Current data provide macroeconomic information for a large number of countries and for a long period of time (macro panels). This causes that in these panels slope heterogeneity and crosssection dependence (CSD) are a rule rather than the exception, leading to fixed effects slope estimators to...

Purpose: To dissect the dynamic linkages between foreign equity flows, exchange rates and equity returns in the Philippines.Design/Methodology/Approach: Using a parsimonious SVARX-GARCH model and unique daily equity flow data this research models the relationship between net equity flows,...

This paper provides a definition of global liquidity consistent with its meaning as the “ease of financing” in international financial markets. Using a longer time series and broader sample of countries than in previous studies, it identifies global factors driving cross-border bank flows,...

This paper studies the determinants of global liquidity using data on cross-border bank flows, with a longer time series and broader country sample than previous studies. We define global liquidity as non-price determinants of cross-border credit supply, consistent with its meaning as the...

Emerging markets have grown rapidly over the past two decades, and sovereign and corporate borrowers are increasingly reliant on bond financing. Given widespread concern over what will happen to emerging market bonds as central banks in major advanced economies start to unwind quantitative...

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

As, in Europe, many institutional reforms have been undertaken to establish an economic union, it can be expected that the relevance of borders has decreased over time. For the EU 15, we investigate the expected integration process of the market for corporate control – an illustrative market...

Given the growing importance of terrorism in today's world, it is essential to understand its impact on the global economy. This paper examines the case of Israel to consider the impact of this phenomenon on the nation's economy. Specifically, it will aim to determine whether the Israeli...

This paper examines the changing correlations between the equity returns of Australia and the emerging equity markets and the tests the volatility, as a factor, that may cause the correlations to change over time. Linear regression estimates of Asymmetric Dynamic Conditional Correlation Model,...

This paper investigates the long-term financial integration and bivariate extreme dependency between Bovespa and Istanbul Stock Exchanges. While static cointegration test present no evidence of long term cointegration, introduction of a structural break to the model shows that Bovespa and ISE...