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Measuring Contagion Between Energy Market And Stock Market During Financial Crisis
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Book Synopsis Interconnectedness and Contagion Analysis: A Practical Framework by : Mrs.Jana Bricco
Download or read book Interconnectedness and Contagion Analysis: A Practical Framework written by Mrs.Jana Bricco and published by International Monetary Fund. This book was released on 2019-10-11 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of a country’s financial system. This paper offers detailed and practical guidance on how to conduct a comprehensive analysis of interconnectedness and contagion for a country’s financial system under various circumstances. We survey current approaches at the IMF for analyzing interconnectedness within the interbank, cross-sector and cross-border dimensions through an overview and examples of the data and methodologies used in the Financial Sector Assessment Program. Finally, this paper offers practical advice on how to interpret results and discusses potential financial stability policy recommendations that can be drawn from this type of in-depth analysis.
Book Synopsis Research on Volatility and Contagion Effect in Stock Market by : Dexiang Mei
Download or read book Research on Volatility and Contagion Effect in Stock Market written by Dexiang Mei and published by Scientific Research Publishing, Inc. USA. This book was released on 2020-12-06 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volatility has been one of the cores of the financial theory research, in addition to the stock markets is an important part of modern financial markets. Research on volatility and contagion effect in stock market is an important part of the theory of financial markets research. This book in-cludes the following four parts.
Book Synopsis International Financial Contagion by : Stijn Claessens
Download or read book International Financial Contagion written by Stijn Claessens and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 461 pages. Available in PDF, EPUB and Kindle. Book excerpt: No sooner had the Asian crisis broken out in 1997 than the witch-hunt started. With great indignation every Asian economy pointed fingers. They were innocent bystanders. The fundamental reason for the crisis was this or that - most prominently contagion - but also the decline in exports of the new commodities (high-tech goods), the steep rise of the dollar, speculators, etc. The prominent question, of course, is whether contagion could really have been the key factor and, if so, what are the channels and mechanisms through which it operated in such a powerful manner. The question is obvious because until 1997, Asia's economies were generally believed to be immensely successful, stable and well managed. This question is of great importance not only in understanding just what happened, but also in shaping policies. In a world of pure contagion, i.e. when innocent bystanders are caught up and trampled by events not of their making and when consequences go far beyond ordinary international shocks, countries will need to look for better protective policies in the future. In such a world, the international financial system will need to change in order to offer better preventive and reactive policy measures to help avoid, or at least contain, financial crises.
Book Synopsis Does Financial Connectedness Predict Crises? by : Ms.Camelia Minoiu
Download or read book Does Financial Connectedness Predict Crises? written by Ms.Camelia Minoiu and published by International Monetary Fund. This book was released on 2013-12-24 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global financial crisis has reignited interest in models of crisis prediction. It has also raised the question whether financial connectedness - a possible source of systemic risk - can serve as an early warning indicator of crises. In this paper we examine the ability of connectedness in the global network of financial linkages to predict systemic banking crises. Our results indicate that increases in a country's financial interconnectedness and decreases in its neighbors' connectedness are associated with a higher probability of banking crises after controlling for macroeconomic fundamentals.
Book Synopsis Financial Crises Explanations, Types, and Implications by : Mr.Stijn Claessens
Download or read book Financial Crises Explanations, Types, and Implications written by Mr.Stijn Claessens and published by International Monetary Fund. This book was released on 2013-01-30 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper briefly reviews theoretical and empirical studies on developments in these markets around financial crises. Second, what are the major types of financial crises? The paper focuses on the main theoretical and empirical explanations of four types of financial crises—currency crises, sudden stops, debt crises, and banking crises—and presents a survey of the literature that attempts to identify these episodes. Third, what are the real and financial sector implications of crises? The paper briefly reviews the short- and medium-run implications of crises for the real economy and financial sector. It concludes with a summary of the main lessons from the literature and future research directions.
Book Synopsis Quantifying Systemic Risk by : Joseph G. Haubrich
Download or read book Quantifying Systemic Risk written by Joseph G. Haubrich and published by University of Chicago Press. This book was released on 2013-01-24 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the aftermath of the recent financial crisis, the federal government has pursued significant regulatory reforms, including proposals to measure and monitor systemic risk. However, there is much debate about how this might be accomplished quantitatively and objectively—or whether this is even possible. A key issue is determining the appropriate trade-offs between risk and reward from a policy and social welfare perspective given the potential negative impact of crises. One of the first books to address the challenges of measuring statistical risk from a system-wide persepective, Quantifying Systemic Risk looks at the means of measuring systemic risk and explores alternative approaches. Among the topics discussed are the challenges of tying regulations to specific quantitative measures, the effects of learning and adaptation on the evolution of the market, and the distinction between the shocks that start a crisis and the mechanisms that enable it to grow.
