The Experts below are selected from a list of 183 Experts worldwide ranked by ideXlab platform

Suleyman Basak - One of the best experts on this subject based on the ideXlab platform.

  • an intertemporal model of International Capital Market segmentation
    Social Science Research Network, 1998
    Co-Authors: Suleyman Basak
    Abstract:

    This paper develops an intertemporal model of International Capital Market segmentation. Within the model, under various forms of segmentation/integration, the equilibrium asset prices and allocations, the risk-free interest rate, and the intertemporal consumption behavior and welfares of two countries are derived and compared. It is shown that the equilibrium interest rate is increased on integration, and that integrating Markets may be significantly welfare decreasing for one of the countries. Conditions that may lead to a decrease in welfare are investigated. The conclusions as to the effects of segmentation on asset prices in the mean-variance model of the existing finance segmentation literature are also shown to break down in an intertemporal model.

Delroy M Hunter - One of the best experts on this subject based on the ideXlab platform.

  • emerging Market liberalization and the impact on uncovered interest rate parity
    Journal of International Money and Finance, 2002
    Co-Authors: Bill B Francis, Iftekhar Hasan, Delroy M Hunter
    Abstract:

    Abstract In this paper we make use of the uncovered interest rate parity (UIRP) relationship to examine the extent that the liberalization of emerging financial Markets has resulted in the integration of developing countries’ currency Markets into the International Capital Market. Previous tests of the impact of liberalization on the integration of emerging Capital Markets into world financial Markets are confined to equity Markets, ignoring currency Markets that are arguably more important in determining the success of financial liberalization. We find that, in general, deviation from UIRP in the emerging Markets is systematic in nature and that a significant part of emerging Market currency excess returns is attributable to a time-varying risk premium. Importantly we also find that these countries’ currency deposits provide US (equity) investors with the benefits of International diversification. Our results also show that for some Markets, liberalization improved (worsened) investors’ perception of growth opportunity while reducing (increasing) investors’ perception of the probability of financial distress. Finally, while several countries benefited from liberalization and have become more integrated into the world Capital Market, the experience is country specific.

  • emerging Market liberalization and the impact on uncovered interest rate parity
    Research Papers in Economics, 2002
    Co-Authors: Bill B Francis, Iftekhar Hasan, Delroy M Hunter
    Abstract:

    In this paper we make use of the uncovered interest rate parity (UIRP) relationship to examine the extent that the liberalization of emerging financial Markets has resulted in the integration of developing countries’ currency Markets into the International Capital Market. Previous tests of the impact of liberalization on the integration of emerging Markets Capital Markets into world financial Markets are confined to equity Markets, ignoring currency Markets that arguably are more important in determining the success of financial liberalization. We find that, in general, deviation from UIRP in the emerging Markets is systematic in nature and that a significant part of emerging Market currency excess returns is attributable to time-varying risk premium. Importantly we also find that these countries’ currency deposits provide U.S. (equity) investors the benefits of International diversification. Our results also show that for some Markets, liberalization improved (worsened) investors’ perception of growth opportunity while reducing (increasing) investors' perception of the probability of financial distress. Finally, while several countries benefited from liberalization and have become more integrated into the world Capital Market, the experience is country specific.

Tamim Bayoumi - One of the best experts on this subject based on the ideXlab platform.

  • consumption income and International Capital Market integration
    Consumption Income and International Capital Market Integration, 1995
    Co-Authors: Tamim Bayoumi, Ronald Macdonald
    Abstract:

    This paper uses consumption patterns across countries to measure Capital Market integration. It argues that earlier empirical tests of this type were potentially misspecified and proposes a more robust specification. The results indicate that Japan was the only industrialized country for which national consumption was fully integrated with the rest of the world over the period 1973-92. The main source of failure is excess sensitivity of consumption to home income. Particularly within the European Community, however, there is also evidence that real interest rates are not equalized.

  • consumption income and International Capital Market integration
    Research Papers in Economics, 1994
    Co-Authors: Tamim Bayoumi
    Abstract:

    This paper uses consumption patterns across countries to measure Capital Market integration. It argues that earlier empirical tests of this type were potentially mis-specified and proposes a more robust specification. The results indicate that Japan was the only industrialized country for which national consumption was fully integrated with the rest of the world over the period 197389. For the other countries the source of the failure varies. Within the European Union it is generally associated with incomplete integration across Capital Markets. Elsewhere, consumption is found to be excessively dependent on disposable income.

  • consumption income and International Capital Market integration
    Social Science Research Network, 1994
    Co-Authors: Tamim Bayoumi
    Abstract:

    This paper uses consumption patterns across countries to measure Capital Market integration. It argues that earlier empirical tests of this type were potentially mis-specified and proposes a more robust specification. The results indicate that Japan was the only industrialized country for which national consumption was fully integrated with the rest of the world over the period 1973-89. For the other countries the source of the failure varies. Within the EC it is generally associated with incomplete integration across Capital Markets. Elsewhere, consumption is found to be excessively dependent on disposable income.

