Search results for "Monetary economics"
showing 10 items of 361 documents
The Variation of Export Prices Across and within Firms
2016
This paper uses transaction-level trade data to analyse the differences in export prices across and within Spanish manufacturing firms in the year 2014. The transactional nature of the database uncovers sizable differences in the price that an exporter charges for the same product and destination. These differences are related to the number of goods covered within each product category, volume discounts and vertically differentiated varieties. Export prices are positively correlated with firms’ productivity, destination markets’ GDP per capita and distance to Spain. These latter results suggest that Spanish exporters compete in quality.
Why Do U.S.-Listed Chinese Firms Go Private?
2012
The period 2010-2012 saw a dramatic increase in the number of Chinese firms listed in the United States announcing deals to delist and go private. We argue that accounting scandals and legal uncertainties involving Chinese firms in recent years may have caused outside investors to struggle to distinguish between legitimate and fraudulent firms. As a result some legitimate Chinese companies may have become undervalued, which arguably has given them a heightened incentive to go private. We examine all the companies that announced going-private deals during this period and find evidence that firms that go private tend to do so after a prolonged period of negative excess stock returns relative …
Does a global wealth tax reduce inequality? When Piketty meets Mankiw
2020
Abstract We investigate the effects of a wealth tax on consumption and wealth inequality in a standard small open economy model featuring labour income heterogeneity. We show that consumption inequality and wealth inequality are identical in the long run if consumption growth exceeds output growth. Under this condition, the wealth tax reduces long run inequality under two additional conditions. First, the difference between the rate of return on wealth and the growth rate, r − g , is higher than a positive threshold. Second, the tax rate is lower than a cap which rises in r − g but decreases in labour income heterogeneity.
Are green bonds a different asset class? Evidence from time-frequency connectedness analysis
2021
Abstract This paper investigates the time-frequency connectedness across the global green bond market and several mainstream financial and energy markets in an attempt to figure out whether green bonds represent a different asset class. The connectedness methodology proposed by Barunik and Křehlik (2018) is employed for that purpose. This approach enables quantifying the dynamics of connectedness in terms of return and volatility over time and across time scales simultaneously. The empirical results indicate that connectedness between the global green bond market and the conventional financial and energy markets mainly occurs at shorter time horizons, suggesting that shocks are rapidly tran…
Risk Management Optimization for Sovereign Debt Restructuring
2015
Abstract Debt restructuring is one of the policy tools available for resolving sovereign debt crises and, while unorthodox, it is not uncommon. We propose a scenario analysis for debt sustainability and integrate it with scenario optimization for risk management in restructuring sovereign debt. The scenario dynamics of debt-to-GDP ratio are used to define a tail risk measure, termed conditional Debt-at-Risk. A multi-period stochastic programming model minimizes the expected cost of debt financing subject to risk limits. It provides an operational model to handle significant aspects of debt restructuring: it collects all debt issues in a common framework, and can include contingent claims, m…
Current Account Adjustment and Retained Earnings
2018
This paper develops a formal strategy to calculate current accounts with retained earnings (RE) on equity investment and analyzes their adjustment during the global financial crisis. RE are the part of companies' profits which are reinvested and not distributed to shareholders as dividends. International statistical standards treat RE on foreign direct investment and RE on portfolio investment differently: while the former enter the current and financial account, the latter do not. We show that this differential treatment strongly affects current accounts of several advanced economies, frequently referred to as financial centers, with large positions in equity (portfolio) investment. Our em…
Expectations and forward risk premium in the Spanish deregulated power market
2010
Abstract Deregulation in energy markets has entailed important changes in the way agents conduct business. Price risk arises as a result of fluctuations in the future price of electricity and agents assume long or short positions in the forward and spot markets to hedge their exposure to price risk. The presence of forward risk premium in prices is evidence of the fact that agents act in the market according to risk considerations. This work aims to analyse the information content of the difference between the forward and spot prices (the so-called forward premium) regarding the agents’ decisions. We find that the sign and magnitude of the ex post forward premium depend on the unexpected va…
Dynamics of Lending Rates in the Baltic Countries: Influence of Funding Costs of Banks and Risk Factors
2017
In the Baltic countries, lending rates have been among the highest in the euro area mainly reflecting national differences in the market structure as well as relatively strict credit standards applied by banks in response to the changes in their perception of risk. In this context, the deeper econometric analysis could provide additional information about the common and diverging aspects of the dynamics of lending rates in the Baltic countries. Therefore, the aim of the paper to explore the pass-through of funding costs of banks to lending rates in different lending segments in the Baltic countries during the period of 2005–2015 taking in account risk considerations. To reach the set aim, a…
The response of Brent crude oil to the European central bank monetary policy
2022
Este artículo examina el impacto de las decisiones de política monetaria del Banco Central Europeo (BCE) sobre los precios del petróleo y la liquidez mediante un estudio de eventos con datos intradía. Analizamos el período de enero de 1999 a diciembre de 2020, que incluye la crisis financiera que comenzó en agosto de 2007. Nuestros resultados muestran una respuesta significativa de los rendimientos del petróleo solo durante la crisis financiera. Específicamente, encontramos que los rendimientos de los futuros de petróleo crudo Brent respondieron negativamente a variaciones inesperadas en la prima de riesgo italiana como medida de acciones de política monetaria no convencionales, y positivam…
Determinants of net interest margin: the effect of capital requirements and deposit insurance scheme
2019
This paper analyzes the determinants of net interest margin with a focus on the impact of capital regulation and deposit insurance. We extend the Ho and Saunders (1981) family of models to explicit...