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A PROPOSAL FOR MULTI-ASSET GENERALIZED VARIANCE SWAPS 关于多资产广义方差互换的一个建议
IF 2
Annals of Financial Economics Pub Date : 2019-08-01 DOI: 10.1142/s2010495219500192
Subhojit Biswas, Diganta Mukherjee
{"title":"A PROPOSAL FOR MULTI-ASSET GENERALIZED VARIANCE SWAPS","authors":"Subhojit Biswas, Diganta Mukherjee","doi":"10.1142/s2010495219500192","DOIUrl":"https://doi.org/10.1142/s2010495219500192","url":null,"abstract":"This paper proposes swaps on two important new measures of generalized variance, namely the maximum eigenvalue and trace of the covariance matrix of the assets involved. We price these generalized variance swaps for financial markets with Markov-modulated volatilities. We consider multiple assets in the portfolio for theoretical purpose and demonstrate our approach with numerical examples taking three stocks in the portfolio. The results obtained in this paper have important implications for the commodity sector where such swaps would be useful for hedging risk.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2019-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1142/s2010495219500192","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43109790","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
DO EXCHANGE RATE CHANGES HAVE SYMMETRIC OR ASYMMETRIC EFFECTS ON INTERNATIONAL TRADE INTEGRATION? 汇率变化对国际贸易一体化的影响是对称的还是非对称的？
IF 2
Annals of Financial Economics Pub Date : 2019-08-01 DOI: 10.1142/S2010495219500131
S. Rajput, N. Ghumro, Nadia Anjum
{"title":"DO EXCHANGE RATE CHANGES HAVE SYMMETRIC OR ASYMMETRIC EFFECTS ON INTERNATIONAL TRADE INTEGRATION?","authors":"S. Rajput, N. Ghumro, Nadia Anjum","doi":"10.1142/S2010495219500131","DOIUrl":"https://doi.org/10.1142/S2010495219500131","url":null,"abstract":"This paper investigates whether exchange rate changes have symmetric or asymmetric effects on international trade integration, using quarterly time series data from 1980: Q1 till 2018: Q2. The recent innovation in cointegration techniques allows us to estimate nonlinear effects. We apply both linear autoregressive distributed lags (ARDL) and nonlinear ARDL models. The empirical results indicate that asymmetric relationship exists between exchange rate (REER) and international trade integration (ITI) in the short-run as well as in the long-run, meaning that real effective exchange rate has negative and statistically significant effects on international trade integration. Robustness checks indicate no role of various crisis including GFC on the relationship between ITI and REER, however, regime change has significantly negative impact in short-run and positive in long-run on ITI. The results are important because when we separate currency appreciation from the depreciation, it has the significant and different effects on international trade integration.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2019-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1142/S2010495219500131","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46162974","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: 2
FINANCIAL DEVELOPMENT, TECHNOLOGY AND ECONOMIC DEVELOPMENT: THE ROLE OF INSTITUTIONS IN DEVELOPING COUNTRIES 金融发展、技术和经济发展:发展中国家机构的作用
IF 2
Annals of Financial Economics Pub Date : 2019-08-01 DOI: 10.1142/S201049521950012X
Samina Sabir, Rashid Latif, Unbreen Qayyum, Kamran Abass
{"title":"FINANCIAL DEVELOPMENT, TECHNOLOGY AND ECONOMIC DEVELOPMENT: THE ROLE OF INSTITUTIONS IN DEVELOPING COUNTRIES","authors":"Samina Sabir, Rashid Latif, Unbreen Qayyum, Kamran Abass","doi":"10.1142/S201049521950012X","DOIUrl":"https://doi.org/10.1142/S201049521950012X","url":null,"abstract":"Financial sector development plays a pivotal role in the process of economic growth and development through mobilization of savings and creating investment opportunities. Financial development also increases the level of technology by providing finance to entrepreneurs for technological innovations which leads to economic growth. Moreover, financial markets develop rapidly in those countries which have strong legal system to enforce property rights, support private contractual arrangement and protect the rights of investors that can support real economic activities. Therefore, the