Showing 1 - 10 of 18,352
This study applies copula functions with properties of asymmetric dependence structures and extreme value and the GJR-GARCH model with skewed Student t distribution (GJR-GARCH-ST) to estimate the marginal and joint distributions of stock returns in Taiwan, Hong Kong, Japan, South Korea and...
Persistent link: https://www.econbiz.de/10008492962
Returns on international equities are characterized by jumps; moreover, these jumps tend to occur at the same time across countries leading to systemic risk .In this Paper, we evaluate whether systemic risk reduces substantially the gains from international diversification. First, in order to...
Persistent link: https://www.econbiz.de/10005504252
This study empirically examines how exchange rate shocks affect firms’ competitiveness in the small, export-oriented country of Finland. Specifically, using Sweden as a benchmark and controlling for cross-country sector and industry effects, the forex competition hypothesis is tested using the...
Persistent link: https://www.econbiz.de/10011103242
We provide a theory of the determination of exchange rates based on capital flows in imperfect financial markets. Capital flows drive exchange rates by altering the balance sheets of financiers that bear the risks resulting from international imbalances in the demand for financial assets. Such...
Persistent link: https://www.econbiz.de/10011083240
Any security’s expected return can be decomposed into its “carry” and its expected price appreciation, where carry is a model-free characteristic that can be observed in advance. While carry has been studied almost exclusively for currencies, we find that carry predicts returns both in the...
Persistent link: https://www.econbiz.de/10011083673
The downside risk CAPM (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on good market returns....
Persistent link: https://www.econbiz.de/10011083756
We study the role of domestic and global factors on payoffs of portfolios built to mimic carry, dollar carry and momentum strategies. We construct domestic and global factors from a large dataset of macroeconomic and financial variables and find that global equity market factors render strong...
Persistent link: https://www.econbiz.de/10011084700
We study how investor behaviour affects the transmission of ?financial crises. If investors exhibit decreasing relative risk aversion, then negative wealth shocks increase the risk premium required to hold risky assets. We integrate this into a second generation model of currency crises which...
Persistent link: https://www.econbiz.de/10011201611
Using a simple numeraire currency-independent metric to measure distances between currencies, it is found that for most of the 25 sampled floating currencies, excluding the US dollar and euro, there has been a noticeable decrease in the ratio of a currency’s distance from the euro to its...
Persistent link: https://www.econbiz.de/10011191193
We provide a theory of the determination of exchange rates based on capital flows in imperfect financial markets. Capital flows drive exchange rates by altering the balance sheets of financiers that bear the risks resulting from international imbalances in the demand for financial assets. Such...
Persistent link: https://www.econbiz.de/10011196774