International Political Economy: Investment & Finance eJournal最新文献

{"title":"Modelling the Australasian Financial Cycle: A Markov-Regime Switching Approach","authors":"Milan Christian de Wet","doi":"10.25103/ijbesar.141.06","DOIUrl":"https://doi.org/10.25103/ijbesar.141.06","url":null,"abstract":"Purpose: The importance of the financial cycle has become a central point of consideration for policymakers since the 2007-08 financial crisis. This study aimed to construct and characterize the aggregate Australasian financial cycle.","PeriodicalId":284021,"journal":{"name":"International Political Economy: Investment & Finance eJournal","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125336063","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Contagious Bubbles","authors":"Feng Dong, Zhengxin Huo, Y. Wen","doi":"10.2139/ssrn.3875625","DOIUrl":"https://doi.org/10.2139/ssrn.3875625","url":null,"abstract":"This paper proposes a framework to study contagious stock bubbles in a multi-sector production economy with heterogeneous investment technologies. Due to financial frictions, stock bubbles arise endogenously that help inject additional liquidity. Due to financial linkages, the existence of bubbles in different sectors may be interdependent. Theoretically, we characterize the entire set of bubbly equilibria, and provide the condition under which the burst of bubbles in one sector spikes bubbles in other sectors. Quantitatively, we show that due to an unexpected burst of bubbles, it can generate a sizeable recession only when the burst happens in a critical sector and transmits to the rest of the economy.","PeriodicalId":284021,"journal":{"name":"International Political Economy: Investment & Finance eJournal","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129028476","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Selection and Application of Appropriate Analytical Methods Needed to Assess the Risks Reducing the Security of the Protected System","authors":"J. Reitšpís, Martin Mašľan, Ihor Britchenko","doi":"10.30525/2256-0742/2021-7-3-1-8","DOIUrl":"https://doi.org/10.30525/2256-0742/2021-7-3-1-8","url":null,"abstract":"Risk assessment is one of the prerequisites for understanding its causes and possible consequences. We base our risk assessment on the principles described in the European standard EN 31000 - Risk Management Process. This standard comprehensively describes the continuous activities that are necessary in managing risks and minimizing their possible adverse effects on the operation of the system under investigation. In this activity, it is necessary to first identify the existing risks, then analyze and evaluate the identified risks. In the analysis of existing risks, it is possible to use both qualitative and quantitative analytical methods, or combine them. We use qualitative methods in cases where we do not have a sufficient amount of input information, these are more subjective. Quantitative methods are more accurate, but also more demanding on input information and time. The choice of a suitable analytical method is a basic prerequisite for knowledge of risks and their evaluation. The values of individual risks obtained in this way are the basis for determining the measures that are necessary to minimize them, i.e., to adjust them to an acceptable level. The draft measures are always based on the value of the individual components used to calculate the risk number, as well as on the value of the asset , which needs to be protected. Appropriately chosen analytical methods are one of the basic prerequisites for the consistent application of the principles of risk management, as a continuous process aimed at increasing the overall security of the system under study. In the article, the author describes the procedures used in risk assessment, as well as specific analytical methods that can be used in working with risks. The aim of identifying risk factors is to create a list of events that could cause undesirable disruption to ongoing processes. At this stage, we define all the risks that will be subsequently analyzed and evaluated. When identifying, we can use methods such as, e.g. SWOT, PHA (Preliminary Hazard Analysis) or CA (Checklist Analysis). Methods suitable for determining the causes and creating scenarios for the course of a risk event are ETA (Event Tree Analysis) or FTA (Fault Tree Analysis). The basic analysis of the system can be performed using the FMEA method (Failure Mode and Effect Analysis), which provides a numerical risk assessment. By comparison with the numerical value of the risk that we are willing to accept, we obtain 2 groups of risks. Acceptable, which will be given regular attention and unacceptable, which we will focus on in risk management and we will try to minimize its negative affect on the functioning of the system under study.","PeriodicalId":284021,"journal":{"name":"International Political Economy: Investment & Finance eJournal","volume":"90 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124417888","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Enhancing the Competitive Advantage of the Germinated Parboiled Rice","authors":"Watcharapong Intarawong, P. S. N. Ayudhya, Chattawat Limsurapong, Kullanun Sripongpun","doi":"10.35609/gjbssr.2021.9.2(5)","DOIUrl":"https://doi.org/10.35609/gjbssr.2021.9.2(5)","url":null,"abstract":"Objective - This research aims to; 1) study the competitive advantage and firm performance of the geminated parboiled rice community enterprise group, 2) investigate the differences in competitive advantage and firm performance when classified by organizational factors, 3) study the difference in the influence of competitive advantage on firm performance, and 4) determine proposals to enhance competitive advantage.