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Risk spillovers between global corporations and Latin American sovereigns : global factors matter

Gómez González, José Eduardo; Uribe, Jorge; … - 2022

This paper studies volatility spillovers in credit default swaps (CDS) between the corporate sectors and Latin American countries. Daily data from October 14, 2006, to August 23, 2021, are employed. Spillovers are computed both for the raw data and for filtered series which factor out the effect...

Persistent link: https://www.econbiz.de/10014495999

Risk spillovers between global corporations and Latin American sovereigns : global factors matter

Gómez González, José Eduardo; Uribe, Jorge; … - In: Applied economics 55 (2023) 13, pp. 1477-1496

Persistent link: https://www.econbiz.de/10013554932

Do markets care about Central Bank governor changes? : evidence from emerging markets

Moser, Christoph (contributor); Dreher, Axel (contributor) - 2007

Central bank governor changes in emerging markets may convey important signals about future monetary policy. Based on a new daily data set, this paper examines the reactions of foreign exchange markets, domestic stock market indices and sovereign bond spreads to central bank governor changes....

Persistent link: https://www.econbiz.de/10003764065

What Happens in Emerging Markets If Recent Bank and Portfolio Inflows Reverse?

De Bock, Reinout - 2012

A substantial amount of foreign portfolio and bank-related capital has been flowing into a number of emerging market economies since 2009. A reversal of these flows as a consequence of financial deleveraging or waning risk appetite could place the financial sectors of many of those economies...

Persistent link: https://www.econbiz.de/10013107278

Measuring Financial Integration : More Data, More Countries, More Expectations

Chinn, Menzie David; Itō, Hiro - National Bureau of Economic Research - 2023

We assess market mediated financial integration over the last fifty years. We first systematically lay out several definitions of financial integration, and then review the evidence regarding whether covered interest parity, uncovered interest parity, and real interest parity hold across...

Persistent link: https://www.econbiz.de/10014322892

International financial integration : too much?

Taşdemir, Fatma - In: Borsa Istanbul Review 23 (2023) 2, pp. 402-411

According to theory, financial openness (FO) increases growth. The literature often conditions the growth effect of FO on favorable collateral environment. However, this can conceal the actual growth benefits of FO. This paper contributes to the literature by investigating the unconditional...

Persistent link: https://www.econbiz.de/10014307771

Asymmetric dynamic conditional correlation approach to financial contagion : a study of Asian markets

Rajwani, Shegorika; Kumar, Dilip - In: Global business review 17 (2016) 6, pp. 1339-1356

Persistent link: https://www.econbiz.de/10011665161

Stock markets and the COVID-19 fractal contagion effects

Okorie, David Iheke; Lin, Boqiang - In: Finance research letters 38 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012490623

Effect of catastrophic disaster in financial market contagion

Siddikee, Md. Noman; Rahman, Mohammad Mafizur - In: Cogent economics & finance 5 (2017) 1, pp. 1-13

The study examined the contagion effect of financial market volatility from Australian capital market to Indian, New … residuals after the catastrophes. Finally, Fishers r to z transformation was used for identifying contagion. After Victoria … respective z > +1.96 validates contagion. The adjusted correlation coefficient of Australia with China and Japan increased after …

Persistent link: https://www.econbiz.de/10011597973

China-Africa financial markets linkages : volatility and interdependence

Ahmed, Abdullahi Dahir; Huo, Rui - In: Journal of policy modeling : JPMOD ; a social science … 40 (2018) 6, pp. 1140-1164

Persistent link: https://www.econbiz.de/10012053566