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Do Securitized Real Estate Markets Jump? International Evidence
Li, Jie - 2014
We apply a jump GARCH model to daily returns of the ten largest international securitized real estate markets and investigate the sources of large price changes. We document, for the first time, evidence for jump dynamics across major international securitized real estate markets. Large price...
Persistent link: https://www.econbiz.de/10013044490
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Volatility Contagion between Crude Oil and G7 Stock Markets in the Light of Trade Wars and COVID-19 : An Application Based on the TVP-VAR Extended Joint Connectedness Approach
Chatziantoniou, Ioannis; Floros, Christos; Gabauer, David - 2021
We investigate volatility contagion across G7 stock markets and the market for crude oil for the period between 2007 … sample period. Prominent among our results is that the crude oil market is an important net transmitter of volatility shocks … for crude oil. Finally, we show that the Canadian stock market is a persistent net transmitter of volatility in recent …
Persistent link: https://www.econbiz.de/10013211886
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Are Currencies Coordinating? The Coupling-Decoupling Behavior of Won-Dollar and Yen-Dollar Exchange Rates
Kim, Jae-Young - 2012
This paper studies dynamic relation, namely, two currencies of Korean won and Japanese yen, before and after the East Asian financial crisis of the late 1990s. We conjecture that there exists a long-run relation between won and yen, which is characterized by a band-reverting-type dynamic...
Persistent link: https://www.econbiz.de/10013097345
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Integration of Sovereign Bonds Markets : Time Variation and Maturity Effects
Chaieb, Ines - 2014
We examine time varying integration of developed (DM) and emerging (EM) market government bonds. Although we find an upward trend for most countries and maturity bands, we do observe reversals and negative trends among both DMs and EMs and for some maturities during the financial crisis. We...
Persistent link: https://www.econbiz.de/10013050934
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How does sovereign bond market integration relate to fundamentals and CDS spreads?
Chaieb, Ines; Errunza, Vihang R.; Gibson, Rajna - 2016
We find that the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries is significantly heterogeneous. We show that better spanning can significantly enhance market integration through dissipating local risk premiums. Integration of the sovereign...
Persistent link: https://www.econbiz.de/10011618981
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What Makes Systemic Risk Systemic? Contagion and Spillovers in the International Sovereign Debt Market
Kalotychou, Elena - 2014
We analyze the cross-border propagation of systemic risk in the international sovereign debt market. Using daily data on CDS spreads for 67 sovereign borrowers from 2002 to 2013 we define sovereign credit events as those in which the spread widens by more than 99.9% of all spread changes within...
Persistent link: https://www.econbiz.de/10013055684
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The Anatomy of Sovereign Credit Contagion
Kalotychou, Elena - 2015
We analyze the channels for the cross-border propagation of sovereign credit risk in the international sovereign debt market. We study sovereign credit contagion through the immediate effects of credit events as defined by CDS spread jumps on the credit spreads of other regional sovereigns and...
Persistent link: https://www.econbiz.de/10013019398
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International transmission of interest rates : the role of international reserves and sovereign debt
Afonso, António; Huart, Florence; Jalles, João Tovar; … - 2021
over the period 1970-2018. Our main findings are: i) significant spillovers from the U.S. interest rates to other countries …) higher reserves decrease risk premia, for long-term interest rates; v) the significance of spillovers fades once the …
Persistent link: https://www.econbiz.de/10012504452
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The impact of sovereign wealth funds on international financial stability
Gomes, Tamara (contributor) - 2008
stabilizing role in financial markets by supplying liquidity and reducing market volatility. While characteristics such as a lack …
Persistent link: https://www.econbiz.de/10003775786