2024-03-28T15:11:08Z
https://mpra.ub.uni-muenchen.de/cgi/oai2
oai:mpra.ub.uni-muenchen.de:307
2019-09-26T23:56:18Z
7374617475733D756E707562
7375626A656374733D47:4731:473134
7375626A656374733D47:4731:473131
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/307/
Political orientation of government and stock market returns
Bialkowski, Jedrzej
Gottschalk, Katrin
Wisniewski, Tomasz
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G11 - Portfolio Choice ; Investment Decisions
G15 - International Financial Markets
Prior research documented that U.S. stock prices tend to grow faster during Democratic administrations than during Republican administrations. This letter examines whether stock returns in other countries also depend on the political orientation of the incumbents. An analysis of 24 stock markets and 173 different governments reveals that there are no statistically significant differences in returns between left-wing and right-wing executives. Consequently, international investment strategies based on the political orientation of countries' leadership are likely to be futile.
2006-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/307/1/MPRA_paper_307.pdf
Bialkowski, Jedrzej and Gottschalk, Katrin and Wisniewski, Tomasz (2006): Political orientation of government and stock market returns.
en
oai:mpra.ub.uni-muenchen.de:551
2019-09-30T14:09:48Z
7374617475733D756E707562
7375626A656374733D46:4633:463334
7375626A656374733D47:4731:473135
7375626A656374733D47:4731:473132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/551/
How a small open economy's asset are priced by heterogeneous international investors
Chang, Yanqin
F34 - International Lending and Debt Problems
G15 - International Financial Markets
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
We study how a small open economy’s assets are prices by heterogeneous international investors. We initially decompose the asset pricing issue into separate studies of its two ingredients: the asset’s ex post return and the investors’ stochastic discount factor.
The ex post asset return is examined in a small open economy RBC model featuring adjustment cost in investment. We derive an approximate closed-form solution for the ex post asset return using the Campbell (1994) log-linear technique. The international investors’ stochastic discount factor is taken as given by this small open economy.
To examine the international investors’ stochastic discount factor, general equilibrium analysis is called in. We do this by setting up a world economy model. In the world economy model, the production side features a world representative firm which produce the world aggregate output consumed as world aggregate consumption; the consumer side features heterogeneous international investors from N countries in a sense that there are exogenous consumption distribution shocks and the price variation across countries. The shock affects the cross-sectional distribution of consumption goods among international investors but won’t affect the world aggregate level. The market stochastic discount factor hence is derived as a function of the world aggregate consumption growth, the world aggregate price growth and the cross-sectional variances and covariance terms of individual consumption growth and price growth.
We then derive the closed-form solutions for asset prices by substituting the two ingredients, the asset’s ex post return from small open economy model and the investors’ stochastic discount factor from a general equilibrium world economy model, into the basic asset pricing formulas. Our model generates a risk premium for a small economy’s asset that tends to be low when the global economy is robust and to soar when global economy experiences a downturn. The main reason behind this is our assumption of heterogeneity across international investors. We also study the capital accumulation and capital loss/gain channels and explore their asset pricing implications. Our major finding is: For a small country that conducts fierce capital accumulation, our model predicts that its risk premium will fluctuate less broadly than one that conducts little capital accumulation.
2006-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/551/1/MPRA_paper_551.pdf
Chang, Yanqin (2006): How a small open economy's asset are priced by heterogeneous international investors.
en
oai:mpra.ub.uni-muenchen.de:593
2019-09-29T17:36:53Z
7374617475733D756E707562
7375626A656374733D43:4335:433532
7375626A656374733D47:4731:473135
7375626A656374733D47:4731:473130
7375626A656374733D43:4332:433232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/593/
Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models
Frimpong, Joseph Magnus
Oteng-Abayie, Eric Fosu
C52 - Model Evaluation, Validation, and Selection
G15 - International Financial Markets
G10 - General
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
This paper models and forecasts volatility (conditional variance) on the Ghana Stock Exchange using a random walk (RW), GARCH(1,1), EGARCH(1,1), and TGARCH(1,1) models. The unique ‘three days a week’ Databank Stock Index (DSI) is used to study the dynamics of the Ghana stock market volatility over a 10-year period. The competing volatility models were estimated and their specification and forecast performance compared with each other, using AIC and LL information criteria and BDS nonlinearity diagnostic checks. The DSI exhibits the stylized characteristics such as volatility clustering, leptokurtosis and asymmetry effects associated with stock market returns on more advanced stock markets. The random walk hypothesis is rejected for the DSI. Overall, the GARCH (1,1) model outperformed the other models under the assumption that the innovations follow a normal distribution.
2006-10-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/593/1/MPRA_paper_593.pdf
Frimpong, Joseph Magnus and Oteng-Abayie, Eric Fosu (2006): Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models.
en
oai:mpra.ub.uni-muenchen.de:698
2019-09-27T07:36:53Z
7374617475733D756E707562
7375626A656374733D47:4733:473334
7375626A656374733D47:4731:473135
7375626A656374733D46:4631:463135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/698/
Le partenariat euro méditerranéen et son impact sur le développement des marchés boursiers méditerranéens
Ben Slimane, Faten
G34 - Mergers ; Acquisitions ; Restructuring ; Corporate Governance
G15 - International Financial Markets
F15 - Economic Integration
This paper analysis the effect of the Euro-Mediterranean partnership on the stock exchanges of Mediterranean countries. After having studied the evolution of these markets, we will show their vulnerability and especially the risks which they incur if the processes of removal of the economic and financial barriers are not accompanied by substantial reforms. Vis-à-vis these threats, one of the best strategies to be followed is to opt to consolidation strategies with, in particular, European stock exchanges.
[Paper presented at annual EMMA-CNRS conference (Istanbul- MAi 2006)]
2006-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/698/1/MPRA_paper_698.pdf
Ben Slimane, Faten (2006): Le partenariat euro méditerranéen et son impact sur le développement des marchés boursiers méditerranéens.
fr
oai:mpra.ub.uni-muenchen.de:758
2019-10-25T18:10:05Z
oai:mpra.ub.uni-muenchen.de:759
2019-10-30T05:03:59Z
oai:mpra.ub.uni-muenchen.de:876
2019-10-17T11:02:01Z
7374617475733D756E707562
7375626A656374733D46:4634:463431
7375626A656374733D43:4336:433633
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/876/
Equity Premiums In a Small Open Economy
Douch, Mohamed
F41 - Open Economy Macroeconomics
C63 - Computational Techniques ; Simulation Modeling
G15 - International Financial Markets
This paper studies the behaviour of asset prices in relation to consumption and other business cycle variables. While RBC models have been able to successfully explain the dynamics of macroeconomic variables, they fail to replicate similar interesting stylized facts when studying the behavior of asset prices. In an attempt to solve this shortcoming, some progress has been made in models that modify utility in order to account for habit persistence and incorporate capital adjustment costs. We have developed a framework that combines these ingredients by applying the loglinearly reduced form of the general equilibrium model and the asset pricing formula, based on the lognormality of the disturbance distribution for the small open economy case. Our ndings indicate that in a small open economy environment this kind of model fails to account for a substantial equity premium.
2004-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/876/1/MPRA_paper_876.pdf
Douch, Mohamed (2004): Equity Premiums In a Small Open Economy.
en
oai:mpra.ub.uni-muenchen.de:1418
2019-10-08T06:25:39Z
7374617475733D707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4334:433436
7375626A656374733D47:4731:473131
7375626A656374733D43:4338:433837
7375626A656374733D47:4733:473332
7375626A656374733D47:4731:473138
7375626A656374733D47:4731:473132
7375626A656374733D43:4338:433832
7375626A656374733D47:4731:473135
7375626A656374733D43:4333:433333
7375626A656374733D43:4331:433133
7375626A656374733D43:4332:433232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1418/
The determinants of the Harare Stock Exchange (HSE) market capitalisation
Ilmolelian, Peter
C51 - Model Construction and Estimation
C46 - Specific Distributions ; Specific Statistics
G11 - Portfolio Choice ; Investment Decisions
C87 - Econometric Software
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G18 - Government Policy and Regulation
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
C82 - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data ; Data Access
G15 - International Financial Markets
C33 - Panel Data Models ; Spatio-temporal Models
C13 - Estimation: General
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used 1976-1996 quarterly data from the International Finance Corporation (IFC) and Microfit was used to analyse the data. Using the assumption that market size is positively correlated with the ability to mobilise capital and diversify risk, the study findings suggest that share price and the exchange rate are the most important determinants of the HSE market capitalisation. The study suggests that further in-depth research into the determinants of market capitalisation for the African and other emerging stock markets is required to identify best ways of developing these markets within the global financial system while at the same time promoting local economic growth. The paper begins with an introduction about the HSE followed by short description of stock markets in developing countries. The second part of the paper outlines the theory behind market capitalisation, the development of of the general econometric model and specific cointegrating regression model and the results from the analysis. The third section provides conclusions and policy implications associated with encouraging the stock markets in the emerging stock markets with particular reference to the HSE.
2005-11-20
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1418/1/MPRA_paper_1418.pdf
Ilmolelian, Peter (2005): The determinants of the Harare Stock Exchange (HSE) market capitalisation. Published in: EconPapers No. http://econpapers.repec.org/paper/wpawuwpem/0511016.htm
en
oai:mpra.ub.uni-muenchen.de:1847
2019-10-14T16:24:22Z
7374617475733D696E7072657373
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1847/
The Chinese Chaos Game
Raul, Matsushita
Iram, Gleria
Annibal, Figueiredo
Sergio, Da Silva
G15 - International Financial Markets
The yuan-dollar returns prior to the 2005 revaluation show a Sierpinski triangle in an
iterated function system clumpiness test. Yet the fractal vanishes after the revaluation.
The Sierpinski commonly emerges in the chaos game, where randomness coexists with
deterministic rules [2, 3]. Here it is explained by the yuan’s pegs to the US dollar,
which made more than half of the data points close to zero. Extra data from the
Brazilian and Argentine experiences do confirm that the fractal emerges whenever
exchange rate pegs are kept for too long.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1847/1/MPRA_paper_1847.pdf
Raul, Matsushita and Iram, Gleria and Annibal, Figueiredo and Sergio, Da Silva (2006): The Chinese Chaos Game. Forthcoming in: Physica A
en
oai:mpra.ub.uni-muenchen.de:1964
2019-09-26T08:30:50Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D47:4732:473231
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1964/
Banking integration and co-movements in EU banks’ fragility
Vulpes, Giuseppe
Brasili, Andrea
C51 - Model Construction and Estimation
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
G15 - International Financial Markets
The aim of this paper is to verify whether and to which extent co-movements in EU banks’ risk, i.e. their degree of exposures of European banks to common shocks, have increased in time, following the completion of Monetary Union, the introduction of the euro and the process of European banking integration. To this end, we provide a measure of co-movements in bank risk by means of a dynamic factor model, which allows to decompose an indicator of bank fragility, the Distance-to-Default, into three main components: an EU-wide, a country-specific and a bank-level idiosyncratic component. Our results show the commonality in bank risk appears to have significantly increased since 1999, in particular if one concentrates on large banks. We also show that co-movements in EU banks’ fragility are only in part related to common macro shocks and that a banking system specific component at the EU-wide level appears relevant. This has obvious consequences in terms of systemic stability, but may also have far reaching policy implications with regards to the structuring of banking supervision in Europe
2006-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1964/1/MPRA_paper_1964.pdf
Vulpes, Giuseppe and Brasili, Andrea (2006): Banking integration and co-movements in EU banks’ fragility.
en
oai:mpra.ub.uni-muenchen.de:2021
2019-09-28T03:28:59Z
7374617475733D756E707562
7375626A656374733D47:4731:473135
7375626A656374733D43:4331:433133
7375626A656374733D46:4633:463336
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2021/
Real Financial Integration among the East Asian Economies: A SURADF Panel Approach
Chan, Tze-Haw
Baharumshah, Ahmad Zubaidi
Lau, Evan
G15 - International Financial Markets
C13 - Estimation: General
F36 - Financial Aspects of Economic Integration
To testify RIP, this study scrutinizes the mean-reversion behavior of bilateral real interest differentials (RIDs) in eight East Asian economies. We incorporate the ASEAN-5, South Korea and China (mainland) with the US and Japan taken as base countries. Four sub-samples within 1976-2004 are being considered to accentuate the effects of institutional changes and financial crises. To rectify the deficiency in extant univariate and panel tests, the newly proposed SURADF statistics by Breuer et al. (2002) is utilized. Overall, the findings are in favor of RIP such that RIDs are found mean-reverting (except China) and with faster adjustment, especially during the post-crisis era. Such outcome is in accord with the enhanced financial integration among the ASEAN-5 and South Korea with their major trading partners, suggesting that further economic cooperation and currency arrangements in the region are bright to preserve potential financial shocks. Conversely, the real financial integration among China-US and China-Japan are not yet empirically recognized notwithstanding the recent surge of capital flows into the mainland.
2005
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2021/1/MPRA_paper_2021.pdf
Chan, Tze-Haw and Baharumshah, Ahmad Zubaidi and Lau, Evan (2005): Real Financial Integration among the East Asian Economies: A SURADF Panel Approach.
en
oai:mpra.ub.uni-muenchen.de:2032
2019-09-27T16:41:12Z
7374617475733D756E707562
7375626A656374733D47:4731:473135
7375626A656374733D43:4331:433133
7375626A656374733D46:4633:463336
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2032/
On Volatility Spillovers and Dominant Effects in East Asian: Before and After the 911
Chan, Tze-Haw
Hooy, Chee Wooi
G15 - International Financial Markets
C13 - Estimation: General
F36 - Financial Aspects of Economic Integration
The present paper examines the dynamic effects of volatility spillovers and dominant role (the second-moment) of the US, Japan and Hong Kong in the East Asian equity markets. To evaluate the recent September 11 (911) impact, two sub periods – before and after the tragedy, are being considered based on daily market returns. The upshots of our findings are five-fold. First, for all markets the constant risk components, as well as the ARCH and GARCH effects are significantly detected, implying the persistency of volatility in East Asian equity markets. Nevertheless, not all indexes show asymmetrical news effects. Though all indexes show leverage effects, they are significant only for certain countries including the US and Japan, which is consistent with empirical literature. Second, the volatilities of these equity markets are bounded in common stochastic trends, at least in the long run. Third, the Hong Kong long run coefficients are more significant than that of US or Japan before the 911 calamity. Nonetheless, there is sufficient evidence showing that the US spillovers were transmitted via Hong Kong. After the 911, the Hong Kong’s spillovers trim down while Japanese influence enhance as in Malaysia, Philippines, Thailand and Singapore. Taken as a whole (1998-2002), Japanese spillovers are relatively small and nonsignificant in some East Asian equity markets. Fourth, the ECT coefficients are significant but small (except for Hong Kong). The East Asian equity markets are thereby endogenously determined and the volatility adjustments to the long run equilibrium are slow, once being shocked. The ECT coefficients slightly improved after 911. Fifth, volatilities in the East Asian equity markets are attributed mainly to the shocks of local and regional factors rather than the world factor. In a nutshell, the volatility spillovers and the Hong Kong- and US-dominant effects have been confirmed. Hitherto, the 911 impact is relatively small and somewhat inconclusive.
