G - Financial Economics
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An Examination of Canadian Firms Delisting from U.S. Exchanges
This paper examines Canadian and other foreign firms that have been involuntarily delisted from major U.S. exchanges. I find that, for most countries, less than 10% of firms get delisted from a U.S. exchange during my sample period. -
Credit, Asset Prices, and Financial Stress in Canada
Historical narratives typically associate financial crises with credit expansions and asset price misalignments. The question is whether some combination of measures of credit and asset prices can be used to predict these events. -
The Carry Trade, Portfolio Diversification, and the Adjustment of the Japanese Yen
In this paper, the author considers whether fundamentals or other factors can explain the yen's ongoing weakness. In particular, the importance of capital outflows due to the carry trade and longer-term portfolio investment outflows, which may be delaying the adjustment of the yen, are investigated. A simple portfolio model is developed, composed of a speculative […] -
Default Dependence: The Equity Default Relationship
The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier. -
Testing Uncovered Interest Parity: A Continuous-Time Approach
Nowadays researchers can choose the sampling frequency of exchange rates and interest rates. -
Where Does Price Discovery Occur in FX Markets?
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. -
Rediscounting Under Aggregate Risk with Moral Hazard
Freeman (1999) proposes a model in which discount window lending and open market operations have different effects. This is important because in most of the literature, these policies are indistinguishable. -
Do Firms Adjust Toward a Target Leverage Level?
This paper studies capital structure adjustment mechanisms of firms that experience substantial changes in leverage. -
Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective
The primary objective of this paper is to compare a variety of joint models of the term structure of interest rates and the macroeconomy.