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Does money matter in the ECB strategy? New evidence based on ECB communication† 在欧洲央行的策略中，资金重要吗?基于欧洲央行沟通的新证据
IF 2.9 3区 经济学
International Journal of Finance & Economics Pub Date : 2010-12-17 DOI: 10.1002/ijfe.412
Helge Berger, Jakob de Haan, Jan-Egbert Sturm
{"title":"Does money matter in the ECB strategy? New evidence based on ECB communication†","authors":"Helge Berger,&nbsp;Jakob de Haan,&nbsp;Jan-Egbert Sturm","doi":"10.1002/ijfe.412","DOIUrl":"https://doi.org/10.1002/ijfe.412","url":null,"abstract":"<p>We examine the role of money in the policies of the European Central Bank (ECB), using introductory statements of the ECB President at the monthly press conferences during 1999–2004. Over time, the relative amount of words devoted to the monetary analysis has decreased. Our analysis of indicators of the monetary policy stance suggests that developments in the monetary sector, while somewhat more important in the later half of the sample, only played a minor role most of the time. Our estimates of ECB interest rate decisions suggest that the ECB's statements on the monetary analysis are not an important determinant of its actions. Copyright © 2010 John Wiley &amp; Sons, Ltd.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":null,"pages":null},"PeriodicalIF":2.9,"publicationDate":"2010-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/ijfe.412","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"137528734","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Yes, the choice of performance measure does matter for ranking of us mutual funds† 是的，业绩衡量标准的选择对美国共同基金的排名†很重要
IF 2.9 3区 经济学
International Journal of Finance & Economics Pub Date : 2010-12-12 DOI: 10.1002/ijfe.437
José Renato Haas Ornelas, Antônio Francisco Silva Júnior, José Luiz Barros Fernandes
{"title":"Yes, the choice of performance measure does matter for ranking of us mutual funds†","authors":"José Renato Haas Ornelas,&nbsp;Antônio Francisco Silva Júnior,&nbsp;José Luiz Barros Fernandes","doi":"10.1002/ijfe.437","DOIUrl":"https://doi.org/10.1002/ijfe.437","url":null,"abstract":"<div>\u0000 \u0000 <p>Recent literature in performance evaluation has focused on preferences and characteristics of returns' distribution that go beyond mean and variance world. However, Eling (2008) compared the Sharpe ratio with some of these performance measures, and found virtually identical rank ordering using mutual fund data. This paper compares 13 performance measures with the traditional Sharpe Ratio using a sample of US Fixed-Income, Equity and Asset Allocation Mutual Funds. Results show that performance measures based on absolute reward-risk ratios have similar rankings, when the numerator (mean excess return) is the same. However, when we move to other types of performances measures, results may be significantly different. This is the case of the Manipulation-Proof Performance Measure (MPPM), Upside Potential Ratio, and Appraisal Ratio. Results are especially different for the MPPM. Robustness checks show that some of the performance measures are very sensitive to parameters' changes. Therefore, the choice of the performance measure is actually important for mutual fund ranking and selection. As a consequence, we argue that the use of several performance measures and rankings have a positive impact on the mutual fund's industry, reducing concentration. Copyright © 2011 John Wiley &amp; Sons, Ltd.</p></div>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":null,"pages":null},"PeriodicalIF":2.9,"publicationDate":"2010-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/ijfe.437","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"137828250","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
FX risk-neutral valuation relationships for the SU jump-diffusion family SU跳跃-扩散家族的外汇风险中性估值关系
IF 2.9 3区 经济学
International Journal of Finance & Economics Pub Date : 2010-10-21 DOI: 10.1002/ijfe.433
Ana Câmara, António Câmara, Ivilina Popova, Betty Jo Simkins
{"title":"FX risk-neutral valuation relationships for the SU jump-diffusion family","authors":"Ana Câmara,&nbsp;António Câmara,&nbsp;Ivilina Popova,&nbsp;Betty Jo Simkins","doi":"10.1002/ijfe.433","DOIUrl":"https://doi.org/10.1002/ijfe.433","url":null,"abstract":"<p>This paper derives preference-free pricing formulae for foreign exchange options, which are consistent with a general equilibrium representative agent economy. These risk-neutral valuation relationships (RNVR's) are obtained for the <i>S</i><sub><i>U</i></sub> jump-diffusion family. Call and put options are particular cases of our general model. These option pricing formulae nest Merton's (<span>1976</span>) jump-diffusion equations. Our option valuation formulae are able to generate symmetric and asymmetric volatility <i>smiles</i> and <i>skews</i> with similar shapes to those observed in the foreign exchange options market, and they solve several pricing biases of Black (<span>1976</span>) and Garman and Kohlhagen (<span>1983</span>) models. Copyright © 2010 John Wiley &amp; Sons, Ltd.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":null,"pages":null},"PeriodicalIF":2.9,"publicationDate":"2010-10-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/ijfe.433","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"137957788","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The effect of a transaction tax on exchange rate volatility 交易税对汇率波动的影响