2003
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2032/1/MPRA_paper_2032.pdf
Chan, Tze-Haw and Hooy, Chee Wooi (2003): On Volatility Spillovers and Dominant Effects in East Asian: Before and After the 911.
en
oai:mpra.ub.uni-muenchen.de:2069
2019-09-27T16:53:30Z
7374617475733D696E7072657373
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2069/
Is there an identity within international stock market volatilities?
Caiado, Jorge
Crato, Nuno
Peña, Daniel
G15 - International Financial Markets
Previous studies have investigated the comovements of international equity returns by using mean correlations, cointegration, common factor analysis, and other approaches. This paper investigates the evolution of the affinity among major euro and non-euro area stock markets in the period 1966-2006 by using distance-based methods for clustering analysis of time series. A periodogram-based metric for mean and squared returns is used to compute distances between the series. This method solves the shortcoming of unequal sample sizes found for different countries. Then, by using dendrogram and multidimensional scaling techniques based on the computed distances, we display clusters for the series of returns and volatilities. The data were divided into two sample periods: previous and subsequent to the introduction of the euro as an electronic currency. For market returns, euro-area countries do not seem to come closer after the introduction of the euro. There is some identity that is maintained after 1998. For squared returns, we found a clear change with the introduction of the euro. Up to 1998, there is a weak linkage among euro area countries. After 1998, the euro area stock markets volatilities have become considerably more homogenous. For reference, we explored also the correlations among the series. We found that some stock markets within the European Monetary Union are strongly correlated in returns and in squared returns, and that some euro and non-euro area markets are not correlated in returns, but are weakly correlated in squared returns.
2007
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2069/1/MPRA_paper_2069.pdf
Caiado, Jorge and Crato, Nuno and Peña, Daniel (2007): Is there an identity within international stock market volatilities? Forthcoming in: Proceedings of the 11th International Conference on Macroeconomics Analysis and International Finance
en
oai:mpra.ub.uni-muenchen.de:2074
2019-09-27T17:54:13Z
7374617475733D696E7072657373
7375626A656374733D43:4333:433332
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2074/
A GARCH-based method for clustering of financial time series: International stock markets evidence
Caiado, Jorge
Crato, Nuno
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G15 - International Financial Markets
In this paper, we introduce a volatility-based method for clustering analysis of financial time series. Using the generalized autoregressive conditional heteroskedasticity (GARCH) models we estimate the distances between the stock return volatilities. The proposed method uses the volatility behavior of the time series and solves the problem of different lengths. As an illustrative example, we investigate the similarities among major international stock markets using daily return series with different sample sizes from 1966 to 2006. From cluster analysis, most European markets countries, United States and Canada appear close together, and most Asian/Pacific markets and the South/Middle American markets appear in a distinct cluster. After the terrorist attack on September 11, 2001, the European stock markets have become more homogenous, and North American markets, Japan and Australia seem to come closer.
2007
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2074/1/MPRA_paper_2074.pdf
Caiado, Jorge and Crato, Nuno (2007): A GARCH-based method for clustering of financial time series: International stock markets evidence. Forthcoming in: Proceedings of the XIIth Applied Stochastic Models and Data Analysis International Conference
en
oai:mpra.ub.uni-muenchen.de:2317
2019-09-27T10:18:11Z
7374617475733D756E707562
7375626A656374733D47:4731
7375626A656374733D45:4530:453031
7375626A656374733D47:4731:473138
7375626A656374733D47:4731:473135
7375626A656374733D45:4532:453234
7375626A656374733D45:4530:453030
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2317/
دور سوق الأوراق المالية فى تنمية الادخار فى مصر
Alasrag, Hussien
G1 - General Financial Markets
E01 - Measurement and Data on National Income and Product Accounts and Wealth ; Environmental Accounts
G18 - Government Policy and Regulation
G15 - International Financial Markets
E24 - Employment ; Unemployment ; Wages ; Intergenerational Income Distribution ; Aggregate Human Capital ; Aggregate Labor Productivity
E00 - General
This thesis studies the role of the Egyptian securities market on saving development.It`s divided into two sections.section one studies the natural and importance of securities market through defining both the capital and securities markets ,determining the requirements of setting up stock market.then its studies the relation between securities market and some aggregate variables in the economy and its position in both the classical and the modern theory.the thesis goes on to studies the factors affecting the stock market performance. the importance of this market and the relation between saving and securities market.then it sheds lights on the securities in both the Egyptian and the global capital markets .section two focuses on the role of the Egyptian securities market on saving development during (1982-2000).so it studies the Egyptian securities market development.then it evaluate the role of both the primary and secondary markets on saving development during the period under review. Finally the thesis explains and recommends some policies in order to activate the Egyptian market. it also analyzes more particularly some guiding principles to develop and activate the role of both the primary and secondary markets on saving development .
2002-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2317/1/MPRA_paper_2317.pdf
Alasrag, Hussien (2002): دور سوق الأوراق المالية فى تنمية الادخار فى مصر.
ar
oai:mpra.ub.uni-muenchen.de:2387
2019-09-26T08:36:36Z
7374617475733D756E707562
7375626A656374733D45:4530:453030
7375626A656374733D47:4731:473138
7375626A656374733D45:4532:453234
7375626A656374733D47:4731
7375626A656374733D45:4530:453031
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2387/
دور سوق الأوراق المالية فى تنمية الادخار فى مصر
Alasrag, Hussien
E00 - General
G18 - Government Policy and Regulation
E24 - Employment ; Unemployment ; Wages ; Intergenerational Income Distribution ; Aggregate Human Capital ; Aggregate Labor Productivity
G1 - General Financial Markets
E01 - Measurement and Data on National Income and Product Accounts and Wealth ; Environmental Accounts
G15 - International Financial Markets
This thesis studies the role of the Egyptian securities market on saving development.It`s divided into two sections.section one studies the natural and importance of securities market through defining both the capital and securities markets ,determining the requirements of setting up stock market.then its studies the relation between securities market and some aggregate variables in the economy and its position in both the classical and the modern theory.the thesis goes on to studies the factors affecting the stock market performance. the importance of this market and the relation between saving and securities market.then it sheds lights on the securities in both the Egyptian and the global capital markets .section two focuses on the role of the Egyptian securities market on saving development during (1982-2000).so it studies the Egyptian securities market development.then it evaluate the role of both the primary and secondary markets on saving development during the period under review. Finally the thesis explains and recommends some policies in order to activate the Egyptian market. it also analyzes more particularly some guiding principles to develop and activate the role of both the primary and secondary markets on saving development .
2002-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2387/1/MPRA_paper_2387.pdf
Alasrag, Hussien (2002): دور سوق الأوراق المالية فى تنمية الادخار فى مصر.
ar
oai:mpra.ub.uni-muenchen.de:2424
2019-09-28T03:57:34Z
7374617475733D756E707562
7375626A656374733D45:4534:453431
7375626A656374733D47:4731:473138
7375626A656374733D45:4535:453532
7375626A656374733D47:4731:473135
7375626A656374733D45:4534:453434
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2424/
An actuarial approach to short-run monetary equilibrium
Mierzejewski, Fernando
E41 - Demand for Money
G18 - Government Policy and Regulation
E52 - Monetary Policy
G15 - International Financial Markets
E44 - Financial Markets and the Macroeconomy
The extent to which the money supply affects the aggregate cash balance demanded
at a certain level of nominal income and interest rates is determined by the interest-rate-elasticity and stability of the money demand. An actuarial approach is adopted in this paper for dealing with investors facing liquidity constraints and maintaining different expectations about risks. Under such circumstances, a level of surplus exists which maximises expected value. Moreover, when the distorted probability principle is introduced, the optimal liquidity demand is expressed as a Value-at-Risk and the comonotonic dependence structure determines the amount of money demanded by the
economy. As a consequence, the more unstable the economy, the greater the interestrate-elasticity of the money demand. Moreover, for different parametric characterisation of risks, market parameters are expressed as the weighted average of sectorial or individual estimations, in such a way that multiple equilibria of the economy are possible.
2007-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2424/1/MPRA_paper_2424.pdf
Mierzejewski, Fernando (2007): An actuarial approach to short-run monetary equilibrium.
en
oai:mpra.ub.uni-muenchen.de:2482
2019-09-26T11:16:31Z
7374617475733D756E707562
7375626A656374733D43:4334:433435
7375626A656374733D46:4633:463331
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2482/
The Effects of International F/X Markets on Domestic Currencies Using Wavelet Networks: Evidence from Emerging Markets
Cifter, Atilla
Ozun, Alper
C45 - Neural Networks and Related Topics
F31 - Foreign Exchange
G15 - International Financial Markets
This paper proposes a powerful methodology wavelet networks to investigate the effects of international F/X markets on emerging markets currencies. We used EUR/USD parity as input indicator (international F/X markets) and three emerging markets currencies as Brazilian Real, Turkish Lira and Russian Ruble as output indicator (emerging markets currency). We test if the effects of international F/X markets change across different timescale. Using wavelet networks, we showed that the effects of international F/X markets increase with higher timescale. This evidence shows that the causality of international F/X markets on emerging markets should be tested based on 64-128 days effect. We also find that the effects of EUR/USD parity on Turkish Lira is higher on 17-32 days and 65-128 days scales and this evidence shows that Turkish lira is less stable compare to other emerging markets currencies as international F/X markets effects Turkish lira on shorten time scale.
2007-03-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2482/1/MPRA_paper_2482.pdf
Cifter, Atilla and Ozun, Alper (2007): The Effects of International F/X Markets on Domestic Currencies Using Wavelet Networks: Evidence from Emerging Markets.
en
oai:mpra.ub.uni-muenchen.de:2607
2019-09-27T16:45:32Z
7374617475733D756E707562
7375626A656374733D47:4731:473135
7375626A656374733D4C:4C31:4C3130
7375626A656374733D47:4733:473334
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2607/
L'Evolution des Marchés Boursiers Européens: Enjeux et limites
Ben Slimane, FATEN
G15 - International Financial Markets
L10 - General
G34 - Mergers ; Acquisitions ; Restructuring ; Corporate Governance
This paper analyzes the recent development of the European stock exchanges by stressing the disparities which exist between them. Within the framework of a progressive financial integration, several of these institutions, in particular of Eastern Europe and Central Europe are likely to be badly affected and their survival could even be threatened. Vis-a-vis these threats, several strategies are offered to these places. We will show that the solution which appears most effective would be to opt in the more or less long term, to consolidation strategies with, in particular, European stock exchanges.
2007-03-02
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2607/1/MPRA_paper_2607.pdf
Ben Slimane, FATEN (2007): L'Evolution des Marchés Boursiers Européens: Enjeux et limites.
fr
oai:mpra.ub.uni-muenchen.de:2794
2019-09-29T10:19:35Z
7374617475733D696E7072657373
7375626A656374733D47:4731:473130
7375626A656374733D43:4331:433134
7375626A656374733D47:4731:473134
7375626A656374733D47:4731:473135
7375626A656374733D43:4331:433132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2794/
Evidencia De Comportamiento Caótico En Indices Bursátiles Americanos
Espinosa Méndez, Christian
G10 - General
C14 - Semiparametric and Nonparametric Methods: General
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G15 - International Financial Markets
C12 - Hypothesis Testing: General
This article validates the chaotic behavior in the Argentinean, Brazilian, Canadian, Chilean, American, Peruvian and Mexican Stock Markets using the MERVAL, BOVESPA, S&P TSX COMPOSITE, IPSA, IGPA, S&P 500, DOW JONES INDUSTRIALS, NASDAQ, IGBVL and IPC Stock Indexes respectively. The results of different techniques and methods like: Graphic Analysis, Recurrence Analysis, Temporal Space Entropy, Hurst Coefficient, Lyapunov Exponential and Correlation Dimension support the hypothesis that the stock markets behave in a chaotic way and rejected the hypothesis of randomness. Our conclusion validates the use of prediction techniques in those stock markets. It’s remarkable the result of the Hurst Coefficient Technique, that in average was of 0,75 for the indexes of this study which would justify the use of ARFIMA models among others for the prediction of such series.
2005-10-20
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2794/1/MPRA_paper_2794.pdf
Espinosa Méndez, Christian (2005): Evidencia De Comportamiento Caótico En Indices Bursátiles Americanos. Forthcoming in: Trimestre Económico , Vol. 296, (31 September 2007)
es
oai:mpra.ub.uni-muenchen.de:3401
2019-10-25T06:15:03Z
oai:mpra.ub.uni-muenchen.de:3483
2019-09-30T17:48:24Z
7374617475733D756E707562
7375626A656374733D47:4731:473135
7375626A656374733D47:4731:473130
7375626A656374733D47:4730
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3483/
Varying the VaR for Unconditional and Conditional Environments,
Cotter, John
G15 - International Financial Markets
G10 - General
G0 - General
Accurate forecasting of risk is the key to successful risk management techniques.
Using the largest stock index futures from twelve European bourses, this paper
presents VaR measures based on their unconditional and conditional distributions for
single and multi-period settings. These measures underpinned by extreme value
theory are statistically robust explicitly allowing for fat-tailed densities. Conditional
tail estimates are obtained by adjusting the unconditional extreme value procedure
with GARCH filtered returns. The conditional modelling results in iid returns
allowing for the use of a simple and efficient multi-period extreme value scaling law.
The paper examines the properties of these distinct conditional and unconditional
trading models. The paper finds that the biases inherent in unconditional single and
multi-period estimates assuming normality extend to the conditional setting.
2004
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3483/1/MPRA_paper_3483.pdf
Cotter, John (2004): Varying the VaR for Unconditional and Conditional Environments,.
en
oai:mpra.ub.uni-muenchen.de:3494
2019-09-27T10:09:33Z
7374617475733D756E707562
7375626A656374733D47:4731:473135
7375626A656374733D47:4730
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3494/
Real & Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing
Cotter, John
G15 - International Financial Markets
G0 - General
This paper compares real and nominal foreign exchange
volatility effects on exports. Using a flexible lag version of the
Goldstein-Khan two-country imperfect substitutes model for
bilateral trade, we identify the overall effect into both a timing
as well as a size impact. We find that the size impact of
forecasted foreign exchange volatility does not vary according
to the measure used in terms of magnitude and direction.