\u0000\u0000Methodology/Technique - This research uses mixed research methods. The quantitative method was used to study the influence of competitive advantage on firm performance of community enterprises, and a qualitative method was used to determine proposals to enhance competitive advantage. In Step 1, a quantitative research method was used to identify the population which includes management groups of 36 geminated parboiled rice community enterprises consisting of a chairperson, a vice-chairperson and a supervisor of 208 people, and 137 samples. Proportional sampling and simple random sampling were used in this process. Data was collected using questionnaires. The statistics used for data analysis was frequency, percentage, mean, standard deviation, F-test (one way ANOVA), Pearson's correlation coefficient, and hierarchical regression analysis. In step 2, data was collected from in-depth interviews with key informants, using a purposive sampling method. Data analysis from the interviews using the information obtained from the interview into categories and using content analysis to determine proposals.\u0000\u0000Findings - The research results found that competitive advantage and firm performance was high. The hypothesis testing results show that only the age of the community enterprise has an effect on the image of the community enterprise with the statistical significance of 0.05. All 3 independent variables composed of cost leadership, differentiation, and market focus had an influence on firm performance, by standardized coefficients (β) was .398, .426, .654 respectively.\u0000\u0000Novelty - The proposals from this research include the establishment of newly geminated parboiled rice community enterprises to accelerate the creation of the organization image to be known and accepted by consumers. Further, community enterprises should focus on developing a competitive advantage that comes from a market focus strategy. This will have a positive impact on firm performance.\u0000\u0000Type of Paper - Empirical.\u0000\u0000Keywords: Geminated Parboiled Rice; Community Enterprise; Competitive Advantage; Firm Performance\u0000\u0000JEL Classification:\u0000\u0000URI: http://gatrenterprise.com/GATRJournals/GJBSSR/vol9.2_5.html\u0000\u0000DOI: https://doi.org/10.35609/gjbssr.2021.9.2(5)\u0000\u0000Pages 152 – 164","PeriodicalId":284021,"journal":{"name":"International Political Economy: Investment & Finance eJournal","volume":"105 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114977350","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Deep Reinforcement Learning on a Multi-Asset Environment for Trading","authors":"Ali Hirsa, Branka Hadji Misheva, Joerg Osterrieder, Jan-Alexander Posth","doi":"10.2139/ssrn.3867800","DOIUrl":"https://doi.org/10.2139/ssrn.3867800","url":null,"abstract":"Financial trading has been widely analyzed for decades with market participants and academics always looking for advanced methods to improve trading performance. Deep reinforcement learning (DRL), a recently reinvigorated method with significant success in multiple domains, still has to show its benefit in the financial markets. We use a deep Q-network (DQN) to design long-short trading strategies for futures contracts. The state space consists of volatility-normalized daily returns, with buying or selling being the reinforcement learning action and the total reward defined as the cumulative profits from our actions. Our trading strategy is trained and tested both on real and simulated price series and we compare the results with an index benchmark. We analyze how training based on a combination of artificial data and actual price series can be successfully deployed in real markets. The trained reinforcement learning agent is applied to trading the E-mini S&P 500 continuous futures contract. Our results in this study are preliminary and need further improvement.","PeriodicalId":284021,"journal":{"name":"International Political Economy: Investment & Finance eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129489942","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Corporate Lending in January-April 2021","authors":"S. Zubov","doi":"10.2139/ssrn.3864037","DOIUrl":"https://doi.org/10.2139/ssrn.3864037","url":null,"abstract":"Once the Bank of Russia lifted regulatory easing related to the pandemic, the quality of corporate loan portfolios of Russian banks did not deteriorate: the average level of past due debt remains stable and at a low level; the growth rate of corporate lending corresponds to the 2020 values; the interest rates dynamic is moderately volatile. At the same time, the increase in banks’ risk appetite in the context of economic recovery requires increased attention of the regulator to the quality of the bank’s corporate portfolio and the adequacy of risk accounting. Accumulated credit risks can become a source of