This article examines how financial constraints and product market exposures determine the response of multinational and local firms to sharp depreciations. U.S. multinational affiliates increase sales, assets, and investment significantly more than local firms during, and subsequent to, depreciations. Differing product market exposures do not explain these differences in performance. Instead, ...

In this paper we examine whether past returns of the market portfolio (MKT), the size portfolio (SMB), the book-to-market portfolio (HML) and the idiosyncratic volatility portfolio (HIMLI) can predict growth rates of ten major Australian economic indicators from 1993 to 2010. We find that all four factors can be used to predict growth rates in Australian economic indicators. We also find high r...

We investigate the long-term equilibrium relationship between Australian dollar bonds of different credit quality. Contrary to the expectations hypothesis we find the yields of Eurobonds are not cointegrated with the equivalent maturity Government bond. Nevertheless, the results suggest that the yields of the different risk classes of Eurobonds are cointegrated with one another, with the higher...

This paper explains why domestic debt composition in some emerging economies is risky. To this end, it carries out a systematic analysis of the determinants of the socalled domestic original sin, which refers to the inability of emerging economies to borrow domestically in local currency, at long maturities and fixed interest rates. The paper builds on a large dataset compiled by the authors fr...

We show how a high degree of commonality in investor liquidity shocks can diminish incentives for intermediaries to keep markets open and lead to market collapse, even without information asymmetry or news affecting fundamentals. We motivate our model using the perpetual floating-rate note market where two years of explosive growth – in which issues by high quality borrowers were placed with in...

This paper analyses the impact of a move from fractional to decimal pricing in the UK Long Gilt futures market. The reduced tick size following decimalisation leads to an increase in price clustering. The bid-ask spread, measured in ticks, increases following the tick size reduction. However, due to a reduced tick value, the monetary value of the spread declines. There is a substantial reductio...

The pervasive intraday periodicity in the return volatility in foreign exchange and equity markets is shown to have a strong impact on the dynamic properties of high frequency returns. Only by taking account of this strong intraday periodicity is it possible to uncover the complex intraday volatility dynamics that exists both within and across different financial markets. The explicit periodic ...

Due to its distinctive features and investment quality, sukuk as an Islamic alternative bond financing, have known last decades a worldwide interest rapid widespread, particularly after the 2007-2008 global financial crisis. Despite market prevalence of sukuk, literature on – economic wealth nexus still inexistant. In this study, we develop basic model that captures welfare effects markets. The...

A more generous consumer bankruptcy system provides greater insurance against financial risks but may also raise the cost of credit. We study this trade-off using 2005 Bankruptcy Abuse Prevention and Consumer Protection Act (BAPCPA), which increased costs filing for bankruptcy. identify effects BAPCPA on borrowing variation in reform across credit scores. find that a one-percentage-point reduct...