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Reversals in Market Integration : A Funding Liquidity Explanation
Akbari, Amir - 2016
This paper provides an explanation for reversals in global equity market integration through the funding liquidity …, explains how reversals occur as funding liquidity becomes scarce. Empirically, the betting against beta portfolios of the model … that load on funding liquidity comove less across markets during global funding distress periods. This suggests that at …
Persistent link: https://www.econbiz.de/10012995401
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Bankruptcy Costs, Liability Dollarization, and Vulnerability to Sudden Stops
Aysun, Uluc - 2010
Countries with intermediate levels of institutional quality suffer larger output contractions following sudden stops of capital inflows than less developed nations. However, countries with strong institutions seldom experience significant falls in output after capital flow reversals. We...
Persistent link: https://www.econbiz.de/10013138449
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International Liquidity Management : Sterilization Policy in Illiquid Financial Markets
Caballero, Ricardo J.; Krishnamurthy, Arvind - 2003
the international liquidity management aspect of sterilization over the traditional monetary one, a re-focus that seems … liquidity management issues more generally …
Persistent link: https://www.econbiz.de/10014155474
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Capital Controls and International Financial Stability : A Dynamic General Equilibrium Analysis in Incomplete Markets
Buss, Adrian - 2019
In this paper, we conduct an analysis of the implications of capital controls for financial stability. We study a financial transaction (Tobin) tax applicable to cross-border capital flows in a multi-good, multi-country dynamic equilibrium model with incomplete financial markets and...
Persistent link: https://www.econbiz.de/10012905929
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Capital Controls and International Financial Stability : A Dynamic General Equilibrium Analysis in Incomplete Markets
Buss, Adrian - 2013
In this paper, we conduct an analysis of the implications of capital controls for financial stability. We study a financial transaction (Tobin) tax applicable to cross-border capital flows in a multi-good, multi-country dynamic equilibrium model with incomplete financial markets and...
Persistent link: https://www.econbiz.de/10013077233
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The global factor structure of exchange rates
Korsaye, Sofonias Alemu; Trojani, Fabio; Vedolin, Andrea - 2020
We provide a model-free framework to study the global factor structure of exchange rates. To this end, we propose a new methodology to estimate international stochastic discount factors (SDFs) that jointly price cross-sections of international assets, such as stocks, bonds, and currencies, in...
Persistent link: https://www.econbiz.de/10012419696
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The impact of liquidity crises on cash flow sensitivities
Drobetz, Wolfgang; Haller, Rebekka; Meier, Iwan; … - In: The quarterly review of economics and finance : journal … 66 (2017), pp. 225-239
Persistent link: https://www.econbiz.de/10011792851
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Limits to arbitrage during the crisis : funding liquidity constraints and covered interest parity
Mancini Griffoli, Tommaso; Ranaldo, Angelo - 2014
liquidity in dollars kept traders from arbitraging away excess profits. Risk factors, instead, are mostly insignificant …. Liquidity factors involve intermediaries cutting back loans to arbitrageurs in order to shrink their balance sheet, and hoarding … liquidity to cover their own funding strains. In addition, it seems that arbitrageurs themselves had insufficient pledge …
Persistent link: https://www.econbiz.de/10010407205
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Capital flows, financial asset prices and real financial market exchange rate : a case study for an emerging market, India
Ghosh, Saurabh; Reitz, Stefan - 2012
In this paper we empirically investigate the relationship between capital flows and exchange rates in India based on a new index of real effective exchange rates for the Indian Rupiah. Instead of using consumer price indices we deflate exchange rates by MSCI asset price indices. The...
Persistent link: https://www.econbiz.de/10009576029
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Real financial market exchange rates and capital flows
Gelman, Maria; Jochem, Axel; Reitz, Stefan; Taylor, Mark P. - 2014
Foreign exchange rates, asset prices and capital movements are expected to be closely related to each other as international capital markets become more and more integrated. This paper provides new empirical evidence from an index of exchange-rate adjusted cross-country asset price ratios, which...
Persistent link: https://www.econbiz.de/10010384182