However, there are very different timing effects, when we
compare real and nominal foreign exchange rate volatility.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3494/1/MPRA_paper_3494.pdf
Cotter, John (2006): Real & Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing.
en
oai:mpra.ub.uni-muenchen.de:3501
2019-09-30T22:51:11Z
7374617475733D756E707562
7375626A656374733D47:4731:473135
7375626A656374733D47:4731:473133
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3501/
Hedging Effectiveness under Conditions of Asymmetry
Cotter, John
Hanly, James
G15 - International Financial Markets
G13 - Contingent Pricing ; Futures Pricing
We examine whether hedging effectiveness is affected by asymmetry in the return distribution
by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers
using Oil futures contracts. The metrics used include Lower Partial Moments (LPM), Value at
Risk (VaR) and Conditional Value at Risk (CVAR). Comparisons are applied to a number of
hedging strategies including OLS and both Symmetric and Asymmetric GARCH models. Our
findings show that asymmetry reduces in-sample hedging performance and that there are
significant differences in hedging performance between short and long hedgers. Thus, tail
specific performance metrics should be applied in evaluating hedging effectiveness. We also find
that the Ordinary Least Squares (OLS) model provides consistently good performance across
different measures of hedging effectiveness and estimation methods irrespective of the
characteristics of the underlying distribution.
Keywords: Hedging Performance; Asymmetry; Downside Risk; Value at Risk, Conditional
Value at Risk.
JEL classification: G10, G12, G15.
____________________________________________________________________
John Cotter, Director of Centre for Financial Markets, Department of Banking and Finance, University College
Dublin, Blackrock, Co. Dublin, Ireland, tel 353 1 716 8900, e-mail john.cotter@ucd.ie. Jim Hanly, School of
Accounting and Finance, Dublin Institute of Technology, tel 353 1 402 3180, e-mail james.hanly@dit.ie. The
authors would like to thank the participants at the Global Finance Annual Conference for their constructive
comments.
2007
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3501/1/MPRA_paper_3501.pdf
Cotter, John and Hanly, James (2007): Hedging Effectiveness under Conditions of Asymmetry.
en
oai:mpra.ub.uni-muenchen.de:3502
2019-09-27T03:42:27Z
7374617475733D756E707562
7375626A656374733D47:4731:473135
7375626A656374733D47:4731
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3502/
Intra-Day Seasonality in Foreign Exchange Market Transactions
Cotter, John
Dowd, Kevin
G15 - International Financial Markets
G1 - General Financial Markets
This paper examines the intra-day seasonality of transacted limit and market orders in the
DEM/USD foreign exchange market. Empirical analysis of completed transactions data
based on the Dealing 2000-2 electronic inter-dealer broking system indicates significant
evidence of intraday seasonality in returns and return volatilities under usual market
conditions. Moreover, analysis of realised tail outcomes supports seasonality for
extraordinary market conditions across the trading day.
2007
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3502/1/MPRA_paper_3502.pdf
Cotter, John and Dowd, Kevin (2007): Intra-Day Seasonality in Foreign Exchange Market Transactions.
en
oai:mpra.ub.uni-muenchen.de:3506
2019-09-28T03:28:19Z
7374617475733D756E707562
7375626A656374733D47:4731:473135
7375626A656374733D47:4732:473230
7375626A656374733D47:4731:473131
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3506/
Implied correlation from VaR
Cotter, John
Longin, Francois
G15 - International Financial Markets
G20 - General
G11 - Portfolio Choice ; Investment Decisions
Most of the methods used by financial institutions to implement valueat-
risk models are based on the multivariate Gaussian distribution with a
constant correlation matrix. In this paper we use VaR calculation in a
reverse way to imply the correlation between asset price changes. The
distribution of implied correlation under normality is also studied in
order to take into account any bias and sampling error. Empirical results
for US and UK equity markets show that implied correlation is not
constant but tends to be higher for long positions than for short
positions. This result is statistically significant and can be interpreted as
departure from normality. Our test provides a new way – by focusing the
tail dependence - to assess the model risk associated with quantitative
methods based on normality in asset management and risk management
areas.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3506/1/MPRA_paper_3506.pdf
Cotter, John and Longin, Francois (2006): Implied correlation from VaR.
en
oai:mpra.ub.uni-muenchen.de:3507
2019-10-02T09:02:11Z
7374617475733D707562
7375626A656374733D47:4731:473135
7375626A656374733D47:4731:473130
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3507/
Modelling catastrophic risk in international equity markets: An extreme value approach
Cotter, John
G15 - International Financial Markets
G10 - General
This letter uses the Block Maxima Extreme Value approach to quantify catastrophic
risk in international equity markets. Risk measures are generated from a set threshold
of the distribution of returns that avoids the pitfall of using absolute returns for
markets exhibiting diverging levels of risk. From an application to leading markets,
the letter finds that the Nikkei is more prone to catastrophic risk than the FTSE and
Dow Jones Indexes.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3507/1/MPRA_paper_3507.pdf
Cotter, John (2006): Modelling catastrophic risk in international equity markets: An extreme value approach. Published in: Applied Financial Economic Letters , Vol. 2, (2006)
en
oai:mpra.ub.uni-muenchen.de:3523
2019-09-26T23:12:49Z
7374617475733D756E707562
7375626A656374733D47:4731:473135
7375626A656374733D47:4730
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3523/
Re-evaluating Hedging Performance
Cotter, John
Hanly, James
G15 - International Financial Markets
G0 - General
Mixed results have been documented for the performance of hedging strategies using futures.
This paper reinvestigates this issue using an extensive set of performance evaluation metrics
across seven international markets. We compare the hedging performance of short and long
hedgers using traditional variance based approaches together with modern risk management
techniques including Value at Risk, Conditional Value at Risk and approaches based on
Downside Risk. Our findings indicate that using these metrics to evaluate hedging performance,
yields differences in terms of best hedging strategy as compared with the traditional variance
measure. We also find significant differences in performance between short and long hedgers.
These results are observed both in-sample and out-of-sample.
2005
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3523/1/MPRA_paper_3523.pdf
Cotter, John and Hanly, James (2005): Re-evaluating Hedging Performance.
en
oai:mpra.ub.uni-muenchen.de:3532
2019-09-27T08:11:49Z
7374617475733D707562
7375626A656374733D47:4731:473135
7375626A656374733D47:4731:473130
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3532/
Modelling extreme financial returns of global equity markets
Cotter, John
G15 - International Financial Markets
G10 - General
Extreme asset price movements appear to be more pronounced recently and have
major consequences for an economy’s financial stability and monetary policies.
This paper investigates the extreme behaviour of equity market returns and
quantifies the probabilities of these losses. Taking fourteen major equity markets
the study is able to ascertain similarities and divergences in the tail returns from
around the world. To do so, it applies extreme value theory to equity indices
representing American, Asian and European markets. The paper finds that all
markets tail realisations are adequately modelled with the fat-tailed Fréchet
distribution. Furthermore tail realisations associated with the downside of a
distribution are greater than those associated with the upside, and extreme returns
for Asian markets are usually larger than their European and American
counterparts.
2004
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3532/1/MPRA_paper_3532.pdf
Cotter, John (2004): Modelling extreme financial returns of global equity markets. Published in: Greek Economic Review
en
oai:mpra.ub.uni-muenchen.de:3536
2019-09-28T06:47:31Z
7374617475733D756E707562
7375626A656374733D47:4731:473135
7375626A656374733D47:4731
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3536/
Extreme risk in Asian equity markets
Cotter, John
G15 - International Financial Markets
G1 - General Financial Markets
Extreme price movements associated with tail returns are catastrophic for all investors
and it is necessary to make accurate predictions of the severity of these events.
Choosing a time frame associated with large financial booms and crises this paper
investigates the tail behaviour of Asian equity market returns and quantifies two risk
measures, quantiles and average losses, along with their associated average waiting
periods. Extreme value theory using the Peaks over Threshold method generates the
risk measures where tail returns are modelled with a fat-tailed Generalised Pareto
Distribution. We find that lower tail risk measures are more severe than upper tail
realisations at the lowest probability levels. Moreover, the Kuala Lumpar Composite
exhibits the largest risk measures.
2007
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3536/1/MPRA_paper_3536.pdf
Cotter, John (2007): Extreme risk in Asian equity markets.
en
oai:mpra.ub.uni-muenchen.de:3537
2019-09-26T10:23:24Z
7374617475733D707562
7375626A656374733D47:4731:473135
7375626A656374733D47:4731
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3537/
Downside Risk for European Equity Markets
Cotter, John
G15 - International Financial Markets
G1 - General Financial Markets
This paper applies extreme value theory to measure downside risk for European
equity markets. Two related measures, value at risk and the excess loss probability
estimator provide a coherent approach to optimally protect investor wealth
opportunities for low quantile and probability combinations. The fat-tailed
characteristic of equity index returns is captured by explicitly modelling tail returns
only. The paper finds the DAX100 is the most volatile index, and this generally
becomes more pronounced as one moves to lower quantile and probability
estimates.
2004
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3537/1/MPRA_paper_3537.pdf
Cotter, John (2004): Downside Risk for European Equity Markets. Published in: Applied Financial Economics , Vol. 14, (2004): pp. 707-716.
en
oai:mpra.ub.uni-muenchen.de:3538
2019-10-06T16:30:39Z
7374617475733D707562
7375626A656374733D47:4731:473135
7375626A656374733D47:4731
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3538/
International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000
Cotter, John
G15 - International Financial Markets
G1 - General Financial Markets
We examine the relationship between the Irish, German, UK and US equity markets.
Our main finding is that the Irish equity market depends heavily on trading activity in
the other markets but not vice versa. Significant return and volatility spillover effects
occur in the direction of, but not from the Irish market. We also find that dual listing
in the form of ADRs has an important role to play in these spillover effects. Our
findings obtain throughout the sample, but are strongest for the period after the ERM
crises and before the introduction of the euro.
2004
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3538/1/MPRA_paper_3538.pdf
Cotter, John (2004): International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000. Published in: International Review of Financial Analysis , Vol. 13, (2004): pp. 669-685.
en
oai:mpra.ub.uni-muenchen.de:3633
2020-03-02T14:33:15Z
oai:mpra.ub.uni-muenchen.de:3963
2019-09-28T05:14:26Z
7374617475733D756E707562
7375626A656374733D47:4730
7375626A656374733D43:4332:433232
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3963/
Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation
Ghorbel, Ahmed
Trabelsi, Abdelwahed
G0 - General
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
G15 - International Financial Markets
This paper conducts a comparative evaluation of the predictive performance of various
Value at Risk (VaR) models such as GARCH-normal, GARCH-t, EGARCH, TGARCH
models, variance-covariance method, historical simulation and filtred Historical
Simulation, EVT and conditional EVT methods. Special emphasis is paid on two
methodologies related to the Extreme Value Theory (EVT): The Peaks over Threshold
(POT) and the Block Maxima (BM). Both estimation techniques are based on limits results
for the excess distribution over high thresholds and block maxima, respectively. We apply
both unconditional and conditional EVT models to management of extreme market risks in
stock markets. They are applied on daily returns of the Tunisian stock exchange (BVMT)
and CAC 40 indexes with the intension to compare the performance of various estimation
methods on markets with different capitalization and trading practices. The sample extends
over the period July 29, 1994 to December 30, 2005. We use a rolling windows of
approximately four years (n= 1000 days). The sub-period from July, 1998 for BVMT
(from August 4, 1998 for CAC 40) has been reserved for backtesting purposes. The results
we report demonstrate that conditional POT-EVT method produces the most accurate
forecasts of extreme losses both for standard and more extreme VaR quantiles. The
conditional block maxima EVT method is less accurate.
2007-03-31
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3963/1/MPRA_paper_3963.pdf
Ghorbel, Ahmed and Trabelsi, Abdelwahed (2007): Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation.
en
oai:mpra.ub.uni-muenchen.de:4054
2019-09-29T01:27:23Z
7374617475733D756E707562
7375626A656374733D48:4832
7375626A656374733D4F:4F31
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74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4054/
Taking the Next Step - Implementing a Currency Transaction Development Levy
Kapoor, Sony
Hillman, David
Spratt, Stephen
H2 - Taxation, Subsidies, and Revenue
O1 - Economic Development
G15 - International Financial Markets
As we approach the half-way point for the achievement of many of the Millennium
Development Goals (MDGs) the spotlight is shining ever more intently on the
urgent need for new sources of revenue to pay for them. With the first international
development duty launched, in the form of the ‘pilot’ solidarity levy on air travel, the
momentum needs to continue to the implementation in quick succession of a second
such initiative to provide another long term predictable source of additional finance.
Innovation is required not just in financing but also in delivery. UNITAID’s mission is to
transform a situation of high cost drugs for the treatment of the few to low cost drugs
for the care of the many. In so doing its potential value is exponentially greater than a
simple addition of extra revenue. The choice of how and where the next new stream of
finance is spent also needs to be to be similarly strategic.
The Core Group1 Governments rightly pride themselves on an international development
policy that has, as one of its pillars, the tackling of global inequality which has risen
rapidly in the latest phase of globalisation. For example President Chirac opened the
Paris conference held in February 2006 in Paris stating that ‘despite the continuous
increase in global wealth, a third of humankind still lives on less than a euro a day’, and that ‘…globalisation, far from bridging the (poverty) gap, is widening it even further’.
In this report, we offer some suggestions for tackling global inequality through concrete
proposals for both raising substantial new revenue equitably and spending it in ways
that strategically target the ‘weak spots’ in the international development effort.
The financial services industry has been one of the biggest beneficiaries of globalisation.
Annual turnover in the global market for currencies, has, for instance, expanded from
about $4 trillion in 1973 to $40 trillion in the mid 1980s to more than $450 trillion now – a more than 100 fold increase.2 Profits at financial services firms are also at a record high with the top two most profitable banks, Citibank and HSBC, posting more than $40 billion of profits between them in 2005 alone.
At the same time as industries such as airlines and financial services have benefited
from globalisation, populations in many of the poorest countries, especially those in sub-
Saharan Africa, have been left behind – or worse, harmed. Average life expectancy in
these countries is in fact down from 50 years in 1990 to 45 years now, just over half the
almost 80-year life expectancy in countries such as Norway. The health, education and
productivity problems caused by a lack of access to basics such as clean drinking water
and sanitation facilities, the added decimation wrought by global pandemics such as
HIV/AIDS on the ability of the populations and systems in poor countries to cope, and
the increased vulnerability linked to climate change, all threaten to undermine and, in
fact, roll back the slow progress that has been made to date towards meeting the MDGs.
