The Experts below are selected from a list of 72453 Experts worldwide ranked by ideXlab platform
Yiping Huang - One of the best experts on this subject based on the ideXlab platform.
-
Do Cryptocurrencies Increase the Systemic Risk of the Global Financial Market
China & World Economy, 2020Co-Authors: Yiping HuangAbstract:The advance of cryptocurrencies has sparked wide concern over their interplay with the existing Global Financial Market. This paper analyzes the risk spillover relation between cryptocurrencies and major Financial assets, and unravels how cryptocurrencies could influence Global Financial systemic risk. We find that cryptocurrencies function as a separate risk source from traditional assets. Major legislative, Financial and technological events in the cryptocurrency Market may affect risk spillover dynamics. Although the overall penetration of cryptocurrencies is not yet deep, introducing cryptocurrency can significantly increase the systemic risk to traditional Markets during low risk level episodes.
Arnaud Mehl - One of the best experts on this subject based on the ideXlab platform.
-
on the Global Financial Market integration swoosh and the trilemma
Journal of International Money and Finance, 2019Co-Authors: Geert Bekaert, Arnaud MehlAbstract:Abstract We propose a measure of Financial Market integration based on a factor model of equity returns computed back to the first era of Financial Globalization for 17 countries. Global Financial integration follows a “swoosh” shape – high pre-1913, higher post-1990, low in the interwar period – rather than other shapes hypothesized in earlier literature. We find no evidence of Financial Globalization reversing since the Great Recession, as claimed in other recent studies. We use our measure to revisit the debate on whether the classic monetary policy trilemma has recently morphed into a dilemma and find no evidence for such change.
-
on the Global Financial Market integration swoosh and the trilemma
National Bureau of Economic Research, 2017Co-Authors: Geert Bekaert, Arnaud MehlAbstract:We propose a simple measure of de facto Financial Market integration based on a factor model of monthly equity returns, which can be computed back to the first era of Financial Globalization for 17 countries. Global Financial Market integration follows a “swoosh” shape – i.e. high pre-1913, still higher post-1990, low in the interwar period – rather than the other shapes hypothesized in earlier literature. We find no evidence of Financial Globalization reversing since the Great Recession as claimed in other recent studies. De jure capital account openness and Global growth uncertainty are the two main determinants of long-run Global Financial Market integration. We use our measure to revisit the debate on the trilemma between Financial openness, the exchange rate regime, and monetary policy autonomy, and on whether the trilemma has recently morphed into a dilemma due to Global Financial cycles. We find evidence consistent with the trilemma and inconsistent with the dilemma hypothesis, both throughout history and for the recent decades; non-US central banks still exert more control over domestic interest rates when exchange rates are flexible in economies open to Global finance.
Geert Bekaert - One of the best experts on this subject based on the ideXlab platform.
-
on the Global Financial Market integration swoosh and the trilemma
Journal of International Money and Finance, 2019Co-Authors: Geert Bekaert, Arnaud MehlAbstract:Abstract We propose a measure of Financial Market integration based on a factor model of equity returns computed back to the first era of Financial Globalization for 17 countries. Global Financial integration follows a “swoosh” shape – high pre-1913, higher post-1990, low in the interwar period – rather than other shapes hypothesized in earlier literature. We find no evidence of Financial Globalization reversing since the Great Recession, as claimed in other recent studies. We use our measure to revisit the debate on whether the classic monetary policy trilemma has recently morphed into a dilemma and find no evidence for such change.
-
on the Global Financial Market integration swoosh and the trilemma
National Bureau of Economic Research, 2017Co-Authors: Geert Bekaert, Arnaud MehlAbstract:We propose a simple measure of de facto Financial Market integration based on a factor model of monthly equity returns, which can be computed back to the first era of Financial Globalization for 17 countries. Global Financial Market integration follows a “swoosh” shape – i.e. high pre-1913, still higher post-1990, low in the interwar period – rather than the other shapes hypothesized in earlier literature. We find no evidence of Financial Globalization reversing since the Great Recession as claimed in other recent studies. De jure capital account openness and Global growth uncertainty are the two main determinants of long-run Global Financial Market integration. We use our measure to revisit the debate on the trilemma between Financial openness, the exchange rate regime, and monetary policy autonomy, and on whether the trilemma has recently morphed into a dilemma due to Global Financial cycles. We find evidence consistent with the trilemma and inconsistent with the dilemma hypothesis, both throughout history and for the recent decades; non-US central banks still exert more control over domestic interest rates when exchange rates are flexible in economies open to Global finance.
Mehdi Raissi - One of the best experts on this subject based on the ideXlab platform.
