•The forex market exhibits asymmetric volatility connectedness.•We use high-frequency data of the most actively traded currencies over 2007–2015.•We document that the negative spillovers dominate ...positive spillovers.•Positive spillovers are correlated with the subprime crisis.•Negative spillovers are chiefly tied to the dragging sovereign debt crisis in Europe.
We show how bad and good volatility propagate through the forex market, i.e., we provide evidence for asymmetric volatility connectedness on the forex market. Using high-frequency, intra-day data of the most actively traded currencies over 2007–2015 we document the dominating asymmetries in spillovers that are due to bad, rather than good, volatility. We also show that negative spillovers are chiefly tied to the dragging sovereign debt crisis in Europe while positive spillovers are correlated with the subprime crisis, different monetary policies among key world central banks, and developments on commodities markets. It seems that a combination of monetary and real-economy events is behind the positive asymmetries in volatility spillovers, while fiscal factors are linked with negative spillovers.
In this paper, we examine how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility. Using data covering most liquid U.S. stocks in seven sectors, we provide ...ample evidence of the asymmetric connectedness of stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes that sizably change over time in different sectors. While negative spillovers are often of substantial magnitudes, they do not strictly dominate positive spillovers. We find that the overall intra-market connectedness of U.S. stocks increased substantially during the recent financial crisis.
•We suggest how to quantify asymmetries in volatility spillovers.•Asymmetries emerge due to bad and good volatility.•Asymmetric connectedness is evidenced for most liquid U.S. stocks in seven sectors.•Spillovers are transmitted at magnitudes that change over time in different sectors.•Negative spillovers do not strictly dominate positive spillovers.
We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007–2017. By employing variance decompositions and their ...spectral representation in combination with realized semivariances to account for asymmetric and frequency connectedness, we obtain interesting results. We show that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio decreases the total connectedness of the mixed portfolio. Asymmetries in connectedness are relatively small. While negative shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly. Frequency connectedness is largely driven by uncertainty shocks and to a lesser extent by liquidity shocks, which impact long-term connectedness the most and lead to its dramatic increase during periods of distress.
In this paper, we traced the survival status of 94,401 small businesses in 17 European emerging markets from 2007 to 2017 and empirically examined the determinants of their survival, focusing on ...institutional quality and financial development. We found that institutional quality and the level of financial development impact the survival probability of the researched SMEs in statistically significant and economically meaningful ways. The evidence holds even when we control for a set of firm-level characteristics such as ownership structure, financial performance, firm size, and age. The findings are also uniform across industries and country groups and robust beyond the difference in assumption of hazard distribution, firm size, region, and time period.
We analyze the impact of institutional quality on firm survival in 15 European emerging markets. We employ the Cox proportional hazards model with a large dataset of firms during 2006–2015. Our ...results show that institutional quality (IQ) is a significant preventive factor for firm survival, and it displays diminishing returns as its effect is largest for low-level IQ countries and smallest for high-level IQ countries. In terms of specific indicators, the level of national governance and the extent of corruption control exhibit the key impacts. In terms of firm-specific controls, indicators of ownership structure and aggregate financial performance are the economically most significant factors associated with increased survival probability of firms in European emerging markets.
•We analyze the impact of institutional quality on firm survival in 15 European emerging markets.•We employ the Cox proportional hazards model on large dataset during 2006–2015.•Institutional quality (IQ) is a significant preventive factor for firm survival, and it displays diminishing returns.•Level of national governance and the extent of corruption control exhibit the key impacts.•Ownership structure and aggregate financial performance are the economically most significant preventive factors.
Abstract
We investigate whether monetary policy announcements affect firms' and consumers' expectations by considering their media treatment. We initially use standard monetary policy surprise ...measures and analyze how the main general newspapers in France report on the announcements. Eighty‐five percent of the monetary policy surprises are either not associated with the newspapers reporting a change in the monetary policy stance or have a sign inconsistent with the media report. Only when we consider media‐consistent monetary policy surprises do we find that consumers and firms respond to monetary policy announcements. The economic tonality of the media reports drives the sign of consumers' response.
Abstract
We provide the first quantitative synthesis of the literature on how financial markets react to the disclosure of financial crimes committed by listed firms. While consensus expects negative ...returns, the exact size of the effect is far from clear. We survey 111 studies published over three decades, from which we collect 480 estimates from event studies. Then, we perform a thorough meta‐analysis based on the most recent available techniques. We show that the negative abnormal returns found in the literature seem to be exaggerated by more than three times. Hence, the “punishment” effect, including a reputational penalty, suffers from a serious publication bias. After controlling for this bias, negative abnormal returns suggest the existence of an informational effect. We also document that accounting frauds, crimes committed in common‐law countries such as the United States, and allegations are particularly severely sanctioned by financial markets, while the information channels and types of procedures do not influence market reactions.
In this paper, we evaluate what we have learned to date about the effects of privatization from the experiences during the last fifteen to twenty years in the postcommunist (transition) economies ...and, where relevant, China. We distinguish separately the impact of privatization on efficiency, profitability, revenues, and other indicators and distinguish between studies on the basis of their econometric methodology in order to focus attention on more credible results. The effect of privatization is mostly positive in Central Europe, but quantitatively smaller than that to foreign owners and greater in the later than earlier transition period. In the Commonwealth of Independent States, privatization to foreign owners yields a positive or insignificant effect while privatization to domestic owners generates a negative or insignificant effect. The available papers on China find diverse results, with the effect of nonstate ownership on total factor productivity being mostly positive but sometimes insignificant or negative.
Bank survival is essential to economic growth and development because banks mediate the financing of the economy. A bank's overall condition is often assessed by a supervisory rating system called ...CAMELS, an acronym for the components Capital adequacy, Asset quality, Management quality, Earnings, Liquidity, and Sensitivity to market risk. Estimates of the impact of CAMELS components on bank survival vary widely. We perform a metasynthesis and metaregression analysis (MRA) using 2120 estimates collected from 50 studies. In the MRA, we account for uncertainty in moderator selection by employing Bayesian model averaging. The results of the synthesis indicate an economically negligible impact of CAMELS variables on bank survival; in addition, the effect of bank‐specific, (macro)economic, and market factors is virtually absent. The results of the heterogeneity analysis and publication bias analysis are consistent in terms that they do not find an economically significant impact of the CAMELS variables. Moreover, best practice estimates show a small economic impact of CAMELS components and no impact of other factors. The study concludes that caution should be exercised when using CAMELS rating to predict bank survival or failure.
We analyze diverse and heterogeneous literature to grasp the general effect size of financial development on economic growth on a world scale. For that, we perform by far the largest available ...meta-analysis of the finance–growth nexus using 3561 estimates collected from 177 studies. Our meta-synthesis results show that large heterogeneity in empirical evidence is, in fact, driven by only a limited number of variables (moderators). By using advanced techniques, we also document the existence of the publication selection bias that is propagated in the literature in a nonlinear fashion. We account for uncertainty in moderator selection by employing model-averaging techniques. After adjusting for the publication bias, the results of our meta-regression provide evidence of a small but genuine positive effect of the financial development on growth that very mildly declines over time. Finance channeled via capital markets seems to be more beneficial for economic growth than that provided in the form of private credit. Our evidence goes against arguments about the damaging role of financial development and is in line with century-old theoretical foundations that favor the positive role of finance on economic growth.
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