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Caggiano, Giovanni; Castelnuovo, Efrem - 2021

We estimate a novel measure of global Önancial uncertainty (GFU) with a dynamic factor framework that jointly models global, regional, and country-speciÖc factors. We quantify the impact of GFU shocks on global output with a VAR analysis that achieves set-identiÖcation via a combination of...

Persistent link: https://www.econbiz.de/10012432185

Financial spillover and global risk in a multi-region model of the world economy

Croitorov, Olga; Giovannini, Massimo; Hohberger, Stefan; … - In: Journal of economic behavior & organization : JEBO 177 (2020), pp. 185-218

Persistent link: https://www.econbiz.de/10012437314

Optimal currency crises

Allen, Franklin - In: Financial crises, contagion, and the lender of last …, (pp. 315 - 358). 2002

Persistent link: https://www.econbiz.de/10014554455

Multivariate Dependence Risk and Portfolio Selection : An Application to International Stock Portfolio

Simo-Kengne, Beatrice - 2016

This study analyses the risk dependence of international stock portfolio based on three risk metrics, namely, the …

Persistent link: https://www.econbiz.de/10012980838

International consumption risk sharing

Canova, Fabio; Ravn, Morten O. - 1994

Persistent link: https://www.econbiz.de/10013421983

International Capital Movements Under Uncertainty

Grossman, Gene M.; Razin, Assaf - 2021

, by the asset preferences of risk averse consumer-investors. In a one-good variant in the spirit of the MacDougall model …

Persistent link: https://www.econbiz.de/10013311908

Global political risk and international stock returns

Gala, Vito D.; Pagliardi, Giovanni; Zenios, Stauros Andrea - In: Journal of empirical finance 72 (2023), pp. 78-102

Persistent link: https://www.econbiz.de/10014476810

Financial market integration : a complex and controversial journey

Donadelli, Michael; Gufler, I.; Paradiso, Antonio - In: International review of financial analysis 92 (2024), pp. 1-23

Persistent link: https://www.econbiz.de/10014492428

News-based economic policy uncertainty and financial contagion : an international evidence

Hadhri, Sinda - In: The quarterly review of economics and finance : journal … 90 (2023), pp. 63-76

Persistent link: https://www.econbiz.de/10014431871

Trade-off Between International and Domestic Risk Sharing in the Presence of Sovereign Risk

Rappoport, Veronica - 2011

This paper analyzes how sovereign risk affects government's ability to smooth domestic risk when policy tools … idiosyncratic risk, this distortion results in excessive consumption inequality in the cross-section of domestic agents and … excessive consumption volatility in the time series. Opening the capital account enables international risk sharing, but also …

Persistent link: https://www.econbiz.de/10014045013