Econometrics: Applied Econometric Modeling in Financial Economics eJournal最新文献_第8页

Deliberate Limits to Arbitrage 刻意限制套利

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-02-23 DOI: 10.2139/ssrn.2023450

I. Makarov, Guillaume Plantin

引用次数: 5

Formal Identification of Sentiment Effects in Asset Markets 资产市场情绪效应的正式识别

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-02-22 DOI: 10.2139/ssrn.2009192

Peter G. Dunne, J. Forker, R. Powell, Andrey Zholos

{"title":"Formal Identification of Sentiment Effects in Asset Markets","authors":"Peter G. Dunne, J. Forker, R. Powell, Andrey Zholos","doi":"10.2139/ssrn.2009192","DOIUrl":"https://doi.org/10.2139/ssrn.2009192","url":null,"abstract":"It is generally accepted that excessive exuberance or gloom in investor sentiment contributes to booms and crashes in asset prices but, because of its complex interaction with other aspects of the valuation process, these effects are not easy to identify with statistical confidence and this limits the scope for crafting an adequate and early policy response. To fill this gap, we develop an ex ante valuation approach that assigns different measures of sentiment to separate roles in the valuation equation. One measure of sentiment is assigned to capture risk aversion effects, while a broader-based investor sentiment index is assigned to capture changes in the perceived prospects for long-term earnings growth. The ratio of equity valuation when sentiment variables are included in the valuation exercise to the valuation when they are excluded is an obvious indicator of sentiment effects but this is difficult to assess statistically. We show that the ratio of average squared ‘implied’ long-run earnings growth ‘with’ and ‘without’ sentiment produces a sentiment indicator that can be assessed with statistical significance. Out-of-sample testing using the Dow 30 index shows that sentiment effects can often be confidently identified as widespread, significant and large. We find that the growth ratio is more prescient as an early warning indicator of mis-valuations. Being able to draw attention to such statistically verifiable arbitrage opportunities in a timely fashion offers macro-prudential policy makers a more targeted policy response than making alterations to poorly focused policy instruments, such as interest rates.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117299537","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}

引用次数: 1

Local Volatility: Smooth Calibration and Fast Usage 局部波动:平滑校准和快速使用

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-02-20 DOI: 10.2139/ssrn.2008215

A. Reghai, Gilles Boya, Ghislain Vong

引用次数: 7

A Parsimonious Model for Intraday European Option Pricing 日内欧式期权定价的简约模型

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-02-20 DOI: 10.2139/ssrn.2007737

E. Scalas, M. Politi

引用次数: 5

Notes on Financial System Development and Political Intervention 金融体系发展与政治干预注释

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-02-16 DOI: 10.2139/ssrn.2010226

Fenghua Song, A. Thakor

{"title":"Notes on Financial System Development and Political Intervention","authors":"Fenghua Song, A. Thakor","doi":"10.2139/ssrn.2010226","DOIUrl":"https://doi.org/10.2139/ssrn.2010226","url":null,"abstract":"The paper studies the impact of political intervention on a financial system that consists of banks and financial markets and develops over time. In this financial system, banks and markets exhibit three forms of interaction: they compete, they complement each other, and they co-evolve. Coevolution is generated by two new ingredients of financial system architecture relative to the existing theories: securitization and risk-sensitive bank capital. The authors show that securitization propagates banking advances to the financial market, permitting market evolution to be driven by bank evolution, and market advances are transmitted to banks through bank capital. Then they examine how politicians determine the nature of political intervention designed to expand credit availability. The authors find that political intervention in banking exhibits a U-shaped pattern, where it is most notable in the early stage of financial system development (through bank capital subsidy in exchange for state ownership of banks) and in the advanced stage (through direct lending regulation). Despite expanding credit access, political intervention results in an increase in financial system risk and does not contribute to financial system evolution. Numerous policy implications are drawn out.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130748582","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}

