Sensitivity of Emerging Market Bond Fund Flows to US Monetary Stance and Global Risk Aversion

2018 ◽  
Author(s):  
David Leung ◽  
Jiayue Zhang ◽  
Alfred Wong
Keyword(s):  
Risk Aversion ◽  
Emerging Market ◽  
Fund Flows ◽  
Global Risk ◽  
Bond Fund

Global risk aversion and emerging market return comovements

2018 ◽  
Vol 173 ◽  
pp. 118-121 ◽  
Author(s):  
Riza Demirer ◽  
Tolga Omay ◽  
Asli Yuksel ◽  
Aydin Yuksel
Keyword(s):  
Risk Aversion ◽  
Emerging Market ◽  
Global Risk ◽  
Market Return

scholarly journals The information content of risk reversals in emerging market currencies

2016 ◽  
Vol 14 (3) ◽  
pp. 403
Author(s):  
Adonias Evaristo da Costa Filho
Keyword(s):  
Risk Aversion ◽  
Information Content ◽  
Emerging Market ◽  
Crash Risk ◽  
Panel Var ◽  
Evidence Based ◽  
Carry Trade ◽  
Global Risk ◽  
Vector Autoregressions ◽  
Highly Correlated

This paper analyzes the information content of risk reversals for ten emerging market currencies. In contrast to the findings for major developed currencies, it is found that in some cases risk reversals (RR) are helpful in predicting currency returns, but in general RR are predicted by but do not predict carry trade returns. Evidence based on country vector autoregressions (VARs) and a panel VAR (PVAR) indicate that RR react in a procyclicalway to carry returns, i.e., it is cheaper (more expensive) to buy protection against currency weakness after positive (negative) total returns. All in all, it is found that crash risk accounts for a small share of carry trade returns variance, which seems to be more related to global risk aversion shocks. A sentiment indicator of crash risk in emerging market currencies is highly correlated with the VIX.

scholarly journals Spillover Effect of Global Financial Cycle To Asset Markets in Asean-5 Countries: A Structural VAR Approach

2018 ◽  
Vol 2 (02) ◽  
pp. 1
Author(s):  
Sri Andaiyani ◽  
Telisa Aulia Falianty
Keyword(s):  
Risk Aversion ◽  
Capital Flows ◽  
Asset Prices ◽  
Emerging Market ◽  
Structural Var ◽  
Asset Markets ◽  
Equity Prices ◽  
Financial Cycle ◽  
Property Prices ◽  
The Impact

<p><em>An upsurge and volatility of capital flows to Emerging Asian Economies indicated that there is the potential effect of global financial cycle to emerging market. It provides an overview of investor risk aversion in short term investment after financial crisis 2008. Global financial cycle could have a significant impact to asset prices, including equity prices and property prices. Rey (2015) has triggered an interesting discussion about global financial cycle. She found that there was a global financial cycle in capital flows, asset prices and credit growth. This cycle was co</em><em>‐</em><em>moves with the VIX, a measure of uncertainty and risk aversion of the markets. Therefore, this study attempts to analyze empirically global financial cycle shocks, measured by the VIX, on equity prices and property prices in ASEAN-5, namely Indonesia, Malaysia, Singapore, Thailand and Philippines. We estimate quarterly frequency data from Q1 1990 to Q2 2016 with Structural Vector Autoregressive (SVAR) approach. The result of this study showed that global financial cycle has a negative significant impact on the ASEAN-5 asset markets, in spite of the response of shock differs by country and size. This result is consistent with ASEAN-5 as small open economies that remain vulnerable to the global factor. This study contributes to the literature in several ways. First, we identify not only cyclical expansions or contraction in asset markets but also the impact of global financial cycle to asset markets in ASEAN-5 countries. Second, we investigate whether there are heterogeneous responses of ASEAN-5 countries to global financial cycle shocks. Third, we also identify the pattern of cycle in ASEAN-5 countries</em>.</p><p><strong><em>J</em></strong><strong><em>EL Classification: </em></strong>F30, F37, F42</p><strong><em>Keywords: </em></strong><em>ASEAN, Asset Markets, Global Financial Cycle, SVAR</em>

The Role of Global Risk Aversion in Explaining Sovereign Spreads

Economía ◽  
2007 ◽  
Vol 7 (1) ◽  
pp. 125-155 ◽  
Author(s):  
Alicia. García-Herrero ◽  
Alvaro. Ortiz Saravia
Keyword(s):  
Risk Aversion ◽  
Global Risk ◽  
Sovereign Spreads
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