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Social and Behavioral Sciences Commons™
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Articles 1 - 4 of 4
Full-Text Articles in Social and Behavioral Sciences
Financial Contagion During Stock Market Bubbles, Diego Escobari, Shahil Sharma
Financial Contagion During Stock Market Bubbles, Diego Escobari, Shahil Sharma
Economics and Finance Faculty Publications and Presentations
We investigate the role of bubbles on financial contagion using a set of developed economies. First, using the recursive flexible window right-tailed ADF-based procedure, we date stamp bubble periods in stock index series. Second, we capture contagion with a DCC multivariate GARCH framework. In a third step, we construct a panel by pooling across the time-series dynamic conditional correlations and bubbles to estimate various dynamic panel specifications that consider the endogenous nature of bubbles. We find statistically significant decreases in the dynamic correlations during periods of bubbles, which shows that the financial contagion between pair of countries diminishes when any …
Stock Returns And Interest Rates Around The World: A Panel Data Approach, Tibebe A. Assefa, Omar A. Esqueda, Andre V. Mollick
Stock Returns And Interest Rates Around The World: A Panel Data Approach, Tibebe A. Assefa, Omar A. Esqueda, Andre V. Mollick
Economics and Finance Faculty Publications and Presentations
We examine quarterly stock returns of 21 developed and 19 developing economies from 1999 to 2013. Over this period, mean quarterly stock returns of 1.188% in developed economies contrast to 4.220% in developing economies. Economic growth has been substantially lower and interest rates have fallen (risen) in developed (developing) economies. Using dynamic panels, we find statistically significant negative effects of interest rates on stock returns in the developed countries, consistent with the expected cash flow hypothesis. In the developing markets, however, the world market portfolio is the sole determinant of stock returns. The contrasting effect of interest rates change on …
Does Globalization Affect Top Income Inequality?, Rene Cabral, Rocio Garcia-Diaz, Andre V. Mollick
Does Globalization Affect Top Income Inequality?, Rene Cabral, Rocio Garcia-Diaz, Andre V. Mollick
Economics and Finance Faculty Publications and Presentations
We reexamine in this paper the role of globalization on top income shares (five classes from top 0.1% to top 10% of the income distribution) for a sample of 15 economies over the period 1970–2004. We investigate financial globalization measures that complement trade openness. Our system GMM (SGMM) estimations allow for a robust treatment of the endogeneity between income concentration and GDP per capita (as well as with taxation or government size). We find two interesting new results. First, the financial integration measure based on portfolio equity and FDI stocks (GEQ) turns out to have a large impact on top …
Output Growth And Unexpected Government Expenditures, Diego Escobari, Andre V. Mollick
Output Growth And Unexpected Government Expenditures, Diego Escobari, Andre V. Mollick
Economics and Finance Faculty Publications and Presentations
This paper takes into account the dynamic feedback between government expenditures and output in a model that separates the effects of expected and unexpected government expenditures on output. We allow for standard determinants based on Solow's growth model, as well as financial globalization and trade openness measures for a sample of 56 industrial and emerging market economies over the 1970-2004 period. We find that unanticipated government expenditures have negative and significant effects on output growth, with higher effects in developed economies. Along with savings responses, we interpret these results based on how fiscal policy reacts to business cycles. Anticipated government …