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Risk Factors And Contagion In Commodity Markets And Stocks Markets
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Book Synopsis Risk Factors And Contagion In Commodity Markets And Stocks Markets by : Stephane Goutte
Download or read book Risk Factors And Contagion In Commodity Markets And Stocks Markets written by Stephane Goutte and published by World Scientific. This book was released on 2020-04-28 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: The link between commodities prices and the business cycle, including variables such as real GDP, industrial production, unemployment, inflation, and market uncertainty, has often been debated in the macroeconomic literature. To quantify the impact of commodities on the economy, one can distinguish different modeling approaches. First, commodities can be represented as the pinnacle of cross-sectional financial asset prices. Second, price fluctuations due to seasonal variations, dramatic market changes, political and regulatory decisions, or technological shocks may adversely impact producers who use commodities as input. This latter effect creates the so-called 'commodities risk'. Additionally, commodities price fluctuations may spread to other sectors in the economy, via contagion effects. Besides, stronger investor interest in commodities may create closer integration with conventional asset markets; as a result, the financialization process also enhances the correlation between commodity markets and financial markets.Our objective in this book, Risk Factors and Contagion in Commodity Markets and Stocks Markets, lies in answering the following research questions: What are the interactions between commodities and stock market sentiment? Do some of these markets move together overtime? Did the financialization in energy commodities occur after the 2008 Global Financial Crisis? These questions are essential to understand whether commodities are driven only by their fundamentals, or whether there is also a systemic component influenced by the volatility present within the stock markets.
Book Synopsis Wave After Wave by : Bernardina Algieri
Download or read book Wave After Wave written by Bernardina Algieri and published by . This book was released on 2017 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Theories of Contagion by : Andreas Vester
Download or read book Theories of Contagion written by Andreas Vester and published by diplom.de. This book was released on 2006-10-02 with total page 89 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inhaltsangabe:Abstract: In recent years academics and policy makers have become more and more interested in the phenomenon of contagion, a concept involving the transmission of a financial crisis from one country to one or more other countries. During the 1990s world capital markets witnessed a number of financial crises. In 1992 the Exchange Rate Mechanism (ERM) crisis hit the European continent. Several countries in Latin America have been rocked during the 1994-95 Tequila crisis, and the Asian Flu spread through East Asian countries in 1997-98 with dramatic social implications. Later in 1998 the famous hedge fund Long Term Capital Management (LTCM) had to file for bankruptcy and the Russian debt failure shocked international capital markets and increased volatility on a global scale. The crisis spread to as far as Brazil in early 1999 and developed markets have become victims as well. The question asked by academics and policy makers is how countries should behave in order to avoid contagion. To answer this question it is necessary to understand the different channels of contagion in greater detail and how a crisis can be transmitted from one country to another. The objective of this paper is to highlight those channels and to present a number of models and theories of contagion, which have recently been developed by academics. In general, there are several strands of theories in the literature that try to explain the transmission of crises. During the mid and late 1990s fundamental-based contagion and spillovers became popular among researchers and policy makers. Furthermore, financial linkages have been known to contribute to contagion. In contrast, in recent years, portfolio flows of international investors moved into the focus of academics. The advocates of fundamental-based contagion and spillovers argue that trade linkages between countries are responsible for contagion. For instance, a devaluation of a country's currency may lead to a negative change in fundamentals of its trading partners. On the other hand, contagion due to financial linkages is mainly explained by the fact that countries share the same banks and therefore have common creditors. A crisis in one country then leads to a deteriorating balance sheet of those common creditors. This in turn may force banks to withdraw money out of other countries in order to avoid further losses, a fact that leads to contagious sellouts. The role of international portfolio flows, which is [...]
Book Synopsis Contagion in Financial Markets by : Friedrich L. Sell
Download or read book Contagion in Financial Markets written by Friedrich L. Sell and published by Edward Elgar Publishing. This book was released on 2001-01-01 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book aims to integrate the notions of contagion in epidemiology and contagion in financial market crises to discover why emerging markets are so susceptible to financial crises. The author first provides a brief introduction of the contagious spill-over of recent financial market crises and models the pattern of these crises. He finds that the contagion between crises in emerging markets, such as that of the crises in Russia and Brazil in 1998-1999, is explicable, despite the fact that at first sight they appear to have little in common. Finally, Friedrich Sell integrates these findings to outline a proposal for a 'new international financial architecture'.
