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Bad Environments, Good Environments : A Non-Gaussian Asymmetric Volatility Model
Bekaert, Geert - 2016
We propose an extension of standard asymmetric volatility models in the generalized autoregressive conditional …
Persistent link: https://www.econbiz.de/10013007366
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Asset Return Dynamics Under Habits and Bad-Environment-Good Environment Fundamentals
Bekaert, Geert - 2019
comovements with the macroeconomic outlook. In particular, when option-implied volatility is high, as measured for instance by the …
Persistent link: https://www.econbiz.de/10012904045
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Liquidity and Expected Returns: Lessons from Emerging Markets
Bekaert, Geert; Harvey, Campbell; Lundblad, Christian T - C.E.P.R. Discussion Papers - 2006
Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting … to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion … of zero daily firm returns, averaged over the month. We find that our liquidity measures significantly predict future …
Persistent link: https://www.econbiz.de/10005792280
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New-Keynesian Macroeconomics and the Term Structure
Bekaert, Geert; Cho, Seonghoon; Moreno, Antonio - National Bureau of Economic Research (NBER) - 2005
This article complements the structural New-Keynesian macro framework with a no-arbitrage affine term structure model. Whereas our methodology is general, we focus on an extended macro-model with an unobservable time-varying inflation target and the natural rate of output which are filtered from...
Persistent link: https://www.econbiz.de/10005718836
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What Segments Equity Markets?
Bekaert, Geert; Harvey, Campbell; Lundblad, Christian; … - National Bureau of Economic Research (NBER) - 2009
We propose a new, valuation-based measure of world equity market segmentation. While we observe decreased levels of segmentation in many developing countries, the level of segmentation is still significant. In contrast to previous research, we characterize the factors that account for variation...
Persistent link: https://www.econbiz.de/10005575714
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"Peso Problem" Explanations for Term Structure Anomalies
Bekaert, Geert; Hodrick, Robert James; Marshall, David A. - National Bureau of Economic Research (NBER) - 1997
We examine the empirical evidence on the expectations hypothesis of the term structure of interest rates in the United States, the United Kingdom, and Germany using the Campbell-Shiller (1991) regressions and a vector-autoregressive" methodology. We argue that anomalies in the U.S. term...
Persistent link: https://www.econbiz.de/10005580597
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The Dynamics of Emerging Market Equity Flows
Bekaert, Geert; Harvey, Campbell; Lumsdaine, Robin L. - National Bureau of Economic Research (NBER) - 1999
We study the interrelationship between capital flows, returns, dividend yields and world interest rates in 20 emerging markets. We estimate a vector autoregressionn with these variables to measure the degree to which lower interest rates contribute to increased capital flows and shocks in flows...
Persistent link: https://www.econbiz.de/10005088542
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New-Keynesian Macroeconomics and the Term Structure
Moreno, Antonio; Bekaert, Geert; Cho, Seonghoon - Society for Economic Dynamics - SED - 2004
This article complements the structural New-Keynesian macro framework with a no-arbitrage term structure model. Whereas our methodology is general, we focus on an extended macro-model with an unobservable time-varying markup and stochastic risk aversion. Term structure information helps to...
Persistent link: https://www.econbiz.de/10005090884
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Dating the Integration of World Equity Markets
Bekaert, Geert - 2011
Measuring the integration of world capital markets is notoriously difficult. For example, regulatory changes which appear comprehensive may have little impact on the functioning of the capital market if they fail to lead to foreign portfolio inflows. In contrast to the usual practice of...
Persistent link: https://www.econbiz.de/10012715036
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The Dynamics of Emerging Market Equity Flows
Bekaert, Geert - 2011
We study the interrelationship between capital flows, returns, dividend yields and world interest rates in 20 emerging markets. We use a structural VAR framework to examine the impact of shocks in interest rates and net capital flows on asset returns and the cost of capital. In contrast to...
Persistent link: https://www.econbiz.de/10012715144