In Section 2 we demonstrate in some detail how, by introducing a very small levy of
less than a hundredth of one per cent on currency transactions, many countries can
unilaterally generate substantial resources for development from those who can most
afford to pay. Such a levy is simple and inexpensive to apply in this age of electronic
transfers. Whilst this proposal is specific to the currency market, it can be generalised
to apply to other financial markets many of which already pay some form of a levy.
The possible uses for this revenue that we propose in Section 4 have been shaped
by the need to lever maximum results from the resources generated. The three
potential areas for immediate financing that we have identified would generate
positive additional outcomes towards the achievement of several seemingly unrelated
development goals.
First, provision of clean water and sanitation, as it is a
foundation stone that underlies the ability to make meaningful progress with the vast
majority of the MDGs. Second, providing human resources for health, because
without sufficient trained health workers, medicines and infrastructure are simply not
enough on their own to contain the raging pandemics of HIV/AIDS, TB and malaria.
Third, providing a long term predictable source of funds to an expanded UN
Central Emergency Response Fund, to create a more robust response to the growing
threat of natural disasters and humanitarian emergencies.
2007-02
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4054/1/MPRA_paper_4054.pdf
Kapoor, Sony and Hillman, David and Spratt, Stephen (2007): Taking the Next Step - Implementing a Currency Transaction Development Levy.
en
oai:mpra.ub.uni-muenchen.de:4113
2019-09-26T20:36:12Z
7374617475733D756E707562
7375626A656374733D47:4731:473135
7375626A656374733D46:4634
7375626A656374733D45:4532:453231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4113/
"Why Have Interest Rates Been So Low?"
Tatom, John
G15 - International Financial Markets
F4 - Macroeconomic Aspects of International Trade and Finance
E21 - Consumption ; Saving ; Wealth
This paper looks at interest rate developments in the US and argues that long-term real interest rates are at lows not seen in the past 50 years. It explores competing hypotheses that there is a global saving glut, there is conundrum or that global capital formation has slowed. The dominant view is a glut of saving, especially in China and Asia, that is depressing global real interest rates and boosting growth. While private sector capital formation remains at historic strong levels in the US, the same is not the case abroad. Unfortunately strong saving in China had not resulted in a boom in saving in Asia or globally. A decline in global capital formation is the proximate cause of depressed real interest rates. This is not a cyclical problem that is likely to go away with a rebound in economic activity in Asia or Europe. The implications for economic growth are dismal, despite notable exceptions in China and the US.
2007-04-18
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4113/1/MPRA_paper_4113.pdf
Tatom, John (2007): "Why Have Interest Rates Been So Low?".
en
oai:mpra.ub.uni-muenchen.de:4304
2019-09-28T01:24:43Z
7374617475733D756E707562
7375626A656374733D47:4733:473332
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4304/
L’impact de l’admission à la cote sur les performances économiques des entreprises : Le cas du Nouveau Marché français
Stephanie, Serve
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G15 - International Financial Markets
This article investigates the change in operating performance of 115 firms that go public on the French New Market over the period 1996-2000. A significant decline in operating performance subsequent to the Initial Public Offering (IPO) is found. Companies appears to sustain sales growth but not capital expenditure after the IPO. Additionally, there is a significant negative relation between post-IPO change in operating performance and equity retention by the original ownership.
2004-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4304/1/MPRA_paper_4304.pdf
Stephanie, Serve (2004): L’impact de l’admission à la cote sur les performances économiques des entreprises : Le cas du Nouveau Marché français.
fr
oai:mpra.ub.uni-muenchen.de:4317
2019-09-27T13:17:05Z
7374617475733D756E707562
7375626A656374733D45:4535
7375626A656374733D47:4731:473135
7375626A656374733D4F:4F31
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4317/
Resilience of Microfinance Institutions to National Macroeconomic Events: An Econometric Analysis of MFI asset quality
Gonzalez, Adrian
E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit
G15 - International Financial Markets
O1 - Economic Development
After controlling for MFI and country characteristics, we find no evidence suggesting a strong (in magnitude) and statistically significant relationship between changes in GNI per capita (GROWTH) and four indicators of MFI portfolio risk: quality at Risk over 30 Days (PAR-30), Portfolio at Risk over 90 Days (PAR-90), Loan loss Rate (LLR), and Write-off Ratio (WOR). We test the robustness of the models with different specifications that confirm the general result and test for different impact from growth rates according to average loan sizes disbursed by MFIs. These tests suggest that microfinance portfolios have high resilience to economic shocks. Specifically, we found only a significant relationship between growth and PAR-30. We also control for other explanatory variables like size, age, average loan size, and productivity.
2007-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4317/1/MPRA_paper_4317.pdf
Gonzalez, Adrian (2007): Resilience of Microfinance Institutions to National Macroeconomic Events: An Econometric Analysis of MFI asset quality.
en
oai:mpra.ub.uni-muenchen.de:4714
2019-10-25T18:06:48Z
oai:mpra.ub.uni-muenchen.de:4795
2019-10-30T05:10:42Z
oai:mpra.ub.uni-muenchen.de:5099
2019-10-02T20:28:10Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5099/
Who Leads Financial Markets?
Weber, Enzo
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G15 - International Financial Markets
The present paper embarks on an analysis of interactions between the US and Euroland in the capital, foreign exchange, money and stock markets from 1994 until 2006. Estimating multivariate EGARCH processes for the structural financial innovations determines causality-in-variance effects and provides a solution to the simultaneity problem of identifying the contemporaneous impacts between the daily variables. Structural mean equations can therefore give answers to the question of financial markets leadership: Generally speaking, the US effects on Europe still dominate, but the special econometric methodology is able to uncover otherwise neglected spillovers in the reverse direction.
2007-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5099/1/MPRA_paper_5099.pdf
Weber, Enzo (2007): Who Leads Financial Markets?
en
oai:mpra.ub.uni-muenchen.de:5101
2019-10-01T22:14:55Z
7374617475733D756E707562
7375626A656374733D47:4732:473231
7375626A656374733D45:4535:453531
7375626A656374733D43:4333:433332
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5101/
Larger crises cost more: impact of banking sector instability on output growth
Serwa, Dobromił
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
E51 - Money Supply ; Credit ; Money Multipliers
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G15 - International Financial Markets
We propose a method for calculating the macroeconomic costs of banking crises that controls for the downward impact of recessions on banking activity. In contrast to earlier research, we estimate the cost of crises based on the size of banking crises. The extent of a crisis is measured using banking sector aggregates. The results, based on our method and data from over 100 banking crises, suggest that the size of a crisis matters for economic growth. Lower credit, deposit and money growth during crises cause GDP growth to decline.
2007
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5101/1/MPRA_paper_5101.pdf
Serwa, Dobromił (2007): Larger crises cost more: impact of banking sector instability on output growth.
en
oai:mpra.ub.uni-muenchen.de:5274
2019-09-27T23:19:25Z
7374617475733D707562
7375626A656374733D47:4731:473135
7375626A656374733D46:4633:463330
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5274/
The US dollar, the euro, and the yen: An evaluation of their present and future status as international currencies
Beckmann, Rainer
Born, Jürgen
Kösters, Wim
G15 - International Financial Markets
F30 - General
The process of European integration and especially the introduction of the euro as the single currency for up to now 12 member countries of the EU in 1999 may alter the existing clear currency hierarchy. The euro area is comparable in size to the US with respect to GDP and even exceeds the US regarding the share in world trade. Thus questions arise of whether the international monetary system turns out to be bipolar in the long run or whether the yen can also play its part.
It turns out that real activity, size and sophistication of financial markets, monetary and financial stability and inertia are the most prominent characteristics making a currency to be preferred on a world-wide level.
We thus conclude that the integration and the development of European financial markets are of special importance for a stronger international role of the dollar, but that the historical experience of only gradually changing supremacy of international currencies still applies.
2001
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5274/1/MPRA_paper_5274.pdf
Beckmann, Rainer and Born, Jürgen and Kösters, Wim (2001): The US dollar, the euro, and the yen: An evaluation of their present and future status as international currencies. Published in: IEW Diskussionsbeiträge No. 38 (2001)
en
oai:mpra.ub.uni-muenchen.de:5303
2019-09-26T16:11:12Z
7374617475733D756E707562
7375626A656374733D43:4334:433430
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5303/
Martingales, the efficient market hypothesis, and spurious stylized facts
McCauley, Joseph L.
Bassler, Kevin E.
Gunaratne, Gemunu h.
C40 - General
G15 - International Financial Markets
The condition for stationary increments, not scaling,
detemines long time pair autocorrelations. An incorrect
assumption of stationary increments generates spurious
stylized facts, fat tails and a Hurst exponent Hs=1/2, when
the increments are nonstationary, as they are in FX markets.
The nonstationarity arises from systematic uneveness in
noise traders’ behavior. Spurious results arise
mathematically from using a log increment with a ‘sliding
window’. We explain why a hard to beat market demands
martingale dynamics , and martingales with nonlinear
variance generate nonstationary increments. The
nonstationarity is exhibited directly for Euro/Dollar FX
data. We observe that the Hurst exponent Hs generated by
the using the sliding window technique on a time series
plays the same role as does Mandelbrot’s Joseph exponent.
Finally, Mandelbrot originally assumed that the ‘badly
behaved second moment of cotton returns is due to fat tails,
but that nonconvergent behavior is instead direct evidence
for nonstationary increments. Summarizing, the evidence for
scaling and fat tails as the basis for econophysics and
financial economics is provided neither by FX markets nor
by cotton price data.
2007-10-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5303/1/MPRA_paper_5303.pdf
McCauley, Joseph L. and Bassler, Kevin E. and Gunaratne, Gemunu h. (2007): Martingales, the efficient market hypothesis, and spurious stylized facts.
en
oai:mpra.ub.uni-muenchen.de:5484
2019-09-27T11:18:12Z
7374617475733D756E707562
7375626A656374733D46:4633:463334
7375626A656374733D47:4731:473135
7375626A656374733D46:4634:463431
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5484/
Distributional Effects of Boom-Bust Cycles in Developing Countries with Financial Frictions
Aysan, Ahmet Faruk
F34 - International Lending and Debt Problems
G15 - International Financial Markets
F41 - Open Economy Macroeconomics
This paper sheds light on the distributional implications of the exchange rate based stabilizations with financial imperfections when a country is populated by heterogeneous agents with respect to their source of income. This paper shows that boom-bust cycles in developing countries lead to income redistribution from tradable to nontradable sectors. Since the share of tradable sectors in aggregate GDP increases above its usual share with the devaluation of the currency, the individuals in tradable sectors pay more tax than what they receive as capital inflow in the expansion phase of the economy. The opposite holds for the individuals in nontradable sectors who gain more from the capital inflow as compared to what they lose from taxation
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5484/1/MPRA_paper_5484.pdf
Aysan, Ahmet Faruk (2006): Distributional Effects of Boom-Bust Cycles in Developing Countries with Financial Frictions.
en
oai:mpra.ub.uni-muenchen.de:5494
2019-09-26T16:35:23Z
7374617475733D756E707562
7375626A656374733D47:4731:473135
7375626A656374733D47:4732:473230
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5494/
Concentration, Competition, Efficiency and Profitability of the Turkish Banking Sector in the Post-Crises Period
Abbasoğlu, Osman Furkan
Aysan, Ahmet Faruk
Gunes, Ali
G15 - International Financial Markets
G20 - General
After 2001 crisis, the macroeconomic environment led to important changes in Turkish banking sector which has experienced a process of concentration by involving in merger and acquisition activities and liquidation of some insolvent banks. Using the data from the detailed balance sheets of the banks that operated in the years from 2001 to 2005, we examine the degree of concentration and degree of competition in the market by applying Panzar and Rosse’s approach. We also explore the existence of relationship between efficiency and profitability of the banks taking into account the internationalization of banking. Our results do not suggest the existence of relationship between concentration and competition. There is also no robust relationship between efficiency and profitability.
2007
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5494/1/MPRA_paper_5494.pdf
Abbasoğlu, Osman Furkan and Aysan, Ahmet Faruk and Gunes, Ali (2007): Concentration, Competition, Efficiency and Profitability of the Turkish Banking Sector in the Post-Crises Period.
en
oai:mpra.ub.uni-muenchen.de:5787
2019-09-28T10:41:51Z
7374617475733D756E707562
7375626A656374733D47:4731:473132
7375626A656374733D46:4633:463330
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5787/
Time-varying global and local sources of risk in Russian stock market
Saleem, Kashif
Vaihekoski, Mika
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
F30 - General
G15 - International Financial Markets
In this paper we study international asset pricing models and pricing of global and local sources of risk in the Russian stock market using weekly data from 1999 to 2006. In our empirical specification, we utilize and extend the multivariate GARCH-M framework of De Santis and Gérard (1998), by allowing conditional local influence as well. Similar to them we find global risk to be time-varying. Currency risk also found to be priced and highly time varying in the Russian market. Moreover, our results suggest that the Russian market is partially segmented and local risk is also priced in the market. The model also implies that the biggest impact on the US market risk premium is coming from the world risk component whereas the Russian risk premium is on average caused mostly by the local and currency risk components.
2007-09-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5787/2/MPRA_paper_5787.pdf
Saleem, Kashif and Vaihekoski, Mika (2007): Time-varying global and local sources of risk in Russian stock market.
en
oai:mpra.ub.uni-muenchen.de:5958
2019-09-26T22:02:54Z
7374617475733D756E707562
7375626A656374733D43:4335:433533
7375626A656374733D43:4335:433532
7375626A656374733D47:4731:473135
7375626A656374733D43:4332:433232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5958/
Spill Over Effects of Futures Contracts Initiation on the Cash Market: A Comparative Analysis
Karathanassis, George
Sogiakas, Vasilios
C53 - Forecasting and Prediction Methods ; Simulation Methods
C52 - Model Evaluation, Validation, and Selection
G15 - International Financial Markets
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
This paper investigates possible spill over effects on the Spot Market due to the initiation of Futures contracts in three different financial markets. According to many analysts there still exists a puzzle regarding the stabilization or destabilization effects of futures contracts. Although the speculative forces (uninformed investors) tend to destabilize the market, rational hedging strategies and the transition of risk allow for stabilization shift. In order to investigate this issue, many researchers during the last decade, have utilized the GARCH framework enriched to capture many stylized financial features, such as the asymmetric response to news and leptokurtosis. However, in this paper the GARCH framework is extended to allow for skewness in the distribution of returns and to examine the timing of possible structural changes, while the conditional mean of the process is adjusted to account for time-varying risk premia and for the day of the week effects decomposition. Furthermore, the distinguishing feature of this paper is the SWARCH econometric model, which enables a dynamic regime shifting through a Markov Chain transition matrix. According to the empirical findings for the UK, Spanish and Greek Capital markets, there exist a significant stabilization effect either in the long run or in the short run, which is negatively associated with the level of efficiency and completeness of these capital markets.
