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Does the Financial Channel of Exchange Rates Offset the Trade Channel?

Kearns, Jonathan - 2016

While the trade channel indicates that an exchange rate depreciation will stimulate domestic economic activity, the financial channel can have the opposite effect. When banks and non-banks have foreign currency liabilities, an exchange rate depreciation has valuation effects that can lead to a...

Persistent link: https://www.econbiz.de/10012977169

Bubbles and Capital Flows

Ventura, Jaume - 2003

has important implications for the way we think about economic growth and fluctuations. It also provides a simple account …

Persistent link: https://www.econbiz.de/10014105566

Securitization of mortgage debt, asset prices and international risk sharing

Hoffmann, Mathias; Nitschka, Thomas - 2009

We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption risk sharing: we find that countries with the most...

Persistent link: https://www.econbiz.de/10003806732

Bond Spreads, Market Integration and Contagion in the 2007-2008 Crisis

Kim, Jae-Young - 2017

Yield spreads on sovereign bonds represent market expectations for the economic performance of issuing countries. In the international financial market, yield spreads also reflect the extent to which the issuing countries are integrated into the global market. We analyze market integration and...

Persistent link: https://www.econbiz.de/10012962047

The Valuation Effects of Trade

Barbiero, Omar - 2021

This paper estimates the cash flow and real effects of currency mismatches generated by foreign-priced operations of French manufacturers. The value of transactions invoiced in foreign currencies is twice as sensitive to exchange rates as the value of transactions invoiced in the domestic...

Persistent link: https://www.econbiz.de/10013310101

The macroeconomic variables impact on commodity futures volatility : a study on Indian markets

Sreenu, Nenavath; Rao, K. S. S.; Kishan, D. - In: Cogent business & management 8 (2021) 1, pp. 1-17

The research investigated the impact of macroeconomic variables on the volatility of the commodity futures market in … daily price volatility is studied in the research employed by the GARCH-MIDAS model. This model simplifies the series of … volatility into long- and short-run modules, which allow for the testing of the macroeconomic variables can control the long …

Persistent link: https://www.econbiz.de/10012631342

Corporate acquisitions and firm-level uncertainty : domestic versus cross-border deals

Bai, Ye; Girma, Sourafel; Riaño, Alejandro - 2020

exert a large and persistent effect on the volatility of stock returns of acquirers and that this response is crucially … - engender a positive response in acquirers' volatility. Our results suggest that acquisitions affect uncertainty because they …

Persistent link: https://www.econbiz.de/10012158166

The Impact of Shadow Economy On the Stock Market Volatility. A Worldwide Panel Data Analysis

Georgiou, Miltiades N. - 2013

In the present paper an empirical analysis will point out that shadow economy can affect stock prices. The sample covers most industrialized world. Data are taken from Eurostat and (Schneider et al., 2010); (Schneider, 2013). The elaboration of these panel data is made feasible by means of the...

Persistent link: https://www.econbiz.de/10014151758

Impact of Financial Crisis on International Price Discovery : Evidence from Indian ADRs

Inani, Sarveshwar - 2015

The main contribution of this paper is to understand the impact of crisis on information transmission between ADRs and their underlying stocks which has significant implications for asset pricing and asset allocation and investment decisions. Data have been divided in three sub-periods those are...

Persistent link: https://www.econbiz.de/10013022354

Idiosyncratic Volatility and Expected Returns at the Global Level

Umutlu, Mehmet - 2015

We investigate the existence and significance of a cross-sectional relation between idiosyncratic volatility and … expected returns at the global level by introducing a global idiosyncratic volatility measure and globally diversified test … assets. We find that the portfolios with the highest and lowest global idiosyncratic volatility don't earn significantly …

Persistent link: https://www.econbiz.de/10013028948