The Experts below are selected from a list of 294582 Experts worldwide ranked by ideXlab platform
Bertrand Candelon - One of the best experts on this subject based on the ideXlab platform.
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sovereign rating news and Financial Markets spillovers evidence from the european debt crisis
IMF Working Papers, 2011Co-Authors: Rabah Arezki, Bertrand CandelonAbstract:This paper examines the spillover effects of sovereign rating news on European Financial Markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and Financial Markets. The sign and magnitude of the spillover effects depend both on the type of announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However, we also find evidence that downgrades to near speculative grade ratings for relatively large economies such as Greece have a systematic spillover effects. Rating-based triggers may help explain these results.
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sovereign rating news and Financial Markets spillovers evidence from the european debt crisis
Social Science Research Network, 2011Co-Authors: Rabah Arezki, Bertrand CandelonAbstract:This paper examines the spillover effects of sovereign rating news on European Financial Markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and Financial Markets. The sign and magnitude of the spillover effects depend both on the type of announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However, we also find evidence that downgrades to near speculative grade ratings for relatively large economies such as Greece have a systematic spillover effects across Euro zone countries. Rating-based triggers used in banking regulation, CDS contracts, and investment mandates may help explain these results.
Menzie David Chinn - One of the best experts on this subject based on the ideXlab platform.
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a decomposition of global linkages in Financial Markets over time
The Review of Economics and Statistics, 2004Co-Authors: Kristin J Forbes, Menzie David ChinnAbstract:This paper tests if real and Financial linkages between countries can explain why movements in the world's largest Markets often have such large effects on other Financial Markets, and how these cross-market linkages have changed over time. It estimates a factor model in which a country's market returns are determined by global, sectoral, and cross-country factors (returns in large Financial Markets) and by country-specific effects. Then it uses a new data set on bilateral linkages between the world's five largest economies and approximately 40 other Markets to decompose the cross-country factor loadings into direct trade flows, competition in third Markets, bank lending, and foreign direct investment. In the latter half of the 1990s, bilateral trade flows are large and significant determinants of how shocks are transmitted from large economies to other stock and bond Markets. Bilateral foreign investment is usually insignificant. Therefore, despite the recent growth in global Financial flows, direct trade still appears to be the most important determinant of how movements in the world's largest Markets affect Financial Markets around the globe. © 2004 President and Fellows of Harvard College and the Massachusetts Institute of Technology.
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a decomposition of global linkages in Financial Markets over time
The Review of Economics and Statistics, 2004Co-Authors: Kristin J Forbes, Menzie David ChinnAbstract:This paper tests if real and Financial linkages between countries can explain why movements in the world's largest Markets often have such large effects on other Financial Markets, and how these cross-market linkages have changed over time. It estimates a factor model in which a country's market returns are determined by global, sectoral, and cross- country factors (returns in large Financial Markets) and by country-specific effects. Then it uses a new data set on bilateral linkages between the world's five largest economies and approximately 40 other Markets to decompose the cross-country factor loadings into direct trade flows, competition in third Markets, bank lending, and foreign direct investment. In the latter half of the 1990s, bilateral trade flows are large and significant determinants of how shocks are transmitted from large economies to other stock and bond Markets. Bilateral foreign investment is usually insignif- icant. Therefore, despite the recent growth in global Financial flows, direct trade still appears to be the most important determinant of how move- ments in the world's largest Markets affect Financial Markets around the globe. n the first half of 2002, the United States was buffeted by a series of negative shocks—from disappointing eco- nomic growth, to terrorist threats and uncertainty about a potential war with Iraq, to continued fallout from a series of Financial scandals that raised broader concerns about corpo- rate governance. As a result, the U.S. stock market fell by approximately 17% over the first 6 months of the year. 1 Many other Markets around the world declined in harmony; over the same 6-month