Similar Search Results

A panic-prone pack? : the behavior of emerging market mutual funds

Borensztein, Eduardo; Gelos, Gaston - 2001

This paper explores the behavior of emerging market mutual funds using anovel database covering the holdings of individual funds over the periodJanuary 1996 to March 1999. An examination of individual crises shows that,on average, funds withdrew money one month prior to the events. Thedegree of...

Persistent link: https://www.econbiz.de/10011400340

Cyber attacks, spillovers and contagion in the cryptocurrency markets

Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - 2020

and volatilities (contagion). More precisely, cyber attacks appear to strengthen cross-market linkages, thereby reducing …

Persistent link: https://www.econbiz.de/10012219891

Energy contagion in the COVID-19 crisis

Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2020

time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher …

Persistent link: https://www.econbiz.de/10012226706

Forecasting exchange rates : an investor perspective

Melvin, Michael; Prins, John; Shand, Duncan - 2013

The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective....

Persistent link: https://www.econbiz.de/10009743826

On the linkages between stock prices and exchange rates : evidence from the banking crisis of 2007-2010

Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - 2013

rates ; causality-in-variance ; cointegration …

Persistent link: https://www.econbiz.de/10009727058

Testing uncovered interest rate parity using LIBOR

Omer, Muhammad; Haan, Jakob de; Scholtens, Bert - 2012

, Smeekes, and Urbain (2010) and cointegration techniques by Westerlund (2007), we find that UIP holds for short-term maturities … cointegration …

Persistent link: https://www.econbiz.de/10009570031

Is Switzerland an interest rate island after all? : time series and non-linear switching regime evidence

Feld, Lars P.; Köhler, Ekkehard A. - 2015

Has the "Swiss interest rate anomaly" persisted after the financial crisis? Regarding the hypothesis that the Swiss interest rate anomaly results from systemic risk anticipation, we discuss whether Switzerland remains an interest rate island in the wake of the financial crisis. We find evidence...

Persistent link: https://www.econbiz.de/10011392550

Linkages between the US and European stock markets : a fractional cointegration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015

fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …

Persistent link: https://www.econbiz.de/10011343058

Nonlinearities and asymmetric adjustment to PPP in an exchange rate model with inflation expectations

Anderl, Christina; Caporale, Guglielmo Maria - 2021

This paper estimates a model of the real exchange rate including standard fundamentals as well as two alternative measures of inflation expectations for five inflation targeting countries (UK, Canada, Australia, New Zealand, Sweden) over the period January 1993-July 2019. Both a benchmark linear...

Persistent link: https://www.econbiz.de/10012438461

Testing for UIP : nonlinearities, monetary announcements and interest rate expectations

Anderl, Christina; Caporale, Guglielmo Maria - 2021

This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities...

Persistent link: https://www.econbiz.de/10012508617