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Author : Stephanie E. Curcuru
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.3/5 (121 download)
Download or read book Decomposing the U.S. External Returns Differential written by Stephanie E. Curcuru and published by . This book was released on 2009 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : International Monetary Fund. Research Dept.
Publisher : International Monetary Fund
ISBN 13 : 1589067959
Total Pages : 216 pages
Book Rating : 4.5/5 (89 download)
Download or read book IMF Staff Papers, Volume 56, No. 2 written by International Monetary Fund. Research Dept. and published by International Monetary Fund. This book was released on 2009-06-03 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: China’s growth performance since the start of economic reforms in 1978 has been impressive, but the gains have not been distributed equally across provinces. We use a nonparametric approach to analyze the variation in labor productivity growth across China’s provinces. This approach imposes less structure on the data than the standard growth accounting framework and allows for a breakdown of labor productivity into efficiency gains, technological progress, and capital deepening. We have the following results. First, we find that on average capital deepening accounts for about 75 percent of total labor productivity growth, while efficiency and technological improvements account for about 7 and 18 percent, respectively. Second, technical change is not neutral. Third, whereas improvement in efficiency contributes to convergence in labor productivity between provinces, technical change contributes to productivity disparity across provinces. Finally, we find that foreign direct investment has a positive and significant effect on efficiency growth and technical progress.
Author : Gueorgui S Konstantinov
Publisher : World Scientific
ISBN 13 : 9811272581
Total Pages : 421 pages
Book Rating : 4.8/5 (112 download)
Download or read book Quantitative Global Bond Portfolio Management written by Gueorgui S Konstantinov and published by World Scientific. This book was released on 2023-10-06 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative Global Bond Portfolio Management offers a comprehensive discussion of quantitative modelling approaches to managing global bond and currency portfolios. Drawing on practitioner and academic research, as well as the extensive market experience of the authors, the book provides a timely overview of cutting-edge tools applied to the management of global bond portfolios, including in-depth discussions of factor models and optimization techniques. In addition to providing a solid theoretical foundation for global bond portfolio management, the authors focus on the practical implementation of yield curve and currency-driven approaches that can be successfully implemented in actual portfolios. As such, the book will be an indispensable resource to both new and seasoned investors looking to enhance their understanding of global bond markets and strategies.
Author : International Monetary Fund. Monetary and Financial Systems Dept.
Publisher : International Monetary Fund
ISBN 13 : 1484320565
Total Pages : 139 pages
Book Rating : 4.4/5 (843 download)
Download or read book Global Financial Stability Report, October 2017 written by International Monetary Fund. Monetary and Financial Systems Dept. and published by International Monetary Fund. This book was released on 2017-10-11 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt: The October 2017 Global Financial Stability Report finds that the global financial system continues to strengthen in response to extraordinary policy support, regulatory enhancements, and the cyclical upturn in growth. It also includes a chapter that examines the short- and medium-term implications for economic growth and financial stability of the past decades’ rise in household debt. It documents large differences in household debt-to-GDP ratios across countries but a common increasing trajectory that was moderated but not reversed by the global financial crisis. Another chapter develops a new macroeconomic measure of financial stability by linking financial conditions to the probability distribution of future GDP growth and applies it to a set of 20 major advanced and emerging market economies. The chapter shows that changes in financial conditions shift the whole distribution of future GDP growth.
Author : Ms.Sonja Keller
Publisher : International Monetary Fund
ISBN 13 : 1451962479
Total Pages : 39 pages
Book Rating : 4.4/5 (519 download)
Download or read book International Pricing of Emerging Market Corporate Debt written by Ms.Sonja Keller and published by International Monetary Fund. This book was released on 2010-01-01 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine risk spreads charged on corporate bonds placed by emerging market borrowers on international exchanges. While global developments have an important effect on spreads, changes in firm-level default risk also matter significantly in a way consistent with theory and experience in mature markets. In contrast, except during periods of financial crisis, country factors play a limited role. These findings go against the supposition that limited information on emerging market firms or significant agency problems prevent firm-level credit discrimination by international investors. The firm-level information capitalization into spreads possibly reflects protection afforded by the exchange listing on international markets.
