I show that the principal components analysis can be used to quantify the degree of economic integration, trace its evolution over time, and capture episodes of market segmentation. Based on long series of sovereign bond data for fifteen industrialized economies I document clear evidence of...

In dollarized financial systems, there exists a currency mismatch risk that could lead to financial crises. Central Banks in such economies have to adjust their foreign currency policies accordingly. This paper estimates the probability of Central Bankers' intervention in the foreign currency...

12% of all Austrian households reporting a housing loan in a 2004 financial wealth survey had borrowed in foreign currency. Given the importance of such “household carry trades,” their peculiar character, and immediate policy concerns, too little is known about the attitudes and...

This paper evaluates the effects of financial globalization on growth and macroeconomic volatility, from 1984 to 2003, for a sample of 43 countries. Particular attention is given to those effects on the member countries of the Latin American Reserve Fund (FLAR): Bolivia, Colombia, Costa Rica,...

Financial system’s health is a signal of economic growth therefore it is a key indicator to investors. As a consequence, one of the main purposes of policymakers is to keep its stability as well as protect it from foreign activity. Both financial and economic activity in general are...

This paper investigates the impact of global financial conditions, US macroeconomic news and domestic macroeconomic fundamentals on the evolution of EMBI spreads for a panel of 18 emerging market (EM) countries using daily data. To this end, we employ not only the conventional panel data...

The paper studies the effect of bond rating upgrades (downgrades) on stock prices in Chile which, based on the international evidence is expected to be positive (negative). However, no effect is observed, even when the sample is analyzed according to the type of agency that announced the rating...

One of the great unknowns in international finance is the process by which new information influences exchange rate behavior. Until recently, data constraints have limited our ability to examine this issue. The Olsen and Associates high-frequency spot market data greatly expand the range of...

This paper tests whether foreign equity exchange listings are associated with permanent valuation gains and examines how market and firm characteristics influence any valuation effects. Using a sample of 1256 listings placed in 24 countries, we find that much of the valuations gains to overseas...

This paper investigates how a foreign firm's decision to cross-list its shares in the U.S. is related to the concentration of the ownership of its cash flow rights and of its control rights. Theory has proposed that when private benefits are high, controlling shareholders are less likely to...