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Displaying results 1 to 8 of 8.

  1. Economic policy uncertainty and the volatility of sovereign CDS spreads
    Author: Raunig, Burkhard
    Published: January 17, 2018
    Publisher:  OeNB, Oesterreichische Nationalbank, Vienna, Austria

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/264811
    Series: Working paper / OeNB, Oesterreichische Nationalbank ; 219
    Subjects: Credit default swap; Economic policy uncertainty; Sovereign credit risk; Volatility
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  2. Intra-market linkages in the financial sector and their effects on financial inclusion
    Author: Lidiema, Caspah
    Published: September 2018
    Publisher:  Kenya Bankers Association, Nairobi

    Purpose: This paper examined Financial intra-market linkages (dynamic relationship and volatility spillovers) effects between the Commercial banks and other financial sector segments (Insurance and capital Markets) in Kenya and the impact of this... more

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    Purpose: This paper examined Financial intra-market linkages (dynamic relationship and volatility spillovers) effects between the Commercial banks and other financial sector segments (Insurance and capital Markets) in Kenya and the impact of this transmission on Financial Inclusion. Method: This study evaluates the effect of intra-market linkages on financial inclusion using Bayesian Vector Autoregressive (BVAR) using monthly data from Kenyan market during the period January 2004 - December 2016. Impulse-response analysis and forecast error variance decomposition was used to investigate this intra-market linkages and their causal effect to financial inclusion. Findings: Results indicate that there is significant market interactions and interlinkages with significant shocks transmission moving from banks to other markets. Interest rates shocks transmission affected all markets. This means that monetary policy transmission as expected trickles down to the entire financial sector. The study also found out that, Positive shocks from credit impacts positively on lending rate and the capital markets performance implying banking mechanism to reward increased loan uptake at cheaper prices and hence creating cash flow that spills over to more investment on the securities exchange. Policy recommendation: The study recommends that policy makers to design policies that help minimize the adverse impact of volatility/shocks but create opportunities for growth on each market o foster price stability and increase investments through financial inclusion.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/249529
    Series: KBA Centre for Research on Financial Markets and Policy working paper series ; WPS, 18, 06 = 28
    Subjects: Spillover; Commercial banks; BVAR; Shocks; Volatility
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  3. Trading volume, illiquidity and commonalities in FX markets
    Author: Ranaldo, Angelo; Santucci de Magistris, Paolo
    Published: November 15, 2018
    Publisher:  School of Finance, University of St. Gallen, St. Gallen

    In a regime of floating FX rates and open economies, it is important to understand the way through which FX rates, volatility, and trading volume interrelate. To uncover this, we provide a simple theoretical framework to jointly explore these factors... more

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    In a regime of floating FX rates and open economies, it is important to understand the way through which FX rates, volatility, and trading volume interrelate. To uncover this, we provide a simple theoretical framework to jointly explore these factors in a multi-currency environment. Through the use of a unique intraday data representative for the global FX market, the empirical analysis validates our theoretical predictions: (i) more disagreement increases FX trading volume, volatility, and illiquidity, (ii) stronger commonalities pertain to more efficient (arbitrage-free) currencies, and (iii) the Amihud (2002) measure, for which we provide a theoretical underpinning, is effective in measuring FX illiquidity. Not only do these findings support an integrated analysis of FX rate evolution and risk, but our work also offers a straightforward method to measure FX illiquidity and commonality. For investors, these insights should increase the efficiency of trading and risk analysis. For policy makers, our work highlights the developments of FX global volume, volatility, and illiquidity across time and currencies, which can be important for the implementation of monetary policy and financial stability

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Working papers on finance ; no. 2018, 23
    University of St.Gallen, School of Finance Research Paper ; No. 2018/23
    Subjects: FX Trading Volume; Volatility; Illiquidity; Commonalities; Arbitrage
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  4. Exogenous drivers of cryptocurrency volatility
    a mixed data sampling approach to forecasting
    Author: Walther, Thomas; Klein, Tony
    Published: June 2018
    Publisher:  School of Finance, University of St. Gallen, St. Gallen

    We apply the GARCH-MIDAS framework to forecast the daily, weekly, and monthly volatility of five highly capitalized Cryptocurrencies (Bitcoin, Etherium, Litecoin, Ripple, and Stellar) as well as the Cryptocurrency index CRIX. Based on the prediction... more

