F30 - General
-
-
Does the Buck Stop Here? A Comparison of Withdrawals from Money Market Mutual Funds with Floating and Constant Share Prices
Recent reform proposals call for an elimination of the constant net asset value (NAV) or “buck” in money market mutual funds to reduce the occurrence of runs. Outside the United States, there are several countries that have money market mutual funds with and without constant NAVs. -
Short Changed? The Market's Reaction to the Short Sale Ban of 2008
Do short sales restrictions have an impact on security prices? We address this question in the context of a natural experiment surrounding the short sale ban of 2008 using a comprehensive sample of Canadian stocks cross-listed in the U.S. -
Domestic versus External Borrowing and Fiscal Policy in Emerging Markets
Domestic public debt issued by emerging markets has risen significantly relative to international debt in recent years. Some recent empirical evidence also suggests that sovereigns have defaulted differentially on debt held by domestic and external creditors. -
Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets
This paper presents a multifactor asset pricing model for currency, bond, and stock returns for ten emerging markets to investigate the effect of the exchange rate regime on the cost of capital and the integration of emerging financial markets. Since there is evidence that a fixed exchange rate regime reduces the currency risk premia demanded by foreign investors, the tentative conclusion is that a fixed exchange rate regime system can help reduce the cost of capital in emerging markets. -
The Monetary Origins of Asymmetric Information in International Equity Markets
Existing studies using low-frequency data show that macroeconomic shocks contribute little to international stock market covariation. -
International Equity Flows and Returns: A Quantitative Equilibrium Approach
The authors model trading by foreign and domestic investors in developed-country equity markets. -
Commodity-Linked Bonds: A Potential Means for Less-Developed Countries to Raise Foreign Capital
The author suggests that commodity-linked bonds could provide a potential means for less-developed countries (LDCs) to raise money on the international capital markets, rather than through standard forms of financing. -
When Bad Things Happen to Good Banks: Contagious Bank Runs and Currency Crises
The author develops a twin crisis model featuring multiple banks. -
Anatomy of a Twin Crisis
The author presents a model of a twin crisis, in which foreign and domestic residents play a banking game. Both "honest" and run equilibria of the post-deposit subgame exist; some run equilibria lead to a currency crisis, as agents convert domestic currency to foreign currency.