Francesca Carrieri

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Using dealer’s quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are highly cross-correlated, and principal components analysis implies they(More)
International asset pricing models suggest that barriers to portfolio flows and availability of market substitutes affect the degree and time variation of world market integration. We use GARCH-in-mean methodology to assess the evolution in market integration for eight emerging markets over the period 1977–2000. Our results suggest that while local risk is(More)
Mechanical ventilation with plateau pressure lower than 35 cm H2O and high positive end-expiratory pressure (PEEP) has been recommended as lung protective strategy. Ten patients with ARDS (five from pulmonary [p] and five from extrapulmonary [exp] origin), underwent 2 h of lung protective strategy, 1 h of lung protective strategy with three consecutive(More)
Traditionally, integration has been studied at the country level. With increasing economic integration, industrial reorganization, and blurring of national boundaries (e.g., EU), it is important to investigate global integration at the industry level. We argue that country-level integration (segmentation) does not preclude industry-level segmentation(More)
In the developing vertebrate embryo, segmentation initiates through the formation of repeated segments, or somites, on either side of the posterior neural tube along the anterior to posterior axis. The periodicity of somitogenesis is regulated by a molecular oscillator, the segmentation clock, driving cyclic gene expression in the unsegmented paraxial(More)
We investigate how predatory government policies (expropriation, lack of property rights protection, corruption, crime) interact with managerial incentives in shaping firm governance structure. Our model shows that owners have lower incentives to encourage valuemaximization by managers if the government is likely to expropriate firm profits. This result(More)
We study the dynamics of gains from sectoral versus geographic diversification and relate economic sources to changes in those gains. We estimate conditional correlations between returns on the U.S. equity market and 16 equity markets and 10 local industries from other OECD countries and find that the average correlation across countries has increased in(More)
We analyze the impact of both purchasing power parity (PPP) deviations and market segmentation on asset pricing and investor’s portfolio holdings. The freely traded securities command a world market risk premium and an inflation risk premium. The securities that can be held by only a subset of investors command two additional premiums: a conditional market(More)
Understanding and measuring the evolution of market integration and its variation across countries is of critical importance. Market liberalization may not result in global pricing or increased market integration if implicit barriers are relevant. We use the conditional version of the Errunza and Losq (1985) model to test this proposition, and estimate(More)
We extend Campbell’s (1993) model to develop an intertemporal international asset pricing model (IAPM). We show that the expected international asset return is determined by a weighted average of market risk, market hedging risk, exchange rate risk and exchange rate hedging risk. These weights sum up to one. Our model explicitly separates hedging against(More)