Bill B Francis - One of the best experts on this subject based on the ideXlab platform.

  • emerging Market liberalization and the impact on uncovered interest rate parity
    Journal of International Money and Finance, 2002
    Co-Authors: Bill B Francis, Iftekhar Hasan, Delroy M Hunter
    Abstract:

    Abstract In this paper we make use of the uncovered interest rate parity (UIRP) relationship to examine the extent that the liberalization of emerging financial Markets has resulted in the integration of developing countries’ currency Markets into the International Capital Market. Previous tests of the impact of liberalization on the integration of emerging Capital Markets into world financial Markets are confined to equity Markets, ignoring currency Markets that are arguably more important in determining the success of financial liberalization. We find that, in general, deviation from UIRP in the emerging Markets is systematic in nature and that a significant part of emerging Market currency excess returns is attributable to a time-varying risk premium. Importantly we also find that these countries’ currency deposits provide US (equity) investors with the benefits of International diversification. Our results also show that for some Markets, liberalization improved (worsened) investors’ perception of growth opportunity while reducing (increasing) investors’ perception of the probability of financial distress. Finally, while several countries benefited from liberalization and have become more integrated into the world Capital Market, the experience is country specific.

  • emerging Market liberalization and the impact on uncovered interest rate parity
    Research Papers in Economics, 2002
    Co-Authors: Bill B Francis, Iftekhar Hasan, Delroy M Hunter
    Abstract:

    In this paper we make use of the uncovered interest rate parity (UIRP) relationship to examine the extent that the liberalization of emerging financial Markets has resulted in the integration of developing countries’ currency Markets into the International Capital Market. Previous tests of the impact of liberalization on the integration of emerging Markets Capital Markets into world financial Markets are confined to equity Markets, ignoring currency Markets that arguably are more important in determining the success of financial liberalization. We find that, in general, deviation from UIRP in the emerging Markets is systematic in nature and that a significant part of emerging Market currency excess returns is attributable to time-varying risk premium. Importantly we also find that these countries’ currency deposits provide U.S. (equity) investors the benefits of International diversification. Our results also show that for some Markets, liberalization improved (worsened) investors’ perception of growth opportunity while reducing (increasing) investors' perception of the probability of financial distress. Finally, while several countries benefited from liberalization and have become more integrated into the world Capital Market, the experience is country specific.

Stephen J Turnovsky - One of the best experts on this subject based on the ideXlab platform.

  • growth and inequality in a small open economy
    Journal of Macroeconomics, 2010
    Co-Authors: Yuchin Chen, Stephen J Turnovsky
    Abstract:

    Abstract This paper employs an endogenous growth model to analyze the growth and inequality relation for a small open economy where agents differ in their initial endowments of Capital stock and International bond-holdings. We analyze the impacts of different structural shocks through their effects on agents’ relative wealth and their labor supply decisions. Both theoretical analysis and numerical simulations demonstrate that openness – access to an International Capital Market – enriches the growth-inequality relations from those of the corresponding closed economy. Specifically, we show that the growth and distributional consequences of structural shocks depend crucially on whether the underlying heterogeneity originates with the initial endowment of domestic Capital or foreign bonds.

  • foreign debt supply in an imperfect International Capital Market theory and evidence
    Journal of International Money and Finance, 2010
    Co-Authors: Keunsuk Chung, Stephen J Turnovsky
    Abstract:

    Abstract We investigate the determinants of foreign borrowing costs in a stochastically growing economy. We find that these increase with the debt-wealth ratio, depending also upon the volatilities of domestic and foreign origin, and the length of debt contract. In addition, the sensitivity of the short-term debt supply to the debt-wealth ratio exceeds that of long-term debt, and the effects of volatility on the borrowing premium, growth of wealth, and its volatility, depend on the relative size of a direct effect and a secondary portfolio-adjustment effect of the initial shock, as well as the length of the debt contract. Panel regressions suggest that the empirical evidence generally support the theoretical predictions.

  • growth and inequality in a small open economy
    Research Papers in Economics, 2009
    Co-Authors: Yuchin Chen, Stephen J Turnovsky
    Abstract:

    This paper analyzes the growth and inequality tradeoff for a small open economy where agents differ in their initial endowments of Capital stock and International bond-holdings. Our analysis focuses on the distributional impacts of different structural shocks through their effects on agents’ relative wealth and their labor supply decisions. Supplementing the theoretical analysis with numerical simulations, we demonstrate that openness – access to an International Capital Market – has important consequences on the growth-inequality tradeoff. Specifically, the growth and distributional consequences of structural shocks depend crucially on whether the underlying heterogeneity originates with the initial endowment of domestic Capital or foreign bonds.