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This paper examines the effectiveness of international capital controls in India over time by analyzing daily return differentials in the non-deliverable forward (NDF) ma[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing [...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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We examine the safety of government bonds in the presence of Knightian uncertainty amongst financial market participants. In our model, the information insensitivity of g[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness model[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one important approach to forecasting the real price of [...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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In this paper, we provide empirical evidence on the factors that motivated emerging economies to change their capital outflow controls in recent decades. Liberalization o[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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We construct a multi-country affine term structure model that contains unspanned macroeconomic and foreign exchange risks. The canonical version of the model is derived a[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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This paper finds a strong empirical link between domestic banking sector competitiveness and de facto international integration. De-facto international integration is mea[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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9.
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Based on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock mar[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities sig[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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