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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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Bankruptcy, Investment, and Financial Constraints: Evidence from a Post-Transition Economy
Pospíšil, Martin; Schwarz, Jiří - 2014
In this paper we use balance-sheet data and information on bankruptcy to study the relationship between investment, financial constraints, and bankruptcy in a posttransition country. Our data constitute a dynamic panel and cover the period 2006-2011, which also allows us to study the impact of...
Persistent link: https://www.econbiz.de/10010358370
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The household cash flow channel of monetary policy
La Cava, Gianni; Hughson, Helen; Kaplan, Greg - 2016
Persistent link: https://www.econbiz.de/10013259664
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FX Funding Risks and Exchange Rate Volatility-Korea's Case
Ree, Jack - 2013
This paper examines how exchange rate volatility and Korean banks' foreign exchange liquidity mismatches interacted …
Persistent link: https://www.econbiz.de/10013089342