DETERMINANTS OF LEVERAGE IN EMERGING MARKETS: EMPIRICAL EVIDENCE

Domestic Debt Structures in Emerging Markets: New Empirical Evidence

This paper explains why public domestic debt composition in emerging economies can be risky, namely in foreign currency, with a short maturity or indexed. It analyses empirically the determinants of these risk sources separately, developing a new large dataset compiled from national sources for 33 emerging economies over 1994-2006. The paper finds that economic size, the breadth of the domestic...

Currency Crashes in Emerging Markets: Empirical Indicators

We use a panel of annual data for over one hundred developing countries from 1971 through 1992 to characterize currency crashes. We define a currency crash as a large change of the nominal exchange rate that is also a substantial increase in the rate of change of nominal depreciation. We examine the composition of the debt as well as its level, and a variety of other macroeconomic factors, exte...

Statistical Evidence of Contagion in Emerging Markets

The object of this paper is to use the available literature on financial crises to explain the possible existence of contagion effects in Latin America stemming from the Asian crisis and the devaluation of the ruble. This paper empirically tests for evidence of contagion in the exchange rates, equity markets, and emerging market bond indices of Latin American countries. A three-year period cove...

Determinants of Firm Leverage: Further Evidence from China

Long Memory in Stock Returns: A Study of Emerging Markets

The present study aimed at investigating the existence of long memory properties in ten emerging stock markets across the globe. When return series exhibit long memory, it indicates that observed returns are not independent over time. If returns are not independent, past returns can help predict future returns, thereby violating the market efficiency hypothesis. It poses a serious challenge to ...