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Financial crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...

Persistent link: https://www.econbiz.de/10011663407

Contagion : How to Measure it?

Rigobon, Roberto - 2001

The empirical literature on contagion has mainly measured the propagation of shocks across countries using daily stock … to measure contagion. The paper argues that if the data suffers from heteroskedasticity (conditional or not), omitted …

Persistent link: https://www.econbiz.de/10014036215

Financial Markets and International Risk Sharing in Emerging Market Economies

Schmitz, Martin - 2012

In light of rapidly increasing foreign equity liability positions of emerging market economies, we test for a necessary condition of international risk sharing, namely for systematic patterns between idiosyncratic output fluctuations and financial market developments. Panel analysis of 22...

Persistent link: https://www.econbiz.de/10013104147

Exchange risk and market integration

Chaieb, Ines; Errunza, Vihang R. - 2014

Market integration and currency risk are two main factors that distinguish international investment and financing decisions. Hence, we investigate the impact of currency factor on the dynamics of market integration. We compare integration indices estimated from conditional international asset...

Persistent link: https://www.econbiz.de/10010337959

Correlation analysis of financial contagion : what one should know before running a test

Corsetti, Giancarlo; Pericoli, Marcello; Sbracia, Massimo - 2001

This paper builds a general test of contagion in financial markets based on bivariate correlation analysis - a test … that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in … contagion is successful in controlling for a potential bias induced by changes in the variance of global shocks, current tests …

Persistent link: https://www.econbiz.de/10011609589

Dollarization of Liabilities : Underinsurance and Domestic Financial Underdevelopment

Caballero, Ricardo J.; Krishnamurthy, Arvind - 2003

While there is still much disagreement on the causes underlying recent emerging markets' crises, one factor that most observers have agreed upon is that contracting "dollar" (foreign currency) denominated external debt - as opposed to domestic currency debt - created balance sheet mismatches...

Persistent link: https://www.econbiz.de/10014151417

International equity flows and returns

Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - 2004

This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...

Persistent link: https://www.econbiz.de/10009636533

International Equity Flows and Returns : A Quantitative Equilibrium Approach

Albuquerque, Rui A. - 2014

This paper reconsiders the role of foreign investors in developed country equity markets. It presents a quantitative model of trading that is built around two new assumptions about investor sophistication: (i) both the foreign and domestic populations contain investors with superior information...

Persistent link: https://www.econbiz.de/10013039668

What Makes Systemic Risk Systemic? Contagion and Spillovers in the International Sovereign Debt Market

Kalotychou, Elena - 2014

taking place after 2007. We analyze contagion by studying the immediate effects of these events on CDS spreads of other … that such “fast and furious” contagion has been by and large a regional phenomenon. To analyze “slow burn” spillover …

Persistent link: https://www.econbiz.de/10013055684

Routes to Equity Market Integration - The Interplay between Politicians, Investors and Managers

Oxelheim, Lars - 2000

Most econometric studies of equity market integration suggest that national markets are increasingly becoming part of a global equity market. As regards the extent of this integration, however, the results are often inconclusive. Further analysis calls for a closer scrutiny of the basic...

Persistent link: https://www.econbiz.de/10010334944

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