Financial Economics

In this article we investigate the statistical properties of wholesale electricity spot and futures prices traded on the New York Mercantile Exchange for delivery at the California–Oregon Border. Using daily data for the years 1998 and 1999, we find that many of the characteristics of the electricity market can be viewed to be broadly consistent with efficient markets. The futures risk premium for 6‐month futures contracts is estimated to be 0.1328% per day or about 4% per month. Using a GARCH specification, we estimate minimum variance hedge ratios for electricity futures. Finally, we study the dynamic relation between spot and futures prices using an Exponential GARCH model and between the spot and futures returns series using a vector autoregression. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:931–955, 2003

This document aims to analyze the impact on the sustainability of the Central Bank of Uruguay's balance sheet of having defined several simultaneous targets. Potential conflicts between these different targets are studied through a standard model of dynamic analysis of central banks' balance sheets. This situation is first addressed from a theoretical point of view and is afterwards analyzed after a calibration of the Central Bank of Uruguay's information. This study proves that the coexistence of the Central Bank's inflation target and reserve accumulation target results in a systematic deterioration of its balance sheet. The simulations of the balance sheet of the Central Bank of Uruguay show that, even after the 2010 capitalization, to continue the level of accumulation of reserves carried out in recent years, results in a systematic and increasing deterioration of this balance.

Abstract. This document aims to analyze the impact on the sustainability of the Central Bank of Uruguay’s balance sheet of having defined several simultaneous targets. Potential conflicts between these different targets are studied through a standard model of dynamic analysis of central banks’ balance sheets. This situation is first addressed from a theoretical point of view and is afterwards analyzed after a calibration of the Central Bank of Uruguay’s information. This study proves that the coexistence of the Central Bank’s inflation target and reserve accumulation target results in a systematic deterioration of its balance sheet. The simulations of the balance sheet of the Central Bank of Uruguay show that, even after the 2010 capitalization, to continue the level of accumulation of reserves carried out in recent years, results in a systematic and increasing deterioration of this balance.

We introduce a new analytical approach to price American options. Using an explicit and intuitive proxy for the exercise rule, we derive tractable pricing formulas using a short-maturity asymptotic expansion. Depending on model parameters, this method can accurately price options with time-to-maturity up to several years. The main advantage of our approach over existing methods lies in its straightforward extension to models with stochastic volatility and stochastic interest rates. We exploit this advantage by providing an analysis of the impact of volatility mean-reversion, volatility of volatility, and correlations on the American put price.

Using a fast numerical technique, we investigate a large database of investor suboptimal nonexercise of short maturity American call options on dividend-paying stocks listed on the Dow Jones. The correct modelling of the discrete dividend is essential for a correct calculation of the early exercise boundary as confirmed by theoretical insights. Pricing with stochastic volatility and jumps instead of the Black-Scholes-Merton benchmark cuts by a quarter the amount lost by investors through suboptimal exercise. The remaining three quarters are largely unexplained by transaction fees and may be interpreted as an opportunity cost for the investors to monitor optimal exercise.

We would like to thank the editor and the referee for constructive criticism and numerous suggestions which have lead to substantial improvements over the previous versions. We are grateful to M. Franscini-Scaillet for helping us to get the data on fund structure costs and futures trading costs via her industry contacts. We thank L.

We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and Linear Programming. In an application, we use the prospect spanning framework to evaluate whether well-known anomalies are spanned by standard factors. We find that of the strategies considered, many expand the opportunity set of the prospect type investors, thus have real economic value for them. In-sample and out-of-sample results prove remarkably consistent in identifying genuine anomalies for prospect investors.

ABSTRAK Mel Sandy Pombaile. 931 411 176. 2015. Pengaruh Earning Per Share dan Return On Equity terhadap Harga Saham Perusahaan Sub-Sektor Makanan dan Minuman yang terdaftar di BEI. Skripsi Program Studi S1 Manajemen Jurusan Manajemen, Fakultas Ekonomi, Universitas Negeri Gorontalo, dibawah bimbingan Dewi Indrayani Hamin, SE, MM dan Meriyana Fransisca Dungga, SE, MM. Penelitian ini bertujuan untuk mengetahui apakah Earning Per Share (EPS) dan Return On Equity (ROE) berpengaruh terhadap Harga Saham Perusahaan Sub-Sektor Makanan dan Minuman yang terdaftra di BEI. Data penelitian ini didapatkan dengan mengunduh laporan keuangan tahunan melalui website resmi sehingga data dalam penelitian ini data sekunder. Analisis data menggunakan analisis regresi berganda. Hasil penelitian ini menunjukan bahwa secara parsial Earning Per Share berpengaruh signifikan terhadap Harga Saham, dan Return On Equity tidak berpengaruh terhadap Harga Saham Perusahaan Sub-Sektor Makanan dan Minuman yang terdaftar...