presence of good quality institutions strengthens financial development which leads to technological development and growth. This study investigates the impact of financial development, technology and institutions on economic growth of selected developing countries over the time span of 1996–2015. This study extends the Augmented Solow growth model by incorporating variables such as financial development, technology, institutions and their interaction terms in the model. Due to endogeneity problem, the empirical model used in the study is estimated by System Generalized Method of Moments (System-GMM). Empirical results show that financial development, technology and institutions have very strong effects on the economic growth developing countries. To attain a sustainable economic growth, developing countries should develop their institutions which are necessary for the effective functioning of financial markets that stimulate economic growth by providing finance to entrepreneurs for innovations in technological sectors.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2019-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1142/S201049521950012X","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43160269","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: 7
ESTIMATING SECTORAL SYSTEMATIC RISK FOR CHINA, MALAYSIA, SINGAPORE, AND THAILAND 评估中国、马来西亚、新加坡和泰国的行业系统性风险
IF 2
Annals of Financial Economics Pub Date : 2019-08-01 DOI: 10.1142/S2010495219500118
T. Pham, D. Vo
{"title":"ESTIMATING SECTORAL SYSTEMATIC RISK FOR CHINA, MALAYSIA, SINGAPORE, AND THAILAND","authors":"T. Pham, D. Vo","doi":"10.1142/S2010495219500118","DOIUrl":"https://doi.org/10.1142/S2010495219500118","url":null,"abstract":"This study examines the relative systematic risks of 10 industries in China and ASEAN-3, including Malaysia, Singapore, and Thailand. We use four different approaches (ordinary least squares, least absolute deviations, MM-estimator and Theil–Sen estimator) and the weekly data from 2004 to 2016 to determine the sectoral systematic risk. The data are also divided into four sub-periods: the pre-crisis, crisis, post-crisis and normal periods. We find that the rankings of systematic risk, and the risk–return framework, for 10 industries vary from one country to another. The pairwise correlation analysis shows that significant correlation of sectoral ranks between estimation methods is found in China and Thailand, but not in Malaysia and Singapore. However, no correlations of industry rankings between China and ASEAN-3 countries for all the estimation methods for the full research periods and sub-periods are found. The sub-periods analysis also suggests that the rankings of systematic risk for industries in four countries across different economic periods are unstable.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2019-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1142/S2010495219500118","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46387471","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: 0
THE NEXUS BETWEEN ECONOMIC INTEGRATION AND GROWTH: APPLICATION TO VIETNAM 经济一体化与经济增长的关系:以越南为例
IF 2
Annals of Financial Economics Pub Date : 2019-08-01 DOI: 10.1142/S2010495219500143
Ha Nguyen, Ngoc Hoang Bui, D. Vo
{"title":"THE NEXUS BETWEEN ECONOMIC INTEGRATION AND GROWTH: APPLICATION TO VIETNAM","authors":"Ha Nguyen, Ngoc Hoang Bui, D. Vo","doi":"10.1142/S2010495219500143","DOIUrl":"https://doi.org/10.1142/S2010495219500143","url":null,"abstract":"The paper examines the relationship between the economic integration and growth nexus in Vietnam using powerful quantitative methods, specifically the Autoregressive Distributed Lag (ARDL) and the Granger causality test. The study focuses on three types of economic integration, including overall integration, financial integration and trade integration, which affected economic growth in Vietnam from 1986 to 2015. The key finding from this study is that when three types of economic integration are considered together, integration provides positive impacts on economic growth. In addition, causal relationship exists between overall integration and financial integration, and between trade integration and financial integration. As such, financial integration is absolutely important to economic growth in Vietnam. On the grounds of these findings, the Vietnamese government should carefully outline socio-economic development strategies to maintain political stability and to derive benefits from economic integration and globalization.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2019-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1142/S2010495219500143","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45822904","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: 15
