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Title: Empirical investigation of global imbalances : carry trades, network analysis of global banking and determinants of cross-border capital flows
Author: Göktan, Mehmet Gökhan
ISNI:       0000 0004 5348 3990
Awarding Body: University of Essex
Current Institution: University of Essex
Date of Award: 2014
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This thesis consists of three empirical papers on the sources of global imbalances. In the first chapter, I examine the exposures of carry trade returns to the stock and bond markets' returns under three different regime variables. The empirical results show that, during turbulent times, currency and stock markets move together. Additionally, I find that the comovement is much stronger for the target currencies of emerging markets. In the second chapter, I investigate the cross-border exposures of banking systems during the period 2005-2010 by using network analysis. The results reveal that the global banking is a small-world network that enables faster and easier propagation of contagion. Based on this finding, I apply eigenvector centrality I approach in order to identify systemically important countries and vulnerable banking systems and tested the results with Furfine (2003) based contagion algorithm. The results show that the global banking system supports the ' too interconnected to fail phenomenon' in the sense that an attack to the core will bring down almost all of its members which are densely connected. In the third chapter, I examine the determinants of cross-border capital flows in the long run, considering the Lucas (1990) paper investigating why capital does not flow from rich countries to poor countries (Lucas Paradox). I focus on both crossborder banking flows and cross-border mergers and acquisitions. The empirical results show that institutional quality has a strong causal effect on cross-border capital flows during the period 1980-2010. In addition, the empirical results also reveal that financial liberalization policies affect long-term investment decisions along with the institutional quality of countries.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available