The Greek financial crisis: growing imbalances and sovereign spreads. Heather D. Gibson, Stephan G. Hall and George S. Tavlas

Size: px
Start display at page:

Download "The Greek financial crisis: growing imbalances and sovereign spreads. Heather D. Gibson, Stephan G. Hall and George S. Tavlas"

Transcription

1 The Greek financial crisis: growing imbalances and sovereign spreads Heaher D. Gibson, Sephan G. Hall and George S. Tavlas

2 The enry The enry of Greece ino he Eurozone in 2001 produced a dividend in he form of a sharp drop in ineres raes. The Greek crises saring in 2009 has reversed his gain. We consider o wha exen hese swings are due o fundamenals and how much is due o speculaion.

3 We invesigae he deerminaion of he spread beween Greek and German 10-year governmen bond yields We adop a single counry analysis using boh raeing daa and fundamenal analysis.

4 Plan of he paper 1 we ouline he developmen of he crises 2 we invesigae he exen which risk agencies raing can explain hings 3 we invesigae he way news abou he Greek siuaion can explain hings 4 we draw some conclusions

5 2. The Greek financial Crises: Origins Growing Imbalances /9 Benefis of joining in 2001 Lower inflaion and ineres raes No exchange rae flucuaions lower risk premia Encourages longer planning and invesmen

6

7 Alhough growh was high ( average 3.9%) wo main problems emerged Large fiscal Deficis Persisenly higher inflaion han he Eurozone average

8

9

10

11

12 Secion 2b The wake up call The global financial crises began in augus 2007 Collapse of Bear Searns March 2008 Collapse of Lehman Brohers sep 2008 This had lile direc effec on Greece, he Greek banking secor had no aken par in he sub-prime markes. Spreads rose a lile bu no o a significan exen.

13 Bu wo shocks Ocober 2009, new Greek Governmen announced fiscal defici would be 12.7% of GDP. (more han double previous predicions) November 2009 Dubai world (owned by he Gulf Emiraes) asked for a 6 monh deb moraorium. This caused a sharp increase in invesor risk aversion. Financial markes began scruinising Greece

14 These wo shocks lead o a subsanial and unprecedened rise in Greek spreads as shown earlier Suddenly membership of he Eurozone did no seem o be an absolue guaranee. Spreads coninued o rise despie May 2010 suppor from IMF and EU Commimen o lower he fiscal defici ECB purchasing Greek bonds

15 Two applicable crises models 1 s generaion Governmen missbehaves 2 nd generaion Markes speculae agains a counry Are here ellemens of boh of hese in he Greek case?

16 3 Spreads and he Risk Premium The ECB Financial inegraion in Europe (April 2011) proposed a simple model of he risk premium. We exend his here for Greece. We may hink of he spread as R gr = R ge + ρ + ε

17 Now we decompose he risk premium ino wo pars R gr = 2 ) 1 Where ρ may be jusified on he basis of marke informaion 2 And represen irraional marke speculaion ρ ge 1 (1 + ρ R + ρ + ε

18 Now in erms of raional informaion, in his secion we focus on he informaion provided by he raing agencies and he gradual downgrading of he qualiy of Greek deb

19 Hence we may resae he relaionship as R gr 2 ge = (1 + ρ ) R + D1 + D2 + D3 + D4 + ε In he ECB sudy his model was esimaed in firs differences and by recursive OLS We argue ha boh of hese choices are wrong.

20 Hence we esimae he following model using he Kalman Filer R gr ge = β R + α D + α D2 + α D3 + α D4 + ε Where he sae equaion is β = β 1 + ϖ ω ~ N(0, e γ )

21 ) α α α α γ

22 The unexplained risk premia

23 So his would sugges ha a large par of he oal spread can no be aribued o he downgrading of Greek deb bu ha insead here is a large degree of speculaion going on. Bu of course here was a lo of oher hings going on, so we now urn o a more fundamenal explanaion

24 5 A fundamenal Approach Here we use coinegraion echniques o invesigae he link beween economic fundamenals and he equilibrium spread. Daa sample Jan 2000 o Sep We focus on he main macro fundamenals which are widely regarded as deermining he spread. In addiion we use a new news variable

25 The News variable We look a revisions o he European Commissions spring and auumn forecass for he Greek fiscal deb. These revisions reflec news in he marke We hen cumulae hese revisions over ime

26 Fiscal defici revisions (% of GDP

27 Cumulaed News

28 Oher variables considered Acual deb o GDP raio Acual defici o GDP raio Trade and curren accoun o GDP raio Relaive Greek o German prices The rae of growh of he economy (BoG indicaor) Oil prices We iniially esimae a coinegraed VAR reaing all variables as endogenous excep oil prices.

