Identifying Shock Propagation Mechanisms in Global Equity Markets
Why this work is in the frame
A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.
Bibliographic record
Abstract
Abstract The intertemporal capital asset pricing model with time-varying price and quantity risk factors, is used to study the propagation mechanisms linking expected risk premia with shocks in global equity markets. The model allows for linear and nonlinear propagation channels with the relationship between expected risk premia and world and country shocks characterized by a bivariate cubic. Using daily data on developed and emerging country equity returns, the empirical results show that country risk prices are exposed to world risks, although the signs differ between developed and emerging countries. Country risk factors are especially important for risk prices in Asia-Pacific countries as well as selected emerging countries. Of the financial risk factors investigated, volatility risk is important for all developed countries, and currency basis risk is important for all emerging countries. The nonlinear propagation mechanisms linking shocks and expected risk premia are economically significant and show that the size and sign of shocks are important. Implications of the empirical results for international portfolio diversification are also investigated using a range of simulation experiments.
Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.000 |
| Bibliometrics | 0.001 | 0.002 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it