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Schmukler, Sergio L.

Works: 178 works in 749 publications in 1 language and 6,401 library holdings
Roles: Author, Editor, Contributor, Honoree
Classifications: HG3881.5.W57, 332.0415098
Publication Timeline
Publications about Sergio L Schmukler
Publications by Sergio L Schmukler
Most widely held works by Sergio L Schmukler
Emerging capital markets and globalization : the Latin American experience by Augusto de la Torre( Book )
19 editions published between 2006 and 2007 in English and held by 341 libraries worldwide
The author analyzes where we stand and where we are heading on capital market development. First, it takes stock of the state and evolution of capital markets and related reforms over time and across regions, focusing on the experience of Latin America. Second, it analyzes the factors related to the development of capital markets. And third, in light of this analysis, it discusses the prospects for capital market development in emerging economies and the implications for the reform agenda. - Back cover
Short-run pain, long-run gain : the effects of financial liberalization by Graciela Laura Kaminsky( Book )
30 editions published between 2002 and 2003 in English and Undetermined and held by 123 libraries worldwide
We examine the short- and long-run effects of financial liberalization on capital markets. To do so, we construct a new comprehensive chronology of financial liberalization in 28 mature and emerging economies since 1973. We also construct an algorithm to identify booms and busts in stock market prices. Our results indicate that financial liberalization is followed by more pronounced boom-bust cycles in the short run. However, financial liberalization leads to more stable markets in the long run. Finally, we analyze the sequencing of liberalization and institutional reforms to understand the contrasting short- and long-run effects of liberalization
Financial development in Latin America and the Caribbean : the road ahead by Augusto de la Torre( Book )
8 editions published in 2012 in English and held by 101 libraries worldwide
During the 1980s and 1990s, financial sectors were the Achilles' heel of economic development in Latin America and the Caribbean (LAC). Since then, these sectors have grown and deepened, becoming more integrated and competitive, with new actors, markets, and instruments springing up and financial inclusion broadening. To crown these achievements, the During the 1980s and 1990s, financial sectors were the Achilles' heel of economic development in Latin America and the Caribbean (LAC). Since then, these sectors have grown and deepened, becoming more integrated and competitive, with new actors, markets, and instruments springing up and financial inclusion broadening. To crown these achievements, the region's financial systems were left largely unscathed by the global financial crisis of 2008-09. Now that the successes of LAC's macrofinancial stability are widely recognized and tested, it is high time for an in-depth stocktaking of what remains to be done. Financial Development in Latin America and the Caribbean: The Road Ahead provides both a stocktaking and a forward-looking assessment of the region's financial development. Rather than going into detail about sector-specific issues, the report focuses on the main architectural issues, overall perspectives, and interconnections. The report's value added thus hinges on its holistic view of the development process, its broad coverage of the financial services industry beyond banking, its emphasis on benchmarking, its systemic perspective, and its explicit effort to incorporate the lessons from the recent global financial crisis. Financial Development in Latin America and the Caribbean: The Road Ahead builds on and complements several overview studies on financial development in both LAC countries and the developing world that were published in the past decade. It will be of interest to policy makers and financial analysts interested in improving the financial sector in the LAC region
Globalization and Firms' Financing Choices Evidence from Emerging Economies by Sergio L Schmukler( Book )
20 editions published between 1999 and 2002 in English and Undetermined and held by 94 libraries worldwide
April 2000 - Debt-equity ratios do not tend to increase after financial liberalization, but there is a shift from long-term to short-term debt. Globalization has uneven effects for firms with and without access to international capital markets. Countries with deeper domestic financial markets are less affected by financial liberalization. Schmukler and Vesperoni investigate whether integration with global markets affects the financing choices of firms from East Asia and Latin America. Using firm-level data for the 1980s and 1990s, they study how leverage ratios, the structure of debt maturity, and sources of financing change when economies are liberalized and when firms gain access to international equity and bond markets. The evidence shows that integration with world financial markets has uneven effects. On the one hand, debt