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International capital flows and bond risk premia
Sierra, Jesus - 2010
This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008. We run forecasting...
Persistent link: https://www.econbiz.de/10003981333
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International Capital Flows and Bond Risk Premia
Sierra Jimenez, Jesus A. - 2020
We investigate whether foreign purchases of long-term U.S. Treasury securities significantly affect their expected excess-returns. We run predictive regressions of realized excess returns on measures of net purchases of treasuries by both foreign official and private agents. We find that...
Persistent link: https://www.econbiz.de/10012857491
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Does beta explain global equity market volatility : some empirical evidence
Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66
The purpose of this study is to assess the diversification benefits resulting from international asset allocation. In this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity returns for 26 countries (18 developed and 8 emerging...
Persistent link: https://www.econbiz.de/10009770247
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Signaling credibility - choosing optimal debt and international reserves
Aizenman, Joshua; Fernández Ruiz, Jorge - 2006
. -- Credibility ; international reserves ; external debt …
Persistent link: https://www.econbiz.de/10003855396
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The dollar and emerging market economies : financial vulnerabilities meet the international trade system
Shousha, Samer - 2019
monetary policy credibility experience greater contractions during dollar appreciations …
Persistent link: https://www.econbiz.de/10012126103
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Signaling Credibility - Choosing Optimal Debt and International Reserves
Aizenman, Joshua; Fernandez-Ruiz, Jorge - 2008
This paper evaluates the challenges facing developing countries when there is uncertainty about the policy maker type. We consider a country characterized by volatile output, inelastic demand for fiscal outlays, high tax collection costs, and sovereign risk, where future output depends on the...
Persistent link: https://www.econbiz.de/10014213908
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Currency Boards, Dollarized Liabilities, and Monetary Policy Credibility
Spiegel, Mark M.; Valderrama, Diego - 2004
The recent collapse of the Argentine currency board raises new questions about the desirability of formal fixed exchange rate regimes in modern developing economies. This paper examines the impact of dollarized liabilities with potential default for a currency board with costly abandonment. We...
Persistent link: https://www.econbiz.de/10014071548
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Sovereign Debt Discounts and the Unwillingness to Pay
Clark, Ephraim; Zenaidi, Amel - 2014
Many studies show relationships between sovereign debt discounts and various structural, financial and other economic and qualitative phenomena. Although many of them explicitly mention the importance of the willingness to pay, they typically exclude it from the testing because the variable...
Persistent link: https://www.econbiz.de/10014135622
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The portfolio theory of inflation and policy (in)effectiveness
Bossone, Biagio - 2019
resources internationally based, inter alia, on the perceived policy credibility of the national authorities and their policies …. The PTI shows that when a country has low credibility and is heavily indebted, investors hold its economy to a tighter … higher inflation, with limited or no impact on output. On the other hand, high credibility creates space for effective and …
Persistent link: https://www.econbiz.de/10012012446
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The portfolio theory of inflation and policy (in)effectiveness revisited : corroborating evidence
Bossone, Biagio; Cuccia, Andrea - 2020
This study revisits and tests empirically the Portfolio Theory of Inflation (PTI), which analyzes how the effectiveness of macroeconomic policy in open and globally financially integrated economies is influenced by global investor decisions (Bossone, The portfolio theory of inflation and policy...
Persistent link: https://www.econbiz.de/10012140238