29 We are ineresed in idenifying he srucural relaionship so we mus consider formal idenificaion We begin by esimaing a sandard VAR(3) (resuls in he paper) = Δ = Δ ' p j s s A j A ε δ β α 1 j z z z = Γ Δ = Δ p j j A A A ε δ β α 1 j z z z

30 Tess of coinegraion

31 The idenified coinegraing vecor

32 The impulse responses of he full coinegraed VAR are generally reasonable

33 Bu our main ineres is in he deviaions beween he equilibrium spread and he acual

34 There is a period in he middle period where spreads were below he equilibrium, caused by he Euro repuaion effec A very significan overshoo a he end however. Suggesing again ha fundamenals can no explain a large par of he spread and again suggesing ha

35 Conclusion Enry ino he Euro provided Greece wih a number of benefis The Crises and news abou he Greek fiscal posiion has removed his benefi Bu our resuls sugges ha markes have over reaced o he Greek siuaion

Usefulness of the Forward Curve in Forecasting Oil Prices

Usefulness of the Forward Curve in Forecasting Oil Prices Usefulness of he Forward Curve in Forecasing Oil Prices Akira Yanagisawa Leader Energy Demand, Supply and Forecas Analysis Group The Energy Daa and Modelling Cener Summary When people analyse oil prices,

More information

Impact of Debt on Primary Deficit and GSDP Gap in Odisha: Empirical Evidences

Impact of Debt on Primary Deficit and GSDP Gap in Odisha: Empirical Evidences S.R. No. 002 10/2015/CEFT Impac of Deb on Primary Defici and GSDP Gap in Odisha: Empirical Evidences 1. Inroducion The excessive pressure of public expendiure over is revenue receip is financed hrough

More information

Working Paper. The Greek financial crisis: growing imbalances and sovereign spreads WORKINKPAPERWORKINKPAPERWORKINKPAPERWORKINKPAPERWO

Working Paper. The Greek financial crisis: growing imbalances and sovereign spreads WORKINKPAPERWORKINKPAPERWORKINKPAPERWORKINKPAPERWO BANK OF GREECE EUROSYSTEM Working Paper The Greek financial crisis: growing imbalances and sovereign spreads Heaher D. Gibson Sephan G. Hall George S. Tavlas MARCH 2011 124 WORKINKPAPERWORKINKPAPERWORKINKPAPERWORKINKPAPERWO

More information

Morningstar Investor Return

Morningstar Investor Return Morningsar Invesor Reurn Morningsar Mehodology Paper Augus 31, 2010 2010 Morningsar, Inc. All righs reserved. The informaion in his documen is he propery of Morningsar, Inc. Reproducion or ranscripion

More information

4. International Parity Conditions

4. International Parity Conditions 4. Inernaional ariy ondiions 4.1 urchasing ower ariy he urchasing ower ariy ( heory is one of he early heories of exchange rae deerminaion. his heory is based on he concep ha he demand for a counry's currency

More information

Cointegration: The Engle and Granger approach

Cointegration: The Engle and Granger approach Coinegraion: The Engle and Granger approach Inroducion Generally one would find mos of he economic variables o be non-saionary I(1) variables. Hence, any equilibrium heories ha involve hese variables require

More information

DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR

DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR Invesmen Managemen and Financial Innovaions, Volume 4, Issue 3, 7 33 DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR Ahanasios

More information

BALANCE OF PAYMENTS. First quarter 2008. Balance of payments

BALANCE OF PAYMENTS. First quarter 2008. Balance of payments BALANCE OF PAYMENTS DATE: 2008-05-30 PUBLISHER: Balance of Paymens and Financial Markes (BFM) Lena Finn + 46 8 506 944 09, lena.finn@scb.se Camilla Bergeling +46 8 506 942 06, camilla.bergeling@scb.se

More information

Vector Autoregressions (VARs): Operational Perspectives

Vector Autoregressions (VARs): Operational Perspectives Vecor Auoregressions (VARs): Operaional Perspecives Primary Source: Sock, James H., and Mark W. Wason, Vecor Auoregressions, Journal of Economic Perspecives, Vol. 15 No. 4 (Fall 2001), 101-115. Macroeconomericians

More information

Duration and Convexity ( ) 20 = Bond B has a maturity of 5 years and also has a required rate of return of 10%. Its price is $613.