maturity for the average firm shortens when countries undertake financial liberalization. On the other hand, domestic firms that actually participate in international markets get better financing opportunities and extend their debt maturity. Moreover, firms in economies with deeper domestic financial systems are affected less by financial liberalization. Finally, they show that leverage ratios increase during times of crisis. In an appendix, they analyze the previously unstudied case of Argentina, which experienced sharp financial liberalization and was hit hard by all recent global crises. This paper - a product of Macroeconomics and Growth, Development Reseach Group - is part of a larger effort in the group to understand financial development and financial integration. The authors may be contacted at or
Managers, investors, and crises : mutual fund strategies in emerging markets by Graciela Laura Kaminsky( Book )
22 editions published in 2000 in English and held by 88 libraries worldwide
This paper addresses the trading strategies of mutual funds in emerging markets. The data set we develop permits analysis of these strategies at the level of individual portfolios. Methodoloically, a novel feature is our disentangling the behavior of managers from that of underlying investors. For both managers and investors, we strongly reject the null hypothesis of no momentum trading: funds' momentum trading is positive they systematically buy winners and sell losers. Contemporaneous momentum trading (buying current winners and selling current losers) is stronger during crises, and stronger for fund investors than for fund managers. Lagged momentum trading (buying past winners and selling past losers) is stronger during non-crisis, and stronger for fund managers. Investors also engage in contagion trading, i.e., they sell assets from one country when asset prices fall in another
Global transmission of interest rates : monetary independence and currency regime by Jeffrey A Frankel( Book )
21 editions published between 2000 and 2002 in English and held by 81 libraries worldwide
Hikes in U.S. interest rates in 1999-2000 have started to spill over to other economies' interest rates, which in many countries have risen to reflect the higher U.S. rates. Are countries with flexible exchange rates better able to isolate their domestic interest rates from this type of negative international shock? Less and less so, as economies become more integrated
What triggers market jitters? a chronicle of the Asian crisis by Graciela Laura Kaminsky( file )
13 editions published in 1999 in English and held by 79 libraries worldwide
April 1999 Movements in stock prices in East Asia during the crisis in 1997-98 were triggered by both local and neighbor-country news. Having the highest impact was news about agreements with international organizations and credit rating agencies. But some changes seem to have been driven by herd instincts in the market itself, including overreactions to bad news. In the chaotic financial environment of East Asia in 1997-98, daily changes in stock prices of as much as 10 percent became commonplace. Kaminsky and Schmukler analyze what type of news moved the market in those days of extreme market jitters. They find that movements are triggered by both local and neighbor-country news. News about agreements with international organizations and credit rating agencies have the most weight. Some of those large changes in stock prices, however, cannot be explained by any apparent substantial news but seem to be driven by herd instincts in the market itself. On average, the one-day market rallies are sustained while the largest one-day losses are recovered - suggesting that investors overreact to bad news. This paper-a product of Macroeconomics and Growth, Development Research Group-is part of a larger effort in the group to understand financial markets and financial crises. The study was funded by the Bank's Research Support Budget under research project Capital Market Crises and Information (RPO 682-26). Sergio Schmukler may be contacted at
Pricing currency risk : facts and puzzles from currency boards by Sergio L Schmukler( Book )
18 editions published in 2002 in English and held by 77 libraries worldwide
Hard pegs, such as currency boards, intend to reduce or even eliminate currency risk. This paper investigates the patterns and determinants of the currency risk premium in two currency boards -- Argentina and Hong Kong. Despite the presumed rigidity of currency boards, the currency premium is almost always positive and at times very large. Its term structure is usually upward sloping, but flattens out or even becomes inverted at times of turbulence. Currency premia differ across markets. The forward discount typically exceeds the currency premium derived from interbank rates, particularly during crisis times. The large magnitude of these cross-market differences can be the consequence of unexploited arbitrage opportunities, market segmentation, or other risks embedded in typical measures of currency risk. The premium and its term structure depend on domestic and global factors, related to devaluation expectations and risk perceptions
