Search results for "Crisi"
showing 10 items of 1042 documents
Money and equity returns in the Euro area
2010
Abstract This study examines the impacts of liquidity on equity returns in the euro area during the period 1987–2001. The main contribution of the study is that the money demand is carefully considered while estimating the liquidity. We provide evidence that in part the impact of money on equity returns depended on the measure used for liquidity (real money supply, real money gap and monetary overhang). However, a unanimous inference was made that over time an increase in liquidity has a negative impact on equity returns. This is interpreted as being due to the positive impact of money on inflation. Accordingly, an increase in liquidity generated expectations of inflation, which led to a de…
Spillovers through banking centers: a panel data analysis of bank flows
2003
Abstract This paper presents evidence that spillovers through bank lending contributed to the transmission of currency crises during the recent episodes of financial instability in emerging markets. The innovation of the paper is that it looks beyond aggregated measures of contagion into the structure of bank flows, disaggregating by banking centers. The main findings are that spillovers caused by banks’ exposures to a crisis country help predict flows in third countries after the Mexican and Asian crises, but not after the Russian crisis. In the latter, there is evidence of a generalized outflow from emerging markets. The importance of spillovers through banking centers suggests that count…
Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis
2009
Abstract In this paper we use principal components analysis to obtain vulnerability indicators able to predict financial turmoil. Probit modelling through principal components and also stochastic simulation of a Dynamic Factor model are used to produce the corresponding probability forecasts regarding the currency crisis events affecting a number of East Asian countries during the 1997–1998 period. The principal components model improves upon a number of competing models, in terms of out-of-sample forecasting performance.
Extreme interdependence and extreme contagion between emerging markets
2007
Abstract This paper uses seemingly unrelated probit techniques to separate the transmission of a crisis due to broadly defined macroeconomic interdependence from contagion due to herding, avoiding some of the caveats of the more traditional cross-correlation approach. We find that pure contagion occurred in a limited number of country pairs generally belonging to the same region. A reduction in speculative pressure can also be identified between countries in different regional blocks. This seems to suggest that after an initial crisis episode, investors tend to discriminate on the basis of location and common macroeconomic weakness or perceived similarity.
A Study of Seasonality on the SAFEX Wheat Market
2015
This paper examines seasonality in returns and volatilities in the South African Futures Exchange (SAFEX) wheat futures contract in order to seek market inefficiencies that can be exploited for financial gain. Non-parametric and parametric-based techniques are used to study sample regimes before and after the peak in wheat prices that occurred during the global economic crisis in 2008. Findings of the study indicate that wheat returns on Mondays and Kansas City Board of Trade (KCBT) holidays are significant and positive while Tuesday returns are negative and significant. These seasonal patterns occur largely in the second sample of the wheat dataset. Furthermore, it is observed that volatil…
Asymmetric decentralisation, economic cycle, regional and local government’s borrowing in Spain
2014
This paper investigates the evolution of sub-central government borrowing in Spain over the period 1996–2011. The arguments and figures provided show that the intense process of political and fiscal decentralisation that took place over the 1990s and 2000s did not lead to higher debt ratios in terms of GDP at these tiers of government until 2007. Although a kind of overspending bias was in effect until the late 2000s, the paper shows that the evolution of GDP and tax revenues provided regional and local governments with enough resources to vigorously pursue their devolved public policy responsibilities and still keep their debt ratios under control. However, since 2008, when the world finan…
Budget burden and benefit visibility of European central level governments
2001
Central levels of government in European Union member countries are different regarding their basic institutions, powers, fiscal systems, accountability, public performance management, financial control bodies, and the like. In spite of this, the economic operation of such levels of government should be analyzed, evaluated, and compared from an efficiency viewpoint. This paper presents general indicators to systematically assess the burden and benefit visibility of public budgets of the International Monetary Fund member countries and specific estimates for the central subsystems of public revenue and expenditure now in force in such European countries. An important policy implication of th…
DETERMINANTS OF PROFITABILITY IN SPANISH FINANCIAL INSTITUTIONS. COMPARING AIDED AND NON-AIDED ENTITIES
2015
The last financial crisis has led to the greatest contribution of public funds ever made to Spanish banks. This paper studies why the need for support has been asymmetric, with not all of the institutions requiring aid. Based on profitability of assets (ROA), we determine using panel data econometric and logit response models the components of profit and loss accounts that generated profitability as well as the factors leading to some entities to ask for aid. The analyses show that before the beginning of the crisis there were significant differences between entities that needed aid and those that did not. The most profitable banks grounded their success in the traditional revenue component…
Monetary policy and the exchange rate during the Asian crisis: identification through heteroscedasticity
2005
Abstract This paper examines whether a monetary policy tightening (i.e., an increase in the domestic interest rate) was successful in defending the exchange rate from speculative pressures during the Asian financial crisis. We estimate a bivariate VECM for four Asian countries, and improve upon existing studies in two important ways. First, by using a long data span we are able to compare the effects of an interest rate rise on the nominal exchange rate during tranquil and turbulent periods. Second, we take into account the endogeneity of interest rates and identify the system by exploiting the heteroscedasticity properties of the relevant time series, following Rigobon [Identification thro…
Two Great Banking Crises and Their Economic Impact Compared: Spain 1976/1977 and 2008
2017
The 1976/1977 crisis was the most severe in Spanish history, but the losses associated with the 2008 crisis are huge. This paper compares these two great banking crises and identifies the main parallels and differences between them. Is the current crisis as severe as that of 1976? What is the impact on the banking and financial sectors? We show that the 1976 crisis is being surpassed by the 2008 crisis in terms of the decline in GDP, industrial production and unemployment, and that these two events have had at least a similar impact in terms of output gap and output loss. Finally, the financial impact measured by different financial indicators confirms the greater severity of the 2008 crisi…