Showing 1 - 10 of 89
An important requirement, prior to countries’ adopting a common currency or maintaining an independent monetary policy, is establishing the extent to which they share a common economic cycle and how susceptible they are to region-specific shocks. For example, Kouparitsas (2001) has examined...
Persistent link: https://www.econbiz.de/10010860359
An important requirement, prior to countries’ adopting a common currency or maintaining an independent monetary policy, is establishing the extent to which they share a common economic cycle and how susceptible they are to region-specific shocks. For example, Kouparitsas (2001) has examined...
Persistent link: https://www.econbiz.de/10005086495
The possible crucial role of international bank lending in the transmission of adverse economic disturbance from advanced economies to emerging economies in the recent global financial crisis has once again placed this type of capital flows into sharper scrutiny both in academic and policy...
Persistent link: https://www.econbiz.de/10011201588
Using both panel and cross-sectional models for 28 industrialized countries observed from 2001 to 2009, we report a number of findings regarding the determinants of the volatility of returns on cross-border asset holdings (i.e., equity and debt). Greater portfolio concentration and an increase...
Persistent link: https://www.econbiz.de/10010860345
The global financial crisis of 2008 was a crisis affecting both the financial sector and the “real economy”. This paper analyzes the transmission of unexpected shocks from the financial sector in the US to other countries and sectors. We test the hypothesis that the financial crisis spread...
Persistent link: https://www.econbiz.de/10010860358
The global financial crisis of 2008 was a crisis affecting both the financial sector and the “real economy”. This paper analyzes the transmission of unexpected shocks from the financial sector in the US to other countries and sectors. We test the hypothesis that the financial crisis spread...
Persistent link: https://www.econbiz.de/10008515976
The possible crucial role of international bank lending in the transmission of adverse economic disturbance from advanced economies to emerging economies in the recent global financial crisis has once again placed this type of capital flows into sharper scrutiny both in academic and policy...
Persistent link: https://www.econbiz.de/10009493997
This paper investigates asymmetric increasing trends in dependence in major international equity markets. To this end, we develop a multiple-regime smooth-transition copula GARCH model and address several important questions, including the number of regimes and the existence of increasing...
Persistent link: https://www.econbiz.de/10010904242
This paper poses a multivariate test for contagion that distinguishes between vulnerability, positive and negative contagion. The model proides a time series of contagion with which the existence, severity and significance of crisis periods can be endogenously determined. Eleven stock markets...
Persistent link: https://www.econbiz.de/10005430323
Using a unique dataset on daily foreign exchange intervention and a new methodological framework of a latent factor model of central bank intervention, this paper addresses the effects of intervention in an emerging market. Events in financial markets from 2002 to 2010 provide a natural...
Persistent link: https://www.econbiz.de/10011201587