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Essays on globalization, monetary policy and financial crisis
Qian, Zongxin - 2012
This thesis focuses on three interlinked topics. Chapter 2 studies the determinants of sovereign CDS spreads in Greece, Ireland, Italy, Portugal and Spain during the recent global financial crisis and European debt crisis. Chapter 3 introduces a model on the interactions between monetary policy...
Persistent link: https://www.econbiz.de/10009622536
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Unspanned Global Macro Risks in Bond Returns
Zhao, Feng - 2020
This paper examines the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of real-time macro variables that are not subject to revisions, wefind that global macro factors have predictive power for bond returns unspanned by yield factors.Furthermore, we...
Persistent link: https://www.econbiz.de/10012856793
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Global risks, the macroeconomy, and asset prices
Costola, Michele; Donadelli, Michael; Gerotto, Luca; … - In: Empirical economics : a quarterly journal of the … 63 (2022) 5, pp. 2357-2388
Persistent link: https://www.econbiz.de/10013440484
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Determinants of sovereign spreads in Sri Lanka : global factors and country-specific fundamentals
Kariyawasam, Nirukthi Prathiba; Jayasinghe, Prabhath - In: Asian journal of economics and banking : AJEB 6 (2022) 2, pp. 236-254
Purpose - The study aims to analyze and compare the influence of country-specific fundamentals and global conditions on sovereign risk of Sri Lanka within the sample period of 2006-2019 while employing Treasury bond rates as proxy for sovereign risk. Design/methodology/approach - The determinant...
Persistent link: https://www.econbiz.de/10013352704
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Measuring global and country-specific uncertainty
Ozturk, Ezgi O.; Sheng, Xuguang - In: Journal of international money and finance 88 (2018), pp. 276-295
Persistent link: https://www.econbiz.de/10012000947
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Essays on monetary and international macroeconomics
Traczyk, Adam - 2011
Persistent link: https://www.econbiz.de/10009229846
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Global Equity Yields
Soerlie Kvaerner, Jens; Sandoval, Jan - 2023
We construct a panel of global equity yields by modifying the model of Giglio et al. (2021) so it works internationally. We revisit stylized facts about equity yields, primarily based on US data, and provide several new results. On old facts, we study the dynamics of global equity yields, their...
Persistent link: https://www.econbiz.de/10014254722
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The two-sided effect of financial globalization on output volatility
Meller, Barbara - 2011
volatility. In the framework of a threshold model, it is shown empirically that this relation depends on country’s financial risk … risk, financial openness decreases output volatility, while, in countries with high financial risk, financial openness … increases output volatility. Extensive robustness checks confirm this result. -- Output volatility ; financial openness …
Persistent link: https://www.econbiz.de/10009006765
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Sovereign credit ratings, growth volatility and the global financial crisis
Hassan, Gazi M.; Wu, Eliza - In: Applied economics 47 (2015) 52/54, pp. 5825-5840
Persistent link: https://www.econbiz.de/10011348853
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The two-sided effect of financial globalization on output volatility
Meller, Barbara - In: Review of world economics 149 (2013) 3, pp. 477-504
Persistent link: https://www.econbiz.de/10010188106