Gross capital flows: Dynamics and crises
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This paper analyzed the joint behavior of international capital flows by foreign and domestic agents over the business cycle and during financial crises and found that gross capital flows are very large and volatile, especially relative to net capital flows.About:
This article is published in Journal of Monetary Economics.The article was published on 2011-08-01 and is currently open access. It has received 348 citations till now. The article focuses on the topics: Capital (economics) & Capital outflow.read more
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Gross Capital Flows: Dynamics and Crises
TL;DR: The authors analyzes the joint behavior of international capital flows by foreign and domestic agents - gross capital flows - over the business cycle and during financial crises and finds that gross capital flow is very large and volatile, especially relative to net capital flow.
Journal ArticleDOI
On the international transmission of shocks : micro-evidence from mutual fund portfolios
TL;DR: In this article, the volatility of mutual fund investments is quantitatively driven by both the underlying investors and fund managers through injections into/redemptions out of each fund and managerial changes in country weights and cash.
Journal ArticleDOI
Financial frictions, financial integration and the international propagation of shocks
Luca Dedola,Giovanni Lombardo +1 more
TL;DR: In this article, Dedola and Lombardo argue that under financial integration, the fact that leveraged investors face the same returns across internationally traded assets, would tend to equalize their borrowing cost across countries.
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Banks, Government Bonds, and Default: What Do the Data Say?
TL;DR: In this paper, the role of public bonds in 20 sovereign defaults over 1998-2012 was analyzed, showing that during sovereign defaults, banks increase their exposure to public bonds, especially large banks and when expected bond returns are high.
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Sovereign debt and reserves with liquidity and productivity crises
TL;DR: In this article, the optimal portfolio choice of a sovereign that is subject to liquidity and productivity shocks is modeled by solving a contracting game between sovereign and international lenders, which rationalizes the complementarity between debt and reserves.
References
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BookDOI
This Time Is Different: Eight Centuries of Financial Folly
Carmen Reinhart,Kenneth Rogoff +1 more
TL;DR: This Time Is Different as mentioned in this paper presents a comprehensive look at the varieties of financial crises, and guides us through eight astonishing centuries of government defaults, banking panics, and inflationary spikes.
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The External Wealth of Nations Mark Ii: Revised and Extended Estimates of Foreign Assets and Liabilities, 1970-2004
Philip R. Lane,Philip R. Lane,Philip R. Lane,Gian Maria Milesi-Ferretti,Gian Maria Milesi-Ferretti +4 more
TL;DR: In this article, the authors construct estimates of external assets and liabilities for 145 countries for the period 1970-2004, focusing on trends in net and gross external positions, and the composition of international portfolios.
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The external wealth of nations mark II: Revised and extended estimates of foreign assets and liabilities, 1970–2004
TL;DR: In this paper, the authors construct estimates of external assets and liabilities for 145 countries for 1970-2004, focusing on trends in net and gross external positions, and the composition of international portfolios.
BookDOI
Leading Indicators of Currency Crises
TL;DR: In this article, the authors examine the empirical evidence on currency crises and propose a specific early warning system, which involves monitoring the evolution of several indicators that tend to exhibit unusual behavior in the periods preceding a crisis.
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Currency crashes in emerging markets: An empirical treatment
TL;DR: The authors defined a currency crash as a large change of the nominal exchange rate that is also a substantial increase in the rate of change of nominal depreciation, and used a panel of annual data for over 100 developing countries from 1971 through 1992 to characterize currency crashes.