Traditional Monte Carlo simulation using linear correlations induces estimation bias in measuring portfolio value-at-risk (VaR) due to the well-documented existence of fat-tail, skewness, truncations, and non-linear relations of return distributions. In this paper, we evaluate the effectiveness...

Foreign portfolio investment is a major means by which emerging stock markets accumulate capital. However, the high mobility of foreign funds is a concern for local investors and policymakers in emerging countries because it may induce high stock price volatility. In this study, we utilized a...

This paper studies the effect of monetary policy on bond yields using the narrative shocks derived from the work of Romer and Romer (AER, 2004). Monetary shocks are orthogonalized against authorities' forward-looking behaviors, thereby capturing the true monetary effect on the economy. The...

This paper examines the rigidity of bank retail interest rates using the data from seven developing Asian countries. Empirical results, based on an error correction model, suggest that the retail bank rates in these countries follow similar sluggish adjustment processes as those in the euro...

This paper presents a test of the responses of REIT returns to Federal Reserve policy shocks using a time varying Markov regime switching framework. Following Kuttner (2001) and Gurkaynak et al. (2005), I use high-frequency Federal funds futures data to extract monetary shocks. The model...

Due to the small market size and the low trading volume, emerging markets are, in general, shallow and easily affected by external factors such as the capital flows from foreign portfolio investment and the stock market fluctuations of their major trading partners. This study attempts to...