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The impact of policy decisions on global liquidity during the recent financial crisis
(Wiley, 2015-03)
The collapse of the recent housing price bubble precipitated the 2007–2008 financial crisis and caused international funding liquidity to dry up. We investigate how economic policies undertaken by the Federal Reserve and ...
The geography of funding markets and limits to arbitrage
(Society for Financial Studies, 2015-04)
We use the relative pricing of pairs of emerging market (EM) sovereign bonds issued in both dollars and euros to study capital markets frictions during periods of financial distress. During the 2007–2008 crisis, we find ...
Predictability of emerging market local currency bond risk premia
(Taylor & Francis, 2015)
This article investigates the source of predictability of emerging market (EM) local currency bond risk premia by using a dynamic factor approach based on a large panel of economic and financial time series. We find strong ...
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