Book Synopsis Financial Market Contagion in the Asian Crisis by : Mr.Taimur Baig
Download or read book Financial Market Contagion in the Asian Crisis written by Mr.Taimur Baig and published by International Monetary Fund. This book was released on 1998-11-01 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. Cross-country correlations among currencies and sovereign spreads are found to increase significantly during the crisis period, whereas the equity market correlations offer mixed evidence. A set of dummy variables using daily news is constructed to capture the impact of own-country and cross-border news on the markets. After controlling for own-country news and other fundamentals, the paper shows evidence of cross-border contagion in the currency and equity markets.
Book Synopsis The Financial Crisis Inquiry Report by : Financial Crisis Inquiry Commission
Download or read book The Financial Crisis Inquiry Report written by Financial Crisis Inquiry Commission and published by Cosimo, Inc.. This book was released on 2011-05-01 with total page 692 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Financial Crisis Inquiry Report, published by the U.S. Government and the Financial Crisis Inquiry Commission in early 2011, is the official government report on the United States financial collapse and the review of major financial institutions that bankrupted and failed, or would have without help from the government. The commission and the report were implemented after Congress passed an act in 2009 to review and prevent fraudulent activity. The report details, among other things, the periods before, during, and after the crisis, what led up to it, and analyses of subprime mortgage lending, credit expansion and banking policies, the collapse of companies like Fannie Mae and Freddie Mac, and the federal bailouts of Lehman and AIG. It also discusses the aftermath of the fallout and our current state. This report should be of interest to anyone concerned about the financial situation in the U.S. and around the world.THE FINANCIAL CRISIS INQUIRY COMMISSION is an independent, bi-partisan, government-appointed panel of 10 people that was created to "examine the causes, domestic and global, of the current financial and economic crisis in the United States." It was established as part of the Fraud Enforcement and Recovery Act of 2009. The commission consisted of private citizens with expertise in economics and finance, banking, housing, market regulation, and consumer protection. They examined and reported on "the collapse of major financial institutions that failed or would have failed if not for exceptional assistance from the government."News Dissector DANNY SCHECHTER is a journalist, blogger and filmmaker. He has been reporting on economic crises since the 1980's when he was with ABC News. His film In Debt We Trust warned of the economic meltdown in 2006. He has since written three books on the subject including Plunder: Investigating Our Economic Calamity (Cosimo Books, 2008), and The Crime Of Our Time: Why Wall Street Is Not Too Big to Jail (Disinfo Books, 2011), a companion to his latest film Plunder The Crime Of Our Time. He can be reached online at www.newsdissector.com.
Book Synopsis The Great Recession by : Robert L. Hetzel
Download or read book The Great Recession written by Robert L. Hetzel and published by Cambridge University Press. This book was released on 2012-04-16 with total page 401 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since publication of Hetzel's The Monetary Policy of the Federal Reserve (Cambridge University Press, 2008), the intellectual consensus that had characterized macroeconomics has disappeared. That consensus emphasized efficient markets, rational expectations and the efficacy of the price system in assuring macroeconomic stability. The 2008–9 recession not only destroyed the professional consensus about the kinds of models required to understand cyclical fluctuations but also revived the credit-cycle or asset-bubble explanations of recession that dominated thinking in the nineteenth century and the first half of the twentieth century. These 'market-disorder' views emphasize excessive risk taking in financial markets and the need for government regulation. The present book argues for the alternative 'monetary-disorder' view of recessions. A review of cyclical instability over the last two centuries places the 2008–9 recession in the monetary-disorder tradition, which focuses on the monetary instability created by central banks rather than on a boom-bust cycle in financial markets.
Book Synopsis Covid-19 Pandemic And Energy Markets: Commodity Markets, Cryptocurrencies And Electricity Consumption Under The Covid-19 by : Khaled Guesmi
Download or read book Covid-19 Pandemic And Energy Markets: Commodity Markets, Cryptocurrencies And Electricity Consumption Under The Covid-19 written by Khaled Guesmi and published by World Scientific. This book was released on 2021-09-15 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: The World Health Organization confirmed COVID-19 a pandemic on March 11, 2020, causing vast impact on international economy. The coronavirus pandemic has given rise to an unprecedented global health and economic crises. Apart from the toll of early deaths, economic activities have been stalled and stock markets have tumbled, while a wide range of energy markets — including oil, gas and renewable energy — have been severely affected. This crisis The pandemic has stressed the critical value of the health care infrastructure and electricity infrastructure. In view of the above, while governments and policy makers respond to these interlinked crises, they must not lose sight of a major challenge of our time: clean energy transitions.The pandemic has continued to to slow down the recovery of economic activities and consumption due to combination of many factors such as economic recession, expensive storage, warm climate, and enormous uncertainty. Mitigation and adaptation policies are crucial to overcoming the crisis. The commodity futures market will depend on the effectiveness of decision-makers' policies in containing the COVID-19 outbreak and reducing the negative effect of the pandemic on economic activities. This book seeks to throw light on the adverse effects of COVID-19 through enhanced scientific and multi-disciplinary knowledge. The chapters in the book show that the energy, stock, crypto-currencies markets are vulnerable to the surge in coronavirus deaths.
