Despite the dramatic reduction in explicit barriers to international investment activity over the last 60 years, the impact of financial globalization has been remarkably limited. I argue that country attributes are still critical to financial decision-making because of what I call the twin...

As barriers to international investment fall and technology improves, the cost advantages for a firm's securities to trade publicly in the country in which that firm is located and for that country to have a market for publicly traded securities distinct from the capital markets of other...

This paper proposes a macro-prudential financial soundness analysis that can be used by most developing and transformation countries with or without crisis experience as well as by developed countries with limited data. The objective is to detect economic and financial sector vulnerability,...

Several developing economies witnessed a large number of systemic financial and currency crises since the 1980s which resulted in severe economic, social, and political problems. The devastating impact of the 1982 and 1994-95 Mexican crises, the 1997-98 Asian financial crisis, the 1998 Russian...

We provide empirical evidence that risk sharing enhances specialization in production. To the best of our knowledge, this well-established and important theoretical proposition has not been tested before. Our empirical procedure is summarized as follows. First, we construct a measure of...

Does financial development result in capital being reallocated more rapidly to industries where it is most productive? We argue that if this was the case, financially developed countries should see faster growth in industries with investment opportunities due to global demand and productivity...

In the paper we study the relationship between macroeconomic and stock market volatility, using S&P500 data for the period 1970- 2001. We find evidence of both long memory and structural change in volatility and a twofold linkage between stock market and macroeconomic volatility. In terms of the...

The second report of the Giovannini Group "The EU Repo Markets: Opportunities for Change" was submitted to the European Commission on 26 October 1999. This report looks at the repo markets in the EU and highlights those areas that are most clearly in need of reform. The report offers practical...

We propose a dynamic APT multi-factor model with time-varying volatility for currency, bond and stock returns for ten European countries over the period 1977-1997. We exploit the cross-sectional dimension of the model to construct world portfolios, which, when added to the original list of...

This paper examines the behaviour of daily asset price movements in Australian bond, share and foreign exchange markets over the period 1987 to 1996, and addresses four questions concerning volatility and international market linkages. First, is there evidence of a trend increase in volatility...