Efficiency Of Financial Markets In Transition The Case Of Macroeconomic Releases
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Author | : Richard Podpiera |
Publisher | : |
Total Pages | : 33 |
Release | : 2000 |
Genre | : |
ISBN | : 9788086288307 |
Download Efficiency of financial markets in transition : the case of macroeconomic releases Book in PDF, Epub and Kindle
Author | : Lars Oxelheim |
Publisher | : |
Total Pages | : 434 |
Release | : 2003 |
Genre | : |
ISBN | : 9789172976535 |
Download Financial Markets in Transition Book in PDF, Epub and Kindle
Author | : Menachem Brenner |
Publisher | : |
Total Pages | : 49 |
Release | : 2008 |
Genre | : |
ISBN | : |
Download Financial Markets and the Macro Economy Book in PDF, Epub and Kindle
The objective of this paper is to provide a deeper insight into the links between financial markets and the real economy. To that end, we study the short-term anticipation and response of U.S. stock, Treasury, and corporate bond markets to the first release of U.S. macroeconomic information. Specifically, we focus on the impact of these announcements not only on the level, but also on the volatility and comovement of those assets' returns. For that purpose, we estimate several extensions of the parsimonious amended GARCH model of Engle (2002) for the excess holding-period returns on seven portfolios of these asset classes. We find that the process of price formation in the U.S. financial markets appears to be driven by fundamentals; yet, excessive volatility and comovement play an important role in return dynamics as well. Further, our analysis reveals a statistically and economically significant dichotomy between the reaction of the stock and bond markets to the arrival of unexpected fundamental information. However, we also show that stock and bond returns tend to react to the expected component of these announcements. This evidence casts some doubts on the efficiency of the U.S. financial markets with respect to widely anticipated and tracked releases of macroeconomic data. Overall, the above results often differ from earlier studies where the surprise portion of those releases was not identified, and shed new light on the mechanisms by which information is incorporated into prices.
Author | : OECD |
Publisher | : OECD Publishing |
Total Pages | : 94 |
Release | : 2021-05-20 |
Genre | : |
ISBN | : 9264852395 |
Download OECD Sovereign Borrowing Outlook 2021 Book in PDF, Epub and Kindle
This edition of the OECD Sovereign Borrowing Outlook reviews developments in response to the COVID-19 pandemic for government borrowing needs, funding conditions and funding strategies in the OECD area.
Author | : International Monetary Fund. Monetary and Capital Markets Department |
Publisher | : International Monetary Fund |
Total Pages | : 109 |
Release | : 2019-10-16 |
Genre | : Business & Economics |
ISBN | : 1498324029 |
Download Global Financial Stability Report, October 2019 Book in PDF, Epub and Kindle
The October 2019 Global Financial Stability Report (GFSR) identifies the current key vulnerabilities in the global financial system as the rise in corporate debt burdens, increasing holdings of riskier and more illiquid assets by institutional investors, and growing reliance on external borrowing by emerging and frontier market economies. The report proposes that policymakers mitigate these risks through stricter supervisory and macroprudential oversight of firms, strengthened oversight and disclosure for institutional investors, and the implementation of prudent sovereign debt management practices and frameworks for emerging and frontier market economies.