IF 2.9 3区 经济学
International Journal of Finance & Economics Pub Date : 2010-03-23 DOI: 10.1002/ijfe.399
Markku Lanne, Timo Vesala
{"title":"The effect of a transaction tax on exchange rate volatility","authors":"Markku Lanne,&nbsp;Timo Vesala","doi":"10.1002/ijfe.399","DOIUrl":"https://doi.org/10.1002/ijfe.399","url":null,"abstract":"<p>We argue that a transaction tax is likely to amplify, not dampen, volatility in foreign exchange markets. Our argument stems from the decentralized trading practice and the presumable discrepancy between ‘informed’ and ‘uninformed’ traders' valuations. Given that the informed valuations are likely to be less dispersed, a transaction tax penalizes informed trades disproportionately, leading to increased volatility. Empirical support for this prediction is found by investigating the effect of transaction costs on the volatility of DEM/USD and JPY/USD returns. High-frequency data are used and an increase in transaction costs is found to have a significant positive effect on volatility. Copyright © 2009 John Wiley &amp; Sons, Ltd.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":null,"pages":null},"PeriodicalIF":2.9,"publicationDate":"2010-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/ijfe.399","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"137966825","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Information technology and its impact on stock returns and trading volume 信息技术及其对股票收益和交易量的影响
IF 2.9 3区 经济学
International Journal of Finance & Economics Pub Date : 2009-08-27 DOI: 10.1002/ijfe.397
Uri Benzion, Tchai Tavor, Joseph Yagil
{"title":"Information technology and its impact on stock returns and trading volume","authors":"Uri Benzion,&nbsp;Tchai Tavor,&nbsp;Joseph Yagil","doi":"10.1002/ijfe.397","DOIUrl":"https://doi.org/10.1002/ijfe.397","url":null,"abstract":"<p>This study investigates the impact of information technology on common stock returns and trading volume. By focusing mainly on the peak period of the hi-tech phenomenon, the findings imply that the market response to website launching is positive. During the event day and the two preceding days, the abnormal stock return and the abnormal trading volume both are positive and statistically significant. In particular, the impact is stronger for non-US firms than for domestic companies, for initial rather than subsequent site launches, for those sites that are launched on Monday rather than on other days of the week, and for innovative industries such as electronics and computers. As expected, while the launch of a website had a stronger effect at the beginning of the hi-tech phenomenon, the impact has diminished in later years. Copyright © 2009 John Wiley &amp; Sons, Ltd.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":null,"pages":null},"PeriodicalIF":2.9,"publicationDate":"2009-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/ijfe.397","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"137554620","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Decomposing European bond and equity volatility† 分解欧洲债券和股票波动†
IF 2.9 3区 经济学
International Journal of Finance & Economics Pub Date : 2008-12-15 DOI: 10.1002/ijfe.385
Charlotte Christiansen
{"title":"Decomposing European bond and equity volatility†","authors":"Charlotte Christiansen","doi":"10.1002/ijfe.385","DOIUrl":"https://doi.org/10.1002/ijfe.385","url":null,"abstract":"<p>The paper investigates volatility spillover from US and aggregate European asset markets into European national asset markets. A main contribution is that bond and equity volatility spillover is analysed simultaneously. A new model belonging to the ‘volatility-spillover’ class is suggested: The conditional variance of e.g. the unexpected German stock return is divided into separate effects from US bonds, US stocks, European bonds, European stocks, German bonds, and German stocks. Significant volatility-spillover effects are found. The national bond (stock) volatilities are mainly influenced by bond (stock) effects. After the introduction of the euro the European markets have become more integrated; bond markets more so than stock markets. Copyright © 2008 John Wiley &amp; Sons, Ltd.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":null,"pages":null},"PeriodicalIF":2.9,"publicationDate":"2008-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/ijfe.385","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"137684828","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Does the Chinese interest rate follow the US interest rate? 中国的利率会跟随美国的利率吗?