Duration and Convexity ( ) 20 = Bond B has a maturity of 5 years and also has a required rate of return of 10%. Its price is $613. Graduae School of Business Adminisraion Universiy of Virginia UVA-F-38 Duraion and Convexiy he price of a bond is a funcion of he promised paymens and he marke required rae of reurn. Since he promised

More information

The Real Business Cycle paradigm. The RBC model emphasizes supply (technology) disturbances as the main source of

The Real Business Cycle paradigm. The RBC model emphasizes supply (technology) disturbances as the main source of Prof. Harris Dellas Advanced Macroeconomics Winer 2001/01 The Real Business Cycle paradigm The RBC model emphasizes supply (echnology) disurbances as he main source of macroeconomic flucuaions in a world

More information

MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR

MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR The firs experimenal publicaion, which summarised pas and expeced fuure developmen of basic economic indicaors, was published by he Minisry

More information

THE SUPPLY OF STOCK MARKET RETURNS. Roger G. Ibbotson Yale University. Peng Chen Ibbotson Associates, Inc.

THE SUPPLY OF STOCK MARKET RETURNS. Roger G. Ibbotson Yale University. Peng Chen Ibbotson Associates, Inc. THE SUPPLY OF STOCK MARKET RETURNS Roger G. Ibboson Yale Universiy Peng Chen Ibboson Associaes, Inc. June 2001 The Supply of Sock Marke Reurns Roger G. Ibboson, Ph.D. Professor in he Pracice of Finance

More information

Chapter 9 Bond Prices and Yield

Chapter 9 Bond Prices and Yield Chaper 9 Bond Prices and Yield Deb Classes: Paymen ype A securiy obligaing issuer o pay ineress and principal o he holder on specified daes, Coupon rae or ineres rae, e.g. 4%, 5 3/4%, ec. Face, par value

More information

Why Did the Demand for Cash Decrease Recently in Korea?

Why Did the Demand for Cash Decrease Recently in Korea? Why Did he Demand for Cash Decrease Recenly in Korea? Byoung Hark Yoo Bank of Korea 26. 5 Absrac We explores why cash demand have decreased recenly in Korea. The raio of cash o consumpion fell o 4.7% in

More information

Relationships between Stock Prices and Accounting Information: A Review of the Residual Income and Ohlson Models. Scott Pirie* and Malcolm Smith**

Relationships between Stock Prices and Accounting Information: A Review of the Residual Income and Ohlson Models. Scott Pirie* and Malcolm Smith** Relaionships beween Sock Prices and Accouning Informaion: A Review of he Residual Income and Ohlson Models Sco Pirie* and Malcolm Smih** * Inernaional Graduae School of Managemen, Universiy of Souh Ausralia

More information

INVESTIGATION OF THE INFLUENCE OF UNEMPLOYMENT ON ECONOMIC INDICATORS

INVESTIGATION OF THE INFLUENCE OF UNEMPLOYMENT ON ECONOMIC INDICATORS INVESTIGATION OF THE INFLUENCE OF UNEMPLOYMENT ON ECONOMIC INDICATORS Ilona Tregub, Olga Filina, Irina Kondakova Financial Universiy under he Governmen of he Russian Federaion 1. Phillips curve In economics,

More information

Chapter 8: Regression with Lagged Explanatory Variables

Chapter 8: Regression with Lagged Explanatory Variables Chaper 8: Regression wih Lagged Explanaory Variables Time series daa: Y for =1,..,T End goal: Regression model relaing a dependen variable o explanaory variables. Wih ime series new issues arise: 1. One

More information

Appendix D Flexibility Factor/Margin of Choice Desktop Research

Appendix D Flexibility Factor/Margin of Choice Desktop Research Appendix D Flexibiliy Facor/Margin of Choice Deskop Research Cheshire Eas Council Cheshire Eas Employmen Land Review Conens D1 Flexibiliy Facor/Margin of Choice Deskop Research 2 Final Ocober 2012 \\GLOBAL.ARUP.COM\EUROPE\MANCHESTER\JOBS\200000\223489-00\4

More information

11/6/2013. Chapter 14: Dynamic AD-AS. Introduction. Introduction. Keeping track of time. The model s elements

11/6/2013. Chapter 14: Dynamic AD-AS. Introduction. Introduction. Keeping track of time. The model s elements Inroducion Chaper 14: Dynamic D-S dynamic model of aggregae and aggregae supply gives us more insigh ino how he economy works in he shor run. I is a simplified version of a DSGE model, used in cuing-edge

More information

II.1. Debt reduction and fiscal multipliers. dbt da dpbal da dg. bal

II.1. Debt reduction and fiscal multipliers. dbt da dpbal da dg. bal Quarerly Repor on he Euro Area 3/202 II.. Deb reducion and fiscal mulipliers The deerioraion of public finances in he firs years of he crisis has led mos Member Saes o adop sizeable consolidaion packages.