period, Finland's stock market fell by 30%, Ireland's by 14%, Mexico's by 11%, and Hong Kong's by 6%. Other stock Markets, however, performed relatively well and appeared to be insulated from the flow of negative news emanating from the United States. For ex- ample, over the same period Iceland's stock market experi- enced positive returns of 26%, South Africa's of 21%, South Korea's of 12%, and Colombia's of 11%. Shocks to the world's largest economies and their Financial Markets often spread to some Markets, whereas Markets in other countries are relatively insulated. This paper examines if real and Financial linkages be- tween countries can explain why the world's largest finan- cial Markets often appear to have such large, yet diverse, effects on other Financial Markets, and how these cross- market linkages have changed over time. More specifically, the paper attempts to answer four questions. First, how important are cross-country linkages with large Financial Markets, as compared to global and sectoral factors, in explaining Financial market returns in countries around the world? Second, how important are bilateral trade flows, trade competition in third Markets, bank lending, and in- vestment exposure in explaining these cross-country link- ages? Third, how has the relative importance of these various global linkages changed over time? Finally, how does the relative importance of these global linkages differ across stock Markets and bond Markets? In order to answer these questions, this paper begins by developing a factor model of market returns in different countries. It assumes that a country's market returns are a function of cross-country factors (returns in other large Financial Markets), global factors (world stock market re- turns, global interest rates, oil prices, gold prices, and commodity prices), sectoral factors (stock returns for 14 sectoral indices), and country-specific effects. After estimat- ing the importance of these factors for different countries and regions, the paper then focuses on the estimated cross- country linkages between the five largest economies (France, Germany, Japan, the U.K. and U.S.) and approxi- mately 40 developed countries and emerging Markets around the world. It decomposes these cross-country link- ages into four specific bilateral linkages: two real linkages (direct trade flows and competition in third Markets) and two Financial linkages (bank lending and foreign direct investment). After measuring the importance of each of these factors and bilateral linkages in stock Markets between 1986 and 2000, the paper than examines how their relative importance has changed over time and differs in bond Markets.
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a decomposition of global linkages in Financial Markets over time
National Bureau of Economic Research, 2003Co-Authors: Kristin J Forbes, Menzie David ChinnAbstract:This paper tests if real and Financial linkages between countries can explain why movements in the world's largest Markets often have such large effects on other Financial Markets, and how these cross-market linkages have changed over time. It estimates a factor model in which a country's market returns are determined by: global, sectoral, and cross-country factors (returns in large Financial Markets), and country-specific effects. Then it uses a new data set on bilateral linkages between the world's 5 largest economies and about 40 other Markets to decompose the cross-country factor loadings into: direct trade flows, competition in third Markets, bank lending, and foreign direct investment. Estimates suggest that both cross-country and sectoral factors are important determinants of stock and bond returns, and that the U.S. factor has recently gained importance, while the Japanese and U.K. factors have lost importance. From 1996-2000, real and Financial linkages became more important determinants of how shocks are transmitted from large economies to other Markets. In particular, bilateral trade flows are large and significant determinants of cross-country linkages in both stock and bond Markets. Bilateral foreign investment is usually insignificant. Therefore, despite the recent growth in global Financial flows, direct trade still appears to be the most important determinant of how movements in the world's largest Markets affect Financial Markets around the globe.
Rabah Arezki - One of the best experts on this subject based on the ideXlab platform.
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sovereign rating news and Financial Markets spillovers evidence from the european debt crisis
IMF Working Papers, 2011Co-Authors: Rabah Arezki, Bertrand CandelonAbstract:This paper examines the spillover effects of sovereign rating news on European Financial Markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and Financial Markets. The sign and magnitude of the spillover effects depend both on the type of announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However, we also find evidence that downgrades to near speculative grade ratings for relatively large economies such as Greece have a systematic spillover effects. Rating-based triggers may help explain these results.