Lutfia Agustin Panigoro. 931 411 244. 2015. Pengaruh Tingkat Inflasi Terhadap Return Saham Perusahaan BUMN Yang Terdaftar Di BEI. Skripsi Program Studi S1 Manajemen, Jurusan Manajemen, Fakultas Ekonomi dan Bisnis. Universitas Negeri Gorontalo, di bawah bimbingan Ibu Dewi Indrayani Hamin, SE., MM dan Bapak Idham M. Ishak, SE., M.Si. Penelitian ini bertujuan untuk menganalisis pengaruh dari inflasi terhadap return saham perusahaan BUMN yang terdaftar di BEI. Jumlah populasi dalam penelitian sebanyak 20 perusahaan BUMN, kemudian pengambilan sampel menggunakan metode purposive sampling. Sehingga jumlah sampel penelitian terdiri dari dari 15 perusahaan BUMN. Metode analisis data yang digunakan dalam penelitian ini adalah analisis regresi data panel dan uji hipotesis menggunakan uji t yang sebelumnya telah dilakukan uji asumsi klasik terlebih dahulu. Analisis data menggunakan bantuan program E-Views 6. Hasil penelitian menunjukkan bahwa Inflasi tidak berpengaruh terhadap Return Saham peru...

This study examines the association between types (packages) of executive director’s remuneration and conflicting related-party transactions (RPT-conflict) among listed companies in Malaysia. The hypotheses are analyzed using a sample of 539 listed companies in Malaysia over the period 2012-2014 with 1,615 observations. The results show that salary (cash-based) and in-kinds remuneration pay to executive director are effective at reducing firm’s engagement in RPT-conflict but an executive director fee alone is not attractive enough. The executive directors favor for the combination of remuneration packages, either involving salary and fee, or salary and in-kinds. This study contributes a greater understanding about the effectiveness of different types of executive director’s compensation to minimize the firm’s engagement with related parties. Additionally, the combination of remuneration package is more attractive and effective at minimizing RPTconflict than individual payment of dir...

The enterprise value (EV) is a crucial metric in company valuation as it encompasses not only equity but also assets and liabilities, offering a comprehensive measure of total value, especially for companies with diverse capital structures. The relationship between economic uncertainty and firm value is rooted in economic theory, with early studies dating back to Sandmo's work in 1971 and further elaborated upon by John Kenneth Galbraith in 1977. Subsequent significant events have underscored the pivotal role of uncertainty in the financial and economic realm. Using a VAR-MIDAS methodology, analysis of accumulated impulse responses reveals that the EV of air carrier firms responds heterogeneously to financial and economic uncertainties, suggesting unique coping strategies. Most firms exhibit negative reactions to recessionary risks and economic policy uncertainties. Financial shocks also elicit varied responses, with positive impacts observed on EV in response to increases in the current ratio and operating income after depreciation. However, high debt levels are unfavorably received by the market, leading to negative EV responses to debt-to-asset ratio shocks. Other financial shocks show mixed or indeterminate impacts on EV.

This study examines the relationship between macroeconomic variables and stock price indices of four prominent OPEC oil-exporting members. Bayesian model averaging (BMA) and regularized linear regression (RLR) are employed to address uncertainties arising from different estimation models and variable selection. Jointness is utilized to determine the nature of relationships among variable pairs. The case study spans macroeconomic variables and stock prices from 1996 to 2018. BMA findings reveal a strong positive association between stock price indices and both consumer price index (CPI) and broad money growth in each analyzed OPEC country. Additionally, the study suggests a weak negative correlation between OPEC oil prices and the stock price index. RLR results align with BMA analysis, offering insights valuable for policymakers and international wealth managers.

This paper investigates the relationship between equity and mortgage real estate investment trust (REIT) returns and inflation. The objective is to establish whether securitized real estate investments provide a reliable inflation hedge. Regression results show that real REIT returns are negatively correlated with the unexpected component of inflation. Therefore, equity and mortgage REIT investments may not offer a safe haven during inflationary periods. Chow tests confirm that there is evidence of a decoupling of REITs from the general stock market for more recent intervals. Fama's proxy hypothesis is also tested: the negative relationship between REITs and inflation is symptomatic of a positive relationship between REITs and real economic activity. However, no support is found for this hypothesis.

This paper investigates the price discovery process between the nearby futures prices of soybean, soy meal, and soy oil contracts (Crush constituents) in the U.S. Relationships between these commodities may bear important implications for trading strategies, market inefficiencies, or the derived demand theory. Furthermore, our findings are relevant in light of market microstructure theories, which maintain that the price information disseminates from more liquid contracts. Our VAR and bivariate GARCH model estimates suggest a strong bi-directional causality in Crush futures prices. We also find that while soybean contracts bear the burden of convergence when the spread between soybean and soy meal contract prices widens, this is not true of soybean and soy oil contracts. Furthermore, we show evidence of considerable volatility persistence for the three contracts and volatility spillover between soybean and other Crush constituent futures. The statistical evidence suggests that information arrives in these markets simultaneously. Our findings do not support the derived demand theory.

