In this paper, we study how global trade network provides a channel through which term premia comove and transmit across a large group of countries consisting both developed and developing economies. We provide the theoretical derivations on why the term premia may decrease with the trade...

We show that the cross-autocorrelation also exists in the global CDS markets and develop an econometric model to capture the global correlation structure. We study implications on the credit risk transmission and contagion risk. We find four main results: (i) credit risk transmission is through...

The use of parametric GARCH models to characterize crude oil price volatility is widely observed in the empirical literature. In this paper, we consider an alternative approach involving nonparametric method to model and forecast oil price return volatility. Focusing on two crude oil markets,...

This paper proposes a new risk factor based on a multi-country's trading imbalance network to explain foreign exchange rate fluctuations and currency risk premia associated with a currency carry trade strategy. We build a directed in-degree trading network of global countries linked by their...

We construct a novel database of monthly foreign exchange interventions for 49 countriesover up to 22 years. We build on a text classification approach that extracts informationabout interventions from news articles and calibrate our procedure to data about actualinterventions. This new dataset...