Search results for "financial market."
showing 10 items of 197 documents
Sovereign Credit Ratings and Financial Markets Linkages: Application to European Data
2012
We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of government yield spreads before and after announcements from rating agencies (Standard & Poor’s, Moody’s, Fitch). Our results show significant responses of government bond yield spreads to changes in rating notations and outlook, particularly in the case of negative announcements. Announcements are not anticipated at 1–2 months horizon but there is bi-directional causality between ratings and spreads within 1–2 weeks; spillover effects especially among EMU countries and from lower rated countries to higher rated countries; and persistence effects for recently downgraded countrie…
All that glitters is not gold. The rise of gaming in the COVID-19 pandemic
2020
Abstract The COVID-19 pandemic has led to an unprecedented situation, with incalculable health, social, and economic consequences. At the start of the outbreak, the financial markets collapsed, although not all sectors suffered equally. The gaming and eSports industry is one of those that has suffered the least from the fall in the markets. Millions of people locked up at home, bored, stressed, and anguished, gave gaming and eSports companies growing prominence throughout the first half of 2020. This prominence has elicited interest in analyzing which variables can influence the returns in an industry in better financial health than many others. Using a logit–probit model, this research aim…
Integration and arbitrage in the Spanish financial markets: An empirical approach*
2000
Several authors have introduced different ways to measure integra-tion between financial markets. Most of them are derived from thebasic assumptions about asset prices, like the Law of One Price or ...
Money Doctoring After World War II: Arthur I. Bloomfield and the Federal Reserve Missions to South Korea
2009
In this paper we analyse the scientific contributions of the New York Fed economist Arthur I. Bloomfield. A Canadian born economist, in 1941 Bloomfield took his PhD in economics at the University of Chicago, under the supervision of Jacob Viner and then joined the staff of the Federal Reserve Bank of New York as a Research Economist and stayed there until 1958. In this position, Bloomfield combined scholarly research on recent economic history and international financial and banking problems with active service as a member of various committees and commissions, both in the United States and abroad. While on leave from the Fed, he accepted appointments as a consultant and advisor to various …
The signaling effects of central bank tone
2021
Abstract Does policymakers’ choice of words matter? We assess empirically whether the tone of FOMC statements contains useful information for financial market participants and explore the nature of the information conveyed. We quantify central bank tone using computational linguistics. We find that the tone of FOMC statements explains monetary surprises beyond FOMC information released on policy announcement days such as policymakers’ forecasts and votes. We also find that the FOMC tone matters more around monetary cycle turning points. We show that the tone of policy statements also helps predict future policy decisions. Our findings suggest that the central bank tone may be one of the veh…
Can Euribor be fixed?
2020
The manipulation of Euro Interbank Offered Rate (Euribor) is a problem with great impact on international financial markets. This paper focuses on two aspects of the Euribor benchmark rate for the period 2004–2018: the specific features that make the Index more vulnerable to manipulation and the potential for Index manipulation over the studied period. To address the first aspect, we examine the range and the standard deviation of daily quotes, as well as the panel banks’ quote submissions to the Euribor administrator, the maximum and minimum quotes and the daily variation of submissions. As a result, we found a group of five banks with similar and extreme submission patterns, which might b…
The pan-European holiday effect
2015
The construction of a single European block in the context of financial markets has caused the different national stock exchanges of the euro area to converge towards one common trading calendar that allows to study whether the holiday effect is a pan-European calendar anomaly or country-specific. By applying simulation methods, we provide evidence of the existence of statistically and economically abnormal positive pre- and post-holiday returns in the Eurozone which are not related to higher than average levels of volatility, but which can be explained by the preference of investors to avoid selling around European holidays.
"Compiling the Actuarial Balance for Pay-As-You-Go Pension Systems. Is it better to use the Hidden Asset or the Contribution Asset?"
2013
The aim of this paper is twofold: to establish the connection between the "contribution asset" (CA) and the "hidden asset" (HA) and to determine whether using either of them to compile the actuarial balance sheet in the pay-as-you-go (PAYG) pension system will provide a reliable solvency indicator. With these aims in mind, we develop a model based on those first put forward by Settergren and Mikula (2005) and Boado-Penas et al. (2008) to obtain the analytical properties of the CA and to confirm its soundness as a measure of the assets of a PAYG scheme. Our model also enables us to explore whether, and to what extent, the HA can be considered a second alternative measure of the assets for PA…
Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices
2018
Abstract This paper examines the time and frequency dynamics of connectedness among stock prices of U.S. clean energy companies, crude oil prices and a number of key financial variables using the methodology developed by Barunik and Krehlik (2018). This approach allows measuring the dynamics of return and volatility connectedness over time and across frequencies simultaneously. The empirical results show that most of return and volatility connectedness is generated in the very short-term, i.e. movements up to five days, while the long-term plays a minor role. Our analysis further reveals a greater degree of interconnectedness across crude oil and financial markets since the onset of the U.S…
Oil price shocks, global financial markets and their connectedness
2020
Abstract This paper extends the literature on the relationship between oil price shocks and financial markets by examining the effect of oil shocks on the sovereign bond markets of a large number of advanced and emerging economies and exploring the impact of oil shocks on the degree of connectedness among international financial markets. We show that the effect of oil price shocks is not only limited to stock market returns, but also extends to bond markets, even after controlling for discount rate shocks as well as aggregate capital market effects. Unlike the case for stock markets, the effect on sovereign bonds is found to be rather heterogeneous (in terms of size and sign) and primarily …