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Displaying results 1 to 13 of 13.

  1. Identifying statistical arbitrage in interest rate markets
    a genetic algorithm approach
    Author: Arismendi-Zambrano, J. C.; Ramos-Almeida, T.; Reboredo, Juan Carlos; Rivera-Castro, M. A.
    Published: [2020]
    Publisher:  Maynooth University, National University of Ireland, Department of Economics, Finance & Accounting, Maynooth

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    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Maynooth University, National University of Ireland, Department of Economics, Finance & Accounting ; N305 (20)
    Subjects: Interest Rates Derivatives; Financial Economics; Arbitrage; Swaption-Cap Puzzle
    Scope: 1 Online-Ressource (39 Seiten), Illustrationen
  2. Malaysia
    selected issues
    Published: 2020
    Publisher:  International Monetary Fund, Washington, D.C.

    This Selected Issues paper investigates impact of financial technology (FinTech) on Malaysia's financial sector. Malaysia is digitally enabled to seize the opportunities brought by FinTech. Malaysian banks continue to dominate in deposits, lending... more

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    This Selected Issues paper investigates impact of financial technology (FinTech) on Malaysia's financial sector. Malaysia is digitally enabled to seize the opportunities brought by FinTech. Malaysian banks continue to dominate in deposits, lending and capital raising, but they have been gradually reducing their emphasis on physical distribution networks. The top five Malaysian banks have increased their technology-related spending over the past three years. Regulators have been mindful of developments outside of the traditional regulatory perimeter that could pose financial stability risks. Rapidly evolving technology is likely to bring multiple challenges to the financial sector. Regulatory requirements are an important component of operating in the FinTech space. Regulators must strike a balance between ensuring financial stability and consumer protection, while promoting innovation and competition. In order to address the lack of regulatory acumen among FinTech industry players, Bank Negara Malaysia has spearheaded various initiatives. A key challenge for Malaysian regulators is to strike a balance between reaping the benefits of FinTech and mitigating potential downside risks in both conventional and Islamic finance. Frequent refinements to regulations and supervision are required to keep pace with the highly dynamic nature of FinTech to balance benefits and risks

     
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  3. Guyana
    housing market and implications for macroprudential policies
    Author: Chow, Julian T. S.
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    Guyana's residential real estate prices have been rising, particularly in the capital city Georgetown, following the discovery of oil in 2015. In line with the growing demand for housing, commercial banks' housing loans have increased, prompting... more

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    Guyana's residential real estate prices have been rising, particularly in the capital city Georgetown, following the discovery of oil in 2015. In line with the growing demand for housing, commercial banks' housing loans have increased, prompting higher household debt. This paper presents two analyses which suggest that housing prices in Georgetown and banks' lending to the housing sector appear to be in their early stages of growth. However, given the data limitations and caveats that underpin the analyses, the findings could also indicate early signals of possible risks. Further data collection would support surveillance and deeper studies. At the same time, enhancing prudential measures would help safeguard financial and macroeconomic stability. These include strengthening the monitoring of the housing market, bank lending practices and household debt, as well as fortifying the macroprudential framework, including with more effective toolkits for early intervention

     
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  4. Financial frictions and firm informality
    a general equilibrium perspective
    Author: Franjo, Luis; Pouokam, Nathalie; Turino, Francesco
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    In this paper we build a model of occupational choice with informal production and progressive income taxation. We calibrate the model to the Brazilian economy to evaluate the impact of removing financial frictions on informality. We find that... more

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    In this paper we build a model of occupational choice with informal production and progressive income taxation. We calibrate the model to the Brazilian economy to evaluate the impact of removing financial frictions on informality. We find that financial deepening leads to a drop in the size of the informal sector (from 37 percent to 22 percent of official GDP), to an increase in measured TFP (by 4 percent), to an increase in official GDP (by 27 percent), to a decrease in tax evasion (by 17 percent) and to an increase in fiscal revenues (by 15 percent). When assessing the response of this policy at different levels of financial development, we find a non-linear relationship between the credit-to-GDP ratio on the one hand, and either the size of the informal economy, or GDP per capita on the other hand. We test these features with cross-country data and find evidence in favor of both types of non-linearity. We also investigate changes in the income tax progressitivity as an alternative policy and find it to be more effective in countries with a medium to high level of financial markets development

