Narrow search
Showing 1 - 10 of 2,634
Cover Image
Mutual funds and safe government bonds : do returns matter?
Graziano, Marco; Habib, Maurizio Michael - 2024
This paper investigates the sensitivity of the demand for safe government debt to currency unhedged and hedged excess returns in a sample of US mutual funds. We find evidence of active rebalancing towards government bonds that offer relatively higher returns on an unhedged basis, in particular...
Persistent link: https://www.econbiz.de/10014527087
Cover Image
Estimating capital flows to emerging market economies with heterogeneous panels
Hernández, Marco A. - 2015
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...
Persistent link: https://www.econbiz.de/10010486876
Cover Image
The role of asymmetry and uncertainties in the capital flows- Economic Growth Nexus
Raheem, Ibrahim Dolapo; Le Roux, Sara; Asongu, Simplice - 2019
This study examines the asymmetry between capital flows and economic growth in 42 countries for the period 1990-2017. It further argues that uncertainty is an important channel through which asymmetry operates. As such, the three measures of uncertainty are macroeconomic, fiscal and...
Persistent link: https://www.econbiz.de/10012058445
Cover Image
Real Financial Market Exchange Rates and Capital Flows
Gelman, Maria - 2016
Foreign exchange rates and capital movements are expected to be closely related to each other as international capital markets become more and more integrated. To account for this fact we construct an index of real effective exchange rates as a weighted average of cross-country asset price...
Persistent link: https://www.econbiz.de/10012988647
Cover Image
Effects of global liquidity on commodity and food prices
Belke, Ansgar; Bordon, Ingo; Volz, Ulrich - 2012
This paper investigates the relationship between global liquidity and commodity and food prices applying a global cointegrated vector-autoregressive model. We use different measures of global liquidity and various indices of commodity and food prices for the period 1980-2011. Our results support...
Persistent link: https://www.econbiz.de/10010209976
Cover Image
A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 6-30
This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained … between the S&P 500 daily return series and a similar series for the VIX in terms of a long sample drawn from the CBOE from … captures the behavior of the new VIX, introduced in 2003, is divided into four sub-samples which permit the exploration of the …
Persistent link: https://www.econbiz.de/10011555743
Cover Image
Quantile risk-return trade-off
Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14
We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...
Persistent link: https://www.econbiz.de/10012587977
Cover Image
Exchange rate pass-through and inflation dynamics in Tunisia: A Markov-Switching approach
Khemiri, Rim; Ali, Mohamed Sami Ben - 2012
This paper studies the effect of exchange rate pass-through on inflation in Tunisia over the period 2001-2009. The authors' objective is to track inflation regimes for the Tunisian economy and to forecast its determinants. Using a Markov-switching approach, the authors identified two main...
Persistent link: https://www.econbiz.de/10010310073
Cover Image
Determinants of European stock market integration
Büttner, David; Hayo, Bernd - 2009
We analyse the determinants of stock market integration among EU member states for the period 19992007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate risk,...
Persistent link: https://www.econbiz.de/10003888969
Cover Image
Market linkages, variance spillovers and correlation stability : empirical evidence of financial contagion
Billio, Monica; Caporin, Massimiliano - 2007
We propose a simultaneous equation system with GARCH errors to model the contemporaneous relations among Asian and American stock markets. On the estimated residuals, we evaluate the correlation matrix over rolling windows and introduce a correlation matrix distance, which allows both a...
Persistent link: https://www.econbiz.de/10003912121