References of "Vermeulen, Robert John Gerard 2000E926"
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See detailFinancial Integration and Remittances
Beine, Michel UL; Lodigiani, Elisabetta; Vermeulen, Robert John Gerard UL

in Regional Science & Urban Economics (2012), 42(5),

Migrant remittances increased strongly since the 1980s, becoming an important and reliable source of funds for many developing countries. Therefore, there is a strong incentive for receiving countries to ... [more ▼]

Migrant remittances increased strongly since the 1980s, becoming an important and reliable source of funds for many developing countries. Therefore, there is a strong incentive for receiving countries to attract more remittances, especially through formal channels that turn out to be either less expensive and/or less risky than informal ones. One way of doing so is to increase their country's financial openness, but this policy option might also generate additional costs in terms of macroeconomic volatility. In this paper we investigate the link between remittance receipts and financial openness. We statistically test for the existence of such a relationship with a sample of 66 mostly developing countries from 1980–2005. Empirically we use a dynamic generalized ordered logit model to deal with the categorical nature of financial openness policy. We apply a two-step method akin to two stage least squares to deal with the endogeneity of remittances and potential measurement errors. We find a strong positive statistical and economic effect of remittances on financial openness. [less ▲]

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See detailEssays in international finance
Vermeulen, Robert John Gerard UL

Doctoral thesis (2010)

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See detailThe Dark side of global integration: increasing tail dependance
Cosma, Antonio UL; Beine, Michel UL; Vermeulen, Robert John Gerard UL

in Journal of Banking and Finance (2010), 34(1), 184-192

We measure stock market coexceedances using the methodology of Cappiello, Gerard and Manganelli <br />(2005, ECB Working Paper 501). This method enables us to measure comovement at each point of the <br ... [more ▼]

We measure stock market coexceedances using the methodology of Cappiello, Gerard and Manganelli <br />(2005, ECB Working Paper 501). This method enables us to measure comovement at each point of the <br />return distribution. First, we construct annual coexceedance probabilities for both lower and upper tail <br />return quantiles using daily data from 1974–2006. Next, we explain these probabilities in a panel gravity <br />model framework. Results show that macroeconomic variables asymmetrically impact stock market <br />comovement across the return distribution. Financial liberalization significantly increases left tail comovement, <br />whereas trade integration significantly increases comovement across all quantiles. Decreasing <br />exchange rate volatility results in increasing lower tail comovement. The introduction of the euro <br />increases comovement across the entire return distribution, thereby significantly reducing the benefits <br />of portfolio diversification within the euro area. [less ▲]

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