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Author : Qiaoqiao Zhu
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Three essays on international finance and international capital markets written by Qiaoqiao Zhu and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Mark P. Taylor
Publisher : International Monetary Fund
ISBN 13 : 1451947038
Total Pages : 31 pages
Book Rating : 4.4/5 (519 download)
Download or read book Intervention, Interest Rates, and Charts written by Mr.Mark P. Taylor and published by International Monetary Fund. This book was released on 1991-11-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper contains essays on sterilized intervention, on covered interest rate parity, and on chartist analysis in financial markets. Each essay contains a definition, brief survey of the empirical evidence and overall assessment of each topic.
Author : Michael R. Williams
Publisher :
ISBN 13 :
Total Pages : 204 pages
Book Rating : 4.:/5 (83 download)
Download or read book Three Essays in International Financial Markets written by Michael R. Williams and published by . This book was released on 2012 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Byong-Ju Lee
Publisher : Stanford University
ISBN 13 :
Total Pages : 132 pages
Book Rating : 4.F/5 ( download)
Download or read book Three Essays in International Finance written by Byong-Ju Lee and published by Stanford University. This book was released on 2011 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays on international finance. The first essay is "Exchange rates and Fundamentals". A new open interest rate parity condition that takes account of economic fundamentals is developed from stochastic discount factors (SDFs) of two countries. Through this parity condition, business cycles or fundamentals are linked to exchange rates. Key empirical findings from this parity condition are as follows. First, this model beats the random walk hypothesis: economic fundamentals explain exchange rate movements for high interest rate currencies. Exchange rates of low interest rate currencies act like a random walk because they are less correlated with fundamentals owing to their low risk. For example, U.S. business cycles explain the direction of changes in exchange rates against the dollar. The same thing is true for Japan. Second, this model resolves the forward premium puzzle: the forward premium puzzle is not a general characteristic as regarded in previous studies. It happens when the risk awareness of investors is low, during economic expansions and for low risk currencies. The second essay is "Carry Trade and Global Financial Instability". Carry trade, an opportunistic investment strategy that takes advantage of interest rate differential across countries, is identified the cause of the large-scale depreciations of peripheral currencies in the later half of 2008. A simultaneous equations model, which is derived from a conceptual partial equilibrium model for a local foreign exchange market, is estimated from a cross-sectional sample. The results suggest that the larger appreciation of the yen than the dollar was brought about by a lack of the local supply of the yen rather than a more severe crunch of yen credits. The third essay is "The Economic Origin of Letters of Credit". This essay discusses the economic origin of letters of credit, an instrument widely used in international trade. A game theoretical analysis shows that letters of credit improve efficiency in trade settlements, increasing returns in trade. A few notable facts on letters of credit are discussed. First, the new institution is adopted by merchant banks to maximize their profits and in the process, an improvement in efficiency of international transactions is obtained. Second, the organization established by the legacy institution, bills of exchange, played a critical role in adopting the new institution. Third, the legal enforcement is not essential in this economic institution. Finally, two drivers are identified that improve efficiency of transactions: concentration and projection.
Author : Lin Zhao
Publisher :
ISBN 13 :
Total Pages : 206 pages
Book Rating : 4.:/5 (861 download)
Download or read book Three Essays on International Financial Markets written by Lin Zhao and published by . This book was released on 2013 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Birgit Charlotte Müller
Publisher : Springer Gabler
ISBN 13 : 9783658354787
Total Pages : 147 pages
Book Rating : 4.3/5 (547 download)
Download or read book Three Essays on Empirical Asset Pricing in International Equity Markets written by Birgit Charlotte Müller and published by Springer Gabler. This book was released on 2021-08-20 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this Open-Access-book three essays on empirical asset pricing in international equity markets are presented. Despite being of fundamental economic and scientific importance, international financial markets have remained considerably underresearched until today. In the first essay, the role of firm-specific characteristics is analyzed for the momentum effect to exist in international equity markets. The second essay investigates the validity, persistence, and robustness of the newly discovered capital share growth factor across international equity markets as proposed by Lettau et al. (2019) for the U.S. market. Lastly, the third and final essay studies stock market reactions of European vendor banks to distressed loan sale announcements.
