Essays in International Finance

Access to private capital markets is the most salient difference between emerging market economies and other developing countries. However, in contrast to developed economies, emerging markets have had a troubled relationship with capital flows

Contents

1 Sovereign Default Risk and Volatility
1.1 Introduction
1.2 Empirical Evidence
1.3 The Model Economy
1.3.1 The Household’s Problem
1.3.2 The Government’s Problem
1.3.3 Creditors
1.3.4 Some Intuition
1.3.5 Calibration
1.4 Results
1.5 Conclusions
2 The Composition of Cross-Border Asset Positions (co-authored with Marcel Fratzscher)
2.1 Introduction
2.2 Related Literature
2.3 Methodology, data and some stylized facts
2.3.1 Methodology and hypotheses
2.3.2 Data
2.3.3 Composition of cross-border investment: some stylized facts
2.4 The role of information frictions
2.4.1 Benchmark results
2.4.2 Robustness: alternative proxies for information frictions
2.4.3 Robustness: Alternative model specifications and controls
2.5 The role of institutions and financial market development
2.6 Conclusions
3 The Quality of Institutions and Foreign Direct Invest-ment (co-authored with Ernesto Stein) 103
3.1 Introduction
3.2 Data and Empirical Strategy
3.2.1 FDI Data
3.2.2 Institutional Variables
3.2.3 Empirical Strategy
3.3 Empirical Results
3.3.1 OLS Estimates
3.3.2 Instrumental Variables Estimations
3.4 Robustness
3.5 Time series evidence of the relevance of institutions
3.6 Conclusions
A Appendix
A.1 Solution Algorithm
A.2 Sample
A.3 Variable
Bibliography

Author: Daude, Christian

Source: University of Maryland

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