|
on International Finance |
| By: | Elena Andreou; Maria Matsi; Andreas Savvides |
| Abstract: | This paper investigates bi-directional linkages between the stock and foreign exchange markets of a number of emerging economies. A quarto-variate VAR-GARCH model with the BEKK representation is estimated for each of twelve emerging economies to test for spillovers, both in terms of return and volatility, between the emerging stock market, foreign exchange market and global and regional stock markets. We find significant bi-directional spillovers between stock and foreign exchange markets. We also examine the effects of a country’s choice of exchange rate regime, on the one hand, and the Asian financial crisis, on the other, on the volatility spillover mechanism. |
| Keywords: | Volatility Spillovers, MGARCH, Emerging Economies |
| Date: | 2013–01 |
| URL: | http://d.repec.org/n?u=RePEc:ucy:cypeua:01-2013&r=ifn |
| By: | Hönig, Anja |
| Abstract: | The empirical investment literature provides evidence on financing constraints mostly by estimating cash-flow sensitivities for a priori (un-)constrained firms or develops rather ad-hoc indicators to explain firms' differential access to external capital. However, the sources and determinants of financing constraints often remain unclear. Furthermore, none of the indicators suggested so far provides a role for taxation in explaining firms' credit supply. We fill this gap using recently developed theoretical approaches that explain how profit taxes and internal funds impact firms' access to external capital and subsequent investment levels. Based on the theoretical variables expected to matter for a firm's access to credit, we provide empirical evidence using a unique micro dataset of merged survey and financial statement data provided by the Ifo Institute in Munich. In contrast to previous studies, we measure firms' credit constraints directly and use a broad set of balance sheet and qualitative parameters as controls. Preliminary results point to a significant role of pledgeable income and underline the importance of own funds and expected output for obtaining external finance. Furthermore, a firm s size and age have a significant impact on firms' access to external funds. The results are robust to various specifications and confirm previous results. Taxation, by reducing pledgeable income, is found to exert a positive effect on the probability of being financially restricted. -- |
| JEL: | D22 G32 H32 |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:vfsc12:66053&r=ifn |
| By: | Dorn, Sabrina; Egger, Peter |
| Abstract: | This paper provides evidence of heterogeneous treatment effects on trade from switching among three types of de-facto exchange rate regimes: freely floating, currency bands, and pegs or currency unions. A cottage literature at the interface of macroeconomics and international economics focuses on the consequences of exchange rate regimes for economic outcome such as trade. The majority of contributions points to trade-stimulating average effects of tighter exchange rate tying in general and of currency unions in specific. While there is great variability of the estimated quantitative effects across studies, all of the associated work adopted at least two and most of it all of the following three assumptions: assignment of countries to exchange rate regimes is random, the treatment effect of adopting a currency union is independent of the underlying regime transition, and it is homogeneous and hence fully captured by the average. This paper allows for self-selection into exchange rate regimes conditional on observable characteristics and a given regime state prior to a transition and provides evidence of strong impact heterogeneity on bilateral trade among otherwise observationally equivalent country-pairs. -- |
| JEL: | C22 C32 F31 |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:vfsc12:62054&r=ifn |