The International Financial Integration of China And India by Philip R Lane( Book )
14 editions published between 2006 and 2007 in English and Undetermined and held by 75 libraries worldwide
Three main features characterize the international financial integration of China and India. First, while only having a small global share of privately-held external assets and liabilities (with the exception of China's foreign direct investment liabilities), these countries are large holders of official reserves. Second, their international balance sheets are highly asymmetric: both are "short equity, long debt." Third, China and India have improved their net external positions over the past decade although, based on their income level, neoclassical models would predict them to be net borrowers. Domestic financial developments and policies seem essential in understanding these patterns of integration. These include financial liberalization and exchange rate policies, domestic financial sector policies, and the impact of financial reform on savings and investment rates. Changes in these factors will affect the international financial integration of China and India (through shifts in capital flows and asset and liability holdings) and, consequently, the international financial system
Country fund discounts, asymmetric information and the Mexican crisis of 1994 : did local residents turn pessimistic before international investors? by Jeffrey A Frankel( Book )
16 editions published between 1995 and 1996 in English and held by 72 libraries worldwide
It has been suggested that Mexican investors were the front-runners in the peso crisis of December 1994, turning pessimistic before international investors. Different expectations about their own economy, perhaps due to asymmetric information, prompted Mexican investors to be the first ones to leave the country. This paper uses data from three Mexican country funds to investigate the hypothesis of divergent expectations. We find that, right before the devaluation, Mexican fund Net Asset Values (mainly driven by Mexican investors) dropped faster than Mexican country fund prices (mainly driven by foreign investors). Moreover, we find that Mexican NAVs tend to Granger-cause the country fund prices. This suggests that causality, in some sense, flows from the Mexico City investor community to the Wall Street investor community. More generally, the paper proposes an asymmetric information approach that differs from the existing explanations of country fund discounts
Internationalization and the evolution of corporate valuation by Ross Levine( file )
10 editions published in 2005 in English and held by 70 libraries worldwide
"By documenting the evolution of Tobin's "q" before, during, and after firms internationalize, this paper provides evidence on the bonding, segmentation, and market timing theories of internationalization. Using new data on 9,096 firms across 74 countries over the period 1989-2000, we find that Tobin's "q" does not rise after internationalization, even relative to firms that do not internationalize. Instead, "q" rises significantly one year before internationalization and during the internationalization year. But, then "q" falls sharply in the year after internationalization, relinquishing the increases of the previous two years. To account for these dynamics, we show that market capitalization rises one year before internationalization and remains high, while corporate assets increase during internationalization. The evidence supports models stressing that internationalization facilitates corporate expansion, but challenges models stressing that internationalization produces an enduring effect on "q" by bonding firms to a better corporate governance system"--National Bureau of Economic Research web site
Crisis and contagion in East Asia nine lessons by Masahiro Kawai( file )
9 editions published in 2001 in English and held by 64 libraries worldwide
(June 2001) Currency and banking crises such as those originating in Mexico (1994), Thailand (1997), and the Russian Federation (1998) tend to be associated and often take place together across countries. The East Asian experience was a fruitful laboratory for examining key questions. For example: How did contagion occur so extensively, and why was it so devastating? Did policy responses to crises and contagion minimize their impact on the real economy? What type of international financial architecture is needed to prevent and manage crises and contagion? Kawai, Newfarmer, and Schmukler investigate the origins of the East Asian crisis and its contagion, examine the channels of contagion, and discuss policy recommendations. They make detailed recommendations in the context of nine general lessons learned from the East Asian crisis. Preventing crises and contagion * Avoid large current account deficits financed through short-term private capital inflows. * Aggressively regulate and supervise financial systems to ensure that banks and nonbank financial institutions manage risks prudently. * Put in place