Fiche du document
2014
- handle: 10670/1.gf977a
- hal: hal-00841198
- doi: 10.1016/j.ememar.2014.01.003
Ce document est lié à :
info:eu-repo/semantics/altIdentifier/doi/10.1016/j.ememar.2014.01.003
Mots-clés
Financial crises Development MENA region F - International Economics/F.F3 - International Finance/F.F3.F32 - Current Account Adjustment • Short-Term Capital Movements F - International Economics/F.F3 - International Finance/F.F3.F36 - Financial Aspects of Economic Integration G - Financial Economics/G.G1 - General Financial Markets/G.G1.G15 - International Financial Markets C - Mathematical and Quantitative Methods/C.C3 - Multiple or Simultaneous Equation Models • Multiple Variables/C.C3.C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space ModelsSujets proches
Cost of debt Cost of equity Cost of capitalCiter ce document
Alexis Guyot et al., « Foreign shocks and international cost of equity destabilization. Evidence from the MENA region », HAL-SHS : économie et finance, ID : 10.1016/j.ememar.2014.01.003
Métriques
Partage / Export
Résumé
This paper investigates whether foreign financial shocks can destabilize the cost of equity in emerging markets. After a theoretical discussion, we develop annual metrics for the international cost of equity, financial integration, spillovers and shift-contagion vulnerability in a sample of 535 Middle East and North African firms from Egypt, Tunisia, Morocco and Jordan over the 1998-2011 period. We then analyze the impact of foreign shocks on the international cost of equity, using a set of SGMM and PVAR models. Our results indicate that external shocks can increase the cost of equity in mature emerging markets.