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Swept by the Tide? The International Comovement of Capital Flows

Fernandez Lafuerza, Luis Gonzalo - 2019

This paper assesses the international comovement of gross capital flows in a setting simultaneously encompassing aggregate inflows and outflows. It uses as empirical framework a multilevel latent factor model, implemented on flow data for a large sample of countries over more than three decades....

Persistent link: https://www.econbiz.de/10012889898

Macroeconomic Volatility after Trade and Capital Account Liberalization

Pancaro, Cosimo - 2017

What are the equilibrium effects of trade and capital liberalization on consumption smoothing? This question is addressed by studying the response to productivity shocks in a baseline two country, two goods, incomplete market model, where foreign borrowing is secured by collateral. The paper...

Persistent link: https://www.econbiz.de/10012976346

Gross Capital Flows, Common Factors, and the Global Financial Cycle

Barrot, Luis-Diego - 2018

(the VIX, the U.S. real interest rate and real exchange rate, U.S. GDP growth, and world commodity prices) that explain …

Persistent link: https://www.econbiz.de/10012926785

Financial Globalization in Emerging Countries : Diversification vs. Offshoring

Ceballos, Francisco - 2017

transactions take place. The authors find that globalization via the diversification channel expanded throughout the world during …

Persistent link: https://www.econbiz.de/10012975170

Financial Globalization and Market Volatility : An Empirical Appraisal

Cordella, Tito - 2017

measures, the financial globalization index corrects for the heteroscedasticity of global volatility. This leads to a downward … globalization reduces market volatility (measured by the volatility of stock returns) in tranquil times, and increases it in … turbulent ones. On average, the first effect dominates, so that financial globalization leads to a decrease in market volatility …

Persistent link: https://www.econbiz.de/10012954311

Assessing the Degree of International Consumption Risk Sharing

Hevia, Constantino - 2018

This paper examines the extent of consumption risk sharing for a group of 50 high-income and developing countries. The analysis is based on the empirical implementation of a model of partial consumption insurance whose parameters have the natural interpretation of coefficients of partial risk...

Persistent link: https://www.econbiz.de/10012935258

Short and Long-Run Integration : Do Capital Controls Matter?

Kaminsky, Graciela L. - 2017

The authors study whether capital controls affect the link between domestic and foreign stock market prices and interest rates. To examine the characteristics of international market integration and the effects of capital controls in the short and long run, they apply band-pass filter techniques...

Persistent link: https://www.econbiz.de/10012946751