引用次数: 35

Human Security as a Proxy for Country Risk in the Credit Ratings of Frontier Market Sovereign Bonds 前沿市场主权债券信用评级中人类安全对国家风险的影响

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-02-15 DOI: 10.2139/ssrn.2006079

Allan Dwyer

引用次数: 0

Volatility Interpolation and Yosida Approximation 波动率插值和Yosida近似

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-02-03 DOI: 10.2139/ssrn.1998964

V. Lucic

引用次数: 0

Capital Asset Pricing Under Ambiguity 模糊性下的资本资产定价

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-02-01 DOI: 10.2139/ssrn.2020179

Yehuda Izhakian

引用次数: 17

Post-Mortem Examination of the International Financial Network 国际金融网络的事后检讨

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-01-30 DOI: 10.2139/ssrn.1995499

Matteo Chinazzi, G. Fagiolo, Javier Reyes, S. Schiavo

{"title":"Post-Mortem Examination of the International Financial Network","authors":"Matteo Chinazzi, G. Fagiolo, Javier Reyes, S. Schiavo","doi":"10.2139/ssrn.1995499","DOIUrl":"https://doi.org/10.2139/ssrn.1995499","url":null,"abstract":"As the recent crisis has forcefully suggested, understanding financial-market interconnectedness is of a paramount importance to explain systemic risk, stability and economic dynamics. In this paper, we address these issues along two related perspectives. First, we explore the statistical properties of the International Financial Network (IFN), defined as a weighted-directed graph where nodes are countries and links represent debtor–creditor relationships in equities and short/long-run debt. We investigate whether the 2008 financial crisis has resulted in a significant change in the topological properties of the IFN. Our findings suggest that the crisis caused not only a reduction in the amount of securities traded, but also induced changes in the topology of the network and in the time evolution of its statistical properties. This has happened, however, without changing the disassortative, core-periphery structure of the IFN architecture. Second, we perform an econometric study to examine the ability of network-based measures to explain cross-country differences in crisis intensity. We investigate whether the conclusion of previous studies showing that international connectedness is not a relevant predictor of crisis intensity may be reversed, once one explicitly accounts for the position of each country within the IFN. We show that higher interconnectedness reduces the severity of the crisis, as it allows adverse shocks to dissipate quicker. However, being central in the network may make countries that are not members of a rich club more vulnerable in times of crisis. Finally, we find strong evidence of nonlinear effects, once the high degree of heterogeneity that characterizes the IFN is taken into account.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122014031","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}

引用次数: 126

Asset Purchase Policy at the Effective Lower Bound for Interest Rates 利率有效下限下的资产购买政策

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-01-27 DOI: 10.2139/ssrn.1992980

R. Harrison

{"title":"Asset Purchase Policy at the Effective Lower Bound for Interest Rates","authors":"R. Harrison","doi":"10.2139/ssrn.1992980","DOIUrl":"https://doi.org/10.2139/ssrn.1992980","url":null,"abstract":"This paper studies optimal policy in a stylised New Keynesian model that is extended to incorporate imperfect substitutability between short-term and long-term bonds. This simple modification provides a channel through which asset purchases by the policy maker can affect aggregate demand. Because assets are imperfect substitutes, central bank asset purchases that alter the relative supplies of assets can influence their prices. In the model, aggregate demand depends on the prices (or interest rates) of both long-term and short-term bonds. To the extent that central bank asset purchases reduce long-term interest rates (over and above the effect of expected future short rates), aggregate demand can be stimulated, leading to higher inflation through a standard New Keynesian Phillips Curve. However, the imperfect substitutability between bonds that gives asset purchases their traction also reduces the potency of conventional monetary policy because reductions in the short-term nominal interest rate reduce the relative supply of short-term bonds, increasing the premium on long-term bonds. Nevertheless, a policy in which the policymaker uses asset purchases as an additional policy instrument can improve outcomes in the face of a negative demand shock that drives the short-term policy rate to its lower bound. This is true even if asset purchases policies are also subject to (both upper and lower) bounds.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128643376","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}

引用次数: 71