2007-11-26
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5958/1/MPRA_paper_5958.pdf
Karathanassis, George and Sogiakas, Vasilios (2007): Spill Over Effects of Futures Contracts Initiation on the Cash Market: A Comparative Analysis.
en
oai:mpra.ub.uni-muenchen.de:6407
2019-09-27T21:26:54Z
7374617475733D696E7072657373
7375626A656374733D47:4731:473131
7375626A656374733D47:4731:473135
7375626A656374733D47:4733:473332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6407/
Risk and Return on Uganda's stock exchange.
Mayanja, Abubaker B.
Legesi, Kenneth
G11 - Portfolio Choice ; Investment Decisions
G15 - International Financial Markets
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
Using data from 2003-2007, we calculate the systematic risk and cost of equity for firms listed on USE; Preliminary estimates show that nominal Cost of equity capital reduced over time from 63.24 percent (January 2005 to January 2006) to 18% (February 2006 to March 2007). The efficient frontier shifted below in the period considered to suggest a general lowering of expected returns on portfolios, re-affirming the notion that stock markets lead to reduction in the cost of funds; and thus a viable option to bank finance that at the moment is considered prohibitive with annual percentage rates of between 20-25.
2007-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6407/1/MPRA_paper_6407.pdf
Mayanja, Abubaker B. and Legesi, Kenneth (2007): Risk and Return on Uganda's stock exchange. Forthcoming in: Capital Markets Journal
en
oai:mpra.ub.uni-muenchen.de:6497
2019-09-26T14:00:38Z
7374617475733D756E707562
7375626A656374733D47:4731:473134
7375626A656374733D47:4731:473132
7375626A656374733D47:4731:473135
7375626A656374733D46:4633:463331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6497/
Investor Overconfidence and the Forward Discount Puzzle
Han, Bing
Hirshleifer, David
Wang, Tracy
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G15 - International Financial Markets
F31 - Foreign Exchange
This paper offers an explanation for the forward discount puzzle in foreign exchange markets based upon investor overconfidence. In our model, overconfident individuals overreact to their information about future inflation differential. The spot and the forward exchange rates differentially reflect such overreaction; as a result, the forward discount forecasts reversal in the spot rate.
With plausible parameter values, the model explains the magnitude of the forward discount puzzle and stylized facts about how the forward discount bias varies with time horizon and time-series versus cross-sectional test method. Furthermore, the model generates new empirical predictions about the relation between the forward discount bias to foreign exchange trading volume, exchange rate volatility and predictability, as well as the degree of violation of the relative Purchasing Power Parity.
2005-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6497/1/MPRA_paper_6497.pdf
Han, Bing and Hirshleifer, David and Wang, Tracy (2005): Investor Overconfidence and the Forward Discount Puzzle.
en
oai:mpra.ub.uni-muenchen.de:6512
2019-09-28T08:43:05Z
7374617475733D756E707562
7375626A656374733D47:4731:473132
7375626A656374733D47:4731:473131
7375626A656374733D46:4633:463330
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6512/
Fear of the Unknown: Familiarity and Economic Decisions
Cao, Henry
Han, Bing
Hirshleifer, David
Zhang, Harold
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G11 - Portfolio Choice ; Investment Decisions
F30 - General
G15 - International Financial Markets
Evidence indicates that people fear change and the unknown. We offer a model of familiarity bias in which individuals focus on adverse scenarios in evaluating defections from the status quo. The model explains the endowment effect, portfolio underdiversification, home
and local biases. Equilibrium stock prices reflect an unfamiliarity premium. In an international setting, our model implies that the absolute pricing error of the standard CAPM is positively correlated with the amount of home bias. It also predicts that a modified CAPM holds wherein the market portfolio is replaced with a portfolio of the stock holdings of investors not subject to familiarity bias.
2007
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6512/1/MPRA_paper_6512.pdf
Cao, Henry and Han, Bing and Hirshleifer, David and Zhang, Harold (2007): Fear of the Unknown: Familiarity and Economic Decisions.
en
oai:mpra.ub.uni-muenchen.de:6526
2019-09-28T16:29:40Z
7374617475733D756E707562
7375626A656374733D47:4731:473134
7375626A656374733D47:4731:473135
7375626A656374733D45:4534:453434
7375626A656374733D45:4534:453431
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6526/
The Short-Run Monetary Equilibrium with Liquidity Constraints
Mierzejewski, Fernando
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G15 - International Financial Markets
E44 - Financial Markets and the Macroeconomy
E41 - Demand for Money
A theoretical framework is presented to characterise the money demand in deregulated
markets. The main departure from the perfect capital markets setting is that, instead
of assuming that investors can lend and borrow any amount of capital at a single (and
exogenously determined) interest rate, a bounded money supply is considered. The
problem of capital allocation can then be formulated in actuarial terms, in such a way
that the optimal liquidity demand can be expressed as a Value-at-Risk. Within this
framework, the monetary equilibrium determines the rate at which a unit of capital is
exchange by a unit of risk, or, in other words, it determines the market price of risk. In
a Gaussian setting, such a price is expressed as a mean-to-volatility ratio and can then
be regarded as an alternative measure to the Sharpe ratio. Finally, since the model
depends on observable variables, it can be verified on the grounds of historical data.
The Black Monday (October 1987) and the Dot-Com Bubble (April 2000) episodes can
be described (if not explained) on this base.
2007-12-31
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6526/1/MPRA_paper_6526.pdf
Mierzejewski, Fernando (2007): The Short-Run Monetary Equilibrium with Liquidity Constraints.
en
oai:mpra.ub.uni-muenchen.de:6609
2019-09-27T22:07:11Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6609/
Identifying the evolution of stock markets stochastic structure after the euro
Caiado, Jorge
Crato, Nuno
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G15 - International Financial Markets
Previous studies have investigated the comovements of international equity markets by using correlation, cointegration, common factor analysis, and other approaches. In this paper, we investigate the stochastic structure of major euro and non-euro area stock market series from 1994 to 2006, by using cluster analysis techniques for time series. We use an interpolated-periodogram based metric for level and squared returns in order to compute distances between the stock markets. This method captures the stochastic dependence structure of the time series and solves the shortcoming of unequal sample sizes found for different countries. The clusters of countries are formed by the dendrogram and the principal coordinates associated with the sample spectrum for both the series of returns and volatilities. The empirical results suggest that the cross-country groups have become considerably more homogeneous with the introduction of the euro as an electronic currency. For reference, we also explore the pairwise correlations among the series.
2008-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6609/1/MPRA_paper_6609.pdf
Caiado, Jorge and Crato, Nuno (2008): Identifying the evolution of stock markets stochastic structure after the euro.
en
oai:mpra.ub.uni-muenchen.de:6751
2019-09-29T01:53:01Z
7374617475733D707562
7375626A656374733D46:4631:463135
7375626A656374733D47:4731:473135
7375626A656374733D46:4633:463336
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6751/
Integration of Financial Markets in SAARC Countries: Evidence Based on Uncovered Interest rate Parity Hypothesis
Khan, Muhammad Arshad
Sajid, Muhammad Zubair
F15 - Economic Integration
G15 - International Financial Markets
F36 - Financial Aspects of Economic Integration
This paper examines interest rate linkages among four SAARC countries vis-a-vis United State using monthly data over the period 1990M1 to 2006M3. The emperical findings suggest the existance of single cointegrating vector between SAARC countries interest rates and US interest rate. The result further suggest that except India, the coefficient restriction for Pakistan, Sri Lanka and Bangladesh are met segnificantly. However, in the case of India, the coefficient associated with foreign interest rate is far from the predicted value of UIP.The adjustment coefficient indicate no two ways causility. We also impemented the cointegration test within the SAARC countries. The test results suggest the existance of the one cointegrating vector.the existance of one cointegrating vector indicates the low degree of money markets integration in the region. Moreover, in the long run except Indian interest rate, other interest rates exerted positive impact on Pak-interest rate. Short Run Error Correction model is also estimated. the results suggest that Pakistani, Indian and Sri Lankan interest rates act as equlibrating factors in the long run, while no dynamic interaction between Pak-interst rate and Bangladesh-interest rate have been seen so far.
2007
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6751/1/MPRA_paper_6751.pdf
Khan, Muhammad Arshad and Sajid, Muhammad Zubair (2007): Integration of Financial Markets in SAARC Countries: Evidence Based on Uncovered Interest rate Parity Hypothesis. Published in: Kashmir Economic Review , Vol. 16, No. 1 (2007): pp. 1-16.
en
oai:mpra.ub.uni-muenchen.de:6958
2019-09-27T16:33:16Z
7374617475733D756E707562
7375626A656374733D46:4630:463030
7375626A656374733D46:4633:463337
7375626A656374733D47:4731
7375626A656374733D43:4335:433533
7375626A656374733D45:4534:453432
7375626A656374733D47:4731:473135
7375626A656374733D45:4534:453434
7375626A656374733D46:4633:463331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6958/
MODELLING THE WORLD EXCHANGE RATES:DYNAMICS, VOLATILITY AND FORECASTING
Nwaobi, Godwin
F00 - General
F37 - International Finance Forecasting and Simulation: Models and Applications
G1 - General Financial Markets
C53 - Forecasting and Prediction Methods ; Simulation Methods
E42 - Monetary Systems ; Standards ; Regimes ; Government and the Monetary System ; Payment Systems
G15 - International Financial Markets
E44 - Financial Markets and the Macroeconomy
F31 - Foreign Exchange
Indeed, the specification of equilibrium in the world economy depends on the exchange rate regime and thus, the early contributions to the postwar literature on exchange rate economics are to a large extent concerened with the role of speculation in foreign exchange markets. However, the world has known several exchange rate systems beginning with the fixed-gold standard, the adjustable-peg system, adjustable-parity system and the flexible exchange rate system. Yet, in 1997, when foreign exchange was deregulated, independent traders finally had access to the biggest trading market of the world; and these forex traders attempt to make money from the simultaneous buying and selling of foreign currencies. And within the forex market, many types of instruments can be used:futures market,spot market, and forward market.However, the degree of volatility tends to increase with the frequency with which observations are sampled and this can be seen clearly as one moves from monthly to daily observations on exchange rates. Thus the basic thrust of the paper is to analyse the forecasting accuracy of the full vector autoregressive(FVAR), mixed vector autoregressive(MVAR) and Bayesian vector autoregressive(BVAR) models of the selected currency pairs(based on the monetary/asset model of exchange rate determination).
2008-02-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6958/1/MPRA_paper_6958.pdf
Nwaobi, Godwin (2008): MODELLING THE WORLD EXCHANGE RATES:DYNAMICS, VOLATILITY AND FORECASTING.
en
oai:mpra.ub.uni-muenchen.de:7174
2019-09-29T19:03:30Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D47:4731:473135
7375626A656374733D46:4633:463331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/7174/
What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?
Vargas, Gregorio A.
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G15 - International Financial Markets
F31 - Foreign Exchange
This paper establishes the link of microstructure and macroeconomic factors to the time-varying conditional correlation of foreign exchange and excess equity returns. By using the proposed DCC model with exogenous variables, capital flows and interest rate differentials are shown to be significant factors in driving this conditional correlation. Furthermore, using this model it provides evidence of the dynamic behavior of global investors as they seek parity in equity returns between home and foreign markets to reduce exchange rate risks.
2008-02
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/7174/1/MPRA_paper_7174.pdf
Vargas, Gregorio A. (2008): What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?
en
oai:mpra.ub.uni-muenchen.de:7297
2019-09-26T21:16:24Z
7374617475733D707562
7375626A656374733D43:4333:433332
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/7297/
Stock Prices and Exchange Rates in the EU and the USA: Evidence of their Mutual Interactions
Stavarek, Daniel
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G15 - International Financial Markets
This paper investigates the nature of the causal relationships among stock prices and effective exchange rates in four old EU member countries (Austria, France, Germany, and the UK), four new EU member countries (Czech Republic, Hungary, Poland, and Slovakia), and in the United States. Both the long- and short-term causalities between these variables are explored using monthly data. The paper also endeavors to answer the question of whether the linkages between the analyzed economic variables are of similar intensity and direction in old and new EU member countries, and whether or how relationships have changed. The results show much stronger causality in countries with developed capital and foreign-exchange markets (i.e., old EU member countries and the United States). Evidence also suggests more powerful long- and short-term causal relations during the 1993-2003 period than during 1970-92. Causalities seem to be predominantly unidirectional, with the direction running from stock prices to exchange rates. Finally, we detected strong relations when applying the real effective exchange rate than the nominal effective exchange rate.
2004
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/7297/1/MPRA_paper_7297.pdf
Stavarek, Daniel (2004): Stock Prices and Exchange Rates in the EU and the USA: Evidence of their Mutual Interactions. Published in: Finance a úvěr - Czech Journal of Economics and Finance , Vol. 55, No. 3-4 (2005): pp. 141-161.
en
oai:mpra.ub.uni-muenchen.de:7298
2019-09-30T12:00:36Z
7374617475733D707562
7375626A656374733D47:4731:473135
7375626A656374733D46:4633:463331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/7298/
On Asymmetry of Exchange Rate Volatility in New EU Member and Candidate Countries
Stavarek, Daniel
G15 - International Financial Markets
F31 - Foreign Exchange
In this paper, we examine the exchange rate volatility in selected new EU Member States (Czech Republic, Hungary, Poland, Slovakia) and candidate countries (Croatia, Romania, Turkey) using TARCH model and daily data from the period May 2004 – December 2006. Besides the volatility estimation, the paper analyzes the asymmetric effects. The results suggest that some symptoms of asymmetry were found in all exchange rates except for CZK/EUR. However, the most distinct effects are evident in Slovakia and Turkey where the appreciation of the national currency and the appreciation-side deviation from the target exchange rate contribute significantly to the increase in the exchange rate volatility.
