Showing 1 - 10 of 422
speculative strategies, while the latter trade for liquidity needs. The implication is we trade in the direction of the funds … yields positive risk-adjusted performance. Incorporating the liquidity trades signal improves risk-adjusted performance and …
Persistent link: https://www.econbiz.de/10014077184
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
We quantify the impact of barriers to international investment, using a novel multi-country dynamic general equilibrium model with heterogeneous investors and imperfect capital mobility. Our model yields a gravity equation for bilateral foreign asset positions. We estimate this gravity equation...
Persistent link: https://www.econbiz.de/10013226659
We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has … characterised by positive trends in liquidity, there is no persuasive time-series and cross-sectional evidence for a negative link … between anomalies in market returns and liquidity. Thus, this proxy of arbitrage activity does not appear to be a key factor …
Persistent link: https://www.econbiz.de/10012908691
speculative strategies, while the latter trade for liquidity needs. The implication is we trade in the direction of the funds … yields positive risk-adjusted performance. Incorporating the liquidity trades signal improves risk-adjusted performance and …
Persistent link: https://www.econbiz.de/10013427707
Over the last decade foreign bond portfolio positions in US dollar assets have risen above the reciprocal US investor positions in foreign currencies. In periods of increased economic uncertainty, institutional investors hedge their international bond positions, which creates a net hedging...
Persistent link: https://www.econbiz.de/10013470324
This paper provides evidence that the U.S. dollar affects countries' exports through the financial channel of the exchange rate (Bruno and Shin (2015)). Using global data on trade between countries whose currency is not the U.S. dollar, it documents a positive relationship between the dollar and...
Persistent link: https://www.econbiz.de/10014377469
We propose a new channel through which exchange rates affect trade. Exploiting the heterogeneity in firms' foreign currency debt maturity structure around a large depreciation in Colombia, we show that debt revaluation compresses imports due to higher delinquencies and interest rates, while...
Persistent link: https://www.econbiz.de/10014377488
its potential drivers: uncertainty, liquidity, and economic activity whose impacts differ substantially. Our results are …
Persistent link: https://www.econbiz.de/10014469483
This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in-mean...
Persistent link: https://www.econbiz.de/10010312853