This paper investigates the nonlinearities in the behavior of jet fuel prices and air carrier yields as measured by revenue passenger miles(RPMs), where one RPM is defined as one passenger flown one mile in revenue traffic. It indicates that previous research might have overlooked the possibilities of nonlinear dynamics between these two series. Drawing on existing tests of nonlinearities and chaos, this paper first investigates the existence of chaotic behavior as the source of nonlinearities in the monthly prices of jet fuel and RPMs. The findings show strong evidence that the two series exhibit nonlinear dependencies. Evidence is found, however, that this behavior may be inconsistent with chaotic structure. We propose and estimate bivariate GARCH(1,1) and bivariate EGARCH(1,1) models to ascertain the flow of information between jet fuel prices and revenue passenger miles. Estimation results of the bivariate GARCH models offer evidence that the shock transmission between the two series is mainly asymmetric, that is that positive and negative shocks impart degree of volatility differently. It is shown that the positive shocks to jet fuel prices show a substantially higher reaction from the revenue passenger miles. The conclusion is that, RPMs are quite responsive to upward volatility in prices of jet fuel, while falling jet fuel prices may not translate into efficiency gains.

This paper examines the effects of world market volatility on the systematic risk and volatility in four emerging Latin American markets: Argentina, Brazil, Chile, and Mexico. We choose this sample of emerging markets because of their varying capitalization and investor composition. Employing a TARCH (1,1) model, our findings show that the markets under study show high volatility persistence relative to the world market. However, returns and systematic risk in these Latin American emerging markets are found to be independent of the world market. Granger tests of causality verify that the volatility in these emerging markets is independent of the world market volatility and vise versa. Therefore, investors may reduce risk by including Latin equities or index funds in their portfolios.

This paper investigates the relationship between equity and mortgage real estate investment trust (REIT) returns and inflation. The objective is to establish whether securitized real estate investments provide a reliable inflation hedge. Regression results show that real REIT returns are negatively correlated with the unexpected component of inflation. Therefore, equity and mortgage REIT investments may not offer a safe haven during inflationary periods. Chow tests confirm that there is evidence of a decoupling of REITs from the general stock market for more recent intervals. Fama's proxy hypothesis is also tested: the negative relationship between REITs and inflation is symptomatic of a positive relationship between REITs and real economic activity. However, no support is found for this hypothesis.

This paper investigates the price discovery process between the nearby futures prices of soybean, soy meal, and soy oil contracts (Crush constituents) in the U.S.   Relationships between these commodities may bear important implications for trading strategies, market inefficiencies, or the derived demand theory.  Furthermore, our findings are relevant in light of market microstructure theories, which maintain that the price information disseminates from more liquid contracts.  Our VAR and bivariate GARCH model estimates suggest a strong bi-directional causality in Crush futures prices.  We also find that while soybean contracts bear the burden of convergence when the spread between soybean and soy meal contract prices widens, this is not true of soybean and soy oil contracts.  Furthermore, we show evidence of considerable volatility persistence for the three contracts and volatility spillover between soybean and other Crush constituent futures.  The statistical evidence suggests tha...

This paper investigates the impact of margin requirements on the trading activity in the gold and silver futures markets. We extend prior research in at least two ways. First, we examine the role of time to contract-expiration in the relationship between margin levels and trading activity. We make the case that such an examination will reveal the nature of the costs that margins impose on futures traders. Second, we examine the impact margins have on the makeup of traders in futures markets. The evidence indicates that trading activity becomes more sensitive to margin changes as one gets closer to contract maturity, consistent with the notion that margins impose important transaction (rather than opportunity) costs on futures traders. Further to this evidence, we find that speculators and small traders, typically illiquid, are especially sensitive to margins. The data also indicate that margins are likely to be hiked following periods of increased volatility, and reduced following periods of relative stability, suggesting that margin alterations primarily serve as insurance to the futures exchanges.

It is commonly suggested that certain groups of futures traders, such as speculators and small traders, exacerbate cash market volatility. Empirical research on the subject has been conducted in context of the relationship between price volatility and futures volume or open interest and fails to satisfactorily resolve such an issue. This paper examines the relationship between exchange rate variability and futures trading activity in the context of disaggregated open interest. The data and techniques employed allow for more specific inferences regarding which group of traders contribute to exchange volatility. The results suggest that while ‘typical’ levels of futures commitments are not destabilizing, surges in the level of commitments of large speculators and small traders causes exchange rate volatility. The actual release of the commitment‐of‐traders data, however, has no impact on spot prices.

