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The evolution of Asian financial linkages : key determinants and the role of policy /
"This paper examines how Asian financial linkages with systemic economies have changed over time. After developing a factor model, it estimates Asian financial sensitivities to systemic economies, and then seeks to uncover their key determinants, which include trade and financial linkages, as w...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Washington, D.C. :
International Monetary Fund, Asia and Pacific Dept.,
2012.
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| Colección: | IMF working paper ;
WP/12/262. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Cover; Contents; I. Introduction; Figures; 1. Equity Returns: Selected Systemic Economies and Asia; II. Model and Estimation Framework; A. Approach I: Focusing on Cross-Sectional Variation; B. Approach II: A Deeper Investigation of Time Series Fluctuations; III. Results; Tables; 1. Pure and CAPM; 1. Non-Zero Expected Risk Premium; 2. Heterogeneous Expected Premium (Fixed Effects); 2. Asian Financial Betas and Global Financial Shocks; 3. Financial Betas across Asian Economies; 4. Contributions to Differences in Betas between 2008-2011 and 2002-2007.
- 5. Contributions to Differences in Betas between 1997-2001 and 2002-20074. Determinants of Asian Financial Betas; 6. The Decomposition of Financial Betas across Asia over Time; 5. Nonlinear Effects of Reserves; IV. Conclusion; Appendix Table: Estimated Factor Loadings (Betas) Over the Full Sample; References.