-
sovereign rating news and Financial Markets spillovers evidence from the european debt crisis
Social Science Research Network, 2011Co-Authors: Rabah Arezki, Bertrand CandelonAbstract:This paper examines the spillover effects of sovereign rating news on European Financial Markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and Financial Markets. The sign and magnitude of the spillover effects depend both on the type of announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However, we also find evidence that downgrades to near speculative grade ratings for relatively large economies such as Greece have a systematic spillover effects across Euro zone countries. Rating-based triggers used in banking regulation, CDS contracts, and investment mandates may help explain these results.
Jeffrey Wurgler - One of the best experts on this subject based on the ideXlab platform.
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Financial Markets and the allocation of capital
Research Papers in Economics, 2001Co-Authors: Jeffrey WurglerAbstract:Financial Markets appear to improve the allocation of capital--across 65 countries, those with developed Financial Markets increase investment more in growing industries, and decrease investment more in declining industries, than Financially undeveloped countries. The efficiency of capital allocation is also negatively correlated with the extent of state ownership in the economy, and positively correlated with the degree of firm-specific movement
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Financial Markets and the allocation of capital
Journal of Financial Economics, 2000Co-Authors: Jeffrey WurglerAbstract:Abstract Financial Markets appear to improve the allocation of capital. Across 65 countries, those with developed Financial sectors increase investment more in their growing industries, and decrease investment more in their declining industries, than those with undeveloped Financial sectors. The efficiency of capital allocation is negatively correlated with the extent of state ownership in the economy, positively correlated with the amount of firm-specific information in domestic stock returns, and positively correlated with the legal protection of minority investors. In particular, strong minority investor rights appear to curb overinvestment in declining industries.
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Financial Markets and the allocation of capital
Social Science Research Network, 1999Co-Authors: Jeffrey WurglerAbstract:Financial Markets appear to improve the allocation of capital--across 65 countries, those with developed Financial Markets increase investment more in growing industries, and decrease investment more in declining industries, than Financially undeveloped countries. The efficiency of capital allocation is also negatively correlated with the extent of state ownership in the economy, and positively correlated with the degree of firm-specific movement in domestic stock returns and the legal protection of investors (which appears to be particularly useful for limiting investment in declining industries).
Kristin J Forbes - One of the best experts on this subject based on the ideXlab platform.
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a decomposition of global linkages in Financial Markets over time
The Review of Economics and Statistics, 2004Co-Authors: Kristin J Forbes, Menzie David ChinnAbstract:This paper tests if real and Financial linkages between countries can explain why movements in the world's largest Markets often have such large effects on other Financial Markets, and how these cross-market linkages have changed over time. It estimates a factor model in which a country's market returns are determined by global, sectoral, and cross-country factors (returns in large Financial Markets) and by country-specific effects. Then it uses a new data set on bilateral linkages between the world's five largest economies and approximately 40 other Markets to decompose the cross-country factor loadings into direct trade flows, competition in third Markets, bank lending, and foreign direct investment. In the latter half of the 1990s, bilateral trade flows are large and significant determinants of how shocks are transmitted from large economies to other stock and bond Markets. Bilateral foreign investment is usually insignificant. Therefore, despite the recent growth in global Financial flows, direct trade still appears to be the most important determinant of how movements in the world's largest Markets affect Financial Markets around the globe. © 2004 President and Fellows of Harvard College and the Massachusetts Institute of Technology.
