We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high frequency futures returns for each of the markets. We find that news surprises produce conditional mean...

This paper tests for the existence of contagion during the 1997/98 Asian crisis. We interpret contagion as a significant change in the way that country-specific shocks are transmitted across international stock markets. Using the full-information framework of Favero and Giavazzi (2002) we find...

Research on the macroeconomic impact of capital account liberalization finds few, if any, robust effects of liberalization on real variables. In contrast to the prevailing wisdom, I argue that the textbook theory of liberalization holds up quite well to a critical reading of this literature. The...

When developing countries announce debt relief agreements under the Brady Plan, their stock markets appreciate by an average of 60% in real dollar terms - a $42 billion increase in shareholder value. There is no significant stock market increase for a control group of countries that do not sign...

This paper investigates whether resident enterprise managers have an informational advantage about the countries where they work. We test this informational advantage hypothesis by using a unique dataset, the Global Competitiveness Survey. The findings suggest that local managers do have...

Markets have had limited success predicting crises and might do better by drawing on private information available to resident enterprise managers, who seem to know better than markets about future movements in exchange rates.Kaufmann, Mehrez, and Schmukler investigate whether resident...

Movements in stock prices in East Asia during the crisis in 1997-98 were triggered by both local and neighbor-country news. Having the highest impact was news about agreements with international organizations and credit rating agencies. But some changes seem to have been driven by herd instincts...

Movements in stock prices in East Asia during the crisis in 1997-98 were triggered by both local and neighbor-country news. Having the highest impact was news about agreements with international organizations and credit rating agencies. But some changes seem to have been driven by herd instincts...

We empirically examine how the global carry trade affects the dynamics of spot exchange rates and interest rates across 13 countries from 2000, through the world financial crisis, until the end of 2011. Our model identifies the weekly carry trade position in each currency by matching data on...

We build a model for the analysis of financial flows from advanced to emerging economies and introduce the quality dimension in cross-border asset trade. We reformulate the issue of transaction costs (Martin and Rey, 2004) in terms of a problem of trade in assets with different quality. The...