Book Synopsis Essays on Systemic Risk and Stock Market Contagion by : Claudio Nicolai Wewel
Download or read book Essays on Systemic Risk and Stock Market Contagion written by Claudio Nicolai Wewel and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Commodity Market Contagion Under Uncertainty by : Gazi Salah Uddin
Download or read book Commodity Market Contagion Under Uncertainty written by Gazi Salah Uddin and published by . This book was released on 2018 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study explores the economic and financial effects of uncertainty on the commodity market integration. This issue is important from the perspective of financialization versus hedging strategy, as the commodity market plays an important role in this context. We consider the eight major developed equity markets and three major sectors of the commodity futures markets including energy, metals and agriculture, and several sources of uncertainty. To this end, we use the panel smooth transition regression (PSTR) to capture the heterogeneity in the regression coefficients that vary across individuals and over time. Our main findings indicate a significant effect of uncertainty on the commodity markets in the two “extreme regimes” of the financial market (recessions and booms), and the sign of this effect is heterogeneous depending on the type of commodity and the source of uncertainty.
Book Synopsis Handbook Of Global Financial Markets: Transformations, Dependence, And Risk Spillovers by : Sabri Boubaker
Download or read book Handbook Of Global Financial Markets: Transformations, Dependence, And Risk Spillovers written by Sabri Boubaker and published by World Scientific. This book was released on 2019-06-27 with total page 828 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this handbook is to provide the readers with insights about current dynamics and future potential transformations of global financial markets. We intend to focus on four main areas: Dynamics of Financial Markets; Financial Uncertainty and Volatility; Market Linkages and Spillover Effects; and Extreme Events and Financial Transformations and address the following critical issues, but not limited to: market integration and its implications; crisis risk assessment and contagion effects; financial uncertainty and volatility; role of emerging financial markets in the global economy; role of complex dynamics of economic and financial systems; market linkages, asset valuation and risk management; exchange rate volatility and firm-level exposure; financial effects of economic, political and social risks; link between financial development and economic growth; country risks; and sovereign debt markets.
Book Synopsis Extreme Contagion in Equity Markets by : Jorge A. Chan-Lau
Download or read book Extreme Contagion in Equity Markets written by Jorge A. Chan-Lau and published by International Monetary Fund. This book was released on 2002-05 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study uses bivariate extremal dependence measures, based on the number of equity return co-exceedances in two markets, to quantify both negative and positive equity returns contagion in mature and emerging equity markets during the past decade. The results indicate (a) higher contagion for negative returns than for positive returns; (b) a secular increase in contagion in Latin America not matched in other regions; (c) global increases in contagion following the 1998 financial crises; and (d) that the use of simple correlations as a proxy for contagion could be misleading, as the former exhibit low correlation with extremal dependence measures of contagion.
Book Synopsis Financial Contagion and Investor "Learning" by : Ritu Basu
Download or read book Financial Contagion and Investor "Learning" written by Ritu Basu and published by International Monetary Fund. This book was released on 2002-12 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: There have been several episodes of financial market "contagion" in the 1990s. Is contagion driven by herd behavior? Does it reflect fundamental economic linkages between countries? Or are episodes of contagion driven by investor learning and risk reassessment about a select group of countries? We pursue these questions by studying the persistence in the spillover of shocks following the bond market developments in Hong Kong SAR in 1997. Our results suggest that this contagion, at least for a few countries, was a consequence of adverse sentiment shifts arising from investor learning and was not merely driven by changes in fundamentals.
Book Synopsis Stock Markets Crisis and Contagion by : Sichong Chen
Download or read book Stock Markets Crisis and Contagion written by Sichong Chen and published by . This book was released on 2007 with total page 201 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Measuring Contagion Between Energy Market and Stock Market During Financial Crisis by : Xiaoqian Wen
Download or read book Measuring Contagion Between Energy Market and Stock Market During Financial Crisis written by Xiaoqian Wen and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we apply time-varying copulas to investigate whether a contagion effect existed between energy and stock markets during the recent financial crisis. Using the WTI oil spot price, the S&P500 index, the Shanghai stock market composite index and the Shenzhen stock market component index returns, evidence was found for a significantly increasing dependence between crude oil and stock markets after the failure of Lehman Brothers, thus supporting the existence of contagion in the sense of Forbes and Rigobon's (2002) definition. Moreover, increased tail dependence and symmetry characterize all the paired markets. This indicates that significant increases in tail dependence are an actual dimension of the contagion phenomenon and that crude oil and stock prices are linked to the same degree regardless of whether markets are booming or crashing during the sample period. Finally, the contagion effect is found to be much weaker for China than the US. The empirical results have potentially important implications for risk management.
