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International Monetary Fund - 1988

time-varying risk. Some work by Abel provided us with the insights needed to produce such formulas. This paper gives a …

Persistent link: https://www.econbiz.de/10014396175

The impact of political uncertainty on asset prices : the case of United Kingdom's EU membership referendum

Hanna, Joseph; Hansen, Niels-Jakob Harbo; MacDonald, Margaux - 2021

How did expectations of the outcome of the United Kingdom's (UK) referendum on European Union (EU) membership in 2016 affect prices in financial markets? We study this using high frequency data from betting and financial markets. We find that a one percentage point increase in the probability of...

Persistent link: https://www.econbiz.de/10012517941

The impact of geopolitical risk on stock returns : evidence from inter-Korea geopolitics

Jung, Seungho; Lee, Jongmin; Lee, Seohyun - 2021

We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has … risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK … index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the …

Persistent link: https://www.econbiz.de/10012796347

Asia’s Stock Markets : Are There Crouching Tigers and Hidden Dragons?

Lipinsky, Fabian - 2014

Stock markets play a key role in corporate financing in Asia. However, despite their increasing importance in terms of size and cross-border investment activity, the region’s markets are reputed to be more “idiosyncratic” and less reliant on economic and corporate fundamentals in their...

Persistent link: https://www.econbiz.de/10014411156

Bank Credit, Asset Prices and Financial Stability : Evidence From French Banks

Pouvelle, Cyril - 2012

This paper analyses the effect of asset prices on credit growth in France and tries to disentangle credit demand and supply factors, both for the whole 1993-2010 period and during periods of financial instability. Using bank-level panel data at a quarterly frequency, stock price growth is shown...

Persistent link: https://www.econbiz.de/10014396650

Bank credit, asset prices and financial stability : evidence from French banks

Pouvelle, Cyril - 2012

Persistent link: https://www.econbiz.de/10009615321

Asia’s stock markets : are there crouching tigers and hidden dragons?

Lipinsky, Fabian; Ong, Li Lian - 2014

Persistent link: https://www.econbiz.de/10010359852

Optimal macroprudential policy and asset price bubbles

Biljanovska, Nina; Górnicka, Lucyna; Vardoulakis, … - 2019

An asset bubble relaxes collateral constraints and increases borrowing by credit-constrained agents. At the same time, as the bubble deflates when constraints start binding, it amplifies downturns. We show analytically and quantitatively that the macroprudential policy should optimally respond...

Persistent link: https://www.econbiz.de/10012103635

International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse

Fry, Renee - 2002

focuses on the market assessment of credit risk captured by daily movements in bond spreads for twelve countries. A dynamic …

Persistent link: https://www.econbiz.de/10014399584

Systemic Risk and Financial Consolidation : Are they Related?

De Nicolò, Gianni - 2002

risk potential. We find a positive trend in stock return correlations net of diversification effects for a sample of U ….S. Large and Complex Banking Organizations over 1988-99. This finding suggests that the systemic risk potential in the …

Persistent link: https://www.econbiz.de/10014399710