市场风险认知的国际联系

IF 2.9 3区 经济学 Q2 BUSINESS, FINANCE
Pedro Serrano , Antoni Vaello-Sebastià , M. Magdalena Vich-Llompart
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引用次数: 0

摘要

本文研究了市场风险认知的国际联系,其中包含风险的统计测量以及代表性投资者的主观信念和偏好。我们发现,不同国家/经济地区的风险认知具有高度共性,第一主成分可解释总变异性的 80% 以上。一体化程度是动态的,在危机期间达到顶峰。关联性分析表明,冲击从西方经济体传导至亚太经济体。我们还区分了风险认知溢出效应是由于总体风险规避的冲击还是不确定性的解决。局部预测分析表明,风险规避会对风险认知产生短期影响。不确定性在统计上也有显著影响,虽然其影响较弱,但持续时间较长。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The international linkages of market risk perception

This article studies the international linkages of market risk perception, which embeds a statistical measure of risk as well as the subjective beliefs and preferences of the representative investor. We find high commonality between the risk perception of different countries/economic areas, with a first principal component explaining more than 80% of the total variability. The level of integration is dynamic, peaking during crises. A connectedness analysis shows that the transmission of shocks goes from Western to Asia-Pacific economies. We also disentangle whether risk perception spillovers are due to shocks in the aggregate risk aversion or a resolution of uncertainty. A local projection analysis documents a short-term impact of risk aversion in the perception of risk. Uncertainty is also statistically significant, and although their effects are milder they span for longer periods.

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来源期刊
CiteScore
7.30
自引率
4.80%
发文量
25
审稿时长
30 days
期刊介绍: International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.
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