incentives for sound corporate finance to prevent high leverage ratios and overreliance on foreign borrowing. Managing crises and contagion * In the context of sound policies, mobilize timely external liquidity of sufficient magnitude to restore market confidence. * At times of crisis, "bail in" private foreign creditors. When official resources are too limited for the magnitude of the crisis or contagion, and when private creditors are not amenable to coordination, some involuntary private involvement may be needed too. * Keep in mind that there is no one-size-fits-all monetary and fiscal stance for responding to crises and contagion. Resolving the systemic consequences of crises and contagion * Move swiftly to establish domestic and international mechanisms for dealing with the assets and liabilities of nonviable banks and corporations. * Cushion the effects of crisis on low-income groups through social policies to ameliorate the inevitable social tensions associated with adjustment. Developing an effective regional financial architecture * Improve mechanisms for preventing, managing, and resolving crises and contagion at the regional level in ways consistent with improvements in the global financial architecture. An earlier version of this paper--a joint product of the Office of the Regional Vice President, East Asia and Pacific Region, and Macroeconomics and Growth, Development Research Group--was presented at the seminar on ASEAN Macroeconomic Outlook and Economic Recovery, organized by the ASEAN Secretariat and held in Manila in February 1999
Why do emerging economies borrow short term? by Fernando Broner( Book )
21 editions published between 2004 and 2007 in English and held by 59 libraries worldwide
We argue that emerging economies borrow short term due to the high risk premium charged by bondholders on long-term debt. First, we present a model where the debt maturity structure is the outcome of a risk sharing problem between the government and bondholders. By issuing long-term debt, the government lowers the probability of a rollover crisis, transferring risk to bondholders. In equilibrium, this risk is reflected in a higher risk premium and borrowing cost. Therefore, the government faces a trade-off between safer long-term debt and cheaper short-term debt. Second, we construct a new database of sovereign bond prices and issuance. We show that emerging economies pay a positive term premium (a higher risk premium on long-term bonds than on short-term bonds). During crises, the term premium increases, with issuance shifting towards shorter maturities. The evidence suggests that international investors' time-varying risk aversion is crucial to understand the debt structure in emerging economies
Emerging issues in financial development : lessons from Latin America by World Bank( Book )
8 editions published between 2013 and 2014 in English and held by 55 libraries worldwide
Since the 1990s, the financial systems in developing and developed countries have gained in soundness, depth, and diversity, prompted in part by a series of financial sector and macroeconomic reforms aimed at fostering a market-driven economy in which finance plays a central role. Latin America has been one of the regions at the forefront of these changes and offers a good laboratory of where the challenges in financial development lie. Despite all the gains in financial development, there is still a nagging contrast between the intensity of financial sector reforms implemented over the past 2
Verifiability and the vanishing intermediate exchange rate regime by Jeffrey A Frankel( Book )
14 editions published in 2000 in English and held by 55 libraries worldwide
The corners hypothesis holds that intermediate exchange rate regimes are vanishing, or should be. Surprisingly for a new conventional wisdom, this hypothesis so far lacks analytic foundations. In part, the generalization is overdone. We nevertheless offer one possible theoretical rationale, a contribution to the list of arguments against intermediate regimes: they lack verifiability, needed for credibility. Central banks announce intermediate targets such as exchange rates, so that the public can judge from observed data whether they are following the policy announced. Our general point is that simple regimes are more verifiable by market participants than complicated ones. Of the various intermediate regimes (managed float, peg with escape clause, etc.), we focus on basket pegs, with bands. Statistically, it takes a surprisingly long span of data to distinguish such a regime from a floating exchange rate. We apply the econometrics, first, to the example of Chile and, second, by performing Monte Carlo simulations. The amount of data required to verify the declared regime may exceed the length of time during which the regime is maintained. The amount of information necessary increases with the complexity of the regime, including the width of the band and the number of currencies in the basket
Explaining the migration of stocks from exchanges in emerging economies to internationaol centers by Stijn Claessens( Book )
