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Author : Paolo Mauro
Publisher :
ISBN 13 :
Total Pages : 396 pages
Book Rating : 4.:/5 (325 download)
Download or read book Essays on Country Risk, Asset Markets and Growth written by Paolo Mauro and published by . This book was released on 1993 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Winston Wei Dou
Publisher :
ISBN 13 :
Total Pages : 383 pages
Book Rating : 4.:/5 (987 download)
Download or read book Essays in Financial Economics written by Winston Wei Dou and published by . This book was released on 2017 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Firat Demir
Publisher :
ISBN 13 :
Total Pages : 292 pages
Book Rating : 4.:/5 (318 download)
Download or read book Three Essays on Financial Liberalization, Country Risk and Low Growth Traps in Argentina, Mexico and Turkey written by Firat Demir and published by . This book was released on 2005 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Graham Bird
Publisher : Springer
ISBN 13 : 1349095885
Total Pages : 308 pages
Book Rating : 4.3/5 (49 download)
Download or read book Managing Global Money written by Graham Bird and published by Springer. This book was released on 1988-05-24 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of articles and papers has been organised under a limited number of specific themes in international financial economics, including balance of payment theory and policy, the activities of the IMF, Special Drawing Rights, the role of the private financial markets, and the international economic order. A unifying theme running through all the essays is that some degree of management of international financial affairs is desirable. The book has a strong policy orientation and should be of interest to students and practitioners of international financial economics alike.
Author : Weneyam Hippolyte Balima
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (123 download)
Download or read book Essays on Economic Policies and Economy of Financial Markets in Developing and Emerging Countries written by Weneyam Hippolyte Balima and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis focuses on some critical issues of the access to international financial markets in developing and emerging market economies. The first part provides a general overview of the macroeconomic consequences of one of the most market-friendly monetary policy regime--inflation targeting--using a meta-regression analysis framework. The second part analyses government bond market risk and stability. The last part investigates the disciplining effects of government bond market participation--bond vigilantes. In Chapter 1, the results indicate that the literature of the macroeconomic effects of inflation targeting adoption is subject to publication bias. After purging the publication bias, the true effect of inflation targeting appears to be statistically and economically meaningful both on the level of inflation and the volatility of economic growth, but not statistically significant on inflation volatility or real GDP growth. Third, differences in the impact of inflation targeting found in primary studies can be explained by differences in studies characteristics including the sample characteristics, the empirical identification strategies, the choice of the control variables, inflation targeting implementation parameters, as well as the study period and some parameters related to the publication process. Chapter 2 shows that the adoption of inflation targeting regime reduces sovereign debt risk in emerging countries. However, this relative advantage of inflation targeting--compared to money or exchange rate targeting--varies systematically depending on the business cycle, the fiscal policy stance, the level of development, and the duration of countries' experience with inflation targeting. Chapter 3 shows that remittances inflows significantly reduce bond spreads, whereas development aid does not. It also highlights that the effect of remittances on spreads arises in a regimes of lower developed financial system, higher degree of trade openness, lower fiscal space, and exclusively in non-remittances dependent regimes. Chapter 4 indicates that countries with credit default swaps contracts on their debts have a higher probability of experiencing a debt crisis, compared to countries without credit default swaps contracts. It also finds that the impact of credit default swaps initiation is sensitive to several structural characteristics including the level of economic development, the country creditworthiness at the timing of credit default swaps introduction, the public sector transparency, the central bank independence; and to the duration of countries' experiences with credit default swaps transactions. Chapter 5 shows that bond markets participation encourages government in developing countries to increase their domestic tax revenue mobilization. Finally, it finds that bond markets participation improves the mobilization of internal taxes, compared to tax on international trade, and reduces their instability. Chapter 6 shows that the presence of domestic bond markets significantly reduces financial dollarization in domestic bond markets countries. This effect is larger for inflation targeting countries compared to non-inflation targeting countries, is apparent exclusively in a non-pegged exchange rate regime, and is larger when there is a fiscal rule that constrains the conduct of fiscal policy. Finally, it finds that the induced drop in inflation rate and its variability, nominal exchange rate variability, and seigniorage revenue are potential transmission mechanisms through which the presence of domestic bond markets reduces financial dollarization in domestic bond markets countries.
Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
ISBN 13 : 1498324029
Total Pages : 109 pages
Book Rating : 4.4/5 (983 download)
Download or read book Global Financial Stability Report, October 2019 written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2019-10-16 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: The October 2019 Global Financial Stability Report (GFSR) identifies the current key vulnerabilities in the global financial system as the rise in corporate debt burdens, increasing holdings of riskier and more illiquid assets by institutional investors, and growing reliance on external borrowing by emerging and frontier market economies. The report proposes that policymakers mitigate these risks through stricter supervisory and macroprudential oversight of firms, strengthened oversight and disclosure for institutional investors, and the implementation of prudent sovereign debt management practices and frameworks for emerging and frontier market economies.
Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 1513569678
Total Pages : 92 pages
Book Rating : 4.5/5 (135 download)
Download or read book Global Financial Stability Report, April 2021 written by International Monetary Fund and published by International Monetary Fund. This book was released on 2021-04-06 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extraordinary policy measures have eased financial conditions and supported the economy, helping to contain financial stability risks. Chapter 1 warns that there is a pressing need to act to avoid a legacy of vulnerabilities while avoiding a broad tightening of financial conditions. Actions taken during the pandemic may have unintended consequences such as stretched valuations and rising financial vulnerabilities. The recovery is also expected to be asynchronous and divergent between advanced and emerging market economies. Given large external financing needs, several emerging markets face challenges, especially if a persistent rise in US rates brings about a repricing of risk and tighter financial conditions. The corporate sector in many countries is emerging from the pandemic overindebted, with notable differences depending on firm size and sector. Concerns about the credit quality of hard-hit borrowers and profitability are likely to weigh on the risk appetite of banks. Chapter 2 studies leverage in the nonfinancial private sector before and during the COVID-19 crisis, pointing out that policymakers face a trade-off between boosting growth in the short term by facilitating an easing of financial conditions and containing future downside risks. This trade-off may be amplified by the existing high and rapidly building leverage, increasing downside risks to future growth. The appropriate timing for deployment of macroprudential tools should be country-specific, depending on the pace of recovery, vulnerabilities, and policy tools available. Chapter 3 turns to the impact of the COVID-19 crisis on the commercial real estate sector. While there is little evidence of large price misalignments at the onset of the pandemic, signs of overvaluation have now emerged in some economies. Misalignments in commercial real estate prices, especially if they interact with other vulnerabilities, increase downside risks to future growth due to the possibility of sharp price corrections.
Author : Yusuke Tateno
Publisher :
ISBN 13 :
Total Pages : 120 pages
Book Rating : 4.:/5 (826 download)
Download or read book Essays on International Comovements of Financial Markets written by Yusuke Tateno and published by . This book was released on 2011 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: International portfolio diversification is beneficial only if asset returns are not significantly correlated across countries. Therefore, it is essential for investors who want to make an appropriate portfolio selection to understand the nature of asset return correlations. This thesis consists of three essays on international comovements of financial markets. The first essay analyzes the effects of heterogeneous beliefs and learning on international comovements of equity returns and portfolio rebalancing mechanism. This essay develops a continuous-time general equilibrium model in a two-asset and two-good economy with two representative agents, who differ in perceived rates of output growth and accuracy of beliefs. The equilibrium correlations of equity returns across counties and optimal portfolios are expressed in terms of the differences in beliefs. The main findings are: (1) the differences in perceived rates of output growth generate equity home or foreign bias, resulting in lower crosscountry equity return correlations; and (2) the volatilities of optimal portfolios and capital flows increase with the differences in perceived output growth and with the differences in accuracy of beliefs. The second essay studies the effects of trade costs in goods market on international comovements of equity markets and those on equity home bias. This essay develops a continuous-time general equilibrium model in a two-country, two-asset, and two-good setting where international trade of goods is costly. I solve for the optimal portfolios and the equilibrium correlations of cross-country equity returns and analyze how they change depending on the size of trade costs, the coeiffcient of risk aversion, and the elasticity of substitution between domestic and foreign goods. It is found that the cross-country equity return correlations decrease with the size of trade costs. This result is robust to different sizes of trade costs and asymmetry related to potential growth and consumer preferences. It is also found that the size of the trade costs and other parameter values determine whether trade costs would generate equity home bias or foreign bias. The third essay is devoted to an empirical analysis of the effects of financial integration on international comovements of financial markets. The essay provides a characterization of synchronization among 24 countries over the period 1980-2003. A country-pair panel instrumental variables framework is employed to explain time-varying bilateral correlations among national stock returns, by utilizing the dataset on trade costs in Fitzgerald (2008). It is found that finnancial integration driven by reduction of trade costs leads to a higher degree of synchromization across stock markets.