     
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  5. Optimal simple objectives for monetary policy when banks matter
    Author: Laureys, Lien; Meeks, Roland; Wanengkirtyo, Boromeus
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    We reconsider the design of welfare-optimal monetary policy when financing frictions impair the supply of bank credit, and when the objectives set for monetary policy must be simple enough to be implementable and allow for effective accountability.... more

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    We reconsider the design of welfare-optimal monetary policy when financing frictions impair the supply of bank credit, and when the objectives set for monetary policy must be simple enough to be implementable and allow for effective accountability. We show that a flexible inflation targeting approach that places weight on stabilizing inflation, a measure of resource utilization, and a financial variable produces welfare benefits that are almost indistinguishable from fully-optimal Ramsey policy. The macro-financial trade-off in our estimated model of the euro area turns out to be modest, implying that the effects of financial frictions can be ameliorated at little cost in terms of inflation. A range of different financial objectives and policy preferences lead to similar conclusions

     
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  6. The nature of Islamic banking and solvency stress testing
    conceptual considerations
    Author: Jobst, Andreas A.; Solé López-Pinto, Juan
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    This paper provides a conceptual overview of key aspects of the design and implementation of solvency stress testing of Islamic banks. Based on existing regulatory standards and prudential practice, the paper explains how Islamic finance principles... more

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    This paper provides a conceptual overview of key aspects of the design and implementation of solvency stress testing of Islamic banks. Based on existing regulatory standards and prudential practice, the paper explains how Islamic finance principles and their impact on various risk drivers affect the capital assessment of asset-oriented financial intermediation under stress. The formal specification of these risk factors helps operationalize and integrate the stress testing of Islamic banks within established frameworks for financial stability analysis

     
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  7. Behavioural macro-financial cycles
    Author: Lake, Alfred Fitzgerald
    Published: January 2020

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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
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    Subjects: Financial Economics; Macroeconomics; Behavioural Economics; Applied Econometrics; Cyclicality and Sustainability; Financial and Economic Expectations
    Scope: 1 Online-Ressource (circa 175 Seiten), Illustrationen
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    Dissertation, University of Cambridge, 2020
  8. The impact of the 2016 Finance Act on investment into Irish real estate funds
    Author: McCarthy, Barra
    Published: [2020]
    Publisher:  Central Bank of Ireland, [Dublin]

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    Source: Union catalogues
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    Media type: Book
    Format: Online
    Series: Research technical paper / Central Bank of Ireland ; vol. 2020, no. 2
    Subjects: Real Estate Investment Funds; Taxation; Financial Economics
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  9. Optimal simple objectives for monetary policy when banks matter
    Author: Laureys, Lien; Meeks, Roland; Wanengkirtyo, Boromeus
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    We reconsider the design of welfare-optimal monetary policy when financing frictions impair the supply of bank credit, and when the objectives set for monetary policy must be simple enough to be implementable and allow for effective accountability.... more

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    We reconsider the design of welfare-optimal monetary policy when financing frictions impair the supply of bank credit, and when the objectives set for monetary policy must be simple enough to be implementable and allow for effective accountability. We show that a flexible inflation targeting approach that places weight on stabilizing inflation, a measure of resource utilization, and a financial variable produces welfare benefits that are almost indistinguishable from fully-optimal Ramsey policy. The macro-financial trade-off in our estimated model of the euro area turns out to be modest, implying that the effects of financial frictions can be ameliorated at little cost in terms of inflation. A range of different financial objectives and policy preferences lead to similar conclusions

     
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  10. The nature of Islamic banking and solvency stress testing
    conceptual considerations
    Author: Jobst, Andreas A.; Solé López-Pinto, Juan
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    This paper provides a conceptual overview of key aspects of the design and implementation of solvency stress testing of Islamic banks. Based on existing regulatory standards and prudential practice, the paper explains how Islamic finance principles... more