problems for the banking system in the event of destabilization of the economic situation in the wake of epidemiological, political and other factors.","PeriodicalId":284021,"journal":{"name":"International Political Economy: Investment & Finance eJournal","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122235103","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Disasters, Large Drawdowns, and Long-term Asset Management","authors":"E. Jondeau, Alexandre Pauli","doi":"10.2139/ssrn.3864263","DOIUrl":"https://doi.org/10.2139/ssrn.3864263","url":null,"abstract":"Long-term investors are often reluctant to invest in assets or strategies that can suffer from large drawdowns. A major challenge for such investors is to gain access to predictions of large drawdowns in order to precisely design strategies minimizing these drawdowns. In this paper, we describe a multivariate Markov-switching model framework that allows us to predict large drawdowns. We provide evidence that three regimes are necessary to capture the negative trends in expected returns that generate large drawdowns, and we correctly predict conditional drawdowns. In addition, investment strategies based on these models outperform model-free strategies based on the empirical distribution of drawdowns. These results hold within and out of the sample.","PeriodicalId":284021,"journal":{"name":"International Political Economy: Investment & Finance eJournal","volume":"71 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117098574","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Making Sense of Tesla's Run-up","authors":"Bradford Cornell","doi":"10.2139/ssrn.3857786","DOIUrl":"https://doi.org/10.2139/ssrn.3857786","url":null,"abstract":"Tesla has run-up again. Between December 2, 2019 and April 30, 2021, the price of Tesla rose more than ten times creating over $600 billion in investor wealth. The analysis presented here implies that the 10x jump cannot be explained by the arrival of fundamental information regarding the macroeconomy, the auto industry, or company specific information related to Tesla as an electric vehicle manufacturer. The only feasible explanation for the run-up was a spreading narrative that Tesla is more than a car company. As stated by Mr. Musk, and echoed by Cathie Wood and others, Tesla is also going to be a renewable energy, artificial intelligence, ride sharing, and robotics company. Such narratives have the advantage that they can blossom and replicate with little in the way of capital expenditure and improvements in operations both of which tend to have a sluggish impact on value. They also benefit from a feedback effect by which spread of the narrative drives up the stock price and the rising stock price is then interpreted as evidence for the veracity of the narrative. Of course, the spread of a narrative and the feedback effect can operate in both directions. A narrative that arises, spreads, and drives stock prices to new highs can collapse just as quickly.","PeriodicalId":284021,"journal":{"name":"International Political Economy: Investment & Finance eJournal","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125537265","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Financial Development, Firm Growth, and Aggregate Productivity Divergence in Europe","authors":"Xiaomei Sui","doi":"10.2139/ssrn.3874683","DOIUrl":"https://doi.org/10.2139/ssrn.3874683","url":null,"abstract":"Since the information and communications technology revolution, productivity growth in Southern European countries has been substantially lower than in developed European countries. I document that Spanish firms have lower productivity growth, lower intangible capital growth, and lower leverage than German firms. The disparity is larger among smaller firms. I build a model featuring endogenous firm productivity growth through innovation investment and size-dependent financial frictions to rationalize these findings. The model finds that financial frictions account for 11% of the aggregate productivity growth difference in the data. The model mechanism and predictions are also supported by evidence in other European countries.","PeriodicalId":284021,"journal":{"name":"International Political Economy: Investment & Finance eJournal","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126499536","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Review of Alvaro Santos, Chantal Thomas, and David Trubek (Eds.), World Trade and Investment Law Reimagined: A Progressive Agenda for an Inclusive Globalization","authors":"Cedric Henet","doi":"10.5070/LP61353768","DOIUrl":"https://doi.org/10.5070/LP61353768","url":null,"abstract":"Making notice of the growing discontent of those who have suffered at the hands of globalization through job loss, stagnant wages, and economic insecurity, the editors of World Trade and Investment Law Reimagined: A Progressive Agenda for an Inclusive Globalization invited twenty-one experts from ten different countries to present heterodox perspectives from economics and law to reconsider the political economy of global trade and investment.","PeriodicalId":284021,"journal":{"name":"International Political Economy: Investment & Finance eJournal","volume":"84 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127652321","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}