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Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - 2004

This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...

Persistent link: https://www.econbiz.de/10009636533

Country and sector-specific spillover effects in the euro area, the United States and Japan

Kaltenhaeuser, Bernd - 2003

United States and Japan, respectively. Our estimation framework allows a distinction to be made between spillover effects …

Persistent link: https://www.econbiz.de/10009635881

Growth expectations, capital flows and international risk sharing

Castrén, Olli; Miller, Marcus; Stiegert, Roger - 2003

Over the past decades, cross-border financial flows have increased in importance and have in many occasions exceeded the underlying current account positions. This phenomenon has been accompanied by an increase in the volume of international equity transactions that accentuate the role of...

Persistent link: https://www.econbiz.de/10009635970

Diversification in euro area stock markets

Moerman, Gerard - 2004

The harmonisation of fiscal and economic policy within the European Monetary Union (EMU) has had a considerable impact on the economies of member countries in the past decade. In particular, several studies indicate that the proceeding economic integration among euro area countries has important...

Persistent link: https://www.econbiz.de/10009636550

Euro area sovereign yield dynamics

Menkveld, Albert J.; Cheung, Yiu C.; Jong, Frank/de - 2004

We study sovereign yield dynamics and order flow in the largest euro-area treasury markets. We exploit unique transaction data to explain daily yield changes in the ten-year government bonds of Italy, France, Belgium, and Germany. We use a state space model to decompose these changes into (i) a...

Persistent link: https://www.econbiz.de/10009639439

An empirical study of liquidity and information effects of order flow on exchange rate

Breedon, Francis; Vitale, Paolo - 2004

proposed by Bacchetta and van Wincoop (2003) and allows us to disentangle the liquidity and information effects of order flow … indicate that the strong contemporaneous correlation between order flow and exchange rates is mostly due to liquidity effects …

Persistent link: https://www.econbiz.de/10009639485

Exchange rates and fundamentals

Engel, Charles; West, Kenneth David - 2003

Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates u0097 that...

Persistent link: https://www.econbiz.de/10009635953

Exchange rate risks and asset prices in a small open economy

Derviz, Alexis - 2004

The paper proposes a multi-factor international asset pricing model in which the exchange rate is allowed to be co-determined by a risk factor imperfectly correlated to other priced risks in the economy. The significance of this factor can be established as long as one is able to observe a proxy...

Persistent link: https://www.econbiz.de/10009636537

Do demographic changes affect risk premiums?

Ang, Andrew; Maddaloni, Angela - 2003

twentieth century for the US, Japan, UK, Germany and France, and a shorter sample covering the last third of the twentieth …

Persistent link: https://www.econbiz.de/10009639859

Multimarket trading and the cost of debt

Petrasek, Lubomir - 2010

studies global bonds to examine the effects of multimarket trading on corporate bond liquidity, prices, and the cost of debt … significant liquidity and price advantage over comparable domestic bonds. On average, global bonds trade at yields 15 to 25 basis … of crisis. Global issues are more liquid, as evidenced by several trade-based liquidity measures, but the liquidity …

Persistent link: https://www.econbiz.de/10009640328