19 editions published in 2002 in English and held by 54 libraries worldwide
International financial integration through equity markets : which firms from which countries go global? by Stijn Claessens( Book )
21 editions published in 2007 in English and held by 54 libraries worldwide
The authors study international financial integration analyzing firms from various countries raising capital, trading equity, and cross-listing in major world stock markets. Using a large sample of 39,517 firms from 111 countries covering the period 1989-2000, they find that, although international financial integration increases substantially over this period, only relatively few countries and firms actively participate in international markets. Firms more likely to internationalize are from larger and more open economies, with higher income, better macroeconomic policies, and worse institutional environments. These firms tend to be larger, grow faster, and have higher returns and more foreign sales. While changes occur with internationalization, these firm attributes are present before internationalization takes place. The results suggest that international financial integration will likely remain constrained by country and firm characteristics
Country funds and asymmetric information by Jeffrey A Frankel( Book )
10 editions published between 1997 and 1998 in English and held by 42 libraries worldwide
February 1998 Data on country funds support the hypothesis of asymmetric information: that the holders of underlying assets have more information about local assets than the country fund holders do. Using data on country funds, Frankel and Schmukler study how differential access to information affects international investment. They find that past changes in net asset values (NAVs) and discounts predict current country fund prices more commonly than prices and discounts predict NAVs. The price (NAV) adjustment coefficients are low and negatively correlated with the local (foreign) market variability-but not with the fund price (NAV) variability. NAVs seem to be closer to local information. They are the asset prices that react first to local news. Later the country fund holders receive the information and those prices react after NAVs have reacted. The 1995 Mexican crisis and the 1997 Asian crisis are two examples of this type of behavior. These findings are consistent with the hypothesis of asymmetric information, according to which the holders of the underlying assets have more information about local assets than the country fund holders do. Frankel and Schmukler empirically test the asymmetric information hypothesis against the noise traders hypothesis. A theoretical model is presented in the appendix. This paper-a product of Macro-economics and Growth, Development Research Group-is part of a larger effort in the group to understand how international financial markets work
Latin America and the rising South : changing world, changing priorities by Augusto de la Torre( Book )
4 editions published between 2014 and 2015 in English and held by 37 libraries worldwide
The world economy is not what it used to be twenty years ago. For most of the 20th century, the world economy was characterized by developed (North) countries acting as 'center' to a 'periphery' of developing (South) countries. However, the recent rise of developing economies suggests the need to go beyond this North-South dichotomy. This tectonic re-configuration of the global landscape has brought about significant changes to countries in the Latin America and Caribean (LAC) region. The time is ripe for an in-depth analysis of the dynamics and nature of LAC's external connections.This latest volume in the World Bank Latin American and Caribbean Studies series will focus on the implications of these trends for the economic development of LAC countries. In particular, trade, financial, macroeconomic, and sectoral shifts, as well as labor-market aspects will be systematically analyzed
7 editions published between 2012 and 2013 in English and held by 21 libraries worldwide
The sharp realities of financial globalization become clear during crises, when winners and losers emerge. Crises usher in short- and long-term changes to the status quo, and everyone agrees that learning from crises is a top priority. The Evidence and Impact of Financial Globalization devotes separate articles to specific crises, the conditions that cause them, and the longstanding arrangements devised to address them. While other books and journal articles treat these subjects in isolation, this volume presents a wide-ranging, consistent, yet varied specificity. Substantial, authoritative, and useful, these articles provide material unavailable elsewhere. Substantial articles by top scholars sets this volume apart from other information sources Rapidly developing subjects will interest readers well into the future Reader demand and lack of competitors underline the high value of these reference works
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Alternative Names
Schmukler, S. L.
Schmukler, Sergio
English (301)
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