Book Synopsis The Global Financial Crisis by : Dick K. Nanto
Download or read book The Global Financial Crisis written by Dick K. Nanto and published by DIANE Publishing. This book was released on 2009 with total page 127 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contents: (1) Recent Developments and Analysis; (2) The Global Financial Crisis and U.S. Interests: Policy; Four Phases of the Global Financial Crisis; (3) New Challenges and Policy in Managing Financial Risk; (4) Origins, Contagion, and Risk; (5) Effects on Emerging Markets: Latin America; Russia and the Financial Crisis; (6) Effects on Europe and The European Response: The ¿European Framework for Action¿; The British Rescue Plan; Collapse of Iceland¿s Banking Sector; (7) Impact on Asia and the Asian Response: Asian Reserves and Their Impact; National Responses; (8) International Policy Issues: Bretton Woods II; G-20 Meetings; The International Monetary Fund; Changes in U.S. Reg¿s. and Regulatory Structure; (9) Legislation.
Book Synopsis Managing Climate Risk in the U.S. Financial System by : Leonardo Martinez-Diaz
Download or read book Managing Climate Risk in the U.S. Financial System written by Leonardo Martinez-Diaz and published by U.S. Commodity Futures Trading Commission . This book was released on 2020-09-09 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: This publication serves as a roadmap for exploring and managing climate risk in the U.S. financial system. It is the first major climate publication by a U.S. financial regulator. The central message is that U.S. financial regulators must recognize that climate change poses serious emerging risks to the U.S. financial system, and they should move urgently and decisively to measure, understand, and address these risks. Achieving this goal calls for strengthening regulators’ capabilities, expertise, and data and tools to better monitor, analyze, and quantify climate risks. It calls for working closely with the private sector to ensure that financial institutions and market participants do the same. And it calls for policy and regulatory choices that are flexible, open-ended, and adaptable to new information about climate change and its risks, based on close and iterative dialogue with the private sector. At the same time, the financial community should not simply be reactive—it should provide solutions. Regulators should recognize that the financial system can itself be a catalyst for investments that accelerate economic resilience and the transition to a net-zero emissions economy. Financial innovations, in the form of new financial products, services, and technologies, can help the U.S. economy better manage climate risk and help channel more capital into technologies essential for the transition. https://doi.org/10.5281/zenodo.5247742
Book Synopsis Stress Testing at the IMF by : Mr.Tobias Adrian
Download or read book Stress Testing at the IMF written by Mr.Tobias Adrian and published by International Monetary Fund. This book was released on 2020-02-05 with total page 73 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explains specifics of stress testing at the IMF. After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps of an IMF staff stress test. They are followed by a discussion on how IMF staff uses stress tests results for policy advice. The paper concludes by identifying remaining challenges to make stress tests more useful for the monitoring of financial stability and an overview of IMF staff work program in that direction. Stress tests help assess the resilience of financial systems in IMF member countries and underpin policy advice to preserve or restore financial stability. This assessment and advice are mainly provided through the Financial Sector Assessment Program (FSAP). IMF staff also provide technical assistance in stress testing to many its member countries. An IMF macroprudential stress test is a methodology to assess financial vulnerabilities that can trigger systemic risk and the need of systemwide mitigating measures. The definition of systemic risk as used by the IMF is relevant to understanding the role of its stress tests as tools for financial surveillance and the IMF’s current work program. IMF stress tests primarily apply to depository intermediaries, and, systemically important banks.
Book Synopsis Economics—Advances in Research and Application: 2013 Edition by :
Download or read book Economics—Advances in Research and Application: 2013 Edition written by and published by ScholarlyEditions. This book was released on 2013-06-21 with total page 843 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economics—Advances in Research and Application: 2013 Edition is a ScholarlyEditions™ book that delivers timely, authoritative, and comprehensive information about Tariffs. The editors have built Economics—Advances in Research and Application: 2013 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Tariffs in this book to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Economics—Advances in Research and Application: 2013 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.