-
China’s slowdown and Global Financial Market volatility: is world growth losing out?
Research Papers in Economics, 2016Co-Authors: Paul Cashin, Kamiar Mohaddes, Mehdi RaissiAbstract:China's GDP growth slowdown and a surge in Global Financial Market volatility could both adversely affect an already weak Global economic recovery. To quantify the Global macroeconomic consequences of these shocks, we employ a GVAR model estimated for 26 countries/regions over the period 1981Q1 to 2013Q1. Our results indicate that (i) a one percent permanent negative GDP shock in China (equivalent to a one-off one percent growth shock) could have significant Global macroeconomic repercussions, with world growth reducing by 0.23 percentage points in the short-run; and (ii) a surge in Global Financial Market volatility could translate into a fall in world economic growth of around 0.29 percentage points, but it could also have negative short-run impacts on Global equity Markets, oil prices and long-term interest rates.
-
china s slowdown and Global Financial Market volatility is world growth losing out
2016Co-Authors: Paul Cashin, Kamiar Mohaddes, Mehdi RaissiAbstract:China's GDP growth slowdown and a surge in Global Financial Market volatility could both adversely affect an already weak Global economic recovery. To quantify the Global macroeconomic consequences of these shocks, we employ a GVAR model estimated for 26 countries/regions over the period 1981Q1 to 2013Q1. Our results indicate that (i) a one percent permanent negative GDP shock in China (equivalent to a one-off one percent growth shock) could have significant Global macroeconomic repercussions, with world growth reducing by 0.23 percentage points in the short-run; and (ii) a surge in Global Financial Market volatility could translate into a fall in world economic growth of around 0.29 percentage points, but it could also have negative short-run impacts on Global equity Markets, oil prices and long-term interest rates.
Matthias Raddant - One of the best experts on this subject based on the ideXlab platform.
-
interconnectedness in the Global Financial Market
Journal of International Money and Finance, 2021Co-Authors: Matthias Raddant, Dror Y KenettAbstract:Abstract The Global Financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local Financial shocks and events can be easily amplified and turned into Global events. This paper analyzes the dependencies among nearly 4,000 stocks from 15 countries. The stock returns are normalized by the estimated volatility using a GARCH framework, integrated with a robust regression process to estimate pairwise statistically significant relationships between stocks from different countries. The estimation results are used as a measure of statistical interconnectedness, and to derive network representations, both by country and by sector. We find that the Energy, Materials, and Financial sectors play a leading role in connecting Markets, and that this role has increased over time for the Energy and Materials sectors. Our results thus confirm the role of Global sectoral factors in stock Market dependencies. Moreover, our results also show that the dependencies are rather volatile and that heterogeneity among stocks is a non-negligible aspect of this volatility. The transmission mechanism between Financial Markets is thus not stable, but rather governed by both changes in volatility and changes in the stocks’ contributions to the statistical interdependence across countries.
-
interconnectedness in the Global Financial Market
Research Papers in Economics, 2017Co-Authors: Matthias Raddant, Dror Y KenettAbstract:The Global Financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local Financial shocks and events can be easily amplified and turned into Global events. This paper analyzes the dependencies among nearly 4,000 stocks from 15 countries. The returns are normalized by the estimated volatility using a GARCH model and a robust regression process estimates pairwise statistical relationships between stocks from different Markets. The estimation results are used as a measure of statistical interconnectedness, and to derive network representations, both by country and by sector. The results show that countries like the United States and Germany are in the core of the Global stock Market. The energy, materials, and Financial sectors play an important role in connecting Markets, and this role has increased over time for the energy and materials sectors. Our results confirm the role of Global sectoral factors in stock Market dependence. Moreover, our results show that the dependencies are rather volatile and that heterogeneity among stocks is a non-negligible aspect of this volatility.
-
interconnectedness in the Global Financial Market
Social Science Research Network, 2016Co-Authors: Matthias Raddant, Dror Y KenettAbstract:The Global Financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local Financial shocks and events can be easily amplified and turned into Global events. New models are needed to capture the structure of the Global Financial village and uncover channels of spillover and contagion. This paper analyzes the dependencies among nearly 4,000 stocks from 15 countries. The returns are normalized by the estimated volatility using a GARCH model and a robust regression process estimates pairwise statistical relationships between stocks from different Markets. The estimation results are used as a measure of statistical interconnectedness, and to derive network representations, both by country and by sector. The results show that countries like the United States and Germany are in the core of the Global stock Market. The energy, materials, and Financial sectors play an important role in connecting Markets, and this role has increased over time for the energy and materials sectors. The framework provides the means to monitor interconnectedness in the Global Financial system on different aggregation levels, and to show how they evolve in time.