Author : Chien Nan Wang
Publisher :
ISBN 13 :
Total Pages : 386 pages
Book Rating : 4.3/5 (129 download)
Download or read book Three Essays in International Finance and Econometrics written by Chien Nan Wang and published by . This book was released on 1987 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jose A. Gutierrez
Publisher :
ISBN 13 :
Total Pages : 164 pages
Book Rating : 4.:/5 (654 download)
Download or read book Three Essays on International Financial Markets written by Jose A. Gutierrez and published by . This book was released on 2010 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ling Feng
Publisher :
ISBN 13 : 9781124315683
Total Pages : pages
Book Rating : 4.3/5 (156 download)
Download or read book Three Essays on International Financial Markets written by Ling Feng and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The dissertation studies two relevant topics in international financial markets. Why has the bias of equity portfolios towards domestic assets (the "equity home bias" puzzle) remained substantial? To what degree has the financial system as an independent source of uncertainty impacted the real economy, especially regarding the international trade? Chapter 1 proposes a dynamic stochastic general equilibrium (DSGE) model in which shocks to consumption tastes ("taste shocks") are an effective explanation for the equity home bias. The mechanism is that home assets provide a nice insurance property, which is not offered by foreign assets, for home agents to hedge against domestic taste shocks. The model finds that home equity bias positively relies on the persistence and the volatility of domestic taste shocks. Chapter 2 is devoted to presenting empirical evidence on the impacts of taste shocks on international portfolio allocations. The model described in Chapter 1 provides a structure with empirical implications, in that the equilibrium portfolio can be written as the sum of two conditional covariance-variance ratios based on a long-run horizon with all determinants observable. Using VAR estimation results, the empirical evidence suggests that models based on hedging against taste risks are more consistent with data than competing models based on labor income risks. Chapter 3, a joint work with Ching-Yi Lin, studies the impacts of credit crunch on the extensive margin and intensive margin of exports both empirically and theoretically. Panel regressions in the study reveal that a negative financial shock discourages exports by reducing the variety of goods exported as well as the export volume of each individual good. A DSGE model is developed to understand this finding, featuring financial shocks, enforcement constraint and firm entry. As the credit crunch happens, the costs of borrowing to finance firms' exports increase. It reduces individual firms' exports as well as aggregate exports and discourages firms' entry into the export market. The model can also explain the fact that trade dropped more than domestic production and GDP as observed in the most recent financial crisis.
Author : Huancheng Du
Publisher :
ISBN 13 : 9780438718692
Total Pages : 133 pages
Book Rating : 4.7/5 (186 download)
Download or read book Three Essays in International Trade and Finance written by Huancheng Du and published by . This book was released on 2018 with total page 133 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation explores the economic interactions and outcomes in the nexus of international trade and finance. The entire dissertation is divided into three chapters with each chapter addresses one specific economic problem that roots in the interaction of international trade and finance. In the first chapter, I attempt to draw theoretical implications on two particular questions. First, what is the trade liberalization effect on capital market outcomes? Second, how do trade liberalization and capital market conditions jointly affect labor market outcomes such as income inequality? The objective of this chapter is to integrate both labor market frictions and capital market imperfection into one coherent theoretical framework and study the important interactions of trade liberalization and financial market development, as well as their joint impacts on aggregate income inequality. In the second chapter, I aim to provide both theoretical foundation and empirical evidence in partially explaining country authorities' decisions on financial policies. In the third chapter, [w]e provide a novel way of extracting country-level fundamental news from the international trade network. Specifically, we show that sovereign CDS returns provide value-relevant information that slowly propagates through credit markets reflecting underreaction on a global scale.