We test for the presence of low-dimensional chaotic structure in crude oil, heating oil, and unleaded gasoline futures prices from the early 1980s. Evidence on chaos will have important implications for regulators and short-term trading strategies. While we find strong evidence of non-linear dependencies, the evidence is not consistent with chaos. Our test results indicate that ARCH-type processes, with controls for seasonal variation in prices, generally explain the non-linearities in the data. We also demonstrate that employing seasonally adjusted price series contributes to obtaining robust results via the existing tests for chaotic structure. Maximum likelihood methodologies, that are robust to the non-linear dynamics, lend support for Samuelson's hypothesis on contract-maturity effects in futures price-changes. However, the tests for chaos are not found to be sensitive to the maturity effects in the futures contracts. The results are robust to controls for the oil shocks of 1986 and 1991.

Le marketing d'influence connaît une transformation majeure grâce à l'intelligence artificielle (IA), qui optimise la sélection des influenceurs, le ciblage des audiences et l'analyse des performances. Les technologies d'IA, telles que le traitement du langage naturel et les algorithmes d'apprentissage automatique, permettent de concevoir des campagnes plus pertinentes, personnalisées et rentables. L'émergence d'influenceurs virtuels générés par IA offre de nouvelles opportunités, avec un potentiel d'engagement élevé et un meilleur contrôle des contenus diffusés. Toutefois, cette évolution soulève des enjeux éthiques liés à la transparence, à la protection des données et à la réglementation. L'article explore ces problématiques tout en proposant un modèle conceptuel reliant les apports de l'IA aux résultats des campagnes. Les études empiriques antérieures confirment que l'IA améliore significativement l'efficacité des stratégies d'influence, en renforçant la notoriété des marques et l'engagement des consommateurs. Ce champ en plein essor appelle de nouvelles recherches, notamment sur le rôle croissant des influenceurs virtuels dans la communication digitale.

Финансиската криза од 2007 година е најлошата економска појава по „Големата депресија“(1929). Илјадници луѓе ги загубија своите заштеди, работни места, а некои и своите домови и животи. Потребата од анализирање на причинителите за оваа појава е повеќе од евидентна, со цел учење од минатото и избегнување на слични кризи во иднина. За правилно да разбереме што се случи, истражувањето е потребно да го започнеме со проучување на основните фактори кои ја предизвикаа кризата. Станува збор за низа погрешно донесени одлуки како резултат на постоењето на асиметрични информации, пропратени со неправилности во менаџментот на ризик. Асиметричните информации, односно неповолната селекција и пред сѐ, моралниот хазард се наоѓаат во самиот фундамент на финансиската криза. Моралниот хазард ни ја претставува можноста за преземање на ризик во поголема мера од она што е нормално, притоа знаејќи дека евентуалните штети би ги претрпел некој друг. Така, миксот помеѓу дерегулацијата, високата концентрациј...

Herein, we report the first palladium/MPAA catalyzed enantioselective C-H activation/[4 + 1] annulation of diarylmethyltriflamide and olefins to construct chiral cis-1,3-disubstituted isoindoline derivatives. The use of a readily accessible mono-N-protected amino acid as a chiral ligand improves the efficiency and enantioselectivity of the catalytic transformation. The developed method provides access to both enantiomers of a product using either D or L-phenylalanine derivative as a chiral ligand facilitating the synthesis of both optically active 1,3-disubstituted isoindoline derivatives.

Розглянуто проблему ідентифікації параметрів математичних моделей динамічних процесів, які можуть бути описані звичайними диференціальними рівняннями та системами рівнянь. На прикладі математичних моделей динамічного формування ринкової вартості однієї акції та портфеля цінних паперів розроблено алгоритми побудови оптимальних значень параметрів таких моделей. Алгоритми параметричної ідентифікації та оптимізації ґрунтуються на ітераційних процедурах, які дозволяють на кожному кроці формувати «кращі» з точки зору вибраних критеріїв якості значення параметрів моделі. Гарантовані оцінки параметрів будуються у класі еліпсоїдальних множин, які, на прикладі математичних задач фінансового аналізу, дозволяють отримати гарантовані фінансові показники інвестиційної діяльності.The problem of identification of parameters of mathematical models of dynamic processes is considered that can be described by ordinary differential equations and systems of such equations. Using an example of mathematica...

Regional economic development has the primary objective to increase the number and types of job opportunities for local communities. To achieve this goal, local governments and communities must take the initiative of local development. Gross Regional Domestic Product (GDP) from year to year is one indicator of the success of regional development, in which the role of each economic sector is crucial. The size of the revenue contribution of each economic sector is the result of planning and sectoral development undertaken in the area. Barito Kuala District contributed by 9 (nine) sectors of the economy namely agriculture, mining and quarrying, manufacturing, electricity, gas and water supply, building, trade, hotels and restaurants, transport and communications, finance, leasing and business services, and services. To know the economic sectors with the potential to be developed as supporting economic growth in Barito Kuala District researcher tried to do research with the title Analys...

