ERN: International Finance (Topic)最新文献

{"title":"Separating the Opposing Effects of Bilateral Tax Treaties","authors":"Bruce A. Blonigen, Lindsay Oldenski, Nicholas Sly","doi":"10.3386/W17480","DOIUrl":"https://doi.org/10.3386/W17480","url":null,"abstract":"Bilateral tax treaties (BTT) are intended to promote foreign direct investment and foreign affiliate activity through double taxation relief. However, BTTs also typically contain provisions that facilitate sharing of tax information between countries intended to curtail tax avoidance by multinational firms. These provisions should disproportionately affect firms that intensively use inputs for which an arms-length price is easily observed, since strategic transfer practices that manipulate tax liabilities are no longer effective with information sharing between countries. Using BEA firm-level data we are able to separately estimate the impacts of double-taxation relief and sharing of tax information on investment behavior of US multinational firms. We find a significant positive effect of new tax treaties on foreign affiliate activity between member nations that is offset (and even reversed) the more a firm relies on inputs traded on an organized exchange (i.e., inputs for which the arms-length price is easily observed). We find these opposing BTT effects for both the intensive margin (sales of existing affiliates) and the extensive margin (entry of new affiliates).","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117073911","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Transfer of Financial Risk in Emerging Eastern European Stock Markets: A Sectoral Perspective","authors":"E. Fedorova","doi":"10.2139/ssrn.1942153","DOIUrl":"https://doi.org/10.2139/ssrn.1942153","url":null,"abstract":"With the rise of interconnected global financial systems, there is an increased risk that a financial crisis in one country may spread to others. The contagion effects of the 2008 global financial crisis hit advanced economies fast and hard while sparing less developed and less integrated financial systems. The present study focuses on the contagion effects at Eastern European stock markets and changes in their interconnections after EU accession in 2004. Specifically, we investigate the relationship among the stock market sectors of Poland, Hungary and the Czech Republic during 19982009 and their exposure to on-shored financial risk. The evidence suggests direct linkages between different stock market sectors with respect to returns and volatilities with increased equity-shock transmission between markets after EU accession in 2004. Of particular note is the intra-industry contagion in emerging Europe. Our findings have implications for asset pricing and portfolio selection for international financial institutions and financial managers.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128885894","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Managing Capital Inflows: The Role of Capital Controls and Prudential Policies","authors":"M. Qureshi, J. Ostry, A. Ghosh, M. Chamon","doi":"10.3386/W17363","DOIUrl":"https://doi.org/10.3386/W17363","url":null,"abstract":"We examine whether macroprudential policies and capital controls can contribute to enhancing financial stability in the face of large capital inflows. We construct new indices of foreign currency (FX)-related prudential measures, domestic prudential measures, and financial-sector capital controls for 51 emerging market economies over the period 1995-2008. Our results indicate that both capital controls and FX-related prudential measures are associated with a lower proportion of FX lending in total domestic bank credit and a lower proportion of portfolio debt in total external liabilities. Other prudential policies appear to help restrain the intensity of aggregate credit booms. Experience from the global financial crisis suggests that prudential and capital control policies in place during the boom seem to have enhanced economic resilience during the bust.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"436 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134508511","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Central Bank Exchange Rate Interventions and Market Expectations: The Case of Mexico during the Financial Crisis 2008-2009","authors":"G. Benavides","doi":"10.2139/ssrn.1923101","DOIUrl":"https://doi.org/10.2139/ssrn.1923101","url":null,"abstract":"The objectiveof this paperis to examine if the exchange-rateinterventionsof theCentral Bank of Mexico during the 2008-2009 financial crisis had an eect on the (Mexican Peso-US Dollar) exchange rate market expectations. Expectations are generated by Risk-Neutral Densities (RNDs) extracted from option prices; the used method to estimate RNDs is the volatility function technique proposed by Malz (1997). The obtained results show that interventions caused changes in expectations around the date of the intervention. There is a pattern of a statistically significant decreasing of the mean and variance in the implied exchange rate immediately after the period of intervention. The higher implied moments decrease as well. Finally, it was also found a causalityeect that runs in both directions;between exchange-rate expectations and Central Bank interventions. Resumen","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126827422","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Linkages between the Stock Prices and the Exchange Rates During the Global Crisis: The Case of Romania","authors":"R. Stefanescu, Ramona Dumitriu, C. Nistor","doi":"10.2139/ssrn.2003349","DOIUrl":"https://doi.org/10.2139/ssrn.2003349","url":null,"abstract":"Since the Asian flu several empirical studies revealed that in the crisis circumstances the relationship between the stock prices and the exchange rates could suffer significant changes. Such findings were confirmed during the global crisis that started in 2008. In the case of Romania the global crisis caused sharp shocks on both the capital market and the foreign exchange market. Contagion from the foreign financial markets and some impulses from the national economy led to complex evolutions of both markets, where ascendant and descendent trends alternated. In this paper we study the interactions between the stock prices and the exchange rates during some distinct stages of the recent crisis. We find that contagion from the foreign financial markets, the exchange rates policy changes and the national economy situation had a major impact on the relationship between the stock prices and the exchange rates.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132676901","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"External Balance Adjustment: An Intra-National and International Comparison","authors":"Constance E. Smith","doi":"10.2139/ssrn.1940670","DOIUrl":"https://doi.org/10.2139/ssrn.1940670","url":null,"abstract":"Large external imbalances have become a policy concern. This study investigates the determinants of external balances for regions within a single country--Canadian provinces--as well as for a sample of 18 OECD countries. External balance adjustment may differ for provinces since there are few intra-national barriers to the mobility of capital, goods and labour within Canada. Also, because Canada is a monetary union, there is no currency risk associated with lending and borrowing across provinces, and this may promote inter-provincial financial flows. The estimates show that the short run response of the external balance to disturbances, such as a deterioration in the terms of trade, is typically larger for Canadian provinces than for OECD countries. There is also a much greater speed of adjustment of the external balance in the Canadian provinces. This faster adjustment speed, combined with the larger response of the external balance, means that provinces may see a quicker resolution of external imbalances, but larger deficits or surpluses may emerge before adjustment occurs.