Search results for "FINANCIAL ECONOMICS"
showing 10 items of 277 documents
A Dynamic Factor Analysis of Financial Contagion in Asia
2003
In this paper we compared the performance of country speci…c and regional indicators of reserve adequacy in predicting, out of sample,
Interdependence between Green Financial Instruments and Major Conventional Assets: A Wavelet-Based Network Analysis
2021
This paper examines the interdependence between green financial instruments, represented by green bonds and green stocks, and a set of major conventional assets, such as Treasury, investment-grade and high-yield corporate bonds, general stocks, crude oil, and gold. To that end, a novel wavelet-based network approach that allows for assessing the degree of interconnection between green financial products and traditional asset classes across different investment horizons is applied. The empirical results show that green bonds are tightly linked to Treasury and investment-grade corporate bonds, while green stocks are strongly tied to general stocks, regardless of the specific time period and i…
WHY MOST FIRMS CHOOSE LINEAR HEDGING STRATEGIES
2009
I investigate the efficiency of alternative hedging strategies of nonfinancial firms facing hedgeable price risk, unhedgeable quantity risk, and financial contracting costs in low-profit events. The analysis suggests that variance-minimizing hedging strategies are very close in economic terms to optimal, value-maximizing hedging strategies for most firms. Furthermore, the marginal gains from shifting to nonlinear hedging strategies are often small enough to be neglected. These results illuminate some puzzling findings in survey studies of firms’ hedging practices and suggest an alternative view on firms’ selective hedging practices termed “cautious selective hedging.”
Trading Nokia: The roles of the Helsinki vs the New York stock exchanges
2004
We use the Autoregressive Conditional Duration (ACD) framework of Engle and Russell (1998) to study the effect of trading volume on price duration (ie the time lapse between consecutive price changes) of a stock listed both in the domestic and the foreign market. As a case study we use the example of Nokia's share, which is actively traded both in the Helsinki Stock Exchange and the New York Stock Exchange (NYSE). We find asymmetry in the volume-price duration relationship between the two markets. In the NYSE the negative relationship is much stronger and exists both during and outside common trading hours. Outside common trading hours no such relationship is significant in Helsinki. Based …
Economic valuation of knowledge-based capital: an International comparison
2020
Abstract This chapter uses an alternative approach to measuring the knowledge intensity of economies to those commonly uses that are based on the aggregation of industries according to selected indicators such as R&D expenditure or labor force skills. We follow an economic approach rooted in growth accounting methodology, determining the contribution of each individual factor (capital and labor) according to the prices of the services it provides. This methodology is applied to six American countries (the United States, Canada, and four Latin-American countries, namely Brazil, Chile, Colombia, and Mexico) and five European countries (France, Germany, Italy, Spain, and the United Kingdom). T…
The Effects of National Allocation Plans on Carbon Markets
2007
The release of information in carbon markets at its early state is characterized as being numerous and not scheduled. This paper analyzes the impact of National Allocation Plans announcements on carbon prices and their volatility during the period October 2004 through May 2007, during which time more than 70 announcements were released. In order to adapt event studies methodology to the particularities of our data, a sole series with lots of announcements, we propose the Truncated Mean Model that does not take into account big surprises in the estimation period. The results indicate that news has an influence on carbon prices on both the announcement day and previous days. Additionally, we …
The multiplex structure of interbank networks
2013
The interbank market has a natural multiplex network representation. We employ a unique database of supervisory reports of Italian banks to the Banca d'Italia that includes all bilateral exposures broken down by maturity and by the secured and unsecured nature of the contract. We find that layers have different topological properties and persistence over time. The presence of a link in a layer is not a good predictor of the presence of the same link in other layers. Maximum entropy models reveal different unexpected substructures, such as network motifs, in different layers. Using the total interbank network or focusing on a specific layer as representative of the other layers provides a po…
A Stochastic Programming Model for the Optimal Issuance of Government Bonds
2010
Sovereign states issue fixed and floating securities to fund their public debt. The value of such portfolios strongly depends on the fluctuations of the term structure of interest rates. This is a typical example of planning under uncertainty, where decisions has to be drawn on the base of the key stochastic economic factors underneath the model.We propose a multistage stochastic programming model to select portfolios of bonds, where the aim of the decision maker is that of minimizing the cost of the decision process. At the same time, we bound the conditional Value-at-Risk, a measure of risk which accounts for the losses of the tail distribution. We build an efficient frontier to trade-off…
Asymmetries and tails in stock index returns: are their distributions really asymmetric?
2004
Abstract This paper examines the symmetry of the distribution of four major stock index returns: Standard and Poor's 500, Dow-Jones Industrial, Nikkei 225, and Financial Times 100, from the stock markets of New York, Tokyo and London. The symmetry of the whole distributions, of the different intervals, and of the tails, is analysed. Clear, strong asymmetries are not found. In particular, for different stock indexes and for different sample periods, the probabilities of occurrence of extreme downward and upward movements do not seem to be different.
Future directions in international financial integration research - A crowdsourced perspective
2018
This paper is the result of a crowdsourced effort to surface perspectives on the present and future direction of international finance. The authors are researchers in financial economics who attended the INFINITI 2017 conference in the University of Valencia in June 2017 and who participated in the crowdsourcing via the Overleaf platform. This paper highlights the actual state of scientific knowledge in a multitude of fields in finance and proposes different directions for future research.