This study examined the dimensionality of the Emotional Dependence Questionnaire (CDE) in a sample of 440 Ecuadorian university students. Through factor analysis, three structural models-six oblique factors, hierarchical, and bifactor-were compared, with the bifactor model demonstrating the best fit. The findings suggest that emotional dependence is an unidimensional construct with additional specific components, as indicated by robust fit indices (ωH = .90, LCS = .70, PUC = .78). Reliability analysis confirmed excellent internal consistency for the general factor (ω = .96) and acceptable-to-good reliability for specific factors (ω = .70 to .90). Convergent validity was supported by significant correlations with dimensions of Young's Schema Questionnaire. These results establish the CDE as a valid and reliable instrument for assessing emotional dependence in Ecuadorian university students. Practical applications include their use in clinical settings to identify and address emotional dependence patterns and in educational contexts for preventive interventions. Future research should explore the questionnaire's psychometric properties across diverse populations and cultural settings.

Abstract. Until the 21st century, Africa remains the only region in the world where there are countries whose currency is derived from the colonial system. Very far from political and geostrategic considerations, the question has always been asked in order to know the effect of this lack of monetary sovereignty on the evolution of economic activity. Therefore, this study investigates the relationship between Colonial coinage and financial development by applying Generalised Method of Moments. The importance of this approach, is to deal with heterogeneity and endogeneity problems. The sample consist of 48 African countries data over 10 years. This study findings are like-minded with those of economic literature around the law, finance and endowment theory. They suggest that in sub-Saharan Africa, the quality of institutions has a very large influence on access to domestic credit. Moreover, the main enclave for the development of the financial system due to colonial coinage is the slu...

Purpose The purpose of this paper is to investigate whether liquidity risk (i.e. the returns’ vulnerability to the unexpected changes in overall market liquidity) is a priced risk factor in China. Moreover, it investigates the potential role of a stock’s information quality in reducing its liquidity risk during the period of post-non-tradable shares reforms in China. Design/methodology/approach The authors collect data of all the A-share issuing firms listed either on the Shanghai Stock Exchange or Shenzhen Stock Exchange during the period 2006–2016. The authors perform two-stage cross-sectional regression testing. First, the authors perform firm-specific time-series regressions of excess returns over Fama–French’s three-factor model and a liquidity factor. Second, to test whether firm-specific liquidity risk is a priced risk factor, the authors apply Fama and MacBeth’s regressions. Findings Firm-level asset pricing tests provide substantial evidence for market pricing of liquidity ...

The existence of closed-end funds discounts/premiums, although an issue largely studied, it is still puzzling both academics as well as practitioners. As it is well known, they result from the difference between the value of the shares of the fund, determined by the market, and their net asset value (the market value of the securities held by the fund, less the liabilities). Taking into account that the closed-end fund shares are traded on the stock exchange, as well as the assets included on their portfolios, no discrepancies would be expected (at least theoretically) between the market value of the funds and their net asset values, since the market should be able to adjust and correct the prices, due to the fact that the information is widely diffused. In attempt to explain this "puzzle" several theories have been suggested. On one hand, those based on rational factors, such as: potential tax liabilities due to unrealised capital gains, the dividend policy, the fund portfolio composition, agency costs and management performance and, on the other hand, those based on behavioural factors, such as the investor sentiment theory. This latter framework, at least theoretically is, in our view, the one that seems to better explain almost all the features of the "puzzle", trying not only to explain the existence of discounts but also the existence of premiums and their behaviour among the funds themselves and over time. In this context, we developed our research trying to explain the existence and persistence of the discounts/premiums. We also investigate the correlation between the discounts/premiums of those funds among themselves and each other over time, the mean reversion of the discounts/premiums, as well as the predictability power of the fund shares and of the net asset value returns. It was also our objective to search for the relevance of the investor sentiment theory in order to explain the discounts/premiums, so that we used Brauer's (1993) methodology and the signal extraction technique of French and Roll (1986). We also carried out (as far as we know, for the first time) a panel data analysis in order to check how much of the discounts/premiums variability is due to the presence of "noise traders". This research was based on a sample of North-American closed-end funds, which invest mainly on stocks and/or bonds traded on the NYSE or on the AMEX, during the period from January 1987 to June 1999 (inclusive). The data was collected from the Wiesenberger database. From the results that we got, we noticed that there seems to exist an indication of the presence of "noise traders" on the closed-end funds market which, in turn, seems to confirm the assumptions of the investor sentiment theory: the discounts/premiums were positively correlated, were mean reverted and had some predictability power in terms of fund share returns but not so much in relation to their net asset value returns. Nevertheless, we observed that the estimated proportion of the variance of standardised weekly discounts changes, explained by the investor sentiment on the total period studied, was only 8.6%. Also, the results from the panel data analysis seem to suggest the relatively low importance of the investor sentiment theory to explain those discounts/premiums.