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    We apply the GARCH-MIDAS framework to forecast the daily, weekly, and monthly volatility of five highly capitalized Cryptocurrencies (Bitcoin, Etherium, Litecoin, Ripple, and Stellar) as well as the Cryptocurrency index CRIX. Based on the prediction quality, we determine the most important exogenous drivers of volatility in Cryptocurrency markets. We find that the Global Real Economic Activity outperforms all other economic and financial drivers under investigation. We also show that the Global Real Economic Activity provides superior volatility predictions for both, bull and bear markets. In addition, the average forecast combination results in low loss functions. This indicates that the information content of exogenous factors is time-varying and the model averaging approach diversifies the impact of single drivers

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Working papers on finance ; no. 2018, 15
    Subjects: Bitcoin; Cryptocurrencies; GARCH; Mixed Data Sampling; Volatility
    Scope: 1 Online-Ressource (circa 13 Seiten), Illustrationen
    Notes:

    Working Paper Version 1 - June 7, 2018
  5. Measuring real-financial connectedness in the U.S. economy
    Author: Uluceviz, Erhan; Yılmaz, Kamil
    Published: 2018
    Publisher:  Koç University - TÜSİAD Economic Research Forum, Sarıyer/Istanbul

    We analyze connectedness between the real and financial sectors of the U.S. economy. Using the weekly ADS index of the Philadelphia FED (the widely used business conditions indicator) to represent the real side, we find that during times of financial... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 133 (2018,12)
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    We analyze connectedness between the real and financial sectors of the U.S. economy. Using the weekly ADS index of the Philadelphia FED (the widely used business conditions indicator) to represent the real side, we find that during times of financial distress and/or business cycle turning points the direction of connectedness runs from the real sector to financial markets. The ADS index is derived from a model containing a measure of term structure along with real variables, therefore, it might not be the best representative of the real activity to be used in the connectedness analysis. As an alternative, we derive a real activity index (RAI) from a dynamic factor model of the real sector variables only. The behavior of RAI over time is quite similar to that of the ADS index. When we include RAI to represent the real side of the economy in the connectedness analysis, the direction of net connectedness reverses: financial markets generate positive net connectedness to the real side of the economy.

     
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    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/202986
    Series: Koç University - TÜSİAD Economic Research Forum working paper series ; 1812 (September 2018)
    Subjects: Macro-financial linkages; Connectedness; ADS index; Dynamic factor model; Volatility; Vector autoregression; Variance decomposition
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  6. Generalized dynamic factor models and volatilities
    consistency, rates, and prediction intervals
    Author: Barigozzi, Matteo; Hallin, Marc
    Published: [2018]
    Publisher:  ECARES, Brussels, Belgium

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 313
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    Language: English
    Media type: Book
    Format: Online
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    hdl: 2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/278905
    Series: ECARES working paper ; 2018, 33 (November 2018)
    Subjects: Volatility; Dynamic Factor Models; Prediction intervals; GARCH
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  7. Information and Market Power
    Author: Bergemann, Dirk; Heumann, Tibor; Morris, Stephen
    Published: 02 November 2018
    Publisher:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 32 (13295)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Discussion paper series / Centre for Economic Policy Research ; DP13295
    Subjects: Demand Function Competition; Supply Function Competition; Price Impact; Market Power; Incomplete Information; Bayes Correlated Equilibrium; Volatility; Moments Restrictions; Linear Best Responses
    Scope: 49 Seiten, Illustrationen
    Notes:

    Erscheint auch als Online-Ausgabe
  8. Manufacturing decline and house price volatility
    Author: Hull, Isaiah; Olovsson, Conny; Walentin, Karl; Westermark, Andreas
    Published: September 2018
    Publisher:  Sveriges Riksbank, Stockholm

    Using a unique dataset of all Swedish housing transactions over the 2009-2017 period, we find that an increase in manufacturing's share of employment is positively associated with house price growth volatility and negatively associated with... more

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    Using a unique dataset of all Swedish housing transactions over the 2009-2017 period, we find that an increase in manufacturing's share of employment is positively associated with house price growth volatility and negatively associated with risk-adjusted housing returns. Both effects appear to be related to manufacturing's impact on firm concentration and employment volatility. Moreover, as we demonstrate in an application, our results have implications for portfolio choice. They also suggest that the manufacturing decline since 1970 could account for a 32% reduction in house price volatility in Sweden, and similar reductions in the U.S., U.K., and Japan.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/215438
    Edition: revised July 2019
    Series: Sveriges Riksbank working paper series ; 349
    Subjects: House Prices; Portfolio Choice; Manufacturing; Volatility
    Scope: 1 Online-Ressource (circa 50 Seiten)