Essays On International Capital Markets Under Uncertainty
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Essays On International Capital Markets Under Uncertainty
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Author : Leonardo Bartolini
language : en
Publisher:
Release Date : 1991
Essays On International Capital Markets Under Uncertainty written by Leonardo Bartolini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.
Essays In Capital Markets
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Author : Anna V. Pavlova
language : en
Publisher:
Release Date : 2000
Essays In Capital Markets written by Anna V. Pavlova and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.
Essays On Risk And Uncertainty In Economics And Finance
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Author : Jorge Mario Uribe Gil
language : en
Publisher: Ed. Universidad de Cantabria
Release Date : 2022-11-22
Essays On Risk And Uncertainty In Economics And Finance written by Jorge Mario Uribe Gil and has been published by Ed. Universidad de Cantabria this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-11-22 with Business & Economics categories.
This book adds to the resolution of two problems in finance and economics: i) what is macro-financial uncertainty? : How to measure it? How is it different from risk? How important is it for the financial markets? And ii) what sort of asymmetries underlie financial risk and uncertainty propagation across the global financial markets? That is, how risk and uncertainty change according to factors such as market states or market participants. In Chapter 2, which is entitled “Momentum Uncertainties”, the relationship between macroeconomic uncertainty and the abnormal returns of a momentum trading strategy in the stock market is studies. We show that high levels of uncertainty in the economy impact negatively and significantly the returns of a portfolio of stocks that consist of buying past winners and selling past losers. High uncertainty reduces below zero the abnormal returns of momentum, extinguishes the Sharpe ratio of the momentum strategy, while increases the probability of momentum crashes both by increasing the skewness and the kurtosis of the momentum return distribution. Uncertainty acts as an economic regime that underlies abrupt changes over time of the returns generated by momentum strategies. In Chapter 3, “Measuring Uncertainty in the Stock Market”, a new index for measuring stock market uncertainty on a daily basis is proposed. The index considers the inherent differentiation between uncertainty and the common variations between the series. The second contribution of chapter 3 is to show how this financial uncertainty index can also serve as an indicator of macroeconomic uncertainty. Finally, the dynamic relationship between uncertainty and the series of consumption, interest rates, production and stock market prices, among others, is analized. In chapter 4: “Uncertainty, Systemic Shocks and the Global Banking Sector: Has the Crisis Modified their Relationship?” we explore the stability of systemic risk and uncertainty propagation among financial institutions in the global economy, and show that it has remained stable over the last decade. Additionally, a new simple tool for measuring the resilience of financial institutions to these systemic shocks is provided. We examine the characteristics and stability of systemic risk and uncertainty, in relation to the dynamics of the banking sector stock returns. This sort of evidence is supportive of past claims, made in the field of macroeconomics, which hold that during the global financial crisis the financial system may have faced stronger versions of traditional shocks rather than a new type of shock. In chapter 5, “Currency downside risk, liquidity, and financial stability”, downside risk propagation across global currency markets and the ways in which it is related to liquidity is analyzed. Two primary contributions to the literature follow. First, tail-spillovers between currencies in the global FX market are estimated. This index is easy to build and does not require intraday data, which constitutes an important advantage. Second, we show that turnover is related to risk spillovers in global currency markets. Chapter 6 is entitled “Spillovers from the United States to Latin American and G7 Stock Markets: A VAR-Quantile Analysis”. This chapter contributes to the studies of contagion, market integration and cross-border spillovers during both regular and crisis episodes by carrying out a multivariate quantile analysis. It focuses on Latin American stock markets, which have been characterized by a highly positive dynamic in recent decades, in terms of market capitalization and liquidity ratios, after a far-reaching process of market liberalization and reforms to pension funds across the continent during the 80s and 90s. We document smaller dependences between the LA markets and the US market than those between the US and the developed economies, especially in the highest and lowest quantiles.
Essays In Financial Economics
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Author : Winston Wei Dou
language : en
Publisher:
Release Date : 2017
Essays In Financial Economics written by Winston Wei Dou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This thesis consists of three essays that theoretically and empirically investigate the asset pricing and macroeconomic implications of uncertainty shocks, propose new measures for model robustness, explain the joint dynamics on equity excess returns and real exchange rates. In the first chapter, I show that the effect of uncertainty shocks on asset prices and macroeconomic dynamics depends on the degree of risk sharing in the economy and the origin of uncertainty. I develop a general equilibrium model with imperfect risk sharing and two sources of uncertainty shocks: (i) cash-flow uncertainty shocks, which affect the idiosyncratic volatility of firms' productivity, and (ii) growth uncertainty shocks, which affect the idiosyncratic variability of firms' investment opportunities. My model deviates from the neoclassical setting in one respect: firms' investment policies are set by the experts who are subject to a moral hazard problem and thus must maintain an non-diversified ownership stake in the firm. As a result, risk sharing between experts and other investors is imperfect. Limited risk sharing distorts equilibrium investment choices, firm valuation, and prices of risk in equilibrium relative to the frictionless benchmark. In the calibrated model, the risk premium on growth uncertainty shocks is negative under poor risk sharing conditions and positive otherwise. Moreover, the cross-sectional spread in valuations between value and growth stocks loads positively on the growth uncertainty shocks under poor risk sharing conditions and negatively otherwise. Empirical tests support these predictions of the model. The second chapter is based on the joint work Chen, Dou, and Kogan (2015), in which we propose a new quantitative measure of model fragility, based on the tendency of a model to over-fit the data in sample with poor out-of-sample performance. We formally show that structural economic models are fragile when the cross-equation restrictions they impose on the baseline statistical model appear excessively informative about combinations of model parameters that are otherwise difficult to estimate. We develop an analytically tractable asymptotic approximation to our fragility measure which we use to identify the problematic parameter combinations. Using these asymptotic results, we diagnose fragility in asset pricing models with rare disasters and long-run consumption risk. The third chapter is based on the joint work Dou and Verdelhan (2015), which presents a two-good, two-country real model that replicates the basic stylized facts on equity excess returns and real interest rates. In the model, markets are incomplete. In each country, workers cannot participate in financial markets whereas investors trade domestic and foreign stocks, as well as an international bond. The investors' asset positions are subject to a borrowing constraint, along with a short-selling constraint on equity. Foreign and domestic agents differ in their elasticity of inter temporal substitution and in their risk-aversion. A time-varying probability of a global disaster implies time-varying risk premia in asset markets, and therefore large and time-varying expected valuation effects on international asset positions. The model highlights the role of market incompleteness and heterogeneity across countries in accounting for the volatility of equity and debt international capital flows.