Using an unobserved component Markov switching model we decompose the term premium, the difference in the spread between the 5-year and 10-year maturities, of the North American CDX investment grade index (CDX-IG). We explain the evolution of these components in relating them to monetary policy and stock market variables. We establish that the inversion of the CDX index credit curve is induced by sudden changes in the unobserved random walk component, which represents the evolution of the fundamentals underpinning the probability of default in the economy. The impacts of observed monetary policy and stock market factors on the unobserved components are more prominent during the credit crisis period.

Nobel ödüllü iktisatçının Türkiye için Ağustos başında koyduğu kriz teşhisi nereden kaynaklanmış olabilir? Cumhurbaşkanı Erdoğan'ın Merkez Bankası'na ve "faiz lobisi"ne karşı sert söylemini Mayıs'ta Londra'ya taşıması Batı basınında yer bulmuştu. Aynı tarihlerde uluslararası derecelendirme kuruluşlarının Türkiye'ye ilişkin bozulan algılamaları da Batı ekonomi medyasına yansımıştı. Bu algılamalar, Türkiye ekonomisine ilişkin iç ve dış dengesizlik göstergelerini de kullanmakta; bazıları (aslında "kriz" iması içeren) sert bir iniş olasılığını vurgulamaktaydı 2 . Bu kaynaklardan, değerlendirmelerden esinlendiği anlaşılan Krugman'ın yazısı, Türkiye ekonomisinin nicel verilerini kullanmıyor; "benzer krizler"den türetilmiş bir genelleme özelliği taşıyor. Türkiye krizinin nedenlerini ve olası gelişim doğrultusunu inceliyor ve krize karşı geleneksel olmayan politika seçeneklerine işaret ediyor. Bazı öğelerinin tartışılmasını yararlı gördüm. Bu yazıda, Krugman'ın makalesini bir referans çerçevesi olarak ele alıyorum ve 2018-2019 krizinin nedenleri, seyri, olası politika seçenekleri üzerindeki tespitlerimi ve görüşlerimi bu çerçeveyle karşılaştırıyorum.

This thesis examines the impact of announcements of syndicated loans on the share prices of borrowing firms. I use a sample of 5,465 loan observations reported in the International Financing Review Platinum database to study this impact. Event study methodology is used. My overall results show significantly positive wealth effects on the borrowing firms. However, when I partition my data set into revolving credit agreements, term loans and hybrid loans, I find that the results are driven primarily by revolving credit agreements. I also observe that the size of the event window plays an important role in identifying the wealth effects for the borrowers. A five-day event window (-2, +2) shows share price response to revolving credit announcements to be significantly positive. A three-day event window (-1, +1) reveals that announcements are statistically positive for revolving credit agreements and statistically negative for term loan announcements. My results are consistent with previ...

In this study, we develop a method that can statistically identify fund managers that exhibit selectivity in their trades and find that occurrences of good and bad selectivity exceed random expectation. Mutual fund managers exhibit selectivity by tilting their portfolios toward better performing stocks when they buy (sell) stocks with high sentiment betas preceding an increase (decrease) in investor sentiment. Conversely, funds that incorrectly time investor sentiment exhibit bad stock selection, explaining the above random incidence of this behavior. Our method distinguishes skill from fortuitous stock selection and provides a practical tool for evaluating the performance of fund managers.

This paper studies the importance of heterogeneous beliefs for the dynamics of asset prices. We focus on currency markets, where the absence of short-selling constraints allows us to perform sharper tests of theoretical predictions. Using a unique data set with detailed information on foreign-exchange forecasts, we construct an empirical proxy for differences in beliefs. We show that this proxy has a strong effect on the implied volatility of currency options beyond the volatility of macroeconomic fundamentals. We document that differences in beliefs impact also on the shape of the implied volatility smile, on the volatility risk-premiums, and on future currency returns.

The Global Economic Crisis and 2008 financial crisis, is considered by many economists the worst financial crisis since the Great Depression of the 1930s , The financial crisis, brewing for a while, really started to show its effects in the middle of 2007 and into 2008. It is a situation where macro indicator like economic growth rate fall in most countries across the world. “Although economists largely failed to predict this global economic seismic shock, they have since made up for their oversight by generating a large and growing literature explaining the crisis.” In this discussion paper explores what happened and what issues arise from the Global Financial Crisis on the global economy and the Algerian economic in particular.

