Search results for "Crisis"
showing 10 items of 860 documents
Main driving factors of the interest rate-stock market Granger causality
2017
Abstract This paper investigates the causal relationship between changes in the 10-year Treasury bond yield and the S&P 500 stock return in the United Sates with emphasis on time variation, stress factors and smooth regime transition. First, the time-varying Granger causality test proposed by Lu et al. (2014) is applied. Then a two-regime multifactor smooth transition regression model with a single transition variable representing a wide range of macroeconomic and financial variables is estimated in order to identify the key explanatory factors governing the causal relationship. The results show a significant bidirectional causal relationship over most of the study period, mainly due to the…
The timeline of trading frictions in the European carbon market
2012
We evaluate the quality of prices of EU-ETS, the most active European derivative market for greenhouse gas emissions allowances (EUAs). So far, this market has had two phases, a trial phase (from 2005 to 2007) and a commitment phase (from 2008 to 2012). The true value of a trial-phase EUA at the beginning of 2008 was inevitably zero because it could not be used in the commitment phase to cover emission targets. However, continued rumors of over-allocation of EUAs led to an early collapse of the market by May 2007. We study whether this market breakdown and the subsequent outbreak of the international financial crisis had a persistent effect on the quality of the commitment phase. We provide…
How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders
2007
We study the relationship between liquidity and prices in an artificial financial market where portfolio traders with limited resources interact through a continuous, electronic open book. We depart from the standard asset pricing framework in two ways. First, we assume that investors have incomplete information about the distribution of returns. Second, we model the portfolio choice problem using prospect-type preferences. We model the utility function in terms of deviations of the portfolio growth rate from a specified target growth rate, and we assume that investors are more sensitive to downside movements. We show that the parameters defining the learning process affect the price dynami…
Efectos de las fusiones sobre la concentración y la eficiencia bancaria : el caso de las cajas rurales y los retos de la crisis financiera.
2010
En: Revista española de financiación y contabilidad. ISSN. 0210-2412. n. 146, (2010), págs. 291-321 Las crisis económicas actúan como catalizadoras de procesos de reestructuración empresarial y las fusiones son muchas veces imprescindibles para evitar quiebras. Durante el último decenio se han producido numerosos episodios de concentración entre las Cajas Rurales españolas. El objetivo del trabajo es analizar el efecto de las fusiones entre Cajas Rurales durante el decenio 1998-2007 y ante la crisis fi nanciera actual, mediante un estudio empírico consistente en analizar el Indice Herfi ndhal y la ratio de concentración discreta para medir la concentración y relacionarla con las ratios de r…
Hidden costs of cuts: austerity, civil service management and the motivation of public officials in Central and Eastern Europe after the crisis
2016
The implementation of austerity measures presents a dilemma for governments. While austerity measures such as cutbacks aim to reduce costs and enhance public sector efficiency, the same measures might undermine the motivation of employees and, consequently, the prospects of effectively implementing austerity programmes. Based on a survey of ministerial officials in Poland and Latvia, this article finds that the scale of cutbacks explains a larger decline of staff motivation in Latvia than in Poland. The article further shows that motivation was more likely to decrease after the crisis if austerity measures involved cutbacks such as staff reductions, recruitment freezes, and a reduction of t…
Depression of the deprived or eroding enthusiasm of the elites: What has shifted the support for international trade?
2020
Abstract We use the 2003 and 2013 waves of the International Survey Program (ISSP) in order to explore the change in people’s attitudes that may be behind the recent backlash against globalization. We show that the average support for international trade has decreased in many – albeit not all – countries, and we demonstrate that these changes are related to the depth and length of the global financial crisis of 2008/09 as well as the evolution of income inequality. Moreover, our results document a declining support of those individuals who are likely to benefit from international trade: the young, high-skilled and well-off. We show that this “eroding enthusiasm of the elites” is empirically…
Entrepreneurship insolvency risk management: a case of Latvia
2011
Financial crisis and its consequences are visible in the capital adequacy of many commercial banks, which indicates that the approach banks took to assess credit risk was not sufficiently sophisticated. This article discusses practical methods of insolvency risk modelling for enterprises. In this paper, the authors analysed the accuracy of ten models developed by foreign authors to assess insolvency risk, which were validated on the database of Latvian companies. The authors have shown that models developed on historical data for foreign companies are less accurate than the model developed on the basis of financial indicators of Latvian companies. The authors developed a three-factor model …
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.