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Domestic and Multilateral Effects of Capital Controls in Emerging Markets

Pasricha, Gurnain Kaur - 2015

Using a novel dataset on changes in capital controls and currency-based prudential measures in 17 major emerging market economies (EMEs) over the period 2001-2011, this paper provides new evidence on domestic and multilateral (or spillover) effects of capital controls before and after the global...

Persistent link: https://www.econbiz.de/10013016947

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Beirne, John - 2009

This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission … estimated for 41 emerging market economies (EMEs). Wald tests suggest that mature market volatility affects conditional … variances in local markets rise as well, volatility in mature markets rises more, and this shift is the main factor behind the …

Persistent link: https://www.econbiz.de/10013154956

Large Global Volatility Shocks, Equity Markets and Globalisation : 1885-2011

Mehl, Arnaud - 2015

I estimate the transmission of large global volatility shocks in international equity markets from the earlier (pre … significant increases in unanticipated volatility in US equity markets, which I relate to well-known historical events. My …

Persistent link: https://www.econbiz.de/10013035639

On the International Spillovers of US Quantitative Easing

Fratzscher, Marcel - 2013

The paper analyses the global spillovers of the Federal Reserve's unconventional monetary policy measures. First, we find that Fed measures in the early phase of the crisis (QE1) were highly effective in lowering sovereign yields and raising equity markets, especially in the US relative to other...

Persistent link: https://www.econbiz.de/10013081463

Financial Markets and International Risk Sharing in Emerging Market Economies

Schmitz, Martin - 2012

In light of rapidly increasing foreign equity liability positions of emerging market economies, we test for a necessary condition of international risk sharing, namely for systematic patterns between idiosyncratic output fluctuations and financial market developments. Panel analysis of 22...

Persistent link: https://www.econbiz.de/10013104147

The Great Moderation in International Capital Flows : A Global Phenomenon?

McQuade, Peter - 2016

volatility of cross-border transactions. However, there are substantial differences across countries and regions which we analyse …

Persistent link: https://www.econbiz.de/10012983089

Capital Flows, Push versus Pull Factors and the Global Financial Crisis

Fratzscher, Marcel - 2013

The causes of the 2008 collapse and subsequent surge in global capital flows remain an open and highly controversial issue. Employing a factor model coupled with a dataset of high-frequency portfolio capital flows to 50 economies, the paper finds that common shocks – key crisis events as well...

Persistent link: https://www.econbiz.de/10013092662

Contagion, Spillover and Interdependence

Rigobon, Roberto - 2017

This paper reviews the empirical literature on international spillovers and contagion. Theoretical models of spillover and contagion imply that the reduced form observable variables suffer from two possible sources of bias: endogeneity and omitted variables. These econometric problems in...

Persistent link: https://www.econbiz.de/10012963951

Interdependence and Contagion in Global Asset Markets

Beirne, John - 2012

This paper provides an empirical assessment of interdependence and contagion across three asset classes (bonds, stocks, and currencies) for over 60 economies over the period 1998 to 2011. Using a global VAR, we test for changes in the transmission mechanism – both within and cross-market...

Persistent link: https://www.econbiz.de/10013100396

Volatility Spillovers of Federal Reserve and ECB Balance Sheet Expansions to Emerging Market Economies

Apostolou, Apostolos - 2017

This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve (FED … most susceptible to positive volatility spillovers from both the FED and ECB in terms of magnitude. Positive volatility … about ten. By contrast, we find that EME stock markets are subject to negative volatility spillovers. Moreover, we find only …

Persistent link: https://www.econbiz.de/10012958440