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on South East Asia |
| By: | Shamiri, Ahmed |
| Abstract: | The purpose of this paper is to investigate the international information transmission of return and volatility spillovers from the US and Japan and the rest of the Asia-Pacific markets using daily stock market return data covering the last 14 years. In the majority of the markets under scrutiny, we provide evidence of direct volatility spillovers, running mainly from the Japanese and US markets and pointing to more rapid information transmission during the recent years. First, the volatility of the Asia-Pacific markets is becoming influenced more by the US market for the recent years. Secondly, for international investors to get profits from the returns of Asia-Pacific securities, it is necessary to pay attention to the US market directly. Third, Korea, Singapore and Hong Kong are among the most Asia-Pacific markets vulnerable to shocks from US investors due to the large ratio of portfolio holding. |
| Keywords: | GARCH-BEKK; volatility spillovers; multivariate GARCH |
| JEL: | C5 C01 |
| Date: | 2008 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:13706&r=sea |
| By: | Duvvuri Subbarao |
| Abstract: | The impact of economic crisis on India has been analysed in the speech. [Speech delivered at the Symposium on 'The Global Economic Crisis and Challenges for the Asian Economy in a Changing World']. |
| Keywords: | money market, credit, forex, India, economic crisis, Indian banking system, growth, domestic consumption, investment, GDP, financial integration, markets, banks |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:ess:wpaper:id:1870&r=sea |
| By: | Reinhart, Carmen; Felton, Andrew |
| Abstract: | Sadly, our previous compilation of VoxEU columns, ‘The First Global Financial Crisis of the 21st Century,’ was not the last word on the subject. Since the publication of that volume in June 2008, the global crisis has both deepened and widened. The industrial world has seen the largest bank failures in its history, and many governments have intervened in the financial system in a manner that would once have been unthinkable. Wall Street and the City of London, along with most other financial centers, have been changed forever. Many storied financial firms have failed or been merged away, and others are left with significant ownership positions of national governments. The economy of Iceland has suffered a collapse just as sizable as any of Latin America or East Asia during the last few decades. Vox authors have kept up their prolific pace of commenting on unfolding events. In keeping with the mission of Vox, columnists both applied existing economic research to understand events and pointed the way to new avenues for research. These articles, it has to be understood, were written ‘in the moment’ over the past six months and so incorporate to a varying extend the history we have lived through. To help place individual contributions within this historical sequence, an appendix updates the timeline of events from our June publication through December. |
| Keywords: | financial crisis monetary policy bank failures contagion |
| JEL: | F3 E5 E6 |
| Date: | 2009–02–22 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:13607&r=sea |
| By: | Jacob Gyntelberg; Mico Loretan; Tientip Subhanij; Eric Chan |
| Abstract: | Explaining exchange rates has long been an important but vexing issue in international economics and finance. In recent years, a number of studies have shown that investors' private information plays a central role in determining exchange rates. We demonstrate in this paper that the private information of investors relevant for exchange rates is largely connected to the stock market, and that this information is conveyed to foreign exchange (FX) markets by order flow that is induced by investors' transactions in the stock market. We establish these results by analyzing several novel unused datasets on nearly two years' worth of daily-frequency capital flows of nonresident investors in the foreign exchange, stock, and bond markets of Thailand. We present compelling evidence that FX order flow that is induced by nonresident investors transactions in the Stock Exchange of Thailand - which we show are driven largely by private information - has far greater explanatory power for the exchange rate than other order flow has, both in the short run and the long run. In contrast, FX order flow of nonresident investors that is related to their transactions in Thai government bonds - which we find are not driven appreciably by private information - does not have a statistically significant effect on the exchange rate. |
| Keywords: | Exchange rate models, market microstructure approach, asymmetric information, Thailand, generated regressors, impulse response functions, I(1) measurement error |
| Date: | 2009–02 |
| URL: | http://d.repec.org/n?u=RePEc:bis:biswps:271&r=sea |
| By: | Heng, Stefan |
| Abstract: | More and more companies are using RFID radio chip technology to boost their competitiveness. Yet RFID not only enhances the efficiency of the company deploying it. It also promotes innovativeness in the economy as a whole. Nevertheless, not every RFID project driven by a technological vision will necessarily become a commercial success for the user. In any event, though, RFID will enable producers to tap sizeable potential. Considering the host of potential application areas – particularly in production, the distributive trade and the transport industry – RFID turnover is likely to increase. With the shift in market shares for individual RFID components and the exodus of production of less sophisticated products from the high-wage countries, Asia is poised to become the continent with the highest turnover. |
| Keywords: | RFID; technology; transportation; logistics |
| JEL: | P33 L81 O33 O14 |
| Date: | 2009–02–06 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:13646&r=sea |
| By: | Jeffrey G. Williamson |
| Abstract: | Most analysts of the modern Latin American economy hold to a pessimistic belief in historical persistence -- they believe that Latin America has always had very high levels of inequality, suggesting it will be hard for modern social policy to create a more egalitarian society. This paper argues that this conclusion is not supported by what little evidence we have. The persistence view is based on an historical literature which has made little or no effort to be comparative. Modern analysts see a more unequal Latin America compared with Asia and the rich post-industrial nations and then assume that this must always have been true. Indeed, some have argued that high inequality appeared very early in the post-conquest Americas, and that this fact supported rent-seeking and anti-growth institutions which help explain the disappointing growth performance we observe there even today. This paper argues to the contrary. Compared with the rest of the world, inequality was not high in pre-conquest 1491, nor was it high in the postconquest decades following 1492. Indeed, it was not even high in the mid-19th century just prior Latin America’s belle époque. It only became high thereafter. Historical persistence in Latin American inequality is a myth. |
| JEL: | D3 N16 N36 O15 |
| Date: | 2009–03 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:14766&r=sea |