereign Ratings Affect Country Risk and Stock Returns?
Kaminsky, Graciela - 2004
Changes in sovereign ratings affect country risk and stock returns. And these changes are transmitted across countries, with neighbor-country effects being more significant.Financial market instability has received attention from both academic and policy circles. Rating agencies have been under...
Persistent link: https://www.econbiz.de/10012786188
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No Contagion, Only Interdependence : Measuring Stock Market Comovements
Forbes, Kristin J. - 2002
Heteroscedasticity biases tests for contagion based on correlation coefficients. When contagion is defined as a … significant increase in market co-movement after a shock to one country, previous work suggests contagion occurred during recent … coefficients (i.e., no contagion) during the 1997 Asian crisis, 1994 Mexican devaluation, and 1987 U.S. market crash. There is a …
Persistent link: https://www.econbiz.de/10012787103
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Emerging Market Instability : Do Sovereign Ratings Affect Country Risk and Stock Returns?
Kaminsky, Graciela - 2011
-country contagion. The effects of rating and outlook changes are stronger during crises, in nontransparent economies, and in neighboring …
Persistent link: https://www.econbiz.de/10012757304
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Why Do Emerging Economies Borrow Short Term?
Broner, Fernando - 2013
We argue that emerging economies borrow short term due to the high risk premium charged by international capital markets on long-term debt. First, we present a model where the debt maturity structure is the outcome of a risk sharing problem between the government and bondholders. By issuing...
Persistent link: https://www.econbiz.de/10012711871
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International Financial Integration Through the Law of One Price
Levy-Yeyati, Eduardo Levy - 2011
This paper argues that the cross-market premium (the ratio between the domestic and the international market price of cross-listed stocks) provides a valuable measure of international financial integration, reflecting accurately the factors that segment markets and inhibit price arbitrage....
Persistent link: https://www.econbiz.de/10012757051
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Country Fund Discounts and the Mexican Crisis of December 1994 : Did Local Residents Turn Pessimistic Before International Investors?
Frankel, Jeffrey A. - 2003
It has been suggested that Mexican investors were the quot;front-runnersquot; in the peso crisis of December 1994, turning pessimistic before international investors. Different expectations about their own economy, perhaps due to asymmetric information, prompted Mexican investors to be the first...
Persistent link: https://www.econbiz.de/10012740786
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Unexploited Gains from International Diversification
Didier, Tatiana - 2009
Using unique micro data on U.S. institutional investor portfolios, this paper studies how capital, meant to be invested globally, is actually diversified internationally. We show that although the mutual fund industry has moved toward funds that have more flexibility to invest across countries...
Persistent link: https://www.econbiz.de/10012718544