The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … shocks have had a more severe impact on advanced economies, it was mainly the decline in risk appetite that affected emerging … empirical exercise with a Global VAR approach, the findings highlight the diversity of the transmission process. While liquidity …

economies. - Risk ; financial crisis ; global transmission ; global VAR (GVAR) ; shocks ; modelling ; US ; advanced economies …The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … shocks have had a more severe impact on advanced economies, it was mainly the decline in risk appetite that affected emerging …

The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … shocks have had a more severe impact on advanced economies, it was mainly the decline in risk appetite that affected emerging … empirical exercise with a Global VAR approach, the findings highlight the diversity of the transmission process. While liquidity …

The paper analyses the transmission of liquidity shocks and risk shocks to global financial markets. Using a Global VAR … strong during the 2010-11 sovereign debt crisis, with risk shocks driving down bond yields in key advanced economies. The … resilient to adverse shocks in 2010-11. Moreover, a flight-to-safety phenomenon across asset classes has become particularly …

The paper analyses the transmission of liquidity shocks and risk shocks to global financial markets. Using a Global VAR … strong during the 2010-11 sovereign debt crisis, with risk shocks driving down bond yields in key advanced economies. The … resilient to adverse shocks in 2010-11. Moreover, a flight-to-safety phenomenon across asset classes has become particularly …

We explore the concept of global liquidity based on a factor model estimated using a large set of financial and … macroeconomic variables from 24 advanced and emerging market economies. We measure global liquidity conditions based on the common … global factors in the dynamics of liquidity indicators. By imposing theoretically motivated sign restrictions on factor …

We explore the concept of global liquidity based on a factor model estimated using a large set of financial and … macroeconomic variables from 24 advanced and emerging market economies. We measure global liquidity conditions based on the common … global factors in the dynamics of liquidity indicators. By imposing theoretically motivated sign restrictions on factor …

We explore the concept of global liquidity based on a factor model estimated using a large set of financial and … macroeconomic variables from 24 advanced and emerging market economies. We measure global liquidity conditions based on the common … global factors in the dynamics of liquidity indicators. By imposing theoretically motivated sign restrictions on factor …

We study the effects of FX liquidity risk on carry trade returns using a novel low-frequency market-wide liquidity … (liquidity risk and market risk). Our results are further corroborated when the mimicking liquidity risk factor is replaced with … volatility. We find that liquidity risk is priced in the cross-section of carry trade returns, and estimate the liquidity risk …

dissipating local risk premiums. Integration of the sovereign bond markets increases by about 10% on average, when a country moves … inflation risk, and lower illiquidity. The 10% increase in integration leads to, on average, a decrease in the sovereign cost of …