-
a decomposition of global linkages in Financial Markets over time
The Review of Economics and Statistics, 2004Co-Authors: Kristin J Forbes, Menzie David ChinnAbstract:This paper tests if real and Financial linkages between countries can explain why movements in the world's largest Markets often have such large effects on other Financial Markets, and how these cross-market linkages have changed over time. It estimates a factor model in which a country's market returns are determined by global, sectoral, and cross- country factors (returns in large Financial Markets) and by country-specific effects. Then it uses a new data set on bilateral linkages between the world's five largest economies and approximately 40 other Markets to decompose the cross-country factor loadings into direct trade flows, competition in third Markets, bank lending, and foreign direct investment. In the latter half of the 1990s, bilateral trade flows are large and significant determinants of how shocks are transmitted from large economies to other stock and bond Markets. Bilateral foreign investment is usually insignif- icant. Therefore, despite the recent growth in global Financial flows, direct trade still appears to be the most important determinant of how move- ments in the world's largest Markets affect Financial Markets around the globe. n the first half of 2002, the United States was buffeted by a series of negative shocks—from disappointing eco- nomic growth, to terrorist threats and uncertainty about a potential war with Iraq, to continued fallout from a series of Financial scandals that raised broader concerns about corpo- rate governance. As a result, the U.S. stock market fell by approximately 17% over the first 6 months of the year. 1 Many other Markets around the world declined in harmony; over the same 6-month period, Finland's stock market fell by 30%, Ireland's by 14%, Mexico's by 11%, and Hong Kong's by 6%. Other stock Markets, however, performed relatively well and appeared to be insulated from the flow of negative news emanating from the United States. For ex- ample, over the same period Iceland's stock market experi- enced positive returns of 26%, South Africa's of 21%, South Korea's of 12%, and Colombia's of 11%. Shocks to the world's largest economies and their Financial Markets often spread to some Markets, whereas Markets in other countries are relatively insulated. This paper examines if real and Financial linkages be- tween countries can explain why the world's largest finan- cial Markets often appear to have such large, yet diverse, effects on other Financial Markets, and how these cross- market linkages have changed over time. More specifically, the paper attempts to answer four questions. First, how important are cross-country linkages with large Financial Markets, as compared to global and sectoral factors, in explaining Financial market returns in countries around the world? Second, how important are bilateral trade flows, trade competition in third Markets, bank lending, and in- vestment exposure in explaining these cross-country link- ages? Third, how has the relative importance of these various global linkages changed over time? Finally, how does the relative importance of these global linkages differ across stock Markets and bond Markets? In order to answer these questions, this paper begins by developing a factor model of market returns in different countries. It assumes that a country's market returns are a function of cross-country factors (returns in other large Financial Markets), global factors (world stock market re- turns, global interest rates, oil prices, gold prices, and commodity prices), sectoral factors (stock returns for 14 sectoral indices), and country-specific effects. After estimat- ing the importance of these factors for different countries and regions, the paper then focuses on the estimated cross- country linkages between the five largest economies (France, Germany, Japan, the U.K. and U.S.) and approxi- mately 40 developed countries and emerging Markets around the world. It decomposes these cross-country link- ages into four specific bilateral linkages: two real linkages (direct trade flows and competition in third Markets) and two Financial linkages (bank lending and foreign direct investment). After measuring the importance of each of these factors and bilateral linkages in stock Markets between 1986 and 2000, the paper than examines how their relative importance has changed over time and differs in bond Markets.
-
a decomposition of global linkages in Financial Markets over time
National Bureau of Economic Research, 2003Co-Authors: Kristin J Forbes, Menzie David ChinnAbstract:This paper tests if real and Financial linkages between countries can explain why movements in the world's largest Markets often have such large effects on other Financial Markets, and how these cross-market linkages have changed over time. It estimates a factor model in which a country's market returns are determined by: global, sectoral, and cross-country factors (returns in large Financial Markets), and country-specific effects. Then it uses a new data set on bilateral linkages between the world's 5 largest economies and about 40 other Markets to decompose the cross-country factor loadings into: direct trade flows, competition in third Markets, bank lending, and foreign direct investment. Estimates suggest that both cross-country and sectoral factors are important determinants of stock and bond returns, and that the U.S. factor has recently gained importance, while the Japanese and U.K. factors have lost importance. From 1996-2000, real and Financial linkages became more important determinants of how shocks are transmitted from large economies to other Markets. In particular, bilateral trade flows are large and significant determinants of cross-country linkages in both stock and bond Markets. Bilateral foreign investment is usually insignificant. Therefore, despite the recent growth in global Financial flows, direct trade still appears to be the most important determinant of how movements in the world's largest Markets affect Financial Markets around the globe.