2007
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/7298/1/MPRA_paper_7298.pdf
Stavarek, Daniel (2007): On Asymmetry of Exchange Rate Volatility in New EU Member and Candidate Countries. Published in: International Journal of Economic Perspectives , Vol. 1, No. 2 (2007): pp. 74-82.
en
oai:mpra.ub.uni-muenchen.de:7654
2019-10-24T18:15:37Z
oai:mpra.ub.uni-muenchen.de:7673
2013-02-11T14:27:56Z
oai:mpra.ub.uni-muenchen.de:7804
2019-09-27T08:02:33Z
7374617475733D756E707562
7375626A656374733D47:4732:473231
7375626A656374733D45:4535:453531
7375626A656374733D43:4333:433332
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/7804/
Larger crises cost more: impact of banking sector instability on output growth
Serwa, Dobromił
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
E51 - Money Supply ; Credit ; Money Multipliers
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G15 - International Financial Markets
We propose a method for calculating the macroeconomic costs of banking crises that controls for the downward impact of recessions on banking activity. In contrast to earlier research, we estimate the cost of crises based on the size of banking crises. The extent of a crisis is measured using banking sector aggregates. The results, based on our method and data from over 100 banking crises, suggest that the size of a crisis matters for economic growth. Lower credit, deposit and money growth during crises cause GDP growth to decline.
2007
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/7804/1/MPRA_paper_7804.pdf
Serwa, Dobromił (2007): Larger crises cost more: impact of banking sector instability on output growth.
en
oai:mpra.ub.uni-muenchen.de:7824
2019-09-28T16:46:54Z
7374617475733D756E707562
7375626A656374733D43:4332:433233
7375626A656374733D47:4731:473135
7375626A656374733D46:4633:463331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/7824/
Purchasing Power Parity in South Asia: A Panel Data Approach
Noman, Abdullah
C23 - Panel Data Models ; Spatio-temporal Models
G15 - International Financial Markets
F31 - Foreign Exchange
The paper tests for PPP by investigating into the real exchange rates of seven South Asian countries. It employs two univariate unit root tests, namely, the ADF and the PP tests and two panel unit root tests, namely, the IPS and the CIPS tests. The univariate tests overwhelmingly fail to reject the unit root null. The IPS test also reinforces this result. The CIPS test that takes into account of cross section dependence produces mixed results. The findings, on the whole, fail to support stationarity of the South Asian real exchange rates and hence, PPP does not seem to be a valid proposition for the region.
2008-03-17
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/7824/1/MPRA_paper_7824.pdf
Noman, Abdullah (2008): Purchasing Power Parity in South Asia: A Panel Data Approach.
en
oai:mpra.ub.uni-muenchen.de:8027
2019-09-28T09:12:32Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D47:4731:473135
7375626A656374733D46:4633:463331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/8027/
What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?
Vargas, Gregorio A.
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G15 - International Financial Markets
F31 - Foreign Exchange
This paper establishes the link of microstructure and macroeconomic factors with the time-varying conditional correlation of foreign exchange and excess equity returns. By using the proposed DCC model with exogenous variables, capital flows and interest rate differentials are shown to be significant determinants of this correlation which is inclusive of the short-run variation of both asset returns. The results also provide evidence of the dynamic behavior of global investors as they seek parity in equity returns between home and foreign markets to reduce exchange rate risks.
2008-02
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/8027/1/MPRA_paper_8027.pdf
Vargas, Gregorio A. (2008): What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?
en
oai:mpra.ub.uni-muenchen.de:8220
2019-10-03T04:38:19Z
7374617475733D756E707562
7375626A656374733D47:4731:473135
7375626A656374733D46:4633:463331
7375626A656374733D46:4633:463336
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/8220/
Financial integration in emerging market economies
Pasricha, Gurnain
G15 - International Financial Markets
F31 - Foreign Exchange
F36 - Financial Aspects of Economic Integration
This paper analyzes de-facto integration in some Emerging Market Economies based on behavior of deviations from Covered Interest Parity in the last 10 years. A price-based measure of de-facto integration provides crucial information for answering policy questions related to impact of capital openness and of effectiveness of controls. An Asymmetric Self Exciting Threshold Autoregressive model is used to estimate bands of speculative inaction. The estimated bands follow the pattern expected, and reveal a rational market in the sense that deviations from parity are self correcting. The paper uses information from the estimated models to construct a new index of de-facto integration.
2008-04-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/8220/1/MPRA_paper_8220.pdf
Pasricha, Gurnain (2008): Financial integration in emerging market economies.
en
oai:mpra.ub.uni-muenchen.de:8296
2019-09-28T10:10:07Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D47:4731:473135
7375626A656374733D46:4633:463331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/8296/
Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times
Laakkonen, Helinä
Lanne, Markku
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G15 - International Financial Markets
F31 - Foreign Exchange
We study the impact of positive and negative macroeconomic US and European news announcements in different phases of the business cycle on the highfrequency volatility of the EUR/USD exchange rate. The results suggest that in general bad news increases volatility more than good news. The news effects also depend on the state of the economy: bad news increases volatility more in good times than in bad times, while there is no difference between the volatility effects of good news in bad and good times.
2008
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/8296/1/MPRA_paper_8296.pdf
Laakkonen, Helinä and Lanne, Markku (2008): Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times.
en
oai:mpra.ub.uni-muenchen.de:8902
2019-10-26T18:33:01Z
oai:mpra.ub.uni-muenchen.de:9029
2019-10-06T02:34:04Z
7374617475733D707562
7375626A656374733D46:4633:463332
7375626A656374733D47:4731:473135
7375626A656374733D45:4534:453434
7375626A656374733D46:4633:463336
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/9029/
The transmission of foreign financial crises to South Africa: a firm-level study
Boshoff, Willem H.
F32 - Current Account Adjustment ; Short-Term Capital Movements
G15 - International Financial Markets
E44 - Financial Markets and the Macroeconomy
F36 - Financial Aspects of Economic Integration
The process of financial integration has increased the exposure of South African financial markets to foreign financial crises. This paper contributes to the understanding of crisis transmission by evaluating several hypotheses that claim to explain how financial crises are transmitted to South African financial markets. The study
proceeds from a firm-level perspective, which it argues overcomes the potential loss of information when using aggregate economic data. Consequently, the different transmission hypotheses are evaluated for the East Asian, Russian and Argentinean crises using firm-level daily stock return data from the JSE Securities Exchange. A multivariate regression model, supplemented by sensitivity tests, forms the core of the empirical methodology.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/9029/1/MPRA_paper_9029.pdf
Boshoff, Willem H. (2006): The transmission of foreign financial crises to South Africa: a firm-level study. Published in: Studies in Economics and Econometrics , Vol. 30, No. 2 (2006): pp. 61-85.
en
oai:mpra.ub.uni-muenchen.de:9092
2019-09-27T22:48:28Z
7374617475733D707562
7375626A656374733D44:4435:443533
7375626A656374733D47:4731:473135
7375626A656374733D45:4536
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/9092/
Yükselen Piyasalarda Finansal Kriz
TOPRAK, METIN
D53 - Financial Markets
G15 - International Financial Markets
E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
The 1980s witnessed the failure of the planned economic development models and absolute victory of the free trade thought. However, the context of the 1990s also included money and capital free movements besides foreign exchange and banking crises. The effective demand crisis of 1929, social expenditure and balance of payment crises of the 1970s have developed the corrective characteristics of free trade or capitalist model. In the recent 20 years, not only economic but also political and institutional factors have been embedded into models to understand the nature of social life. Macro economic management, political regime, openness, forex regime, and competition and dynamism of private sector need to be handled altogether. Many other developed and developing countries also experienced the crisis process which Turkey has suffered so much. European monetary system crisis in 1990-92 (Britain, France, Portugal, and Sweden), Mexican crisis in 1994, Asian crisis in 1997, Russian and Brazilian crises in 1998 and finally the financial and economic crisis of Turkey between 2000 and2001 are the examples of the new generation crises. This article compares the nature and logic of recent economic fluctuations.
2001
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/9092/1/MPRA_paper_9092.pdf
TOPRAK, METIN (2001): Yükselen Piyasalarda Finansal Kriz. Published in: yeni turkiye No. 42 (2001): pp. 854-889.
tr
oai:mpra.ub.uni-muenchen.de:9098
2019-09-28T04:38:36Z
7374617475733D756E707562
7375626A656374733D47:4731:473135
7375626A656374733D47:4733:473332
7375626A656374733D47:4732:473231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/9098/
Assessment of Economic Capital: An Equity Market approach
Bandyopadhyay, Arindam
Saha, Asish
G15 - International Financial Markets
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
Assessment of individual bank’s need for economic capital will enable them to understand their actual solvency position for internal management of capital and evaluating the larger strategic issues like expanding or contracting its risk appetite to generate returns. This paper is an attempt to empirically demonstrate the process of estimating bank's mark to market measure of economic capital on an integrated basis. Such measure will help the bank as well as the regulator to understand the bank's solvency position on a regular basis. The top down approach followed in this paper will also assist the bank to measure Risk Adjusted Return on its entire business and examine its economic value addition on an integrated basis.
2008-02-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/9098/1/MPRA_paper_9098.pdf
Bandyopadhyay, Arindam and Saha, Asish (2008): Assessment of Economic Capital: An Equity Market approach.
en
oai:mpra.ub.uni-muenchen.de:9227
2018-01-06T04:52:35Z
oai:mpra.ub.uni-muenchen.de:9242
2019-09-27T10:31:02Z
7374617475733D756E707562
7375626A656374733D45:4535:453538
7375626A656374733D45:4533:453331
7375626A656374733D45:4534:453432
7375626A656374733D47:4731:473135
7375626A656374733D45:4534:453434
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/9242/
Efectos de la Globalizacion sobre la Inflacion y la politica Monetaria Domestica
Adamcik, Santiago
E58 - Central Banks and Their Policies
E31 - Price Level ; Inflation ; Deflation
E42 - Monetary Systems ; Standards ; Regimes ; Government and the Monetary System ; Payment Systems
G15 - International Financial Markets
E44 - Financial Markets and the Macroeconomy
This paper discusses that many of the exaggerated claims that globalization has been an important element in the reduction of the inflation in the recent years do not come true.
The globalization has, however, the potential to contribute to the stabilization of economies and this has been crucial element in promoting the growth of economies.
The paper, therefore, analyzes four issues on the impact of the globalization upon the mechanisms of monetary transmission and arrives at the following findings. ( 1 ) Globalization did not reduce the sensibility of inflation to the domestic production gaps and in consequence to the effectiveness of the monetary policy,. ( 2 ) Gaps in the product of external economies do not play a more important role than in other times,.( 3 ) Domestic monetary policy maintains still the control on the domestic interest rates and that way pursuing the stabilization of inflation and the product,.( 4 ) Globalization affects, by means of different forms, the mechanisms of monetary transmission
2008-02-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/9242/1/MPRA_paper_9242.pdf
Adamcik, Santiago (2008): Efectos de la Globalizacion sobre la Inflacion y la politica Monetaria Domestica.
es
oai:mpra.ub.uni-muenchen.de:9362
2019-10-25T06:09:13Z
oai:mpra.ub.uni-muenchen.de:9371
2019-10-23T05:01:04Z
oai:mpra.ub.uni-muenchen.de:9463
2019-09-27T10:02:04Z
7374617475733D756E707562
7375626A656374733D47:4731:473131
7375626A656374733D45:4534:453434
7375626A656374733D47:4732:473234
7375626A656374733D47:4731:473133
7375626A656374733D4D:4D30
7375626A656374733D44:4435:443533
7375626A656374733D47:4731:473135
7375626A656374733D46:4633:463331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/9463/
The Economics of Financial Derivative Instruments
NWAOBI, GODWIN C
G11 - Portfolio Choice ; Investment Decisions
E44 - Financial Markets and the Macroeconomy
G24 - Investment Banking ; Venture Capital ; Brokerage ; Ratings and Ratings Agencies
G13 - Contingent Pricing ; Futures Pricing
M0 - General
D53 - Financial Markets
G15 - International Financial Markets
F31 - Foreign Exchange
The phenomenal growth of derivative markets across the globe indicates their impact on the global financial scene. As the securities markets continue to evolve, market participants, investors and regulators are looking at different way in which the risk management and hedging needs of investors may be effectively met through the derivative instruments. However, it is equally recognised that derivative markets present market participants and regulators with different and complex regulatory(control) issues, which must be adequately addressed if derivative markets are to gain and maitain investor confidence. And yet, more and more companies are using(or being forced to use) futures and derivatives to stay competitive in a fast-changing world characterised by both unprecedented opportunities and unprecedented risks. Thus, the thrust of this paper is to provide a detailed study of the manner in which the market works and how the knowledge can be used to make profits and avoid losses in a competitive economy setting.
2008-07-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/9463/1/MPRA_paper_9463.pdf
NWAOBI, GODWIN C (2008): The Economics of Financial Derivative Instruments.
en
oai:mpra.ub.uni-muenchen.de:9532
2019-09-27T07:40:34Z
7374617475733D756E707562
7375626A656374733D47:4731:473134
7375626A656374733D47:4731:473135
7375626A656374733D43:4332:433232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/9532/
Analysis of HF data on the WSE in the context of EMH
Strawinski, Pawel
Slepaczuk, Robert
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G15 - International Financial Markets
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
This paper focuses on one of the heavily tested issue in the contemporary finance, i.e. efficient market hypothesis (EMH). However, we try to find the answers to some fundamental questions basing on the analysis of high frequency (HF) data from the Warsaw Stock Exchange (WSE). We estimate model on daily and 5-minute data for WIG20 index futures trying to verify daily and hourly effects. After implementing the base methodology for such testing, additionally we take into account the results of regression with weights, i.e. robust regression is used that assigns the higher weight the better behaved observations. Our results indicate that we observe the day of the week effect and hour of the day effect in polish data. What is more important is the existence of strong open jump effect for all days except Wednesday and positive day effect for Monday. Considering the hour of the day effect we observe positive, persistent and significant open jump effect and the end of session effect. Aforementioned results confirm our initial hypothesis that Polish stock market is not efficient in the information sense.
2008-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/9532/1/MPRA_paper_9532.pdf
Strawinski, Pawel and Slepaczuk, Robert (2008): Analysis of HF data on the WSE in the context of EMH.
en
oai:mpra.ub.uni-muenchen.de:9679
2019-09-29T03:50:21Z
7374617475733D707562
7375626A656374733D47:4731:473132
7375626A656374733D47:4731:473135
7375626A656374733D46:4633:463331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/9679/
The response of industry stock returns to market, exchange rate and interest rate risks
Hyde, Stuart J
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G15 - International Financial Markets
F31 - Foreign Exchange
This study investigates the sensitivity of stock returns at the industry level to market, exchange rate and interest rate shocks in the four major European economies: France, Germany, Italy and the UK. In addition to exposure to the market, significant levels of exposure to both exchange rate risk, in the four countries, and interest rate risk, in France and Germany, are identified. Further, responses to sources of risk are decomposed into components attributable to news about future dividends, real interest rates and excess returns. All three sources of risk contain significant information about future cash flows and excess returns.