Book Synopsis A Rational Expectations Model of Financial Contagion by : Laura E. Kodres
Download or read book A Rational Expectations Model of Financial Contagion written by Laura E. Kodres and published by . This book was released on 2003 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a multiple asset rational expectations model of asset prices to study the determinants of financial market contagion, and to provide an explanation for the pattern of contagion during the Asian financial crisis. Our findings show that the pattern and severity of financial contagion depends on the size of markets' sensitivities to common macroeconomic risk factors. The amount of information asymmetry within a financial market also increases its susceptibility to contagion. We focus on contagion through the cross-market hedging of macroeconomic risks. Through this channel, idiosyncratic shocks in one market are transmitted to others. Interestingly, contagion can occur between markets that have no macroeconomic risks in common. In addition, contagion occurs in the absence of any news, and before the macroeconomic risk factors are realized. Because contagion occurs through hedging, the pattern of contagion is strongly influenced by the presence or absence of derivatives markets for unbundling and hedging the macroeconomic risks. Errors in market participants' beliefs about dynamic hedging activity influence the pattern of contagion and, in some cases, strongly magnify the size of the contagious price responses.
Book Synopsis Asset Markets Contagion During the Global Financial Crisis by : Dimitris Kenourgios
Download or read book Asset Markets Contagion During the Global Financial Crisis written by Dimitris Kenourgios and published by . This book was released on 2017 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the contagion effects of the 2007-2009 global financial crisis across multiple asset markets and different regions. It uses daily return data of six asset classes: stocks, bonds, commodities, shipping, foreign exchange and real estate. A robust analysis of financial contagion is provided by estimating and comparing asymmetric conditional correlations among asset markets during stable and turmoil periods. Results provide evidence on the existence of a correlated-information channel as a contagion mechanism among the US stocks, real estate, commodities and emerging Brazilian bond index. The findings also support the decoupling of BRIC equity markets from the crisis, the diversification benefits of shipping and foreign exchange value of the US dollar indices, and the existence of a flight to quality mechanism from risky US assets to German bonds. This evidence has important implications for portfolio diversification strategies and the future work of policymakers.
Book Synopsis Cryptofinance: A New Currency For A New Economy by : Stephane Goutte
Download or read book Cryptofinance: A New Currency For A New Economy written by Stephane Goutte and published by World Scientific. This book was released on 2021-10-13 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The rapid advancement in encryption and network computing gave birth to new tools and products that have influenced the local and global economy alike. One recent and notable example is the emergence of virtual currencies, also known as cryptocurrencies or digital currencies. Virtual currencies, such as Bitcoin, introduced a fundamental transformation that affected the way goods, services, and assets are exchanged. Virtual currencies are experiencing an increasing popularity in the financial markets and in portfolio management as can be classified as financial asset or commodities on a scale from pure medium of exchange advantages to pure store of value advantages. As a result of its distributed ledgers based on blockchain, cryptocurrencies offer some unique advantages to the economy, investors, and consumers, but also pose considerable risks to users and challenges for regulators when fitting the new technology into the old legal framework. Bitcoin for example may be useful in risk management and ideal for risk-averse investors in anticipation of negative shocks to the market. The core objective of this proposed book is to provide a comprehensive discussion on the important issues related to cryptocurrencies ranging from pricing, financial, legal to technological aspects.
Book Synopsis Financial And Economic Systems: Transformations And New Challenges by : Zied Ftiti
Download or read book Financial And Economic Systems: Transformations And New Challenges written by Zied Ftiti and published by World Scientific. This book was released on 2021-03-22 with total page 609 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last twenty years, several periods of turmoil have shaped the financial and economic system. Many regulatory policies, such as Basel III, have been introduced to overcome further crises and scandals. In addition, monetary policy has experienced a transition from conventional to unconventional frameworks in most industrialized and emerging economies. For instance, turning to hedge and diversification of portfolios, commodities markets have attracted increasing interest. More recently, new forms of money have been introduced, such as virtual money. These changes have influenced governance features at both macro and micro levels. Therefore, calls for ethical and sustainable standards in financial and economic spheres have been growing since 2007.Financial and Economic Systems: Transformations and New Challenges provides readers with insights about future transformations and challenges for financial and economic systems. Prominent contributors focus on different aspects, providing a global overview of crisis implications. The book is split into four main areas: Changes in the Real Sphere, covering issues related to yields, risk, unconventional monetary policy, and macroprudential policy; Financial Markets and Macroeconomics, covering uncertainty in finance and economics; CSR, Sustainability and Ethical Finance, highlighting the emergence of corporate social responsibility; and Digitalization, Blockchain and FinTech and the consequences of these transformations on markets and economic systems.
Book Synopsis Productivity Growth in the Manufacturing Sector by : Mihir Kumar Pal
Download or read book Productivity Growth in the Manufacturing Sector written by Mihir Kumar Pal and published by Emerald Group Publishing. This book was released on 2021-06-03 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: The growth of manufacturing industries is one of the key sectors in helping to mitigate global recessions. Productivity Growth in the Manufacturing Sector thoroughly discusses issues and potential remedies of this sector for a range of international countries.
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
