Shifts in global risk appetite move not just the middle of the emerging-market capital-flow and return distributions but their left tails, and usually the left tail more. Estimating panel quantile …
PublishedClassicEconomic ModellingOnline 28 May 2022Published Sep 2022
In a calibrated neo-classical growth model, moving from financial autarky to integration raises consumption most in the first years after opening, so the standard infinite-horizon Hicksian welfare …
PublishedClassicJournal of International EconomicsPublished May 2022
A country's macroprudential stance looks irrelevant to portfolio flows on average, but that average hides the tails. Countries with tighter ex-ante regulation see larger bond and equity outflows in …
PublishedClassicReview of Financial StudiesOnline 7 Apr 2020Published Feb 2021
Identifying US monetary policy shocks from daily moves in five-year Treasury futures around FOMC announcements, this paper shows that during the unconventional-policy years those shocks largely …
PublishedClassicJournal of International EconomicsPublished Sep 2017
Brazil's IOF tax on foreign portfolio inflows was announced overnight and without warning, which makes it readable in stock prices. Two-day cumulative abnormal returns for listed Brazilian firms fall …
Measured firm by firm from accounting and stock-market data rather than imputed from national accounts, the marginal product of capital really is higher in poorer countries -- but inflation-adjusted …