Author : Mr.Udaibir S. Das
Publisher : International Monetary Fund
ISBN 13 : 1589069277
Total Pages : 330 pages
Book Rating : 4.5/5 (89 download)
Download or read book Economics of Sovereign Wealth Funds written by Mr.Udaibir S. Das and published by International Monetary Fund. This book was released on 2010-12-09 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book covers a wide range of topics of relevance to policymakers in countries that have sovereign wealth funds (SWFs) and those that receive SWF investments. Renowned experts in the field have contributed chapters. The book is organized around four themes: (1) the role and macrofinancial linkages of SWFs, (2) institutional factors, (3) investment approaches and financial markets, and (4) the postcrisis outlook. The book also discusses the challenges facing sovereign wealth funds in the coming years, from an inside perspective on countries, including Canada, Chile, China, Norway, Russia, and New Zealand. Economics of Sovereign Wealth Funds will contribute to a further understanding of the nature, strategies and behavior of SWFs and the environment in which they operate, as their importance is likely to grow in the coming years.
Author : Mr.Ashvin Ahuja
Publisher : International Monetary Fund
ISBN 13 : 1484302567
Total Pages : 28 pages
Book Rating : 4.4/5 (843 download)
Download or read book Assessing Country Risk written by Mr.Ashvin Ahuja and published by International Monetary Fund. This book was released on 2017-06-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assessing country risk is a core component of surveillance at the IMF. It is conducted through a comprehensive architecture, covering both bilateral and multilateral dimensions. This note describes some of the approaches used internally by Fund staff to examine a wide array of systemic risks across advanced, emerging, and low-income economies. It provides a high-level view of the theory and methodologies employed, with an on-line companion guide providing more technical details of implementation. The guide will be updated as Fund staff’s methodologies for assessing country risk continue to evolve with experience and feedback. While the results of these approaches are not published by the IMF for market sensitivity reasons, they inform risk assessments featured in bilateral surveillance as well as in the IMF’s flagship publications on global surveillance.
