|
on Financial Markets |
|
Issue of 2017‒08‒13
five papers chosen by |
| By: | Darryl King; Luis Brandao-Marques; Kelly Eckhold; Peter Lindner; Diarmuid Murphy |
| Abstract: | This paper considers the central bank mandate with respect to financial stability and identifies the links to the functioning of securities markets. It argues that while emergency support to securities markets is an important part of the crisis management response, a high bar should be set for its use. Importantly, it should be used only as part of a comprehensive policy package. The paper considers what types of securities markets may be important for financial stability, what market conditions could trigger emergency support measures, and how programs can be designed to restore market functioning while minimizing moral hazard. |
| Keywords: | Liquidity;Central banks and their policies;Lender-of-last resort, market maker of last resort, fire sales, and financial stability, financial stability, Government Policy and Regulation |
| Date: | 2017–07–10 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:17/152&r=fmk |
| By: | Hooy, Chee-Wooi; Lee, Meng-Horng; Chong, Terence Tai Leung |
| Abstract: | This paper examines the possible determinants for the sources of variations in ASEAN stock returns across financial crises. Using a comprehensive data of 4043 firms from six ASEAN countries and 40 industries, we find that lagged country return and concentration are among the determinants that explain the country factors in the region, while size proved to be the determinant of industry factors for both tradable and non-tradable industries. In general, a higher previous return and lower industrial concentration would increase the country factor. We documented the loss of explanatory power of these determinants in the presence of crisis effects. |
| Keywords: | International diversification; Country effects; Industry effects; Determinants; ASEAN |
| JEL: | F21 G11 G15 |
| Date: | 2017–08–03 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:80574&r=fmk |
| By: | He, Qing; Qian, Zongxin; Fei, Zhe; Chong, Terence Tai Leung |
| Abstract: | In this paper, a duration dependence test for speculative bubbles in the Chinese stock market is developed. It is found that bubbles in the aggregate stock price existed before the split share reform. After the reform, we observe the phenomenon of bubble migration across industries. In particular, bubbles migrate from the telecommunications industry to the health care industry. Moreover, we find that monetary policy used to have a significant impact on the bubble size before the reform but the impact diminished after the reform. |
| Keywords: | Survival analysis; Speculative bubbles; Non-tradable shares reform |
| JEL: | G12 |
| Date: | 2016–12–01 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:80575&r=fmk |
| By: | OKIMOTO Tatsuyoshi; TAKAOKA Sumiko |
| Abstract: | We introduce an affine term structure model with observed macroeconomic factors for the government bond yield and credit spread curves. Empirical results based on the model selection using Japanese data demonstrate that the government bond yield and credit spread curves are dominated by monetary policy and suggest that the flight-to-quality behavior considerably affects the government bond yield. In addition, our results indicate that global economic forces, such as the U.S. Treasury yield and Baa-Aaa credit spread, play a major role in the joint dynamics of government yield and credit spread curves, complementing a growing body of literature explaining what drives the yield and credit spread curves. Our contemporaneous response and historical decomposition analyses find that monetary policy and global economic and financial forces have large impacts on all maturities and curves. |
| Date: | 2017–07 |
| URL: | http://d.repec.org/n?u=RePEc:eti:dpaper:17104&r=fmk |
| By: | Kazeem Isah (Centre for Econometric and Allied Research, University of Ibadan) |
| Abstract: | The study give a new perspective to the interrelationship between/ or among the Nigerian financial markets namely stock, bond and FX markets by determine whether the conditional volatility spillovers across the three markets is constant or dynamic in nature. Using daily financial data set for the period 2011 to July 2014, we model return and shock spillovers via VARMA-CCC-GARCH model after careful considerations of relevant tests and model selection criteria. Finding from our empirical estimate shows that return in one market is significantly sensitive to returns in the other markets. More so, the individual market (i.e. stock, bond and FX) appears to be significantly vulnerable to cross-market shock spillovers. |
| Keywords: | Return-Spillover, Shock-Spillover, Shork-Persistence, VARMA-CCC-GARCH |
| Date: | 2017–08 |
| URL: | http://d.repec.org/n?u=RePEc:cui:wpaper:001&r=fmk |