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127960591","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Liabilities of Globalization: Debt Ownership, Moral Hazard and Interstate Conflict with Other People’s Money","authors":"Scott Helfstein","doi":"10.2139/ssrn.1940468","DOIUrl":"https://doi.org/10.2139/ssrn.1940468","url":null,"abstract":"Economists have long recognized the risks associated with moral hazard, and it is naive to think that countries or governments are any more or less immune given increased access to other people’s money in a globalizing world. Governments, through foreign financing, can expend resources with limited impact on citizens. This paper explains how economic interdependence fosters a moral hazard problem, giving rise to an underappreciated link between globalization and conflict. This has not been addressed because globalization is most often approached through the income statement, such as trade flows, or the asset side of the balance sheet, such as foreign direct investment. A series of empirical tests, including a natural experiment based on involvement in the Afghan and Iraq Wars as well as a traditional time-series cross-section analysis of militarized disputes, examines the relationship between foreign debt ownership and conflict. There is strong evidence to support the notion that states are more conflict prone when they can use other people’s money.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121602921","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Macroeconomic Regimes, Policies, and Outcomes in the World","authors":"K. Schmidt-Hebbel","doi":"10.4067/S0718-52862010000200001","DOIUrl":"https://doi.org/10.4067/S0718-52862010000200001","url":null,"abstract":"This paper summarizes a research project focused on the empirical determinants of and interrelations between macroeconomic regimes, policies, and performance in the world. The project’s hypotheses are structured into three related themes. The first aim is analyzing the determinants of the likelihood of adoption of macroeconomic policy regimes. The second project theme focuses on cyclicality of macroeconomic policies and accuracy in attaining inflation targets. Finally, the project tests for the behavior of two key macroeconomic variables - economic growth and inflation – focusing on their sensitivity to different macroeconomic regimes and policies. A large world database was assembled for this project from both publicly available and private databases. Data coverage extends to more than 100 countries, with annual time series extending from 1970 to 2008. A wide spectrum of frontier estimation techniques is applied to the country panel data series, appropriate for discrete-choice and continuous variable estimation. The key research results are the following. Country choice of macroeconomic policy regimes (exchange-rate regimes, money-based targeting, inflation targeting, and rule-based fiscal regimes) is explained by countries’ structural and institutional features, macroeconomic performance, financial development, and international integration. The cyclical behavior of fiscal policy reflects the quality of country institutions, financial openness, and financial development. Central bank accuracy in meeting inflation targets is also a result of domestic institutional strength and macroeconomic credibility. Long-term growth is significantly shaped by the quality of policies, financial development, foreign aid, and exchange-rate misalignment, in addition to standard growth determinants. Growth volatility is a result of domestic macroeconomic policy volatility, external shocks, international integration, and financial development. Country inflation rates are determined by international factors and domestic determinants, including fiscal policy, institutional development, monetary and exchange-rate regimes, and financial depth and integration.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131835840","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"How Strong is the Case for Dollarization in Central America? An Empirical Analysis of Business Cycles, Credit Market Imperfections and the Exchange Rate","authors":"Nannette Lindenberg, F. Westermann","doi":"10.2139/ssrn.2781955","DOIUrl":"https://doi.org/10.2139/ssrn.2781955","url":null,"abstract":"In this paper, we contrast two different views in the debate on official dollarization. The Mundell (1961) framework of optimal currency areas and a model on boom-bust cycles, by Schneider and Tornell (2004), who take account of credit market imperfections prevalent in middle income countries. We highlight that the role of the exchange rate is strikingly different in the two models. While in the Mundell framework the exchange rate is expected to smooth the business cycle, the other model predicts that the exchange rate plays an amplifying role. We empirically evaluate both models for eight highly dollarized Central American economies, and find that the main benefit of official dollarization derives from avoiding a mismatch between foreign currency liabilities and domestic revenues, as well as the boom-bust episodes that are likely to follow from it. Using a new method of Cubadda (1999, 2007), we furthermore test for cyclical comovement and reject the hypothesis that the countries form an optimal currency area with the United States according to the Mundell definition.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"214 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126037622","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Determinants of Exchange Rate on ASEAN-5 Countries: An Evidence of Purchasing Power Parity","authors":"A. Abudalu, Che Ani Mad, Angappan Ragupathi","doi":"10.2139/ssrn.1278784","DOIUrl":"https://doi.org/10.2139/ssrn.1278784","url":null,"abstract":"This paper presents the empirical study on long-run and short-run forcing variables of purchasing power parity (PPP) for ASEAN-5 currencies vis-a-vis the U.S. dollar, i.e., their real effective exchange rate (REER). This study uses a recently developed autoregressive distributed lag (ARDL) approach to co-integration (Pesaran et al., 2001) over the period 1991:Q1 - 2006:Q2. Our empirical results suggest that the domestic money supply (M1) for Malaysia is in the long-run only, while for Indonesia, Philippines, and Singapore are in the long and short run is a significant long run forcing variable of PPP for countries' REER. However, the results suggested that, the domestic interest rate (R) is a long run and short run forcing variable of PPP for Malaysia, Philippines, Singapore and Thailand REERs. The findings can derive policy implication for the monetary authorities in these ASEAN-5 countries.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117036728","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}