Author : John H. Cochrane
Publisher : Now Publishers Inc
ISBN 13 : 1933019158
Total Pages : 117 pages
Book Rating : 4.9/5 (33 download)
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Author : Ross Levine
Publisher :
ISBN 13 :
Total Pages : 130 pages
Book Rating : 4.:/5 (318 download)
Download or read book Finance and Growth written by Ross Levine and published by . This book was released on 2004 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper reviews, appraises, and critiques theoretical and empirical research on the connections between the operation of the financial system and economic growth. While subject to ample qualifications and countervailing views, the preponderance of evidence suggests that both financial intermediaries and markets matter for growth and that reverse causality alone is not driving this relationship. Furthermore, theory and evidence imply that better developed financial systems ease external financing constraints facing firms, which illuminates one mechanism through which financial development influences economic growth. The paper highlights many areas needing additional research"--NBER website
Author : Lobsang Tenzin Tshering
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (955 download)
Download or read book Essays on Consumption Risk in International Asset Markets written by Lobsang Tenzin Tshering and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Maria Ayelen Banegas
Publisher :
ISBN 13 : 9781124784649
Total Pages : 184 pages
Book Rating : 4.7/5 (846 download)
Download or read book Essays on Predictability of Emerging Markets Growth and Financial Performance written by Maria Ayelen Banegas and published by . This book was released on 2011 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation seeks to better understand the underlying factors driving financial performance and economic activity in international markets. The first chapter "Predictability of Growth in Emerging Markets: Information in Financial Aggregates" tests for predictability of output growth in a panel of twenty-two emerging market economies. I use pooled panel data methods that control for endogeneity and persistence in the predictor variables to test the predictive power of a large set of financial aggregates including valuation measures, interest rates, and capital flows. I find empirical evidence that stock returns, portfolio investment flows, the term spread and default spreads help predict output growth in emerging markets. In particular, large capital inflows predict subsequent high GDP growth as do high term spreads. Conversely, higher default spreads on emerging market government debt signals lower future GDP growth. Results also suggest that the performance of global aggregates such as commodity markets, a cross-sectional firm size factor, and returns on the market portfolio contain information about the future state of the economy. I benchmark my results against the US and find that there are differences in information flows and the role of capital markets in predicting economic growth. My analysis extends previous findings in the macro-finance literature on the links between the real economy and financial market performance. Within emerging markets, a largely unexplored area of research is related to the study of mutual funds performance. In my second chapter, "Emerging Market Mutual Fund Performance and the State of the Economy" I propose a set of asset class specific predictive variables and exploit them in order to identify those funds that outperform the market in different phases of the economic cycle. I employ a comprehensive survivorship-bias free universe of global and regional emerging market funds and use a Bayesian framework that incorporates predictability in manager skills (stock selection and benchmark timing skills), fund risk loadings and benchmark returns by exploiting ex-ante business cycle related state variables. Results provide empirical evidence of return predictability and the economic value of active management in emerging markets. My final dissertation chapter studies market integration and segmentation and their effects on return predictability. In "Mutual Fund Return Predictability in Partially Segmented Markets" (co-authored with B. Gillen, A. Timmermann and R. Wermers) we generalize existing models for Bayesian asset selection by considering both integrated and partially segmented market models. We find that regional state variables can be used to identify a significant time-varying alpha component among a large sample of funds with a pan- European, European country, or European sector focus. Specifically, the default yield spread, term spread, dividend yield, short interest rate and market volatility, as well as macroeconomic variables tracking consumer price inflation and growth in industrial production prove valuable in identifying, ex-ante, funds with superior performance. Our analysis also suggests that allowing for segmentation in market risk factors enhances risk-adjusted performance.
Author : Dana Kiku
Publisher :
ISBN 13 : 9780549068228
Total Pages : 142 pages
Book Rating : 4.0/5 (682 download)
Download or read book Essays on the Role of Long Run Risks in Asset Markets written by Dana Kiku and published by . This book was released on 2007 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third chapter analyzes the relative contribution of long- versus short-run risks in asset cash flows and returns to the overall risk premium. Using various identification schemes, I isolate permanent and transitory consumption shocks and show that the cost of long-run consumption uncertainty far exceeds that for transitory (business-cycle) fluctuations in consumption. This evidence reinforces findings in the recent asset pricing literature that long-run consumption risks are the dominant source of risk compensations in financial markets.