VOLATILITY SPILLOVER EFFECT OF FEDERAL RESERVE’S BALANCE SHEET ON THE FINANCIAL AND GOODS MARKETS OF INDO-PAK REGION 美联储资产负债表对印巴地区金融和商品市场的波动溢出效应
IF 2
Annals of Financial Economics Pub Date : 2019-08-01 DOI: 10.1142/S2010495219500155
Q. Syed, Waseem Shahid Malik, B. Chang
{"title":"VOLATILITY SPILLOVER EFFECT OF FEDERAL RESERVE’S BALANCE SHEET ON THE FINANCIAL AND GOODS MARKETS OF INDO-PAK REGION","authors":"Q. Syed, Waseem Shahid Malik, B. Chang","doi":"10.1142/S2010495219500155","DOIUrl":"https://doi.org/10.1142/S2010495219500155","url":null,"abstract":"This paper examines the volatility spillover effect of the balance sheet of Federal Reserve (Fed) on the financial and goods markets of Pakistan, India and Bangladesh (collectively known as the Indo-Pak region). Diagonal BEKK-GARCH methodology is used to capture the volatility spillover effects on Indo-Pak economies. This study took data from the year 2004 to year 2019 on a monthly basis. The findings of the paper describe that there are volatility spillovers from Fed’s balance sheet to the financial markets of Pakistan, India and Bangladesh economies. On the other hand, there is also evidence of volatility spillovers from the balance sheet of Fed to the goods markets of these economies.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2019-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1142/S2010495219500155","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48714863","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: 11
FORECASTING REALIZED VOLATILITY DYNAMICALLY BASED ON ADJUSTED DYNAMIC MODEL AVERAGING (AMDA) APPROACH: EVIDENCE FROM CHINA’S STOCK MARKET 基于调整动态模型平均法的波动率动态预测&来自中国股市的证据
IF 2
Annals of Financial Economics Pub Date : 2019-06-21 DOI: 10.11648/J.IJAFRM.20190402.11
Ping-Hong Yuan
{"title":"FORECASTING REALIZED VOLATILITY DYNAMICALLY BASED ON ADJUSTED DYNAMIC MODEL AVERAGING (AMDA) APPROACH: EVIDENCE FROM CHINA’S STOCK MARKET","authors":"Ping-Hong Yuan","doi":"10.11648/J.IJAFRM.20190402.11","DOIUrl":"https://doi.org/10.11648/J.IJAFRM.20190402.11","url":null,"abstract":"In this study, we forecast the realized volatility of the CSI 300 index using the heterogeneous autoregressive model for realized volatility (HAR-RV) and its various extensions. Our models take into account the time-varying property of the models’ parameters and the volatility of realized volatility. The adjusted dynamic model averaging (ADMA) approach, is used to combine the forecasts of the individual models. Our empirical results suggest that ADMA can generate more accurate forecasts than DMA method and alternative strategies. Models that use time-varying parameters have greater forecasting accuracy than models that use the constant coefficients.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2019-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44389141","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: 2
MULTIFRACTAL BEHAVIOR IN PRECIOUS METALS: WAVELET COHERENCY AND FORECASTING BY VARIMA AND V-FARIMA MODELS 贵金属的多重分形行为：小波相干性及VARIMA和V-FARIMA模型预测
IF 2
Annals of Financial Economics Pub Date : 2019-04-21 DOI: 10.1142/S2010495219500064
Itir Doğangün, G. Unal
