Macro-financial stability in the COVID-19 crisis: some reflections
T Adrian, FM Natalucci… - Annual Review of Financial …, 2023 - annualreviews.org
The global financial system showed remarkable resilience during the COVID-19 pandemic,
despite a sharp decline in economic activity and the initial financial market upheaval in …
despite a sharp decline in economic activity and the initial financial market upheaval in …
Do institutional investors stabilize equity markets in crisis periods? Evidence from COVID-19
During the COVID-19 stock market crash, US stocks with higher institutional ownership (IO)
performed worse than those with lower IO. By studying firm-level changes, we identify two …
performed worse than those with lower IO. By studying firm-level changes, we identify two …
Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks
D Zhou, X Liu - Journal of International Financial Markets, Institutions …, 2023 - Elsevier
We provide a systematic framework for studying high-frequency risk connectedness among
world stock markets. Our framework, based on high-frequency realized volatility …
world stock markets. Our framework, based on high-frequency realized volatility …
Introduction to the ARFE Theme on Financial Economics and COVID-19
M Richardson - Annual Review of Financial Economics, 2023 - annualreviews.org
The COVID-19 pandemic has arguably been one of the worst global catastrophes over the
last several decades. A plethora of real-time research has been produced by the finance …
last several decades. A plethora of real-time research has been produced by the finance …
Structural Changes in the Impact of Covid-19 Pandemic on the Performance of Financial Markets. Stock Market by Using Least Squares WHTI Breaks
The global outbreak of COVID-19 in 2020 became unprecedented and sent shockwaves
through financial markets worldwide. This study investigates the impact of the pandemic on …
through financial markets worldwide. This study investigates the impact of the pandemic on …
[PDF][PDF] The value of value investors
We examine the role of insurance companies as value investors in the corporate bond
market. We show that during the COVID-19 liquidity crisis, insurers acted as “buyers of last …
market. We show that during the COVID-19 liquidity crisis, insurers acted as “buyers of last …
Regulating Carry Trades: Evidence from Foreign Currency Borrowing of Corporations in India
We establish that macroprudential controls limiting capital flows can curb risks arising from
foreign currency borrowing by corporates in emerging markets. Firm-level data show that …
foreign currency borrowing by corporates in emerging markets. Firm-level data show that …
Do spillovers between international economic policy uncertainty be time-varying and asymmetric?
B Chen, Y Jiang, D Zhou - … and Sustainability in Economics and Finance, 2025 - Elsevier
This study uses generalized impulse response, generalized variance decomposition, and
quantile VAR model to analyze the spillover effects of EPUs among the United States …
quantile VAR model to analyze the spillover effects of EPUs among the United States …
Measuring COVID-19
S Corbet, T Conlon - Available at SSRN 5012999, 2024 - papers.ssrn.com
An assortment of COVID-19 metrics were closely watched by media and the public during
the pandemic. The number of positive cases, hospitalisations, intensive case cases and …
the pandemic. The number of positive cases, hospitalisations, intensive case cases and …
COVID-19 and Equity Markets
S Corbet, T Conlon - Available at SSRN 5013013, 2024 - papers.ssrn.com
Global equity markets were severely impacted by the onset of the COVID-19 pandemic,
losing almost one-third of their value over a short period. This chapter examines the …
losing almost one-third of their value over a short period. This chapter examines the …