E tanulmányban azt vizsgáljuk, hogy miként alkalmazkodik egy kis, nyitott gazdaság a külső finanszírozási feltételek hirtelen romlásához. A hitelválságot nemlineáris specifikációval modellezzük, amely kezelhető módon jeleníti meg a hitelezési korlátokat. Megközelítésünk...

Despite the liberalization of capital flows among OECD countries, equity home bias remains sizable. We depart from the two familiar explanations of equity home bias: transaction costs that impede international diversification, and terms of trade responses to supply shocks that provide risk...

This paper examines how cross-border differences in the stringency of bank regulations affect U.S. banks’ international activities. The analysis relies on a unique bank-level dataset on the globally most active U.S. banks’ balance sheet as well as their cross-border, foreign affiliate...

This paper describes one proposition about dynamic Markowitz portfolio selection in a two-country open economy. Here it is proved that, assuming that two countries in an open economy share the same risk absolute aversion coefficient and the same information set with some conditions, the...

Recently, the yen carry trade has been focused on the international financial market. However, there are few empirical studies on the yen carry trade. This paper investigates the relationship between the yen carry trade and the related financial variables in the US and Japan by the structural...

The objective of this paper, by employing the Constant Conditional Correlation(CCC) and Dynamic Conditional Correlation(DCC) MGARCH-M model using the unexpected exchange rate shock to measure the impact effect of the U.S.D, Yen and Eurodollar exchange rate shock mean and volatility spillover to...

This paper investigates relationships of the money market between China and the U.S by using the Nelson-Siegel model to decompose the structure of yield curve into three factors and find out how the structure of the yield curve in the U.S can affect China's economy, for example, I operate the...

The U.S. trade deficit is a major concern for the G-7 countries. However, it is unclear whether their fiscal and monetary policies are effective in this regard. We examine the relationship between the U.S. trade balance and the G-7 countries' policy variables by constructing an eight-dimensional...

This paper tries to ascertain whether the expectations hypothesis of the term structure of interest rates was fulfilled for the EMU countries in the period previous to its launching. To this end, we employ individual country data for the Euro area. Using pooled and panel cointegration techniques...

We characterize how risk evolves during a crisis. Using high-frequency data, we find that the first two principal components (PCs) of the covariance matrix of global asset returns experience large, sudden, and temporary spikes coinciding with well-known crises - Covid-19 pandemic, Global...