According to the efficient market hypothesis, it is impossible for the investors to achieve abnormally high returns. Because the price of an asset includes all available information which may affect the price of the product. Although until 1970's the efficient market hypothesis were deemed valid, it has been insufficient to explain specific price anomalies experienced within the recent years. One of these particular anomalies is experienced during the election periods. Within the scope of this study, two conclusions were achieved. The first one is that a price anomaly is experienced during the election period and the informed investors are aware of that. Secondly, it goes without saying that it is not possible to explain the financial market volatilities solely by employing the efficient market hypothesis.

FER, IR, M, MS and WPI showed a positive and significant relationship with stock prices, while ER and X indicated a negative and insignificant impact on stock prices but IPI has a negative but significant relationship with stock prices. The two error correction terms like Vecm1 (-1) and Vecm2 (-1) were resulted from VECM, the first error correction term was significant and indicated short term adjustments towards the equilibrium path. The results of Granger Causality showed that MS and WPI have bi-directional relation while ER, FER and M have uni-directional relationship with the stock prices but IPI, IR and X showed not any casual relationship.

Both in the theoretical and applied literature of finance the difference in yield-to-maturity between corporate bonds and government bonds has been used as a measure of the risk of the former over the latter. While this approach has sometimes provided interesting results, the usefulness of yield spreads is lessened by ignoring the term structure of interest rate. This paper presents an alternative measure, "Asset swap spread", use asset swaps to convert fixed income cash flows to floaters which refer LIBOR plus spread as index coupon rate. This spreads show much broader characteristics as well as riskiness of each corporate and government bonds. Effectively by using the swap curve to create a set of equal and opposite fixed-rate cash flows, we create a synthetic floating rate note (FRN) with an index coupon rate. Moreover, this value is now being captured through the trading of bond asset swap packages. Based on these ideas, We provide an introduction to government and corporate bond asset swaps, explaining their basic mechanics The use of asset swap spreads in identifying and capturing relative value is discussed The market drivers of asset swaps spreads are examined

Estructura del Examen Final PREGUNTA 1: Equilibrio de Mercado (10 puntos) El arándano o conocido como el "oro azul", actualmente es un producto que obtiene singular protagonismo por su pronto y exponencial crecimiento en las exportaciones peruanas. Tiene una alta demanda por sus múltiples beneficios precisamente por su contribución al corazón y reducción del colesterol. Dentro de los países que compran al Perú se encuentran: la Unión Europea, China, Hong Kong y otros. Según las cifras de la Asociación de Exportadores (ADEX) posicionan al Perú como el principal exportador de arándanos en el mundo durante los últimos años. Seguidamente se detalla una tabla de oferta y demanda del arándano.

This paper explores the causes, types and costs of inflation with the concept of inflation. Given the overall economy's complexity as the world biggest transition economy, the inflation pattern presents recurrent episodes of cyclical inflation surge and decline. This paper then examined the inflation determinants. With the review of literature and previous concept this paper identifies the effects of inflation and show the measuring system of inflation. CPI or consumer price index system is widely used measurement procedure of inflation. but with the change of life style and necessity of people only CPI cannot represent the actual rate of inflation in the current decade. This paper examined the basket of CPI and also shows some overall inflationary chart of current decade. with the change of standard of living the necessity and the choice of goods and services of the consumers changes. so now a days CPI cannot perfectly represents the inflationary situation. To find out the appropriate measurement process further research is necessary. This paper concludes with some suggestions regarding anti inflationary policies.

CEO inside debt holdings (pension benefits and deferred compensation) are generally unsecured and unfunded liabilities of the firm. Because these characteristics of inside debt expose the CEO to default risk similar to that faced by outside creditors, theory predicts that CEOs with large inside debt holdings will display lower levels of riskseeking behavior (Jensen and Meckling, 1976). Consistent with the theoretical predictions, we find a negative association between CEO inside debt holdings and the volatility of future firm stock returns, R&D expenditures, and financial leverage, and a positive association between CEO inside debt holdings and the extent of diversification and asset liquidity. Collectively, our results provide empirical evidence suggesting that CEOs with large inside debt holdings prefer investment and financial policies that are less risky.

Cari islemler acigi, devletin ek finansmana ihtiyac duymasinin ve / veya ozel sektorun tasarruflarini asan olcude yatirim yapmasinin bir sonucu olarak ortaya cikmaktadir. Bazen sadece devletin finansman acigi ya da ozel sektorun tasarruf acigi cari islemler acigina sebep olabilir [ikiz acik]. Bazen de bu iki acik birlikte ortaya cikarak cari islemler acigi dogurabilir [ucuz acik]. Bu nedensellik iliskisi temelinde Turkiye ekonomisi incelenir ise, cari islemler aciginin 1974-2002 doneminde devletin finansman acigindan kaynaklandigi gorulmektedir. Ote yandan 2003-2015 doneminde cari islemler hesabinda verilen acik, hem devletin hem de ozel sektorun finansman acigindan kaynaklanmistir.