Uncertainty Expectations And Asset Price Dynamics
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Author : Fredj Jawadi
language : en
Publisher: Springer
Release Date : 2018-11-30
Uncertainty Expectations And Asset Price Dynamics written by Fredj Jawadi and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-11-30 with Business & Economics categories.
Written in honor of Emeritus Professor Georges Prat (University of Paris Nanterre, France), this book includes contributions from eminent authors on a range of topics that are of interest to researchers and graduates, as well as investors and portfolio managers. The topics discussed include the effects of information and transaction costs on informational and allocative market efficiency, bubbles and stock price dynamics, paradox of rational expectations and the principle of limited information, uncertainty and expectation hypotheses, oil price dynamics, and nonlinearity in asset price dynamics.
Essays On International Finance And Currency Economics
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Author : Yida Li
language : en
Publisher:
Release Date : 2022
Essays On International Finance And Currency Economics written by Yida Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
My dissertation consists of three chapters which address questions in international finance and currency economics. Chapter 1 studies the persistence of covered interest rate parity (CIP) deviations. Since global financial crisis (GFC), the CIP deviations have implied a persistent dollar financing premium for banks versus other major currencies. In this paper, I decompose the CIP deviation into three parts: credit spread differential between U.S. and non- U.S. economies, bank’s default premium, and the liquidity needs of global banks. Then I empirically examine whether the data accords with the model predictions, and find that the relative significance of each component in CIP deviation has changed over time, as default premium was the dominant driver around GFC, credit spread differential has been catching up significantly in recent years. In chapter 2, we use a joint model of macroeconomic and term structure dynamics to estimate the term premia and inflation risk premia embedded in the euro area and U.S. sovereign bonds yields. We find that the fall in real risk premia has been the primary driver of declining yields, given ECB assets purchases and forward guidance which lowered the uncertainty over the projected path of short-term rates. In addition, contrary to the Federal Reserve, the ECB’s new strategy review has yet to lift inflation expectations in our sample period with financial markets expecting inflation to remain below 2 percent. We subsequently build a model of the term premia to forecast the euro area 10-year yield curve and find that yields will likely remain depressed over the medium-term under various scenarios. In chapter 3, we examine the economic determinants of the foreign exchange uncertainty with a focus on options prices. FX option prices theoretically contain information over and above that is included in the spot exchange rate markets, as they reflect the market’s perception of the uncertainty surrounding future exchange rate developments. However, little research efforts have been devoted to examine the economic determinants of the FX uncertainty with a focus on options prices. This paper addresses this issue using the option data by characterizing the economic determinants of FX market un- certainty. In a data-rich environment containing a large number of macroeconomic variables, we find that shocks of output and income variables, as well as monetary and credit variables generate significant and consistent impacts on the general risk sentiment and tail risk in the FX market. Shrinkage method of group LASSO also selects macroeconomic fundamentals and financial variables to have consistent impacts on FX market uncertainties. Besides the standard linear analyses, we adopt the neural network method to examine the non-linear association between economic determinants and FX option volatility. The results connect the time-varying FX market risks at both short and long term with macroeconomic fundamentals, and may in addition suggest that financial uncertainty co-movements also exist in currency markets.
Essays On The Stability And Regulation Of International Financial Markets
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Author : Manuel Buchholz
language : en
Publisher:
Release Date : 2016
Essays On The Stability And Regulation Of International Financial Markets written by Manuel Buchholz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Essays In International Capital Markets
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Author : Mandeep S. Chahal
language : en
Publisher:
Release Date : 1997
Essays In International Capital Markets written by Mandeep S. Chahal and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Debts, External categories.
Essays On International Capital Markets
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Author : Jose Miguel Torres
language : en
Publisher:
Release Date : 2007
Essays On International Capital Markets written by Jose Miguel Torres and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
The recognition of benefits of international diversification, and the deregulation and internationalization of financial markets have spurred international investing. Therefore the analysis of the international capital markets looks of great importance. The expectations model has been one of the workhorses of empirical finance for a generation, and the first chapter of this dissertation develops statistical evidence concerning the expectations hypothesis beyond US government bond yields. The Campbell and Shiller regressions provide feeble evidence against the expectations hypothesis. However, long rates move in the opposite direction from the one predicted by the expectations hypothesis. Moreover, the regressions of excess returns on forward rates indicate that linear combinations of the latter into single factors have significant predictive power. The conventional yield factors do not appear to fully capture the single factors, but the slope factor seems to explain a significant fraction of their variation. Also, no macro variable succeeds in capturing the single factors. Lastly, foreign single factors tend to have important predictive power beyond that provided by the local single factors.
Essays On International Capital Markets
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Author : Woochan Kim
language : en
Publisher:
Release Date : 2001
Essays On International Capital Markets written by Woochan Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.