Economic exposure and hysteresis

Lee, Wayne Y; Solt, Michael E.

doi:10.1016/s1044-0283(01)00029-1

Global Finance Journal

2001

DOI: 10.1016/s1044-0283(01)00029-1

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Economic exposure and hysteresis

Wayne Y Lee

Michael E. Solt

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Cited by 4 publications

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Asia-Pacific banks risk exposures: pre and post the Asian financial crisis

Yong

Faff

2008

Applied Financial Economics

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In this article, we provide an insight into Asia-Pacific banks’ market, interest rate and exchange rate exposures using a market-based model, pre and post the Asian financial crisis. Our study provides a unique comparative analysis across 10 countries, for both short-horizon and long-horizon risk exposures. Overall, our findings reveal that bank portfolios in countries that are harder hit by the Asian crisis have higher market and short-term interest rate exposures post-crisis. With long-horizon returns, there are a larger number of significant interest rate (IR) and exchange rate (ER) exposures, which are consistent with the prior literature that long-horizon return measures economic exposures that are difficult to hedge. When the long-horizon regressions with an error correction model are carried out, the results obtained support the short-horizon results. Among the country groups, the newly industrialized economies display the greatest sensitivity to IR and ER changes during the post-Asian crisis period. Investigating bank regulation effects, we find evidence that bank portfolios that experience lower restrictions on their activities and ownership, and greater private monitoring have lower market risk.

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Asia-Pacific banks risk exposures: pre and post the Asian financial crisis

Yong

Faff

2008

Applied Financial Economics

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Co-integração e causalidade entre variáveis macroeconômicas, “risco Brasil” e retornos no mercado de ações brasileiro

Nunes

Carneiro²,

Costa³

et al. 2003

Rev. Econ. Adm

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A relação entre o mercado de ações e as variáveis macroeconômicas: uma análise econométrica para o Brasil

2005

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Este artigo analisa a relação entre variáveis macroeconômicas e retornos do Ibovespa no período pós-Plano Real. Verificou-se que os retornos do mercado de ações não servem de hedge para a inflação esperada e não se constatou relação negativa entre inflação e atividade econômica. Estes resultados são inconsistentes com as hipóteses fisheriana modificada e proxy effect. Contudo, a "causalidade reversa" , que reflete a influência dos movimentos no mercado de ações sobre a taxa de inflação, medida pelas variações da taxa de juros ex-ante, foi verificada. Mostrou-se, também, que variações do Ibovespa e PIB real não apresentaram relação significativa, mas a relação entre setor externo e Ibovespa foi verificada através da taxa de câmbio real e spreads do C-Bond.
We study the relationship between a set of macroeconomics variables and stock market returns for the Brazilian economy after the Real Plan. We find that returns do not hedge against expected inflation, and the inflation rate and output show no negative relationship, which is inconsistent with a "modified fisherian" and "proxy effect" hypothesis. Yet there is "inverse causality", i.e. stock market movements affect inflation rate if measured by ex ante interest rates. Results show no significant relationship between stock market and output. We also find a relationship between the Bovespa index and C-bond spreads and exchange rates

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Economic exposure and hysteresis

Cited by 4 publications

References 30 publications

Asia-Pacific banks risk exposures: pre and post the Asian financial crisis

Asia-Pacific banks risk exposures: pre and post the Asian financial crisis

Co-integração e causalidade entre variáveis macroeconômicas, “risco Brasil” e retornos no mercado de ações brasileiro

A relação entre o mercado de ações e as variáveis macroeconômicas: uma análise econométrica para o Brasil

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