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Bank foreign currency funding and currency markets : the case of Mexico post GFC

Bush, Georgia - 2019

This paper examines the impact of foreign currency hedging demand on the foreign exchange market. First, the paper documents deviations from covered interest parity (CIP) for Mexico after the global financial crisis (GFC), and then it evaluates the effect of two variables in a regression-based...

Persistent link: https://www.econbiz.de/10012166177

Domestic and multilateral effects of capital controls in emerging markets

Pasricha, Gurnain Kaur; Falagiarda, Matteo; … - 2015

Using a novel data set on capital control actions in 17 emerging-market economies (EMEs) over the period 2001 - 11, we provide new evidence on domestic and multilateral (or spillover) effects of capital controls. Our results, based on panel vector autoregressions, suggest that capital control...

Persistent link: https://www.econbiz.de/10011372773

Drivers of global liquidity and global bank flows : a view from the euro area

Everett, Mary - 2016

This paper exploits a novel bank-level monthly dataset to assess the effects of global liquidity on the global flows of euro area banks. The period associated with the European sovereign debt crisis has witnessed increased growth in euro area bank claims on extra-euro area residents, against a...

Persistent link: https://www.econbiz.de/10011446311

EME financial conditions : which global shocks matter?

Lodge, David; Manu, Ana-Simona - 2019

This paper provides a quantitative assessment of the relative importance of global structural shocks for changes in financial conditions across a sample of emerging market economies. We disentangle four key drivers of global financial markets (oil supply shocks, global economic news shocks,...

Persistent link: https://www.econbiz.de/10012009181

America First? : a US-centric view of global capital flows

McQuade, Peter; Schmitz, Martin - 2019

with those of the rest of the world. We analyse the relative importance of US, country-specific, and global variables as …. Global and national risk indicators perform better in explaining "rest of the world" flows. Moreover, we find that the … correlation between US and rest of the world flows peaks in periods of elevated uncertainty. We interpret our findings as evidence …

Persistent link: https://www.econbiz.de/10011975553

International Bank Flows to Emerging Markets : Influence of Sovereign Credit Ratings and Their Regional Spillover Effects

Kim, Suk-Joong - 2013

We examine whether changes in sovereign credit ratings assessments provided by rating agencies help to determine international bank flows to emerging countries. We focus on the quarterly banking flows of G7 countries to a sample of 55 emerging market borrowers for the period 1995-2008. We find...

Persistent link: https://www.econbiz.de/10013094799

Cross-border capital flows and information spillovers across the equity and currency markets in emerging economies

Bathia, Deven; Demirer, Rıza; Ferrer, Román; Raheem, … - In: Journal of international money and finance 139 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014478226

Global liquidity : drivers, volatility and toolkits

Goldberg, Linda S. - 2023

Global liquidity refers to the volumes of financial flows—largely intermediated through global banks and non-bank financial institutions—that can move at relatively high frequencies across borders. The amplitude of responses to global conditions like risk sentiment, discussed in the context...

Persistent link: https://www.econbiz.de/10014302919

Global Liquidity : Drivers, Volatility and Toolkits

Goldberg, Linda S. - National Bureau of Economic Research - 2023

Global liquidity refers to the volumes of financial flows - largely intermediated through global banks and non-bank financial institutions - that can move at relatively high frequencies across borders. The amplitude of responses to global conditions like risk sentiment, discussed in the context...

Persistent link: https://www.econbiz.de/10014322743

Price and Volatility Spillovers between Global Equity, Gold, and Energy Markets Prior to and during the COVID-19 Pandemic

Elgammal, Mohammed - 2020

This study sets out to provide fresh evidence on the dynamic interrelationships, at both return and volatility levels, between global equity, gold, and energy markets prior to and during the outbreak of the novel coronavirus. We undertake our analysis within a bivariate GARCH(p, q) framework,...

Persistent link: https://www.econbiz.de/10012822913

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