Author | : International Monetary Fund |
Publisher | : International Monetary Fund |
Total Pages | : 92 |
Release | : 2021-04-06 |
Genre | : Business & Economics |
ISBN | : 1513569678 |
Download Global Financial Stability Report, April 2021 Book in PDF, Epub and Kindle
Extraordinary policy measures have eased financial conditions and supported the economy, helping to contain financial stability risks. Chapter 1 warns that there is a pressing need to act to avoid a legacy of vulnerabilities while avoiding a broad tightening of financial conditions. Actions taken during the pandemic may have unintended consequences such as stretched valuations and rising financial vulnerabilities. The recovery is also expected to be asynchronous and divergent between advanced and emerging market economies. Given large external financing needs, several emerging markets face challenges, especially if a persistent rise in US rates brings about a repricing of risk and tighter financial conditions. The corporate sector in many countries is emerging from the pandemic overindebted, with notable differences depending on firm size and sector. Concerns about the credit quality of hard-hit borrowers and profitability are likely to weigh on the risk appetite of banks. Chapter 2 studies leverage in the nonfinancial private sector before and during the COVID-19 crisis, pointing out that policymakers face a trade-off between boosting growth in the short term by facilitating an easing of financial conditions and containing future downside risks. This trade-off may be amplified by the existing high and rapidly building leverage, increasing downside risks to future growth. The appropriate timing for deployment of macroprudential tools should be country-specific, depending on the pace of recovery, vulnerabilities, and policy tools available. Chapter 3 turns to the impact of the COVID-19 crisis on the commercial real estate sector. While there is little evidence of large price misalignments at the onset of the pandemic, signs of overvaluation have now emerged in some economies. Misalignments in commercial real estate prices, especially if they interact with other vulnerabilities, increase downside risks to future growth due to the possibility of sharp price corrections.
Author | : Alexander Fleming |
Publisher | : World Bank Publications |
Total Pages | : 302 |
Release | : 2001-01-01 |
Genre | : Business & Economics |
ISBN | : 9780821348147 |
Download Financial Transition in Europe and Central Asia Book in PDF, Epub and Kindle
This book contains 21 papers focusing on a wide range of issues concerning financial sector transition in the countries of Europe and Central Asia (ECA). It places the transition economies in the context of recent and prospective developments in global financial markets. This book also evaluates the experience of the last 10 years and reviews the progress from a command financial system to a market-based one, identifying some of the key characteristics of the financial transition.
Author | : Laurent Ferrara |
Publisher | : Springer |
Total Pages | : 300 |
Release | : 2018-06-13 |
Genre | : Business & Economics |
ISBN | : 3319790757 |
Download International Macroeconomics in the Wake of the Global Financial Crisis Book in PDF, Epub and Kindle
This book collects selected articles addressing several currently debated issues in the field of international macroeconomics. They focus on the role of the central banks in the debate on how to come to terms with the long-term decline in productivity growth, insufficient aggregate demand, high economic uncertainty and growing inequalities following the global financial crisis. Central banks are of considerable importance in this debate since understanding the sluggishness of the recovery process as well as its implications for the natural interest rate are key to assessing output gaps and the monetary policy stance. The authors argue that a more dynamic domestic and external aggregate demand helps to raise the inflation rate, easing the constraint deriving from the zero lower bound and allowing monetary policy to depart from its current ultra-accommodative position. Beyond macroeconomic factors, the book also discusses a supportive financial environment as a precondition for the rebound of global economic activity, stressing that understanding capital flows is a prerequisite for economic-policy decisions.
Author | : Signe Krogstrup |
Publisher | : International Monetary Fund |
Total Pages | : 58 |
Release | : 2019-09-04 |
Genre | : Business & Economics |
ISBN | : 1513511955 |
Download Macroeconomic and Financial Policies for Climate Change Mitigation: A Review of the Literature Book in PDF, Epub and Kindle
Climate change is one of the greatest challenges of this century. Mitigation requires a large-scale transition to a low-carbon economy. This paper provides an overview of the rapidly growing literature on the role of macroeconomic and financial policy tools in enabling this transition. The literature provides a menu of policy tools for mitigation. A key conclusion is that fiscal tools are first in line and central, but can and may need to be complemented by financial and monetary policy instruments. Some tools and policies raise unanswered questions about policy tool assignment and mandates, which we describe. The literature is scarce, however, on the most effective policy mix and the role of mitigation tools and goals in the overall policy framework.
Author | : |
Publisher | : |
Total Pages | : 408 |
Release | : 2001 |
Genre | : Czech Republic |
ISBN | : |
Download Prague Economic Papers Book in PDF, Epub and Kindle
Quarterly journal of economic theory and policy.