Author : Nasha Ananchotikul
Publisher : International Monetary Fund
ISBN 13 : 1498340229
Total Pages : 33 pages
Book Rating : 4.4/5 (983 download)
Download or read book Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets written by Nasha Ananchotikul and published by International Monetary Fund. This book was released on 2014-08-19 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, portfolio flows to emerging markets have become increasingly large and volatile. Using weekly portfolio fund flows data, the paper finds that their short-run dynamics are driven mostly by global “push” factors. To what extent do these cross-border flows and global risk aversion drive asset volatility in emerging markets? We use a Dynamic Conditional Correlation (DCC) Multivariate GARCH framework to estimate the impact of portfolio flows and the VIX index on three asset prices, namely equity returns, bond yields and exchange rates, in 17 emerging economies. The analysis shows that global risk aversion has a significant impact on the volatility of asset prices, while the magnitude of that impact correlates with country characteristics, including financial openness, the exchange rate regime, as well as macroeconomic fundamentals such as inflation and the current account balance. In line with earlier literature, portfolio flows to emerging markets are also found to affect the level of asset prices, as was the case in particular during the global financial crisis.
Author : Andrew Colin
Publisher : John Wiley & Sons
ISBN 13 : 0470013583
Total Pages : 162 pages
Book Rating : 4.4/5 (7 download)
Download or read book Fixed Income Attribution written by Andrew Colin and published by John Wiley & Sons. This book was released on 2005-05-05 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fixed income attribution is by its very nature a complex and mathematically demanding topic, and there is little information available on this area. Fixed Income Attribution has been written to fill this tremendous void. This comprehensive resource contains both theoretical and practical information about running and understanding fixed income attribution, including the mathematics of attribution, practical limitations, benchmarks, presentation tools, and choosing and running an attribution system. Filled with insightful examples and expert advice, Fixed Income Attribution is the perfect source of information for those working in this complex environment.
Author : M. A. H. Dempster
Publisher : Cambridge University Press
ISBN 13 : 1139437496
Total Pages : 290 pages
Book Rating : 4.1/5 (394 download)
Download or read book Risk Management written by M. A. H. Dempster and published by Cambridge University Press. This book was released on 2002-01-10 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: The use of derivative products in risk management has spread from commodities, stocks and fixed income items, to such virtual commodities as energy, weather and bandwidth. All this can give rise to so-called volatility and there has been a consequent development in formal risk management techniques to cover all types of risk: market, credit, liquidity, etc. One of these techniques, Value at Risk, was developed specifically to help manage market risk over short periods. Its success led, somewhat controversially, to its take up and extension to credit risk over longer time-scales. This extension, ultimately not successful, led to the collapse of a number of institutions. The present book, which was originally published in 2002, by some of the leading figures in risk management, examines the complex issues that concern the stability of the global financial system by presenting a mix of theory and practice.
Author : Adrian R. Bell
Publisher : Edward Elgar Publishing
ISBN 13 : 0857936093
Total Pages : 494 pages
Book Rating : 4.8/5 (579 download)
Download or read book Handbook of Research Methods and Applications in Empirical Finance written by Adrian R. Bell and published by Edward Elgar Publishing. This book was released on 2013-01-01 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples. Written by international experts in their field, the unique approach describes a question or issue in finance and then demonstrates the methodologies that may be used to solve it. All of the techniques described are used to address real problems rather than being presented for their own sake, and the areas of application have been carefully selected so that a broad range of methodological approaches can be covered. The Handbook is aimed primarily at doctoral researchers and academics who are engaged in conducting original empirical research in finance. In addition, the book will be useful to researchers in the financial markets and also advanced Masters-level students who are writing dissertations.