2007
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/9679/1/MPRA_paper_9679.pdf
Hyde, Stuart J (2007): The response of industry stock returns to market, exchange rate and interest rate risks. Published in: Managerial Finance , Vol. 33, (2007): pp. 693-709.
en
oai:mpra.ub.uni-muenchen.de:9681
2019-09-27T00:28:25Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D46:4633
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/9681/
Correlation dynamics between Asia-Pacific, EU and US stock returns
Hyde, Stuart J
Bredin, Don P
Nguyen, Nghia
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
F3 - International Finance
G15 - International Financial Markets
This paper investigates the correlation dynamics in the equity markets of 13 Asia-Pacific countries, Europe and the US using the asymmetric dynamic conditional correlation GARCH model (AG-DCC-GARCH) introduced by Cappiello, Engle and Sheppard (2006). We find significant variation in correlation between markets through time. Stocks exhibit asymmetries in conditional correlations in addition to conditional volatility. Yet asymmetry is less apparent in less integrated markets. The Asian crisis acts as a structural break, with correlations increasing markedly between crisis countries during this period though the bear market in the early 2000s is a more significant event for correlations with developed markets. Our findings also provide further evidence consistent with increasing global market integration. The documented asymmetries and correlation dynamics have important implications for international portfolio diversification and asset allocation.
2007-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/9681/1/MPRA_paper_9681.pdf
Hyde, Stuart J and Bredin, Don P and Nguyen, Nghia (2007): Correlation dynamics between Asia-Pacific, EU and US stock returns.
en
oai:mpra.ub.uni-muenchen.de:9775
2019-09-27T00:27:52Z
7374617475733D756E707562
7375626A656374733D46:4633
7375626A656374733D47:4731:473135
7375626A656374733D46:4634:463431
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/9775/
The risk premium, exchange rate expectations, and the forward exchange rate: Estimates for the Yen-Dollar rate
Landon, Stuart
Smith, Constance
F3 - International Finance
G15 - International Financial Markets
F41 - Open Economy Macroeconomics
The forward rate is often used as the market's prediction of the future spot exchange rate even though the hypothesis that the forward rate is an unbiased predictor of the future spot rate has been rejected in a large number of empirical studies using data for different countries and time periods. The rejection of this hypothesis could occur because market behaviour is inconsistent with rational expectations or because of the existence of a risk premium. Existing studies test for one or the other, but not both, of these factors. In this paper, equations describing the forward premium and the change in the exchange rate are estimated jointly, and tests of both the rational expectations and no risk premium hypotheses are conducted. The empirical estimates, obtained using quarterly data for the yen-dollar exchange rate, reject the rational expectations hypothesis and suggest that there exists a time-varying risk premium.
1999-04-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/9775/1/MPRA_paper_9775.pdf
Landon, Stuart and Smith, Constance (1999): The risk premium, exchange rate expectations, and the forward exchange rate: Estimates for the Yen-Dollar rate.
en
oai:mpra.ub.uni-muenchen.de:9826
2019-09-29T04:51:57Z
7374617475733D707562
7375626A656374733D45:4534:453431
7375626A656374733D47:4731:473138
7375626A656374733D45:4535:453532
7375626A656374733D47:4731:473135
7375626A656374733D45:4534:453434
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/9826/
An actuarial approach to short-run monetary equilibrium
Mierzejewski, Fernando
E41 - Demand for Money
G18 - Government Policy and Regulation
E52 - Monetary Policy
G15 - International Financial Markets
E44 - Financial Markets and the Macroeconomy
The extent to which the money supply affects the aggregate cash balance demanded
at a certain level of nominal income and interest rates is determined by the interest-rate-elasticity and stability of the money demand. An actuarial approach is adopted in this paper for dealing with investors facing liquidity constraints and maintaining different expectations about risks. Under such circumstances, a level of surplus exists which maximises expected value. Moreover, when the distorted probability principle is introduced, the optimal liquidity demand is expressed as a Value-at-Risk and the comonotonic dependence structure determines the amount of money demanded by the
economy. As a consequence, the more unstable the economy, the greater the interestrate-elasticity of the money demand. Moreover, for different parametric characterisation of risks, market parameters are expressed as the weighted average of sectorial or individual estimations, in such a way that multiple equilibria of the economy are possible.
2007-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/9826/1/MPRA_paper_9826.pdf
Mierzejewski, Fernando (2007): An actuarial approach to short-run monetary equilibrium. Published in: Proceedings of the 5th Actuarial and Financial Mathematics Day (2007): pp. 67-76.
en
oai:mpra.ub.uni-muenchen.de:9827
2019-09-26T08:14:06Z
7374617475733D756E707562
7375626A656374733D47:4731:473134
7375626A656374733D47:4731:473135
7375626A656374733D45:4534:453434
7375626A656374733D45:4534:453431
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/9827/
The cost of capital in markets with opaque intermediaries and the risk-structure of interest rates
Mierzejewski, Fernando
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G15 - International Financial Markets
E44 - Financial Markets and the Macroeconomy
E41 - Demand for Money
The demand for cash balances of financial intermediaries that establish contractual liabilities with credit-sensitive customers is characterised. As stated by Merton, the success of the business activities of such firms crucially depends on their credit quality, and hence, they are obliged to rely on deposit insurance and capital cushions in order to assure that their promised payments are free of default. Unlike the Merton’s approach, the optimal guaranteeing contract is formulated in actuarial terms in this paper, because in this way the model can be extended to consider the situation of firms that can only hedge up to a limited extent. Within this framework, the equilibrium in the market determines the rate at which a unit of capital is exchange by a unit of risk, or, in other words, it determines the market price of risk. Episodes of liquidity crises are meaningful in this theoretical setting.
2008-07-31
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/9827/2/MPRA_paper_9827.pdf
Mierzejewski, Fernando (2008): The cost of capital in markets with opaque intermediaries and the risk-structure of interest rates.
en
oai:mpra.ub.uni-muenchen.de:9995
2019-09-27T19:51:03Z
7374617475733D707562
7375626A656374733D47:4731:473135
7375626A656374733D45:4534:453434
7375626A656374733D44:4438:443832
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/9995/
Asia: A Perspective on the Subprime Crisis
Khor, Hoe Ee
Kee, Rui Xiong
G15 - International Financial Markets
E44 - Financial Markets and the Macroeconomy
D82 - Asymmetric and Private Information ; Mechanism Design
The authors, from the Monetary Authority of Singapore, examines the current crisis through the lens of the financial crisis that hit Asia in 1997. They discuss lessons that industrial countries can take from the Asian crisis and lessons Asian countries can learn from the subprime crisis. They also examine the reasons for Asia's resilience, so far, to the financial crisis.
2008-02-15
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/9995/1/MPRA_paper_9995.pdf
Khor, Hoe Ee and Kee, Rui Xiong (2008): Asia: A Perspective on the Subprime Crisis. Published in: Finance and Development , Vol. 45, No. 2 (1 June 2008): pp. 19-23.
en
oai:mpra.ub.uni-muenchen.de:10356
2019-09-27T16:42:52Z
7374617475733D696E7072657373
7375626A656374733D43:4333:433332
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/10356/
TESTANDO A HIPÓTESE DE CONTÁGIO A PARTIR DE MODELOS MULTIVARIADOS DE VOLATILIDADE.
Marçal, Emerson F.
Valls Pereira, Pedro L.
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G15 - International Financial Markets
This aim of this paper is to test whether or not there was evidence of financial crises ‘contagion’. The sovereignty debt bonds data for Brazil, Mexico, Russia and Argentine were used to implement such test. The ‘contagion’ hypothesis is tested using multivariate volatility models. It’s considered evidence in favor of ‘contagion’ hypothesis if there is indication of structural instability that can be linked in any sense to one financial crisis. The result suggests that there is evidence in favor of ‘contagion’ hypothesis
2008-09-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/10356/1/MPRA_paper_10356.pdf
Marçal, Emerson F. and Valls Pereira, Pedro L. (2008): TESTANDO A HIPÓTESE DE CONTÁGIO A PARTIR DE MODELOS MULTIVARIADOS DE VOLATILIDADE. Forthcoming in: Brazilian Review of Econometrics , Vol. 28, No. 2 (2008)
pt
oai:mpra.ub.uni-muenchen.de:10360
2019-09-27T01:20:00Z
7374617475733D756E707562
7375626A656374733D47:4731:473135
7375626A656374733D46:4634:463431
7375626A656374733D46:4633:463331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/10360/
Uncovered Interest Parity: Cross-sectional Evidence
Lee, Byung-Joo
G15 - International Financial Markets
F41 - Open Economy Macroeconomics
F31 - Foreign Exchange
This paper proposes a different empirical approach to estimate the UIP by analyzing a large number of cross-country bilateral exchange rates using cross-section analysis. Different from conventional time-series UIP, cross-sectional UIP is examined with single equation estimation and panel regression model estimation. The exchange rates analyzed here include a broad spectrum of countries: developed, developing, low inflation and high inflation countries. Based on the empirical evidence, there does not appear to be a well-publicized UIP puzzle for cross-sectional UIP, and the slope estimates remain largely between zero and one throughout the sample periods, with a few exceptions. Evidence of UIP is more clear for low inflation countries than for high inflation countries. As interest rate maturity becomes longer, UIP relationship becomes weaker.
2007-12-14
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/10360/1/MPRA_paper_10360.pdf
Lee, Byung-Joo (2007): Uncovered Interest Parity: Cross-sectional Evidence.
en
oai:mpra.ub.uni-muenchen.de:10735
2019-09-29T15:10:43Z
7374617475733D696E7072657373
7375626A656374733D47:4731:473135
7375626A656374733D47:4733:473332
7375626A656374733D47:4732:473231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/10735/
From credit crunch to credit boom: transitional challenges in Bulgarian banking, 1999-2006
Erdinç, Didar
G15 - International Financial Markets
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
New econometric evidence is provided to identify the determinants of the rapid credit growth in Bulgaria and evaluate whether the credit boom has increased bank fragility, based on a panel data analysis of 30 Bulgarian banks over the 1999-2006 period. Employing Fixed effects and GMM estimation techniques to explore the link between credit and capital base in a partial adjustment framework, the study provides evidence for the growing risks of credit expansion and assesses the potential for banking distress in Bulgaria.
The paper argues that after a period of severe credit crunch during 1997-1999, foreign-owned Bulgarian banks have financed a credit boom, especially since 2003 but this indicated growing risk in lending and increasing vulnerability to a systemic banking crisis as banks reduced their capital base and registered an increase in non-performing loans. Aggressive lending by less-capitalized banks without appropriate loan loss provisioning has also been verified empirically in a number of panel specifications. While well-capitalized banks have tended to expand credit in proportion to their capital base, banks with weak capital base engaged in excessive risk taking, and expanded credit despite growing ratio of non-performing loans. Hence, the credit boom has come at the expense of increased banking fragility in Bulgaria, raising the probability of bank failure in the event of a downturn in global financial flows which became a disturbing reality in 2008.
2009-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/10735/1/MPRA_paper_10735.pdf
Erdinç, Didar (2009): From credit crunch to credit boom: transitional challenges in Bulgarian banking, 1999-2006. Forthcoming in: Problems and Perspectives in Management No. 1
en
oai:mpra.ub.uni-muenchen.de:10789
2019-10-29T06:28:25Z
oai:mpra.ub.uni-muenchen.de:10953
2019-09-30T21:00:00Z
7374617475733D756E707562
7375626A656374733D46:4633:463330
7375626A656374733D43:4334:433431
7375626A656374733D47:4731:473135
7375626A656374733D47:4733:473332
7375626A656374733D47:4732:473231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/10953/
Duration of loan arrangement and syndicate organization
Godlewski, Christophe
F30 - General
C41 - Duration Analysis ; Optimal Timing Strategies
G15 - International Financial Markets
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
What is the influence of syndicate organization on the duration of loan arrangement? I answer this question using the survival analysis methodology on a sample of loans from 59 countries over the 1992-2006 period. I find that syndicate size, concentration, reputation, and national diversity clearly matters for the duration of loan arrangement and therefore for borrower satisfaction regarding the speed of obtaining the necessary funding. A syndicate organization adapted to specific agency problems of syndication, with numerous, reputable, and experienced arrangers retaining a larger portion of the loan reduces
the duration. The latter is also shorter when the lenders diversity in terms of nationality is weaker.
2008-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/10953/2/MPRA_paper_10953.pdf
Godlewski, Christophe (2008): Duration of loan arrangement and syndicate organization.
en
oai:mpra.ub.uni-muenchen.de:11054
2019-09-30T07:46:01Z
7374617475733D756E707562
7375626A656374733D47:4731
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/11054/
Default Recovery Rates and Implied Default Probability Estimations: Evidence from the Argentinean Crisis
Sosa Navarro, Ramiro
G1 - General Financial Markets
G15 - International Financial Markets
This paper applies the model presented by J. Merrick Jr. (2001) to estimate both the default recovery rates and the implied default probabilities of the Argentinean Sovereign Bonds during the crisis which took place in December 2001. Between October 19th and December 24th 2001, the average bond price level re�ected a downward trend, falling from USD 56.8 to USD 26.5 for each USD 100 face value. Similarly, default recovery rates descended from USD 38.7 to USD 20.8 whereas the base default probability registered an increase from 19.4% to 45.5%. Thus, bond price volatility could be explained in terms of these two embedded determinants. According to the model, bond prices were overvalued by USD 3.92 on average, which amounts to 12.9%; even when it is generally assumed that the default was foreseen by the market in December 2001. In accordance with private estimations of the Argentinean debt haircut which set it at 70% and the recovery rate estimated by the model which amounts to USD 21.7, Argentina would have overcome its default with a country risk premium of around 1960 basic points. Such a high country risk spread after debt restructuring would fully justify a deep haircut over the face value, the temporal term structure and interest rate coupons.
2005-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/11054/1/MPRA_paper_11054.pdf
Sosa Navarro, Ramiro (2005): Default Recovery Rates and Implied Default Probability Estimations: Evidence from the Argentinean Crisis.
en
oai:mpra.ub.uni-muenchen.de:11246
2019-09-27T03:20:03Z
7374617475733D756E707562
7375626A656374733D47:4731:473134
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/11246/
In Search of Market Index Leaders: Evidence from Asian Markets
Canegrati, Emanuele
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G15 - International Financial Markets
This paper investigates the presence of Granger-causality amongst market indices in six Asian stock markets: Malaysia, India, China, Pakistan, the Philippine and Japan, from April 7th 1992 to July 23rd 2008.
Using daily market returns I performed a Granger-causality test, based on the Vector Autoregressive (VAR) model, in order to detect the causalities amongst indices. Different sub-samples were considered, which take into account the distinction between bearish and bullish phases of the markets.
