Search results for "Monetary"

Risk-Managed 52-Week High Industry Momentum, Momentum Crashes, and Hedging Macroeconomic Risk

2017

This is the first study that investigates the profitability of Barroso and Santa-Clara’s (2015) risk managing approach for George and Hwang’s (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk-managing adds value as the Sharpe ratio increases, and the downside risk remarkably decreases. Even after controlling for the spread of the traditional 52-week high industry momentum strategy in association with standard risk-factors, the risk-managed version generates economically and statistically significant payoffs. Notably, the risk-managed strategy is partially explained by changes in cross-sectional return dispersion, whereas the traditiona…

The macroeconomic governance of the European Monetary Union: A Keynesian perspective

2005

Revised version - May 2006; Extending Asensio's closed-economy framework (2005a,b) to a monetary union, we show that theprinciples of governance which emanate from the so called "New Consensus in Macroeconomics"(NCM), and therefore have been designed for presumed stationary regimes, may cause severedysfunctions, such as depressive macroeconomic policies and unemployment traps, in non-ergodicregimes. The Keynesian approach, on the other hand, pleads in favour of important changes in thecurrent governance of the eurozone. First, since the European Central Bank can not repress distributiveinflationary pressures without having non-temporary depressive effects on aggregate demand andemployment, …

Inflation scares and bond market signals: is the Fed's policy action asymmetric?

2007

Pratiques monétaires et dynamiques hyperinflationnistes : étude historique et théorique

2019

This thesis seeks to define a typology of the hyperinflationary crises based on the study of several cases observed in history, but also in terms parallel monetary practices of economic actors. It also seeks to find an alternative solution about the hyperinflationary phenomenon. In its theoretical dimension, this thesis mobilizes post-Kenesian, neo-structuralist and institutionalist theoretical framework. In its historical and comparative dimension, it studies several cases observed in history to determine a typology of the phenomenon hyperinflationary — which has allowed to distinguish two main types of hyperinflation. As a way out of hyperinflation, this thesis comes up with a system (mon…

Investor Inattention to All-Cash Acquisition Announcements: A Joint Day-Time Analysis in the Spanish Market

2021

Prior studies suggest that investors have limited attention, which determines the speed with which information is incorporated into share prices and, in turn, affects the efficiency of the markets. Unlike other corporate events, the information contained in an acquisition announcement is generally less standard and more complicated to process. Therefore, investor inattention is less likely around this event. In this study we test the existence of investor inattention for a sample of all-cash acquisition announcements of listed and unlisted target firms released by listed Spanish firms from 1998 to 2018. Cash acquisitions allow us to control for the strategic behavior of overvalued companies…

A Scholar in Action in Interwar America. John H. Williams' Contributions to Trade Theory and International Monetary Reform

2004

In this paper we analyse the scientific contributions of Harvard economist John H. Williams as international trade theorist and monetary reformer together with his activities as a Vice President of the Federal Reserve Bank of New York. In the first 2 Sections we first present a succinct overview of Williams' main contributions to international trade theory and to the interwar debate on the reform of the international monetary system. Particular attention will be devoted to his early academic writings which contained different critical arguments against the two main tenets of classical international economics: the Ricardian theory of comparative advantages and the gold standard. These critic…

The Impact of Monetary Policy on Bank Profitability

2020

This chapter analyzes the effect of the monetary policy on both net interest margin and bank profitability using a panel data from 31 OECD countries over the period 2000–2017. The main results show that expansionary monetary policy measures adopted in numerous economies had a negative impact on net interest margins and, therefore, on bank profitability. The relationship between interest rates and the slope of the yield curve with both the net interest margin and profitability is non-linear, more specifically concave. This suggests that the negative impact of low interest rates and the flat yield curve is greater the lower and flattened they are, respectively. Therefore, a potential normaliz…

The Global Financial Crisis and the New Monetary Consensus

2013

International audience; The Global Financial Crisis has reshuffled the cards for central banks throughout the world. In the wake of the biggest crisis since the Great Depression, this volume traces the evolution of modern central banking over the last fifty years. It takes in the inflationary chaos of the 1970s and the monetarist experiments of the 1980s, eventually leading to the New Monetary Consensus, which took shape in the 1990s and prevailed until 2007. The book then goes on to review the limitations placed on monetary policy in the aftermath of the global meltdown, arguing that the financial crisis has shaken the new monetary consensus.

What determines the duration of a fiscal consolidation program?

2013

This paper assesses the determinants of the length of fiscal consolidation using annual data for 17 industrial countries over the period 1978-2009. Relying on a narrative approach to identify fiscal consolidation episodes, we show that fiscal variables (such as the budget deficit and the level of public debt) and economic factors (such as the degree of openness, the inflation rate, the interest rate and per capita GDP) are crucial for the fiscal consolidation process. Additionally, we employ duration analysis over a set of consolidation spells and find that, as time goes by, the likelihood of a fiscal consolidation ending is higher. However, the hazard function is not monotonic: indeed, it …

Intertemporal substitution and the liquidity effect in a sticky price model

2002

Abstract The liquidity effect, defined as a decrease in nominal interest rates in response to a monetary expansion, is a major stylized fact of the business cycle. This paper first confirms that, with separable preferences, a low degree of intertemporal substitution in consumption is a necessary condition for the existence of the liquidity effect. In contrast to this result, in a model with non-separable preferences and capital accumulation it takes an implausibly high elasticity of intertemporal substitution to produce a liquidity effect. The robustness of these results to alternative degrees of nominal rigidities, capital adjustment costs and stochastic monetary processes is also analysed…