Search results for "jel:G10"
showing 10 items of 13 documents
Estructura de la bolsa española e introducción del mercado de activos derivados sobre el IBEX-35
2001
-Jose.E.Farinos@uv.es -Matilde.Fernandez@uv.es La controversia acerca de si la implantación y negociación de activos derivados afecta a la estabilidad de los respectivos mercados de contado perdura desde hace más de dos décadas. En este trabajo abordamos la problemática anterior desde una nueva perspectiva. Concretamente, analizamos el impacto que sobre la estructura del mercado bursátil ha podido tener la introducción de los mercados de activos derivados sobre el IBEX-35. Para ello, definimos e identificamos la estructura del mercado bursátil para el periodo de estudio, y, a continuación, analizamos el efecto que sobre la misma ha tenido la aparición de los nuevos mercados de derivados. Nu…
CASE STUDY REGARDING THE FINANCIAL PERFORMANCE BASED ON RATES OF RETURN, FOR COMPANIES LISTED ON BUCHAREST STOCK EXCHANGE, ACTING IN MINING AND QUARR…
2013
Analysing the relationships between elements of an enterprise's financial statements, especially between elements from the balance sheet and those from the profit and loss account, the rates of return adds greater utility to the consumers of financial information, offering the possibility to make comparisons over time and space as well as to make reference to internal and external rates. Considering the companies listed on Bucharest Stock Exchange among the best performing, due to the high requirements imposed by a stock market, in this paper has been analyzed the way the financial crisis affected the financial performance in Mining and Quarrying Domain.
Holes in the Dike: the global savings glut, U.S. house prices and the long shadow of banking deregulation
2015
We explore empirically how capital inflows into the US and financial deregulation within the United States interacted in driving the run-up (and subsequent decline) in US housing prices over the period 1990-2010. To obtain an ex ante measure of financial liberalization, we focus on the history of interstate-banking deregulation during the 1980s, i.e. prior to the large net capital inflows into the US from China and other emerging economies. Our results suggest a long shadow of deregulation: in states that opened their banking markets to out-of-state banks earlier, house prices were more sensitive to capital inflows. We provide evidence that global imbalances were a major positive funding sh…
Banking Competition, Collateral Constraints and Optimal Monetary Policy
2013
We analyze optimal monetary policy in a model with two distinct financial frictions. First, borrowing is subject to collateral constraints. Second, credit flows are intermediated by monopolistically competitive banks, thus giving rise to endogenous lending spreads. We show that, up to a second order approximation, welfare maximization is equivalent to stabilization of four goals: inflation, output gap, the consumption gap between constrained and unconstrained agents, and the distribution of the collateralizable asset between both groups. Following both financial and non-financial shocks, the optimal monetary policy commitment implies a short-run trade-off between stabilization goals. Such p…
Neoclassical growth, manufacturing agglomeration, and terms of trade
2007
This paper presents an integrated view of economic growth, development traps, and economic geography. We explain why there is income convergence among some countries (neoclassical regime) and income divergence among others (poverty trap regime). Income convergence (divergence) and manufacturing industry diffusion (agglomeration) are re-enforcing each other in a cumulative process. Moreover, trade openness may trigger a catch-up process of an economy that is stuck in a \"poverty trap\". This catch-up is characterized by an increase in the investment-to-GDP ratio and an improvement of the terms of trade. A new dynamic welfare gain of trade liberalization is identified, which is likely to be l…
The Institutional Determinants of Private Equity Involvement in Business Groups: The Case of Africa
2018
This study examines the governance attributes of post-IPO (initial public offering) retained ownership of private equity in business group constituent firms in contrast to their unaffiliated counterparts, in 202 newly listed firms in 22 emerging African economies. We adopt an actor centered institutional-theoretic perspective in rationalizing institutional voids and the advantages of maintained governance by both business angels (BA) and venture capital (VC) private equity. Our findings reveal private equity retain higher post-IPO ownership in business group constituents compared to unaffiliated firms and that this is inversely moderated in the context of improving institutional quality – w…
The Intraday Interest Rate: What's that?
2015
We study the intraday interest rate in a CCP-based GC pooling repo market and its key determinants. Since collateral used in this market is identical to collateral eligible for the daylight overdraft facility of the Eurosystem, any intraday rate in this market cannot be a result of collateral constraints keeping banks from using the overdraft for arbitrage. Nevertheless, we find that in the crisis period a statistically and economically significant intraday spread (up to 60 basis points) prevailed that was only somewhat mitigated by the ECB's unconventional monetary policy measures. Our results show that this spread was mainly determined by the market liquidity of the repo market, suggestin…
SINGLE FACTOR STOCHASTIC MODELS WITH SEASONALITY APPLIED TO UNDERLYING WEATHER DERIVATIVES VARIABLES
2003
This paper estimates single factor stochastic models describing daily air temperature behaviour. We modify classical financial models to reflect temperature seasonality and fit them to a time series representing temperatures in Spain. The estimated models are used in Montecarlo simulations to obtain heating and cooling degree-days, which are used as an underlying reference in weather derivatives. The final goal of this work is to obtain an insight into weather derivative valuation, and so making it easier to manage economic activity risks closely related to temperature (i.e. oil, gas and electricity prices and volumes). En este trabajo se estiman modelos estocásticos unifactoriales que desc…
How costly are debt crises?
2011
The aim of this paper is to assess the short- and medium-term impact of debt crises on GDP. Using an unbalanced panel of 154 countries from 1970 to 2008, the paper shows that debt crises produce significant and long-lasting output losses, reducing output by about 10 percent after eight years. The results also suggest that debt crises tend to be more detrimental than banking and currency crises. The significance of the results is robust to different specifications, identification and endogeneity checks, and datasets.
Notations et écarts de rentabilité : le marché français avant l'euro
2003
The main task of this paper is to confront two classical measures of default risk of the issuer, the rating and the spread. The first is attributed by agencies specialized in this activity (Standard and Poor's or Moody's) while the second results directly from the market price of the bond. This article studies this link over a period of two years for about forty French denominated bonds. Two measures of the spread are used and the results obtained show the very partial consideration of this information by the investors on the French bond market.