{"title":"MULTIFRACTAL BEHAVIOR IN PRECIOUS METALS: WAVELET COHERENCY AND FORECASTING BY VARIMA AND V-FARIMA MODELS","authors":"Itir Doğangün, G. Unal","doi":"10.1142/S2010495219500064","DOIUrl":"https://doi.org/10.1142/S2010495219500064","url":null,"abstract":"We introduce a new approach to improve the forecasting performance by investigating the multifractal features and the dynamic correlations of return on spot prices of precious metals, namely, gold and platinum. The Hölder exponent of multifractal time series is employed to detect the critical fluctuations during the financial crises through measuring the multifractal behavior. We also consider co-movement of Hölder exponents and forecast the Hölder exponents of multifractal precious metal time series on coherent time periods. The results indicate that forecasting of multiple wavelet coherence of Hölder exponents of multifractal precious metal time series is efficiently improved by using Vector FARIMA and VARIMA models.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2019-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1142/S2010495219500064","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48615345","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: 0
FINANCIAL INTEGRATION AND MACROECONOMIC VOLATILITY: NEW EVIDENCE FROM DSGE MODELING 金融一体化与宏观经济波动:来自dsge模型的新证据
IF 2
Annals of Financial Economics Pub Date : 2019-04-21 DOI: 10.1142/S2010495219500076
Tarek Ghazouani, Ramzi Drissi, Jamel Boukhatem
{"title":"FINANCIAL INTEGRATION AND MACROECONOMIC VOLATILITY: NEW EVIDENCE FROM DSGE MODELING","authors":"Tarek Ghazouani, Ramzi Drissi, Jamel Boukhatem","doi":"10.1142/S2010495219500076","DOIUrl":"https://doi.org/10.1142/S2010495219500076","url":null,"abstract":"This paper provides a brief overview of theoretical and empirical literature on financial integration and macroeconomic volatility nexus highlighting how the degree of financial integration affects the volatility of macroeconomic fundamentals. Using a dynamic stochastic general equilibrium (DSGE) model, our findings show that: (i) higher degree of financial integration tends to decrease short-run volatility; (ii) following monetary policy shocks, financial integration increases nominal exchange rate and output volatility and reduces both nominal and real interest rates and consumption volatility; and (iii) in response to fiscal shocks, financial integration stabilizes all variables under the assumption of perfect capital mobility.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2019-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1142/S2010495219500076","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44865316","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: 6
PASS-THROUGH RATE STUDY FOR HONG KONG BANKING INDUSTRY AND ITS APPLICATION TO NONMATURITY DEPOSITS INTEREST RATE RISK MANAGEMENT 香港银行业传递利率研究及其在非到期存款利率风险管理中的应用
IF 2
Annals of Financial Economics Pub Date : 2019-04-21 DOI: 10.1142/S201049521950009X
Zhifeng Wang, Fangying Wei, Yuzhou Fang
{"title":"PASS-THROUGH RATE STUDY FOR HONG KONG BANKING INDUSTRY AND ITS APPLICATION TO NONMATURITY DEPOSITS INTEREST RATE RISK MANAGEMENT","authors":"Zhifeng Wang, Fangying Wei, Yuzhou Fang","doi":"10.1142/S201049521950009X","DOIUrl":"https://doi.org/10.1142/S201049521950009X","url":null,"abstract":"Basel Committee on Banking Supervision published Standards on Interest Rate Risk in Banking Book in April 2016. Apart from others, it proposed a standardized framework under which banks should identify core and noncore deposits within their stable nonmaturity deposits (NMD) and determine appropriate cash flow slotting for the NMD. This paper proposed a unique solution to slot Core NMD into repricing time buckets to address Basel requirements on NMD. The proposed solution was based on pass-through rate model under ECM (error correction model) framework. The solution itself showed interesting mathematical property to form a generalized Fibonacci sequence with converged partial sum. What is more, this paper proposed a model-neutral back testing scheme to make objective comparison of performance across different NMD repricing behavior models. The contents of this paper are expected to be useful for practitioners due to lack of quantitative modeling and model validation methodologies on this topic in the industry while, at the same time, to motivate academic discussion on the best practice and further enhancement of the modeling approach for the industry.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":"1 1","pages":""},"PeriodicalIF":2.0,"publicationDate":"2019-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1142/S201049521950009X","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41384059","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: 2
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