Author : Yannis Ioannides
Publisher : Princeton University Press
ISBN 13 : 0691126852
Total Pages : 537 pages
Book Rating : 4.6/5 (911 download)
Download or read book From Neighborhoods to Nations written by Yannis Ioannides and published by Princeton University Press. This book was released on 2013 with total page 537 pages. Available in PDF, EPUB and Kindle. Book excerpt: Just as we learn from, influence, and are influenced by others, our social interactions drive economic growth in cities, regions, and nations--determining where households live, how children learn, and what cities and firms produce. From Neighborhoods to Nations synthesizes the recent economics of social interactions for anyone seeking to understand the contributions of this important area. Integrating theory and empirics, Yannis Ioannides explores theoretical and empirical tools that economists use to investigate social interactions, and he shows how a familiarity with these tools is essential for interpreting findings. The book makes work in the economics of social interactions accessible to other social scientists, including sociologists, political scientists, and urban planning and policy researchers. Focusing on individual and household location decisions in the presence of interactions, Ioannides shows how research on cities and neighborhoods can explain communities' composition and spatial form, as well as changes in productivity, industrial specialization, urban expansion, and national growth. The author examines how researchers address the challenge of separating personal, social, and cultural forces from economic ones. Ioannides provides a toolkit for the next generation of inquiry, and he argues that quantifying the impact of social interactions in specific contexts is essential for grasping their scope and use in informing policy. Revealing how empirical work on social interactions enriches our understanding of cities as engines of innovation and economic growth, From Neighborhoods to Nations carries ramifications throughout the social sciences and beyond.
Author : Arik Ben Dor
Publisher : John Wiley & Sons
ISBN 13 : 1118167422
Total Pages : 421 pages
Book Rating : 4.1/5 (181 download)
Download or read book Quantitative Credit Portfolio Management written by Arik Ben Dor and published by John Wiley & Sons. This book was released on 2011-11-08 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: An innovative approach to post-crash credit portfolio management Credit portfolio managers traditionally rely on fundamental research for decisions on issuer selection and sector rotation. Quantitative researchers tend to use more mathematical techniques for pricing models and to quantify credit risk and relative value. The information found here bridges these two approaches. In an intuitive and readable style, this book illustrates how quantitative techniques can help address specific questions facing today's credit managers and risk analysts. A targeted volume in the area of credit, this reliable resource contains some of the most recent and original research in this field, which addresses among other things important questions raised by the credit crisis of 2008-2009. Divided into two comprehensive parts, Quantitative Credit Portfolio Management offers essential insights into understanding the risks of corporate bonds—spread, liquidity, and Treasury yield curve risk—as well as managing corporate bond portfolios. Presents comprehensive coverage of everything from duration time spread and liquidity cost scores to capturing the credit spread premium Written by the number one ranked quantitative research group for four consecutive years by Institutional Investor Provides practical answers to difficult question, including: What diversification guidelines should you adopt to protect portfolios from issuer-specific risk? Are you well-advised to sell securities downgraded below investment grade? Credit portfolio management continues to evolve, but with this book as your guide, you can gain a solid understanding of how to manage complex portfolios under dynamic events.
Author : Filippo di Mauro
Publisher : OUP Oxford
ISBN 13 : 0191649082
Total Pages : 299 pages
Book Rating : 4.1/5 (916 download)
Download or read book The GVAR Handbook written by Filippo di Mauro and published by OUP Oxford. This book was released on 2013-02-28 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: The GVAR is a global Vector autoregression model of the global economy. The model was initially developed in the early 2000 by Professor Pesaran and co-authors, for the main purpose of analysing credit risk in a globalised economy. Starting from mid-2000 the model was substantially enlarged in the context of a project financed by the ECB, to comprise all major economies and the Euro area as a whole. The purpose of this version was to exploit the rich modelisation of international linkages in order to simulate and analyse global macro scenarios of high policy interest. The rich, yet manageable, specification of international linkages has stimulated a vast literature on the GVAR. Since early 2011, the basic model - and its data base - has also available on a dedicated GVAR-Toolbox website with an easy-to-use interface allowing practical applications by an extended audience, as well as more complex analysis by the expert public. The book provides an overview of the extensions and applications of the GVAR which have been developed in recent years. Such applications are grouped in three main categories: 1) International transmission and forecasting; 2) Finance applications; and 3) Regional applications. By using a language which is accessible to not econometricians, the book reaches out to the extended audience of practitioners and policy makers interested in understanding channels and impacts of international linkages.
Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
ISBN 13 : 1475589581
Total Pages : 160 pages
Book Rating : 4.4/5 (755 download)
Download or read book Global Financial Stability Report, April 2013 written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2013-04-17 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Global Financial Stability Report examines current risks facing the global financial system and policy actions that may mitigate these. It analyzes the key challenges facing financial and nonfinancial firms as they continue to repair their balance sheets. Chapter 2 takes a closer look at whether sovereign credit default swaps markets are good indicators of sovereign credit risk. Chapter 3 examines unconventional monetary policy in some depth, including the policies pursued by the Federal Reserve, the Bank of England, the Bank of Japan, the European Central Bank, and the U.S. Federal Reserve.
Author : Maotai Zhao
Publisher : Springer
ISBN 13 : 3642319688
Total Pages : 792 pages
Book Rating : 4.6/5 (423 download)
Download or read book Communcations and Information Processing written by Maotai Zhao and published by Springer. This book was released on 2012-06-28 with total page 792 pages. Available in PDF, EPUB and Kindle. Book excerpt: The two volume set, CCIS 288 and 289, constitutes the thoroughly refereed post-conference proceedings of the First International Conference on Communications and Information Processing, ICCIP 2012, held in Aveiro, Portugal, in March 2012. The 168 revised full papers of both volumes were carefully reviewed and selected from numerous submissions. The papers present the state-of-the-art in communications and information processing and feature current research on the theory, analysis, design, test and deployment related to communications and information processing systems.
Author : Ryuzo Sato
Publisher : Cambridge University Press
ISBN 13 : 9780521568456
Total Pages : 288 pages
Book Rating : 4.5/5 (684 download)
Download or read book Japan, Europe, and International Financial Markets written by Ryuzo Sato and published by Cambridge University Press. This book was released on 1994 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 1994 volume examines the ramifications of deregulation in various financial markets throughout the 1980s.
Author : Filippo di Mauro
Publisher : Springer
ISBN 13 : 0230282075
Total Pages : 236 pages
Book Rating : 4.2/5 (32 download)
Download or read book Catching the Flu from the United States written by Filippo di Mauro and published by Springer. This book was released on 2010-07-14 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: Looking at historical cross-country interactions, this book examines the role of the US in the world economy. Illustrating that US shocks tend to have a global nature and that Monetary Union only partially shelters the Euro area from its external environment, the US should fully assume its responsibility, minimizing shock transmission.
Author : Felix Geiger
Publisher : Springer Science & Business Media
ISBN 13 : 3642215750
Total Pages : 320 pages
Book Rating : 4.6/5 (422 download)
Download or read book The Yield Curve and Financial Risk Premia written by Felix Geiger and published by Springer Science & Business Media. This book was released on 2011-08-17 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: The determinants of yield curve dynamics have been thoroughly discussed in finance models. However, little can be said about the macroeconomic factors behind the movements of short- and long-term interest rates as well as the risk compensation demanded by financial investors. By taking on a macro-finance perspective, the book’s approach explicitly acknowledges the close feedback between monetary policy, the macroeconomy and financial conditions. Both theoretical and empirical models are applied in order to get a profound understanding of the interlinkages between economic activity, the conduct of monetary policy and the underlying macroeconomic factors of bond price movements. Moreover, the book identifies a broad risk-taking channel of monetary transmission which allows a reassessment of the role of financial constraints; it enables policy makers to develop new guidelines for monetary policy and for financial supervision of how to cope with evolving financial imbalances.