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    This paper provides a conceptual overview of key aspects of the design and implementation of solvency stress testing of Islamic banks. Based on existing regulatory standards and prudential practice, the paper explains how Islamic finance principles and their impact on various risk drivers affect the capital assessment of asset-oriented financial intermediation under stress. The formal specification of these risk factors helps operationalize and integrate the stress testing of Islamic banks within established frameworks for financial stability analysis

     
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  11. Financial frictions and firm informality
    a general equilibrium perspective
    Author: Franjo, Luis; Pouokam, Nathalie; Turino, Francesco
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    In this paper we build a model of occupational choice with informal production and progressive income taxation. We calibrate the model to the Brazilian economy to evaluate the impact of removing financial frictions on informality. We find that... more

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    In this paper we build a model of occupational choice with informal production and progressive income taxation. We calibrate the model to the Brazilian economy to evaluate the impact of removing financial frictions on informality. We find that financial deepening leads to a drop in the size of the informal sector (from 37 percent to 22 percent of official GDP), to an increase in measured TFP (by 4 percent), to an increase in official GDP (by 27 percent), to a decrease in tax evasion (by 17 percent) and to an increase in fiscal revenues (by 15 percent). When assessing the response of this policy at different levels of financial development, we find a non-linear relationship between the credit-to-GDP ratio on the one hand, and either the size of the informal economy, or GDP per capita on the other hand. We test these features with cross-country data and find evidence in favor of both types of non-linearity. We also investigate changes in the income tax progressitivity as an alternative policy and find it to be more effective in countries with a medium to high level of financial markets development

     
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  12. Malaysia
    selected issues
    Published: 2020
    Publisher:  International Monetary Fund, Washington, D.C.

    This Selected Issues paper investigates impact of financial technology (FinTech) on Malaysia's financial sector. Malaysia is digitally enabled to seize the opportunities brought by FinTech. Malaysian banks continue to dominate in deposits, lending... more

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    This Selected Issues paper investigates impact of financial technology (FinTech) on Malaysia's financial sector. Malaysia is digitally enabled to seize the opportunities brought by FinTech. Malaysian banks continue to dominate in deposits, lending and capital raising, but they have been gradually reducing their emphasis on physical distribution networks. The top five Malaysian banks have increased their technology-related spending over the past three years. Regulators have been mindful of developments outside of the traditional regulatory perimeter that could pose financial stability risks. Rapidly evolving technology is likely to bring multiple challenges to the financial sector. Regulatory requirements are an important component of operating in the FinTech space. Regulators must strike a balance between ensuring financial stability and consumer protection, while promoting innovation and competition. In order to address the lack of regulatory acumen among FinTech industry players, Bank Negara Malaysia has spearheaded various initiatives. A key challenge for Malaysian regulators is to strike a balance between reaping the benefits of FinTech and mitigating potential downside risks in both conventional and Islamic finance. Frequent refinements to regulations and supervision are required to keep pace with the highly dynamic nature of FinTech to balance benefits and risks

     
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  13. Guyana
    housing market and implications for macroprudential policies
    Author: Chow, Julian T. S.
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    Guyana's residential real estate prices have been rising, particularly in the capital city Georgetown, following the discovery of oil in 2015. In line with the growing demand for housing, commercial banks' housing loans have increased, prompting... more

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    Guyana's residential real estate prices have been rising, particularly in the capital city Georgetown, following the discovery of oil in 2015. In line with the growing demand for housing, commercial banks' housing loans have increased, prompting higher household debt. This paper presents two analyses which suggest that housing prices in Georgetown and banks' lending to the housing sector appear to be in their early stages of growth. However, given the data limitations and caveats that underpin the analyses, the findings could also indicate early signals of possible risks. Further data collection would support surveillance and deeper studies. At the same time, enhancing prudential measures would help safeguard financial and macroeconomic stability. These include strengthening the monitoring of the housing market, bank lending practices and household debt, as well as fortifying the macroprudential framework, including with more effective toolkits for early intervention

     
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