G15 - International Financial Markets

• Identifying Asymmetric Comovements of International Stock Market Returns

  Staff Working Paper 2010-21 Fuchun Li

  Based on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock market downturns will lead to stronger comovements than market upturns.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial stability, Financial system regulation and policies, International topics JEL Code(s): C, C4, C49, F, F2, F21, G, G1, G15, G19

• International Capital Flows and Bond Risk Premia

  Staff Working Paper 2010-14 Jesus Sierra

  This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): C, C2, C22, F, F3, F31, F32, F34, G, G1, G11, G12, G15

• Testing for Financial Contagion with Applications to the Canadian Banking System

  Staff Working Paper 2009-14 Fuchun Li

  The author proposes a new test for financial contagion based on a non-parametric measure of the cross-market correlation. The test does not depend on the assumption that the data are drawn from a given probability distribution; therefore, it allows for maximal flexibility in fitting into the data.

  Content Type(s): Staff research, Staff working papers Topic(s): Central bank research, Econometric and statistical methods, Financial stability JEL Code(s): C, C1, C12, G, G0, G01, G1, G15

• How Important Is Liquidity Risk for Sovereign Bond Risk Premia? Evidence from the London Stock Exchange

  Staff Working Paper 2008-47 Ron Alquist

  This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and sovereign bond risk premia. The London Stock Exchange in the late 19th century is an ideal laboratory in which to test the proposition that liquidity risk affects the price of sovereign debt.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, International topics JEL Code(s): F, F2, F21, F3, F34, F36, G, G1, G12, G15

• McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates

  Staff Working Paper 2008-43 Antonio Diez de los Rios

  McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Interest rates, Monetary policy transmission JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15

• The Impact of Sovereign Wealth Funds on International Financial Stability

  Staff Discussion Paper 2008-14 Tamara Gomes

  Over the recent period, many emerging-market economies and commodity-exporting nations have experienced unprecedented growth and accumulated substantial amounts of foreign exchange reserves. The management of these foreign reserves has led to the emergence of important financial actors: sovereign wealth funds (SWFs).

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial stability, Recent economic and financial developments JEL Code(s): F, F2, F21, F3, F31, F32, G, G1, G15

• Good Policies or Good Fortune: What Drives the Compression in Emerging Market Spreads?

  Staff Working Paper 2008-25 Philipp Maier, Garima Vasishtha

  Since 2002, spreads on emerging market sovereign debt have fallen to historical lows. Given the close links between sovereign spreads, capital flows to emerging markets, and economic growth, understanding the factors driving these spreads is very important. We address this issue in two stages.

  Content Type(s): Staff research, Staff working papers Topic(s): Development economics, Financial stability, International topics JEL Code(s): E, E4, E43, F, F3, F34, G, G1, G12, G15

• Testing Uncovered Interest Parity: A Continuous-Time Approach

  Staff Working Paper 2007-53 Antonio Diez de los Rios, Enrique Sentana

  Nowadays researchers can choose the sampling frequency of exchange rates and interest rates.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Exchange rates JEL Code(s): F, F3, F31, G, G1, G15

• Where Does Price Discovery Occur in FX Markets?

  Staff Working Paper 2007-52 Chris D'Souza

  Trades in foreign exchange markets are initiated around the world and around the clock. This study illustrates that trades are more informative when initiated in a local country or in major foreign exchange centers like London and New York.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): F, F3, F31, G, G1, G15

• Hedge Funds and Financial Stability: The State of the Debate

  Staff Discussion Paper 2007-9 Michael R. King, Philipp Maier

  The authors review the state of the debate on hedge funds and the potential threat that hedge funds pose to financial stability. The collapse of a hedge fund or a group of hedge funds might pose a systemic risk directly by damaging systematically important financial institutions, or indirectly by increasing market volatility and generating a […]

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G1, G15, G18, G2