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Domestic and multilateral effects of capital controls in emerging markets
Pasricha, Gurnain Kaur; Falagiarda, Matteo; … - 2015
Using a novel data set on capital control actions in 17 emerging-market economies (EMEs) over the period 2001 - 11, we provide new evidence on domestic and multilateral (or spillover) effects of capital controls. Our results, based on panel vector autoregressions, suggest that capital control...
Persistent link: https://www.econbiz.de/10011372773
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Drivers of global liquidity and global bank flows : a view from the euro area
Everett, Mary - 2016
This paper exploits a novel bank-level monthly dataset to assess the effects of global liquidity on the global flows of euro area banks. The period associated with the European sovereign debt crisis has witnessed increased growth in euro area bank claims on extra-euro area residents, against a...
Persistent link: https://www.econbiz.de/10011446311
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America First? : a US-centric view of global capital flows
McQuade, Peter; Schmitz, Martin - 2019
Both academic researchers and policymakers posit a unique role for the US in the inter-national financial system. This paper investigates the characteristics and determinants of US cross-border financial flows and examines how these contrast with those of the rest of the world. We analyse the...
Persistent link: https://www.econbiz.de/10011975553
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Spillover effects of the US financial crisis on financial markets in emerging Asian countries
Kim, Bonghan; Kim, Hyeongwoo; Leeb, Bong‐Soo - 2015
Persistent link: https://www.econbiz.de/10010512537
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Simultaneous stochastic volatility transmission across american equity markets
Weber, Enzo (contributor) - 2008
Information flows across international financial markets typically occur within hours, making volatility spillover appear contemporaneous in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility model developed in this paper, in contrast to usually...
Persistent link: https://www.econbiz.de/10003727720
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Stock market integration between three CEECs, Russia and the UK
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining … spillovers between the three CEECs considered and the UK (contagion). -- Central and Eastern European countries (CEECs …
Persistent link: https://www.econbiz.de/10003942221
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The signal of volatility
Strohsal, Till; Weber, Enzo - 2012
The present study addresses the economic interpretation of stock market volatility. We argue that its character is inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We discriminate between these views by measuring the fraction of price changes that...
Persistent link: https://www.econbiz.de/10009551892
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Identifying volatility signals from time-varying simultaneous stock market interaction : conference paper
Strohsal, Till; Weber, Enzo - 2013
In the academic literature, the economic interpretation of stock market volatility is inherently ambivalent, being considered an indicator of either information flow or uncertainty. We show in a stylized model economy that both views suggest volatility-dependent cross-market spillovers. If...
Persistent link: https://www.econbiz.de/10010339937
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Measurement of volatility spillovers and asymmetric connectedness on commodity and equity markets
Palanska, Tereza - 2018
We study volatility spillovers among commodity and equity markets by employing a recently developed approach based on realized measures and forecast error variance decomposition invariant to the variable ordering from vector-autoregressions. This enables us to measure total, directional and net...
Persistent link: https://www.econbiz.de/10011914776