We would like to thank Cars Hommes for a stimulating discussion in the early stages of this project. We are grateful to valuable comments from two anonymous referees. Dieci gratefully acknowledges a Visiting Professor Appointment at the Quantitative Finance Research Centre, UTS Business School, during which this work was finalised. Dieci also acknowledges support from MIUR under project PRIN 2009 "Local interactions and global dynamics in economics and finance: models and tools" and from EU COST within Action IS1104 "The EU in the new complex geography of economic systems: models, tools and policy evaluation". Financial support for Chiarella and He from the Australian Research Council (ARC) under Discovery Grant (DP110104487) is gratefully acknowledged.

The increasing stress on freshwater resources brought about by ever rising demand and profligate use, as well as growing pollution worldwide, is of serious concern. Water, apart from being absolutely essential for life, is also the most common, widely distributed and most useful liquid on earth. To achieve the Millennium Development Goals (MDGs) target, Nigeria must increase the access to improved drinking water to its rural population by 33%. Packaged and bottled water businesses in Nigeria suffer from various social challenges such as littering or environmental pollution, integrity, quality, inspection or business feasibility concerns and inefficacy of government regulatory bodies. The aim of this paper is to examine and discuss Social Impacts of Packaged and Bottled Water Businesses in Nigeria and to extend the existing literature on Social Impacts of Packaged and Bottled Water Businesses in Nigeria. For this extensive review literatures in the Water Business field was done. The ...

This article investigates how financial development is beneficial to the reduction of poverty, on the one hand by promoting growth and in the other hand directly by the McKinnon conduit effect. At the same time, however, financial instability which accompanies financial development is detrimental to the poor and dampens the positive effect of financial development on the reduction of poverty. These hypotheses are tested successfully on a sample of developing countries over the period 1966-2000, resulting in straightforward policy implications.

Ljudska banka Kitajske je nenadoma objavila, da bo digitalni sistem čezmejne poravnave RMB (renminbi, kitajski juan) v celoti povezan z desetimi državami ASEAN in šestimi državami Bližnjega vzhoda, kar pomeni, da bo 38 % obsega svetovne trgovine zaobšlo sistem SWIFT, v katerem prevladuje ameriški dolar, in neposredno vstopilo v "trenutek digitalnega RMB". Ta finančna igra, ki jo je The Economist poimenoval "Bretton Woods System 2.0 Outpost Battle", na novo piše osnovno kodo svetovnega gospodarstva s tehnologijo veriženja blokov. Medtem, ko se sistem SWIFT še vedno spopada s 3-dnevno do 5-dnevno zamudo pri čezmejnih plačilih, je most digitalne valute, ki ga je razvila Kitajska, skrčil hitrost kliringa na 7 sekund! V prvem testu med Hongkongom in Abu Dabijem je podjetje dobavitelju z Bližnjega vzhoda plačalo prek digitalnih RMB. Sredstva niso več šla prek šestih posredniških bank, ampak so bila prejeta v realnem času prek distribucijske knjige, provizija za obdelavo pa se je znižala za 98 %. Zaradi te lastnosti »bliskovitega plačila« je tradicionalni klirinški sistem, v katerem prevladuje ameriški dolar, takoj videti okoren. Kar je Zahod še bolj prestrašilo, je tehnični razkorak kitajske digitalne valute. Tehnologija veriženja blokov, ki jo uporablja digitalni RMB, ne le, da omogoča sledljivost transakcij, ampak tudi samodejno uveljavlja pravila proti pranju denarja.

In this study, we examine linear and nonlinear cointegration and causal relations between unemployment and stock market returns in South Africa using quarterly data collected between 1994:Q1 and 2016:Q1. Our empirical results reveal significant cointegration effects between the time series in both linear and nonlinear models, even though both frameworks ultimately reject the notion of any causal relations between the variables. Collectively, our study rejects the notion of unemployment being a good predictor for stock market returns and neither do developments in the stock market have any effect on the unemployment rate. Such evidence advocates for weak-form efficiency in the JSE equity prices whereby unemployment data cannot help investors to predict the movement of future share prices and further suggests that policymakers cannot rely on stock market development as an avenue towards lowering the prevailingly high levels of unemployment as set in current macroeconomic policy objectives.

Using monthly data from January, 1980 to July 2013, the aim of the article is to find out whether there is cointegrating relationship between the two macroeconomic variables of Exchange rates and Crude oil prices in India. The result indicates that there exists cointegration between the variables and speed of adjustment shows symmetric based on TAR model, while MTAR model exhibit asymmetric adjustment. The findings indicated that exchange rates have significant influence on Crude oil prices in India but the adjustment to equilibrium when variables deviated is non-linear. The implication is that Indian policy makers should focus more on their exchange rates dynamics in line with the persistent rises of crude oil prices that affects other macroeconomic variables.