Thesis / Dissertation

Essays in International Macro-Finance

S HENKEL, J Martin (ed.), A Gygax (ed.), N Galpin (ed.)

Published : 2015

Abstract

I present three essays in international macro-finance. The first is a selective survey of crises and contagion that identifies the competing explanations for the transmission of shocks through and across economies. The second essay tests several fundamental and financial transmission links within a Global Vector Autoregression (GVAR) and finds strong evidence that financial links best explain the spread of shocks. Finally, I revisit the international intertemporal Capital Asset Pricing Model (CAPM), which puts restrictions on acceptable factors. I find the theoretical model's prescribed factors, based on exchange rate and inflation risks, outperform the Fama French Four Factor model on co..

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University of Melbourne Researchers