6-factors APT model, in which an additional risk factor for foreign portfolio capital flows was included. First, in an … activity, level of risk and level of corporate governance, foreign portfolio capitals caused increases in returns especially … for sectors related to commodities, industry and cyclical consumption. For the portfolios sorted by risk (in which the …

crises. This study measured the effect of foreign capital flows on volatility and exposure to world market risk in the six … 2008's World financial crisis. This will test whether these flows cause instability for those markets and increase their …, both univariate (ARCH-GARCH) and multivariate (VAR), are used to estimate the effect foreign portfolio flows on the risk …

crisis, confirming the existence of contagion and the intensification of systemic risk. The introduction of capital flow …

real effects resulting from a more efficient resource allocation predicted by theory. We find that: (a) financial … systemic real risk realizations; (c) financial integration fosters domestic financial development and the liquidity of equity … in the form of improved countries' growth prospects and lower systemic real risk …

Conventional wisdom suggests that financial liberalization can help countries insure against idiosyncratic risk. There … is little evidence, however, that countries have increased risk sharing despite recent widespread financial …, financial contracts are incomplete and enforceability of debt repayment is limited. Default risk of debt contracts constrains …

This study investigates the apparent lack of insurance against country-specific risk observed internationally. Using a …-movements of prices and quantities suggesting that risk sharing is worse in emerging economies than in advanced economies. I then … international risk sharing. I show that shocks to trend productivity growth provide a compelling explanation for the distinct risk …

empirical analysis finds that adjustment in integrated economies is slower. Consistent with the presented theory the trade …