Book Synopsis Financial Crisis, Contagion, and Containment by : Padma Desai
Download or read book Financial Crisis, Contagion, and Containment written by Padma Desai and published by Princeton University Press. This book was released on 2014-11-23 with total page 319 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a sweeping, up-to-date, and boldly critical account of the financial crises that rocked East Asia and other parts of the world beginning with the collapse of the Thai baht in 1997. Retracing the story of Asia's "Crisis Five"--Indonesia, Malaysia, South Korea, the Philippines, and Thailand--Padma Desai argues that the region's imprudently fast-paced opening to the free flow of capital was pushed by determined advocates, official and private, in the global economy's U.S.-led developed center. Turmoil ensued in these peripheral economies, the Russian ruble faltered, and Brazil was eventually hit. The inequitable center-periphery relationship also extended to the policy measures that the crisis-swept economies implemented under International Monetary Fund bailouts, which intensified the downturns induced by the panic-driven outflows of short-term capital. Financial Crisis, Contagion, and Containment examines crisis origin and resolution in a comparative perspective by combing empirical evidence from the most robust economies to the least. Why is the U.S. relatively successful at weathering economic ups and downs? Why is Japan stuck in policy paralysis? Why is the European Central Bank unable to achieve both inflation control and stable growth? How can emerging markets avoid turbulence amid free-flowing speculative capital from private lenders of the developed center? Engaging and nontechnical yet deeply insightful, this book appears at a time when the continuing turmoil in Argentina has revived policy debates for avoiding and addressing financial crises in emerging market economies.
Book Synopsis Financial and Macroeconomic Connectedness by : Francis X. Diebold
Download or read book Financial and Macroeconomic Connectedness written by Francis X. Diebold and published by Oxford University Press. This book was released on 2015-02-03 with total page 285 pages. Available in PDF, EPUB and Kindle. Book excerpt: Connections among different assets, asset classes, portfolios, and the stocks of individual institutions are critical in examining financial markets. Interest in financial markets implies interest in underlying macroeconomic fundamentals. In Financial and Macroeconomic Connectedness, Frank Diebold and Kamil Yilmaz propose a simple framework for defining, measuring, and monitoring connectedness, which is central to finance and macroeconomics. These measures of connectedness are theoretically rigorous yet empirically relevant. The approach to connectedness proposed by the authors is intimately related to the familiar econometric notion of variance decomposition. The full set of variance decompositions from vector auto-regressions produces the core of the 'connectedness table.' The connectedness table makes clear how one can begin with the most disaggregated pair-wise directional connectedness measures and aggregate them in various ways to obtain total connectedness measures. The authors also show that variance decompositions define weighted, directed networks, so that these proposed connectedness measures are intimately related to key measures of connectedness used in the network literature. After describing their methods in the first part of the book, the authors proceed to characterize daily return and volatility connectedness across major asset (stock, bond, foreign exchange and commodity) markets as well as the financial institutions within the U.S. and across countries since late 1990s. These specific measures of volatility connectedness show that stock markets played a critical role in spreading the volatility shocks from the U.S. to other countries. Furthermore, while the return connectedness across stock markets increased gradually over time the volatility connectedness measures were subject to significant jumps during major crisis events. This book examines not only financial connectedness, but also real fundamental connectedness. In particular, the authors show that global business cycle connectedness is economically significant and time-varying, that the U.S. has disproportionately high connectedness to others, and that pairwise country connectedness is inversely related to bilateral trade surpluses.
Book Synopsis Managing in Recovering Markets by : S. Chatterjee
Download or read book Managing in Recovering Markets written by S. Chatterjee and published by Springer. This book was released on 2014-10-27 with total page 491 pages. Available in PDF, EPUB and Kindle. Book excerpt: The changing dynamics of business worldwide have led organizations to look beyond traditional managerial practices while at the same time attempting to retain their core competitive advantages. This development has called upon academicians and practitioners alike to reassess the different aspects of business management such as macroeconomic variables, the nature of the market, the changing features of the workplace, the new work ethos, and/or employer-employee exchanges. In this context, the book provides essential insights on industry innovations, academic advances and policy movements with regard to recovering markets in India and around the globe. The individual papers highlight potential avenues that could allow industry to better understand and respond to the global crisis. The book collects research papers presented at the Global Conference on Managing in Recovering Markets (GCMRM), held in March 2014. Seven international and 120 national business schools and management universities were represented at the conference, the first in a series of 13 planned under the GCMRM agenda for 2014–17. The book includes more than 30 research papers chosen from a pool of 118 presented at the conference, all of which have undergone a rigorous blind review process.
