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Sudden spikes in global risk
Bacchetta, Philippe; Van Wincoop, Eric - In: Journal of international economics 89 (2013) 2, pp. 511-521
Persistent link: https://www.econbiz.de/10009719568
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The 2011 Japanese earthquake, tsunami and nuclear crisis : evidence of contagion from international financial markets
Asongu, Simplice A. - 2011
study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake, tsunami and … heteroscedasticity biases based on correlation coefficients to examine if any contagion occurred across financial markets after the March … foreign exchange markets suffered from contagion, stock markets of Taiwan, Bahrain, Saudi Arabia and South Africa witnessed a …
Persistent link: https://www.econbiz.de/10011410521
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Globalization, financial crisis and contagion : time-dynamic evidence from financial markets of developing countries
Asongu, Simplice A. - 2011
examines whether equity markets in emerging countries were vulnerable to contagion during the recent financial meltdown …
Persistent link: https://www.econbiz.de/10011410546
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Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis
Beirne, John; Caporale, Guglielmo Maria; … - 2009
dominating in Asia, and regional spillovers in Latin America and the Middle East. -- volatility spillovers ; contagion ; stock …
Persistent link: https://www.econbiz.de/10003887350
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Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis
Beirne, John; Caporale, Guglielmo Maria; … - 2009
dominating in Asia, and regional spillovers in Latin America and the Middle East. -- Volatility spillovers ; contagion ; stock …
Persistent link: https://www.econbiz.de/10003891055
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Do implicit barriers matter for globalization?
Carrieri, Francesca; Chaieb, Ines; Errunza, Vihang R. - 2010
Market liberalization may not result in global pricing or full market integration if implicit barriersare important. We test this proposition for 22 emerging markets using the conditional version ofErrunza and Losq (1985) model. We estimate and compare the degree of integration for stocksthat...
Persistent link: https://www.econbiz.de/10008798297
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Crises, capital controls, and financial integration
Levy Yeyati, Eduardo; Schmukler, Sergio L.; Horen, … - 2008
This paper analyzes the effects of capital controls and crises on financial integration, using stocks from emerging economies that trade in both domestic and international markets. The cross-market premium (the ratio between the domestic and the international market price of cross-listed stocks)...
Persistent link: https://www.econbiz.de/10003855387
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China's capital flight : pre- and post-crisis experiences
Cheung, Yin-Wong; Steinkamp, Sven; Westermann, Frank - 2015
We study China's illicit capital flow and document a change in its pattern. Specifically, we observe that China's capital flight, especially the one measured by trade misinvoicing, exhibits a weakened response in the post-2007 period to the covered interest disparity, which is a theoretical...
Persistent link: https://www.econbiz.de/10011375683
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The monetary exchange rate model as a long-run phenomenon
Groen, Jan J. J. - 1998
Pure time series-based tests fail to find empirical support formonetary exchange rate models. In this paper we apply pooled timeseries estimation on a forward-looking monetary model, resulting inparameter estimates which are in compliance with the underlyingtheory. Based on a panel version of...
Persistent link: https://www.econbiz.de/10011299983
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Estimating the impacts of US LSAP's on emerging market economies' local currency bond markets
Moore, Jeffrey A.; Nam, Sunwoo; Suh, Myeongguk; Tepper, … - 2013
This paper examines whether large-scale asset purchases (LSAPs) by the Federal Reserve influenced capital flows out of the United States and into emerging market economies (EMEs) and also analyzes the degree of pass-through from long-term U.S. government bond yields to long-term EME bond yields....
Persistent link: https://www.econbiz.de/10009692612