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IMF-related news and emerging financial markets

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  • Hayo, Bernd
  • Kutan, Ali M.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 24 (2005)
Issue (Month): 7 (November)
Pages: 1126-1142

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Handle: RePEc:eee:jimfin:v:24:y:2005:i:7:p:1126-1142

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Web page: http://www.elsevier.com/locate/inca/30443

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References

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  1. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  2. Graciela L. Kaminsky & Sergio L. Schmukler, 1999. "What triggers market jitters: a chronicle of the Asian crisis," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 634, Board of Governors of the Federal Reserve System (U.S.).
  3. Sarno, Lucio & Taylor, Mark P., 1999. "Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests," Journal of International Money and Finance, Elsevier, Elsevier, vol. 18(4), pages 637-657, August.
  4. Evrensel, Ayse Y., 2002. "Effectiveness of IMF-supported stabilization programs in developing countries," Journal of International Money and Finance, Elsevier, Elsevier, vol. 21(5), pages 565-587, October.
  5. Lynn Aylward & Rupert Thorne, 1998. "An Econometric Analysis of Countries' Repayment Performance to the International Monetary Fund," IMF Working Papers 98/32, International Monetary Fund.
  6. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 987-1007, July.
  7. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
  8. Dong Lee & Bong-Chan Kho & Rene M. Stulz, 2000. "U.S. Banks, Crises, and Bailouts: From Mexico to LTCM," American Economic Review, American Economic Association, vol. 90(2), pages 28-31, May.
  9. Bollerslev, Tim & Ghysels, Eric, 1996. "Periodic Autoregressive Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 14(2), pages 139-51, April.
  10. Aggarwal, Reena & Inclan, Carla & Leal, Ricardo, 1999. "Volatility in Emerging Stock Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(01), pages 33-55, March.
  11. Nelson, Daniel B., 1990. "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, Cambridge University Press, vol. 6(03), pages 318-334, September.
  12. Fleming, Jeff & Kirby, Chris & Ostdiek, Barbara, 1998. "Information and volatility linkages in the stock, bond, and money markets," Journal of Financial Economics, Elsevier, vol. 49(1), pages 111-137, July.
  13. Jeffrey D. Sachs, 1999. "Creditor Panics: Causes and Remedies," Cato Journal, Cato Journal, Cato Institute, vol. 18(3), pages 377-390, Winter.
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Citations

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Cited by:
  1. Evrensel, Ayse Y. & Kutan, Ali M., 2008. "Impact of IMF-related news on capital markets: Further evidence from bond spreads in Indonesia and Korea," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(2), pages 147-160, April.
  2. Ali M. Kutan & Ayse Y. Evrensel, 2004. "Creditor Moral Hazard in Equity Markets: A Theoretical Framework and Evidence from Indonesia and Korea," William Davidson Institute Working Papers Series 2004-659, William Davidson Institute at the University of Michigan.
  3. Jian Tong & Chenggang Xu, 2004. "Financial Sector Returns and Creditor Moral Hazard: Evidence from Indonesia, Korea, and Thailand," William Davidson Institute Working Papers Series 2004-687, William Davidson Institute at the University of Michigan.
  4. Fratzscher, Marcel & Reynaud, Julien, 2011. "IMF surveillance and financial markets--A political economy analysis," European Journal of Political Economy, Elsevier, vol. 27(3), pages 405-422, September.
  5. Ay?e Y. Evrensel & Ali M. Kutan, 2004. "Testing Creditor Moral Hazard in Sovereign Bond Markets: A Unified Theoretical Approach and Empirical Evidence," William Davidson Institute Working Papers Series 2004-665, William Davidson Institute at the University of Michigan.
  6. David Büttner & Bernd Hayo, 2008. "EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) 200815, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  7. Evrensel, Ayse Y. & Kutan, Ali M., 2006. "Creditor moral hazard in stock markets: Empirical evidence from Indonesia and Korea," Journal of International Money and Finance, Elsevier, Elsevier, vol. 25(4), pages 640-654, June.
  8. Kutan, Ali M. & Muradoglu, Gulnur & Sudjana, Brasukra G., 2012. "IMF programs, financial and real sector performance, and the Asian crisis," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 164-182.
  9. Bernd Hayo & Ali M. Kutan & Matthias Neuenkirch, 2012. "Federal Reserve Communications and Emerging Equity Markets," Southern Economic Journal, Southern Economic Association, vol. 78(3), pages 1041-1056, January.
  10. Hartwell , Christopher A., 2014. "The impact of institutional volatility on financial volatility in transition economies: a GARCH family approach," BOFIT Discussion Papers 6/2014, Bank of Finland, Institute for Economies in Transition.
  11. Ali M. Kutan & Brasukra G. Sudjana, 2004. "Worsening of the Asian Financial Crisis: Who is to Blame?," William Davidson Institute Working Papers Series 2004-658, William Davidson Institute at the University of Michigan.
  12. Bernd Hayo & Ali Kutan, 2004. "The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets," Finance, EconWPA 0403002, EconWPA.
  13. Evrensel, Ayse & Kutan, Ali M., 2008. "How do IMF announcements affect financial markets in crises?: Evidence from forward exchange markets," Journal of Financial Stability, Elsevier, vol. 4(2), pages 121-134, June.
  14. Wälti, Sébastien & Weder, Ghislaine, 2009. "Recovering from bond market distress: Good luck and good policy," Emerging Markets Review, Elsevier, vol. 10(1), pages 36-50, March.
  15. Evrensel, Ayse Y. & Kutan, Ali M., 2007. "IMF-related announcements and stock market returns: Evidence from financial and non-financial sectors in Indonesia, Korea, and Thailand," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 15(1), pages 80-104, January.
  16. Lucía Cuadro Sáez & Manuel Moreno, 2007. "GARCH Modeling of Robust Market Returns," Kiel Advanced Studies Working Papers, Kiel Institute for the World Economy 440, Kiel Institute for the World Economy.

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