Results show that there is not Granger-causality amongst stock returns for the overall sample, but that there is Granger-causality amongst some indices during bearish and bullish phases. In particular, I found that market index leaders does exist both in up and down trends, even though
these market leaders are not necessarily the same in the two phases.
2008-10-23
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/11246/1/MPRA_paper_11246.pdf
Canegrati, Emanuele (2008): In Search of Market Index Leaders: Evidence from Asian Markets.
en
oai:mpra.ub.uni-muenchen.de:11292
2019-09-30T16:44:33Z
7374617475733D756E707562
7375626A656374733D47:4731:473134
7375626A656374733D47:4731:473131
7375626A656374733D47:4731:473135
7375626A656374733D46:4633:463336
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/11292/
In Search of Market Index Leaders: Evidence from World Financial Markets
Canegrati, Emanuele
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G11 - Portfolio Choice ; Investment Decisions
G15 - International Financial Markets
F36 - Financial Aspects of Economic Integration
This paper investigates the presence of Granger-causality amongst world market indices: S&P 500, Dow Jones Industrial Average, Eurostoxx 50, Nikkei, FTSE 100, from January 2nd 1987 to October 17th 2008.
Using daily market returns I performed a Granger-causality test, based on the Vector Autoregressive (VAR) model, in order to detect the causalities amongst indices. Different sub-samples were considered, which take into account the distinction between bearish and bullish phases of the markets.
Results show that there is high Granger-causality amongst stock returns in every phase of financial markets, but that a real market index leader does not exist, except for Nikkei and Eurostoxx in the third quartile.
2008-10-29
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/11292/1/MPRA_paper_11292.pdf
Canegrati, Emanuele (2008): In Search of Market Index Leaders: Evidence from World Financial Markets.
en
oai:mpra.ub.uni-muenchen.de:11401
2019-09-26T10:45:12Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D47:4731:473135
7375626A656374733D46:4633:463336
7375626A656374733D50:5035:503532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/11401/
Dependence Structures in Chinese and U.S. Financial Markets -- A Time-varying Conditional Copula Approach
Hu, Jian
C51 - Model Construction and Estimation
G15 - International Financial Markets
F36 - Financial Aspects of Economic Integration
P52 - Comparative Studies of Particular Economies
In this paper, we use a Time-Varying Conditional Copula approach (TVCC) to model Chinese and U.S. stock markets‚ dependence structures with other financial markets. The AR-GARCH-t model is used to examine the marginals, while Normal and Generalized Joe-Clayton copula models are employed to analyze the joint distributions. In this pairwise analysis, both constant and time-varying conditional dependence parameters are estimated by a two-step maximum likelihood method. A comparative analysis of dependence structures in Chinese versus U.S. stock markets is also provided. There are three main findings: First, the time-varying-dependence model does not always perform better than constant-dependence model. This result has not previously been reported in the literature. Second, although previous research extensively reports that the lower tail dependence between stock markets tends to be higher than the upper tail dependence, we find a counterexample where the upper tail dependence is much higher than the lower tail dependence in some short periods. Last, Chinese financial market is relatively separate from other international financial markets in contrast to the U.S. market. The tail dependence with other financial markets is much lower in China than in the U.S.
2008-10-31
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/11401/1/MPRA_paper_11401.pdf
Hu, Jian (2008): Dependence Structures in Chinese and U.S. Financial Markets -- A Time-varying Conditional Copula Approach.
en
oai:mpra.ub.uni-muenchen.de:11535
2019-09-26T10:08:58Z
7374617475733D756E707562
7375626A656374733D43:4335:433533
7375626A656374733D47:4731:473135
7375626A656374733D43:4332:433232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/11535/
Volatility and Long Term Relations in Equity Markets: Empirical Evidence from Germany, Switzerland, and the UK
Guidi, Francesco
C53 - Forecasting and Prediction Methods ; Simulation Methods
G15 - International Financial Markets
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
The aim of this paper is twofold. First it aims to compare several GARCH family models in order to model and forecast the conditional variance of German, Swiss, and UK stock market indexes. The main result is that all GARCH family models show evidence of asymmetric effects. Based on the “out of sample” forecasts I can say that for each market considered there is a model that will lead to better volatility forecasts. Secondly a long run relation between these markets was investigated using the cointegration methodology. Cointegration tests show that DAX30, FTSE100, and SMI indexes move together in the long term. The VECM model indicates a positive long run relation among these indexes, while the error correction terms indicate that the Swiss market is the initial receptor of external shocks. One of the main findings of this analysis is that although the UK, Switzerland and Germany do not share a common currency, the diversification benefits of investing in these countries could be very low given that their stock markets seem to move together in the lung term.
2008-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/11535/1/MPRA_paper_11535.pdf
Guidi, Francesco (2008): Volatility and Long Term Relations in Equity Markets: Empirical Evidence from Germany, Switzerland, and the UK.
en
oai:mpra.ub.uni-muenchen.de:11706
2019-09-26T18:20:26Z
7374617475733D756E707562
7375626A656374733D46:4634:463432
7375626A656374733D45:4535:453538
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/11706/
Imbalances in China and U.S. Capital Flows
Tatom, John
F42 - International Policy Coordination and Transmission
E58 - Central Banks and Their Policies
G15 - International Financial Markets
China’s major imbalances include trade and capital account surpluses and a large annual build-up of international reserves. China has a capital account surplus reinforcing the accumulation of foreign exchange reserves, mainly U.S. dollar-denominated assets. Usually, a sustainable fixed or floating exchange rate system requires that a country with a large current account surplus run a capital account deficit. The U.S. is widely criticized for having a comparable trade deficit that mirrors, to a large extent, China’s surplus and for its dependence on large capital inflows including from China. There is political pressure for protectionism and for China to implement wasteful economic policies to reduce the surplus.
Negative consequences of China’s imbalances include the build-up of large, low-return foreign exchange, leading to rapid growth in money and credit and to a sharp acceleration in inflation. Moreover, efforts to offset money growth and inflation have deepened inefficiencies in the financial system, which China had hoped to remedy by its efforts to recapitalize and list its banks’ equities on stock exchanges. China could eliminate these imbalances by policies that would reduce growth. One solution is to lift restrictions on capital outflows, allowing households and business to diversify their wealth holdings and realize higher returns and/or less volatility in their income and wealth. This would transform future asset growth to holdings of higher return, lower risk assets abroad and also would eliminate pressures on the People’s Bank of China, allowing for more rapid deregulation of banks, slower money and credit growth and lower inflation. The U.S. is already adjusting to these imbalances as the current account deficit began to decline in 2005 and the dollar has fallen dramatically. Unfortunately, such adverse developments are coming from political pressures to raise taxes, especially on capital resources income, and from protectionist policies, both of which are slowing growth in the U.S.
2008-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/11706/1/MPRA_paper_11706.pdf
Tatom, John (2008): Imbalances in China and U.S. Capital Flows.
en
oai:mpra.ub.uni-muenchen.de:12166
2019-09-28T16:49:16Z
7374617475733D756E707562
7375626A656374733D47:4731:473134
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/12166/
New Evidence on the Normality of Market Returns: The Dow Jones Industrial Average Case
Canegrati, Emanuele
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G15 - International Financial Markets
In this paper I test the normality of returns of the 30 components of the Dow Jones Industrial Average (DJIA) from January 1st 1990 to December 5th 2008. Results obtained by Kolmogorov - Smirnov, Shapiro - Wilk and Skewness - Kurtosis tests are robust in demonstrating that the
hypothesis of normality can always be rejected.
2008-12-14
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/12166/1/MPRA_paper_12166.pdf
Canegrati, Emanuele (2008): New Evidence on the Normality of Market Returns: The Dow Jones Industrial Average Case.
en
oai:mpra.ub.uni-muenchen.de:12294
2019-10-26T05:17:37Z
oai:mpra.ub.uni-muenchen.de:12399
2019-09-29T21:20:50Z
7374617475733D707562
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/12399/
Porovnání velikosti akciových trhů v zemích Visegrádské čtyřky a západní Evropě
Lukáš, Chylík
G15 - International Financial Markets
The paper deals with comparison’s problems size of the stock markets in European Union, first of all in the Viszegrad Four countries that mean Czech Republic, Slovakia, Poland and Hungary. Attention is paid on the historical development of the stock markets in these countries, comparison and confrontation analysis of the stock markets in these countries. Especially, lay is stressed on overall size of the market, number of subjects, and volume of trading, stock market activity and market liquidity. Final part deals with the comparative analysis and results in comparison with development of the stock markets in the Western Europe are specific in Germany and Great Britain.
2008-04-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/12399/3/MPRA_paper_12399.pdf
Lukáš, Chylík (2008): Porovnání velikosti akciových trhů v zemích Visegrádské čtyřky a západní Evropě. Published in: CD příspěvků IV. ročníku mezinárodní Baťovy konference pro doktorandy a mladé vědecké pracovníky No. 978-80-7318-664-7 (2008)
cs
oai:mpra.ub.uni-muenchen.de:12448
2019-10-06T07:21:01Z
7374617475733D756E707562
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/12448/
The volatility of the European capital markets during the curent financial crisis:what are saying the empirical evidences?
Dima, Bogdan
Murgea, Aurora
G15 - International Financial Markets
The uncertainty about the market’ evolutions are one striking characteristic of the financial crisis. The objective of this paper is to find some evidences for the pre/ crisis periods actual shifting in volatility for some major European markets. The methodology is based on two particular measures of volatility and in structural changes tests. The main output consists in the thesis that “volatility matters” for an extended financial crisis explanation.
2008-12-31
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/12448/1/MPRA_paper_12448.pdf
Dima, Bogdan and Murgea, Aurora (2008): The volatility of the European capital markets during the curent financial crisis:what are saying the empirical evidences?
en
oai:mpra.ub.uni-muenchen.de:12470
2019-09-26T12:21:36Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D46:4633:463332
7375626A656374733D47:4731:473135
7375626A656374733D43:4331:433132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/12470/
Hot money and economic performance: An empirical analysis
Duasa, Jarita
Kassim, Salina
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
F32 - Current Account Adjustment ; Short-Term Capital Movements
G15 - International Financial Markets
C12 - Hypothesis Testing: General
The present study empirically examines the importance of foreign portfolio investment (FPI) or hot money from certain investor(s) or country(s) on Malaysian economic performance. In methodology, the study uses vector error correction (VECM) model of FPI inflows from major investors such as the United States, United Kingdom, Singapore and Hong Kong and Malaysian real GDP using quarterly data covering the period of Q1:1991 to Q3:2007. For further inferences, the study adopts an innovation accounting by simulating variance decompositions (VDC) and impulse response functions (IRF). It is found that the country’s GDP is highly attributable to UK FPI inflow especially in the long run.
2008-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/12470/1/MPRA_paper_12470.pdf
Duasa, Jarita and Kassim, Salina (2008): Hot money and economic performance: An empirical analysis.
en
oai:mpra.ub.uni-muenchen.de:12604
2019-09-28T11:05:31Z
7374617475733D756E707562
7375626A656374733D47:4731:473135
7375626A656374733D45:4530:453031
7375626A656374733D47:4732:473238
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/12604/
تأثير الأزمة المالية العالمية على الاقتصاد المصرى
Alasrag, Hussien
G15 - International Financial Markets
E01 - Measurement and Data on National Income and Product Accounts and Wealth ; Environmental Accounts
G28 - Government Policy and Regulation
The world economy is currently going through a serious financial upheaval that sparked off in the United States and has spread to Europe and the rest of the world. the crisis has already led to the collapse of influential banks and firms as well as to recession in several countries, some consider such consequences as just the tip of the iceberg and that the worst is yet to come.
This paper aims to study the current global financial crisis and its impact on Egypt.To do so, it first presents an overview of the causes and consequences of the current turbulence, followed by an assessment of the depth of the crisis and its implications for the Egyptian economy, including the financial sector, balance of payments and the state budget. In addition, the paper highlights the actions taken by the Egyptian government to cope with the effects of the crisis on the Egyptian economy. and concludes with some recommendations on steps to handle this crisis.
2009-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/12604/1/MPRA_paper_12604.pdf
Alasrag, Hussien (2009): تأثير الأزمة المالية العالمية على الاقتصاد المصرى.
ar
oai:mpra.ub.uni-muenchen.de:12659
2019-09-30T19:42:44Z
7374617475733D756E707562
7375626A656374733D47:4731:473135
7375626A656374733D47:4731:473130
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/12659/
The Spread of the Credit Crisis: View from a Stock Correlation Network
Smith, Reginald
G15 - International Financial Markets
G10 - General
The credit crisis roiling the world's financial markets will likely take
years and entire careers to fully understand and analyze. A short empirical
investigation of the current trends, however, demonstrates that the losses in
certain markets, in this case the US equity markets, follow a cascade or
epidemic flow like model along the correlations of various stocks. A few images
and explanation here will suffice to show the phenomenon. Also, whether the
idea of "epidemic" or a "cascade" is a metaphor or model for this crisis will
be discussed.
Animations of the spread of the crisis are available at http://reggiesmithsci.googlepages.com/creditcrisis
2008-11-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/12659/1/MPRA_paper_12659.pdf
Smith, Reginald (2008): The Spread of the Credit Crisis: View from a Stock Correlation Network.
en
oai:mpra.ub.uni-muenchen.de:12696
2019-09-26T09:06:08Z
7374617475733D707562
7375626A656374733D47:4731:473132
7375626A656374733D47:4731:473135
7375626A656374733D45:4534:453434
7375626A656374733D47:4732:473231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/12696/
Stages of the 2007/2008 Global Financial Crisis: Is There a Wandering Asset-Price Bubble?
Orlowski, Lucjan T
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G15 - International Financial Markets
E44 - Financial Markets and the Macroeconomy
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
This study identifies five distinctive stages of the current global financial crisis: the meltdown of the subprime mortgage market; spillovers into broader credit market; the liquidity crisis epitomized by the fallout of Northern Rock, Bear Stearns and Lehman Brothers with counterparty risk effects on other financial institutions; the commodity price bubble, and the ultimate demise of investment banking in the U.S. The study argues that the severity of the crisis is influenced strongly by changeable allocations of global savings coupled with excessive credit creation, which lead to over-pricing of varied types of assets. The study calls such process a “wandering asset-price bubble”. Unstable allocations elevate market, credit and liquidity risks. Monetary policy responses aimed at stabilizing financial markets are proposed.
2008-12-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/12696/1/MPRA_paper_12696.pdf
Orlowski, Lucjan T (2008): Stages of the 2007/2008 Global Financial Crisis: Is There a Wandering Asset-Price Bubble? Published in: Economics E-Journal , Vol. 43, (18 December 2008)
en
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