Author : Bongseok Choi
Publisher :
ISBN 13 :
Total Pages : 103 pages
Book Rating : 4.:/5 (818 download)
Download or read book Essays on Industry Investment and Financial Markets written by Bongseok Choi and published by . This book was released on 2011 with total page 103 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation investigates asymmetries of financing patterns, depending on group characteristics - firm size or riskiness, which have shown in the empirical literature. The dissertation consists of two essays. This first essay, Financial innovation, Firm size and Growth, proposes a model of Schumpeterian growth endogeneizing the disproportionate impact of financial innovation on small firm sectors. Entrepreneurial skill on a continuum of types is private information. Hence, the severity of adverse selection problems between investors and entrepreneurs varies based on firm size. In the absence of financial innovation, the arrival of a new technology frontier renders existing screening technology obsolete, thereby making it more challenging for an investor to design a truth-telling mechanism, particularly with small firm (and size-dispersed) sectors. Thus, successful financial innovation is more pronounced in such sectors. The link between financial innovation and the small firm (and size-dispersed) sectors is weak in financially developing countries. I test my model prediction by using cross-country and cross-sector data at the European industry level. This result is consistent with my prediction. The second essay, Firm risks, Capital allocation frictions and the Business cycles, attempts to address new findings in business cycles: the cross-sectional standard deviation of firm level investment rate (investment dispersion) is at most acyclical or procyclical. This differs from the dispersion of productivity, output, and interest rates, which is countercyclical. I develop a dynamic stochastic general equilibrium model of physical capital matching frictions between heterogeneous firms and investors. In the mode, economic fluctuations are caused mainly by shocks to heterogeneity in firms' risks. One main feature is that investors search firms with priority given to loans to safe firms. Because safe firms are most likely to benefit from capital accumulation, this setting drives asymmetric patterns of firm-level business cycles - output, investment rate, and interest rates in a unified framework. In essence, the uncertainty in heterogeneous risks across firms generates the pro- or a-cyclical behavior of investment dispersions which is the data demonstrates.
Author : Dejanir Henrique Silva
Publisher :
ISBN 13 :
Total Pages : 191 pages
Book Rating : 4.:/5 (958 download)
Download or read book Essays on Macroeconomics and Risk Premium written by Dejanir Henrique Silva and published by . This book was released on 2016 with total page 191 pages. Available in PDF, EPUB and Kindle. Book excerpt: The thesis consists of three essays on how macroeconomic policy can be an important determinant of risk premium and how variations in risk premium may affect macroeconomic policy. Unconventional monetary policy represents a main example of how the transmission of macroeconomic policy is mediated by movements in risk premium. In the first essay, I examine how unconventional monetary policy affects asset prices by reallocating risk in the economy. I consider an environment with heterogeneity in risk tolerance and limited asset market participation. Risk-tolerant investors take leveraged positions, exposing the economy to balance sheet recessions. Limited asset market participation implies the balance sheet of the central bank is non-neutral. Unconventional monetary policy reduces the risk premium and endogenous volatility. During balance sheet recessions, asset purchases boost investment and growth. In contrast, during normal times, the expectation of future interventions reduces growth. Leveraged institutions respond to the policy by reducing risk-taking relatively more than risk-averse investors. As risk concentration falls, the probability of negative tail-events is reduced, enhancing financial stability. An important determinant of entrepreneurial activity in developing countries is the amount of risk the entrepreneur must bear. The second essay, joint with Robert M. Townsend, analyzes the risk-taking behavior of entrepreneurs. Using data from a survey conducted in villages in Thailand, we document substantial heterogeneity in entrepreneurial activity. The fraction of net worth invested by entrepreneurs in risky activities decreases over the life cycle. Consumption-to-wealth ratio is U-shaped, being high for young and old entrepreneurs. We propose a model that captures both the life cycle patterns and limited idiosyncratic insurance observed in the Thai data. An expansion in idiosyncratic insurance will reduce the idiosyncratic risk premium, increasing the proportion of wealth invested in risky activities and aggregate output. However, as the return on the project falls, entrepreneurs accumulate less wealth, reducing their welfare in the long-run. The third essay studies the optimal response of fiscal policy to a risk premium shock when a country is in a currency union. In the context of an open economy New Keynesian model, I show that the government should not deviate from the optimal provision of public goods at an attempt to stabilize the economy. A consumption tax is used to lean against the wind and reduce the real interest rate in the presence of a positive risk premium shock. A VAT tax allows the government to independently influence the terms of trade. Optimal fiscal policy has the property of being revenue-generating. Therefore, there is not necessarily a trade off between stabilization policy and fiscal consolidation.