IF 2.9 3区 经济学
International Journal of Finance & Economics Pub Date : 2007-09-17 DOI: 10.1002/ijfe.349
Yin-Wong Cheung, Dickson C. Tam, Matthew S. Yiu
{"title":"Does the Chinese interest rate follow the US interest rate?","authors":"Yin-Wong Cheung,&nbsp;Dickson C. Tam,&nbsp;Matthew S. Yiu","doi":"10.1002/ijfe.349","DOIUrl":"https://doi.org/10.1002/ijfe.349","url":null,"abstract":"<p>One argument for floating the Chinese renminbi (RMB) is to insulate China's monetary policy from the US effect. However, we note that both theoretical considerations and empirical results do not offer a definite answer on the link between exchange rate arrangement and policy dependence. We examine the empirical relevance of the argument by analysing the interactions between the Chinese and the US interest rates. Our empirical results, which appear robust to various assumptions of data persistence, suggest that the US effect on the Chinese interest rate is quite weak. Apparently, even with its <i>de facto</i> peg to the US dollar, China has alternative measures to retain its policy independence and de-link its interest rates from the US rate. In other words, the argument for a flexible RMB to insulate China's monetary policy from the US effect is not substantiated by the observed interest rate interactions. Copyright © 2007 John Wiley &amp; Sons, Ltd.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":null,"pages":null},"PeriodicalIF":2.9,"publicationDate":"2007-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/ijfe.349","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"137857473","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 95
The term structure of credit spreads in project finance 项目融资中信用期限结构的息差
IF 2.9 3区 经济学
International Journal of Finance & Economics Pub Date : 2007-09-11 DOI: 10.1002/ijfe.350
Marco Sorge, Blaise Gadanecz
{"title":"The term structure of credit spreads in project finance","authors":"Marco Sorge,&nbsp;Blaise Gadanecz","doi":"10.1002/ijfe.350","DOIUrl":"https://doi.org/10.1002/ijfe.350","url":null,"abstract":"<p>This paper finds that the term structure of credit spreads in project finance is hump-shaped. This contrasts with other types of debt, where credit risk is shown instead to increase monotonically with maturity <i>ceteris paribus</i>. We emphasize a number of peculiar features of project finance structures that might underlie this finding, such as high leverage decreasing over time, long-term political risk guarantees and the sequential resolution of uncertainty along project advancement stages. Our result is particularly relevant given the importance of project finance as a source of long-term capital for infrastructure especially in developing countries and has implications for risk management in the framework of Basel II. Copyright © 2007 John Wiley &amp; Sons, Ltd.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":null,"pages":null},"PeriodicalIF":2.9,"publicationDate":"2007-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/ijfe.350","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"137823225","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Policy words and policy deeds: the ECB and the euro 政策言论和政策行动:欧洲央行和欧元
IF 2.9 3区 经济学
International Journal of Finance & Economics Pub Date : 2007-09-05 DOI: 10.1002/ijfe.342
Pierre L. Siklos, Martin T. Bohl
{"title":"Policy words and policy deeds: the ECB and the euro","authors":"Pierre L. Siklos,&nbsp;Martin T. Bohl","doi":"10.1002/ijfe.342","DOIUrl":"https://doi.org/10.1002/ijfe.342","url":null,"abstract":"<p>This paper examines the role of the European Central Bank (ECB) communication activities on daily eurodollar exchange rate and interest rates. We estimate the relationship between monetary policy and the exchange rate using a technique that explicitly recognizes the joint determination of both the levels and volatilities of these variables. We also consider more traditional estimation strategies as a test of the robustness of our main results. We introduce a new indicator of ECB communication policies that focuses on what the ECB says about the future economic outlook for the euro area along five different economic dimensions. The impact of the ECB communication policies is more apparent in the time-series framework than in the heteroskedasticity estimator approach. Time-series estimates reveal that interest rate changes generally have a much larger impact on exchange rate movements, and their volatility, than do ECB verbal pronouncements. Previous studies that conclude that news effects are significant at the daily frequency may have reached such a conclusion because the measurement of news was too highly aggregated. The endogeneity of the exchange rate–interest rate relationship is more apparent when the proxy for monetary policy is the euro area–US differential than when any other proxy for monetary policy is employed. Copyright © 2007 John Wiley &amp; Sons, Ltd.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":null,"pages":null},"PeriodicalIF":2.9,"publicationDate":"2007-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/ijfe.342","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"137488055","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Public debt indexation and denomination, the case of Brazil: a comment 公共债务指数化和计价，以巴西为例:评论
IF 2.9 3区 经济学
International Journal of Finance & Economics Pub Date : 2007-08-03 DOI: 10.1002/ijfe.334
Rubens Penha Cysne
{"title":"Public debt indexation and denomination, the case of Brazil: a comment","authors":"Rubens Penha Cysne","doi":"10.1002/ijfe.334","DOIUrl":"https://doi.org/10.1002/ijfe.334","url":null,"abstract":"<p>In this work I analyse the model proposed by Goldfajn to study the choice of the denomination of the public debt. The main purpose of the analysis is to point out possible reasons why new empirical evidence provided by Bevilacqua <i>et al</i>., regarding a more recent time period, gives less empirical support to the model. I also provide a measure of the overestimation of welfare gains from hedging the debt caused by the simplified time frame of Goldfajn's model. Assuming a time-preference parameter of 0.9, for instance, consumption gains associated with a hedge to the debt that reduces by half a one-time 20%-of-GDP shock to government spending run around 1.43% under the no-tax-smoothing structure of the model. Under a Ramsey allocation, though, consumption increases by just 0.05%. Copyright © 2007 John Wiley &amp; Sons, Ltd.</p>","PeriodicalId":47461,"journal":{"name":"International Journal of Finance & Economics","volume":null,"pages":null},"PeriodicalIF":2.9,"publicationDate":"2007-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/ijfe.334","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"137638300","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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