UID:
edoccha_9960847840602883
Format:
1 online resource (39 p.)
ISBN:
1-4843-5519-9
,
1-4843-1382-8
,
1-4843-6022-2
Series Statement:
IMF working paper ; WP/13/156
Content:
This paper considers the role of country-level opacity (the lack of availability of information) in amplifying shocks emanating from financial centers. We provide a simple model where, in the presence of ambiguity (uncertainty about the probability distribution of returns), prices in emerging markets react more strongly to signals from the developed market, the more opaque the emerging market is. The second contribution is empirical evidence for bond and equity markets in line with this prediction. Increasing the availability of information about public policies, improving accounting standards, and enhancing legal frameworks can help reduce the unpleasant side effects of financial globalization.
Note:
Description based upon print version of record.
,
Cover; Contents; I. Introduction; FIGURES; Figure 1 - Change in Bond Spreads during Global Financial Crisis (Sept-Dec 2008); Figure 2 - Change in Stock Prices during Global Financial Crisis (Sept-Dec 2008); II. Model; III. Empirical Strategy and Variables; A. Empirical Models; B. Data; Returns; Global Factors; Transparency; Controls; IV. Results; A. Main Results; Bond Spreads; Equity Returns; Robustness and Additional Tests; B. Endogeneity; V. Conclusion; Appendix A - Model Details and Proofs; Appendix B - List of Countries Used in the Sample; References; TABLES
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Table 1 - Correlations between Measures of Opacity, Risk, and LiquidityTable 2 - Summary Statistics; Table 3 - Global Shocks, Bond Returns and Transparency: Linear Effects; Table 4 - Global Shocks, Bond Returns and Transparency: Asymmetric Effects; Table 5 - Global Shocks, Stock Returns and Transparency: Linear Effects; Table 6 - Global Shocks, Stock Returns, and Transparency: Asymmetric Effects; Table 7 - Global Shocks, Stock Returns, Transparency, and Country Risk Ratings; Table 8 - Global Shocks, Stock Returns, Transparency, and Market Liquidity
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Table 9 - Granger Causality between Opacity and Volatility
,
English
Additional Edition:
ISBN 1-4843-9723-1
Language:
English
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