Author : Hiroyuki Ito
Publisher :
ISBN 13 :
Total Pages : 464 pages
Book Rating : 4.:/5 (73 download)
Download or read book Three Essays on International Finance and Macroeconomics written by Hiroyuki Ito and published by . This book was released on 2004 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Elena V. Skouratova
Publisher :
ISBN 13 :
Total Pages : 180 pages
Book Rating : 4.:/5 (816 download)
Download or read book Three Essays on International Finance written by Elena V. Skouratova and published by . This book was released on 2012 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zhou Fan
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Three Essays on International Capital Markets written by Zhou Fan and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I study several topics in international capital markets. Chapter 1 is a joint project with Matthew Baron and Jamil Rahman. We find evidence that large credit expansions interacted with rapid price run-ups have strong forecasting power for negative future returns. Growth stocks, stocks with high levels of analyst disagreement, and highly leveraged stocks are particularly vulnerable to the bust, with their respective factor portfolios significantly underperforming compared to their unconditional means. We show that by avoiding stocks with extreme exposures to the credit cycle, investors can partially mitigate the risks induced by a credit-fueled bubble. Given the strong predictive power of credit-fueled stock market booms for market crashes and factor portfolio spreads, Chapter 2 asks how institutional investors trade during these events. We find no evidence that institutional investors sell stocks in countries experiencing credit-fueled stock market booms. Domestic institutional investors are aggressive net buyers during booms while foreign investors are more cautious. Institutional investors buy growth stocks up to the boom's peak but do not sell them after the peak. They also increase (decrease) their portfolio allocation towards low leverage (high leverage) stocks both before and after the peak of the credit-fueled stock market boom. This suggests that institutional investors are mindful of the risks credit booms pose, even if they increase their overall allocation towards a country experiencing a credit-fueled stock market boom. In Chapter 3, I show that gravity variables capture country level differences in exposure to global shocks. Currencies of countries which are geographically distant and culturally different have larger differences in exposure to global shocks and as such comove less. The explanatory power of gravity for currency comovement is also present in trade flows and financial linkages. Predicted values of trade flows and foreign debt holdings contain around 80% of the explanatory power of gravity variables for currency comovement.
Author : Enrique Martinez-Garcia
Publisher :
ISBN 13 :
Total Pages : 198 pages
Book Rating : 4.:/5 (89 download)
Download or read book Three Essays in International Macroeconomics and Finance written by Enrique Martinez-Garcia and published by . This book was released on 2007 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rita Madarassy
Publisher :
ISBN 13 :
Total Pages : 248 pages
Book Rating : 4.:/5 (321 download)
Download or read book Three Essays in International Finance written by Rita Madarassy and published by . This book was released on 2002 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christos Papazoglou
Publisher :
ISBN 13 :
Total Pages : 197 pages
Book Rating : 4.:/5 (648 download)
Download or read book Three Essays on International Capital Flows, Domestic Monetary Processes, and External Markets written by Christos Papazoglou and published by . This book was released on 1987 with total page 197 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Byong-Ju Lee
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (748 download)
Download or read book Three Essays in International Finance written by Byong-Ju Lee and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays on international finance. The first essay is "Exchange rates and Fundamentals". A new open interest rate parity condition that takes account of economic fundamentals is developed from stochastic discount factors (SDFs) of two countries. Through this parity condition, business cycles or fundamentals are linked to exchange rates. Key empirical findings from this parity condition are as follows. First, this model beats the random walk hypothesis: economic fundamentals explain exchange rate movements for high interest rate currencies. Exchange rates of low interest rate currencies act like a random walk because they are less correlated with fundamentals owing to their low risk. For example, U.S. business cycles explain the direction of changes in exchange rates against the dollar. The same thing is true for Japan. Second, this model resolves the forward premium puzzle: the forward premium puzzle is not a general characteristic as regarded in previous studies. It happens when the risk awareness of investors is low, during economic expansions and for low risk currencies. The second essay is "Carry Trade and Global Financial Instability". Carry trade, an opportunistic investment strategy that takes advantage of interest rate differential across countries, is identified the cause of the large-scale depreciations of peripheral currencies in the later half of 2008. A simultaneous equations model, which is derived from a conceptual partial equilibrium model for a local foreign exchange market, is estimated from a cross-sectional sample. The results suggest that the larger appreciation of the yen than the dollar was brought about by a lack of the local supply of the yen rather than a more severe crunch of yen credits. The third essay is "The Economic Origin of Letters of Credit". This essay discusses the economic origin of letters of credit, an instrument widely used in international trade. A game theoretical analysis shows that letters of credit improve efficiency in trade settlements, increasing returns in trade. A few notable facts on letters of credit are discussed. First, the new institution is adopted by merchant banks to maximize their profits and in the process, an improvement in efficiency of international transactions is obtained. Second, the organization established by the legacy institution, bills of exchange, played a critical role in adopting the new institution. Third, the legal enforcement is not essential in this economic institution. Finally, two drivers are identified that improve efficiency of transactions: concentration and projection.
