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Asset price changes, external wealth and global welfare
Meyer, Timothy Andreas - 2024
world on the U.S. external position. The author constructs their global distribution, carefully accounting for the role of …
Persistent link: https://www.econbiz.de/10014500929
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Determinants of financial stress and recovery during the great recession
Aizenman, Joshua; Pasricha, Gurnain Kaur - 2010
In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size of the peak-trough declines in the stock price...
Persistent link: https://www.econbiz.de/10008689040
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Determinants of financial stress and recovery during the great recession
Aizenman, Joshua; Pasricha, Gurnain Kaur - 2010
In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size of the peak-trough declines in the stock price...
Persistent link: https://www.econbiz.de/10008699195
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Determinants of financial stress and recovery during the great recession
Aizenman, Joshua; Pasricha, Gurnain Kaur - 2011
In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size of the peak-trough declines in the stock price...
Persistent link: https://www.econbiz.de/10009355200
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FII Flows and Stock Market Volatility : Exploring Causal Link
Saxena, Swami - 2012
In the age of transnational capitalism, significant amounts of capital are flowing from developed world to emerging …
Persistent link: https://www.econbiz.de/10013106255
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Good news is bad news : leverage cycles and sudden stops
Akinci, Ozge; Chahrour, Ryan - 2015
We show that a model with imperfectly forecastable changes in future productivity and an occasionally binding collateral constraint can match a set of stylized facts about "sudden stop" events. "Good" news about future productivity raises leverage during times of expansion, increasing the...
Persistent link: https://www.econbiz.de/10011338832
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Good News Is Bad News : Leverage Cycles and Sudden Stops
Akinci, Ozge - 2015
We show that a model with imperfectly forecastable changes in future productivity and an occasionally binding collateral constraint can match a set of stylized facts about “sudden stop” events. “Good” news about future productivity raises leverage during times of expansion, increasing...
Persistent link: https://www.econbiz.de/10013014942
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International Stock Market Co-Movements and Politics-Related Risks
Pagliardi, Giovanni - 2019
components: political risk and economic policy risk. We uncover the surprisingly low correlation between the two variables, and … utmost relevance of political risk, which explains and predicts returns driven by both short-term and long-run correlations …
Persistent link: https://www.econbiz.de/10012890799
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Evidence of economic policy uncertainty and COVID-19 pandemic on global stock returns
Chiang, Thomas C. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-24
This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence...
Persistent link: https://www.econbiz.de/10012813880
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Equity Anomalies and Idiosyncratic Risk Around the World
Fan, Steve Z. - 2014
In this study, we examine how idiosyncratic risk is correlated with a wide array of anomalies, including asset growth … provide strong evidence to support the limits of arbitrage theory across countries by documenting a positive correlation … between idiosyncratic risk and abnormal return. It suggests that the existence of these well-known anomalies is due to …
Persistent link: https://www.econbiz.de/10013043714