Do the dynamics of net flows to U.S. retail mutual funds affect equity returns in emerging markets? The question merits further examination since retail investors in mutual funds can exert a much greater degree of ""control"" over these funds via cash injections or redemptions at any time. A VAR...

In this paper, we examine returns in the Chinese A and B stock markets for evidence of calendar anomalies. We find that both cultural and structural (segmentation) factors play an important role in influencing the pricing of both A- and B-shares in China. There is some evidence of a February...

In this paper, we use the extreme value theory (EVT) framework to analyze contagion risk across the international banking system. We test for the likelihood that an extreme shock affecting a major, systemic U.K. bank would also affect another large local or foreign counterpart, and vice-versa....

The objective of this book is to present IMF staff's further analyses and applications of these tools. Stress test exercises must be undertaken within a coherent and comprehensive framework; they must take into account "best practice" principles and incorporate key concepts; and they must hold...

With the advent of flexible exchange rates, research into the foreign exchange expectation relation based on the purchasing power parity and interest rate parity conditions has shown that the speed of transmission of economic variables, such as the price level and interest rates, is not rapid...