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The Global Financial Cycle and Capital Flow Episodes : A Wobbly Link?

Scheubel, Beatrice - 2019

We add to the literature on the influence of the global financial cycle (GFC) and gyrations in capital flows. First, we build a new measure of the GFC based on a structural factor approach, which incorporates theoretical priors in its definition. This measure can also be decomposed in a...

Persistent link: https://www.econbiz.de/10012858195

Net Capital Flows and Portfolio Diversification

Bürgi, Constantin - 2019

the well established link between asset returns and the cyclical correlation between countries in standard CCAPM models …, our model links asset flows to the cyclical correlation. In particular, the model predicts that a country that has a low … correlation with the global cycle should see net capital inflows. We provide strong empirical evidence in support of this link and …

Persistent link: https://www.econbiz.de/10012860768

Barriers to Global Capital Allocation

Pellegrino, Bruno; Spolaore, Enrico; Wacziarg, Romain T. - 2021

benchmark calibration, we estimate that the capital misallocation induced by these barriers reduces World GDP by 7%, compared to …-country inequality: the standard deviation of log capital per employee is 80% higher than it would be in a world without barriers to …

Persistent link: https://www.econbiz.de/10013226659

Mis-Allocation within Firms : Internal Finance and International Trade

Dörr, Sebastian; Marin, Dalia; Suverato, Davide; … - 2021

This paper develops a novel theory of capital mis-allocation within firms that stems from managers’ empire building and informational frictions within the organization. Introducing an internal capital market into a two-factor model of multi-segment firms, we show that international competition...

Persistent link: https://www.econbiz.de/10013312862

Cross-Border Portfolio Flows and News Media Coverage

Caporale, Guglielmo Maria - 2020

This paper investigates the dynamic linkages between portfolio flows and various news indices (based on both "positive" and "negative" news headlines collected from Bloomberg), whilst also controlling for a comprehensive set of push and pull factors. The monthly panel examined comprises 49...

Persistent link: https://www.econbiz.de/10012840701

Domestic Banks as Lightning Rods? Home Bias and Information During the Eurozone Crisis

Saka, Orkun - 2019

European banks have been criticized for holding excessive domestic government debt during the recent Eurozone crisis, which may have intensified the diabolic loop between sovereign and bank credit risks. By using a novel bank-level dataset covering the entire timeline of the Eurozone crisis, I...

Persistent link: https://www.econbiz.de/10012859050

Five Facts About Beliefs and Portfolios

Giglio, Stefano - 2019

We administer a newly-designed survey to a large panel of retail investors who have substantial wealth invested in financial markets. The survey elicits beliefs that are crucial for macroeconomics and finance, and matches respondents with administrative data on their portfolio composition and...

Persistent link: https://www.econbiz.de/10012866380

Labour Market Rigidities, Financial Integration and International Risk Sharing in the OECD

Fidrmuc, Jarko; Foster-McGregor, Neil; Scharler, Johann - 2021

Economic theory predicts that consumption growth rates should be highly correlated across countries. Empirical evidence overwhelmingly rejects this prediction. We examine whether increased financial integration and labour market rigidities can help explain this apparent contradiction between...

Persistent link: https://www.econbiz.de/10013317001

Trading with the Informed and Against the Uninformed : Flows and Positioning in the Global Currency Market

Barrios, Aldo; Franolic, Robert; Giovanardi, Davide; … - 2022

FX trade settlement data from CLS provides the most comprehensive view of the opaque market of OTC currency trades. We use the flows of investment funds and non-financial corporates and develop trading signals where the former reflects speculative strategies, while the latter trade for liquidity...

Persistent link: https://www.econbiz.de/10014077184

Elusive Safety : The New Geography of Capital Flows and Risk

Alfaro, Laura - 2020

Using a unique confidential data set with industry disaggregation of official U.S. claims and liabilities, we find that dollar-denominated securities are increasingly inter-mediated by tax havens financial centers (THFC) and by less regulated funds. These securities are risky and respond to tax...

Persistent link: https://www.econbiz.de/10012834993