More information

YTM is positively related to default risk. YTM is positively related to liquidity risk. YTM is negatively related to special tax treatment.

YTM is positively related to default risk. YTM is positively related to liquidity risk. YTM is negatively related to special tax treatment. . Two quesions for oday. A. Why do bonds wih he same ime o mauriy have differen YTM s? B. Why do bonds wih differen imes o mauriy have differen YTM s? 2. To answer he firs quesion les look a he risk srucure

More information

Estimating Time-Varying Equity Risk Premium The Japanese Stock Market 1980-2012

Estimating Time-Varying Equity Risk Premium The Japanese Stock Market 1980-2012 Norhfield Asia Research Seminar Hong Kong, November 19, 2013 Esimaing Time-Varying Equiy Risk Premium The Japanese Sock Marke 1980-2012 Ibboson Associaes Japan Presiden Kasunari Yamaguchi, PhD/CFA/CMA

More information

A Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation

A Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation A Noe on Using he Svensson procedure o esimae he risk free rae in corporae valuaion By Sven Arnold, Alexander Lahmann and Bernhard Schwezler Ocober 2011 1. The risk free ineres rae in corporae valuaion

More information

YEN FUTURES: EXAMINING HEDGING EFFECTIVENESS BIAS AND CROSS-CURRENCY HEDGING RESULTS ROBERT T. DAIGLER FLORIDA INTERNATIONAL UNIVERSITY SUBMITTED FOR

YEN FUTURES: EXAMINING HEDGING EFFECTIVENESS BIAS AND CROSS-CURRENCY HEDGING RESULTS ROBERT T. DAIGLER FLORIDA INTERNATIONAL UNIVERSITY SUBMITTED FOR YEN FUTURES: EXAMINING HEDGING EFFECTIVENESS BIAS AND CROSS-CURRENCY HEDGING RESULTS ROBERT T. DAIGLER FLORIDA INTERNATIONAL UNIVERSITY SUBMITTED FOR THE FIRST ANNUAL PACIFIC-BASIN FINANCE CONFERENCE The

More information

Chapter 6: Business Valuation (Income Approach)

Chapter 6: Business Valuation (Income Approach) Chaper 6: Business Valuaion (Income Approach) Cash flow deerminaion is one of he mos criical elemens o a business valuaion. Everyhing may be secondary. If cash flow is high, hen he value is high; if he

More information

I. Basic Concepts (Ch. 1-4)

I. Basic Concepts (Ch. 1-4) (Ch. 1-4) A. Real vs. Financial Asses (Ch 1.2) Real asses (buildings, machinery, ec.) appear on he asse side of he balance shee. Financial asses (bonds, socks) appear on boh sides of he balance shee. Creaing

More information

AP Calculus BC 2010 Scoring Guidelines

AP Calculus BC 2010 Scoring Guidelines AP Calculus BC Scoring Guidelines The College Board The College Board is a no-for-profi membership associaion whose mission is o connec sudens o college success and opporuniy. Founded in, he College Board

More information

Why Do Real and Nominal. Inventory-Sales Ratios Have Different Trends?

Why Do Real and Nominal. Inventory-Sales Ratios Have Different Trends? Why Do Real and Nominal Invenory-Sales Raios Have Differen Trends? By Valerie A. Ramey Professor of Economics Deparmen of Economics Universiy of California, San Diego and Research Associae Naional Bureau

More information

Long-Run Stock Returns: Participating in the Real Economy

Long-Run Stock Returns: Participating in the Real Economy Long-Run Sock Reurns: Paricipaing in he Real Economy Roger G. Ibboson and Peng Chen In he sudy repored here, we esimaed he forward-looking long-erm equiy risk premium by exrapolaing he way i has paricipaed

More information

Yale ICF Working Paper No. 00-44 March 2002

Yale ICF Working Paper No. 00-44 March 2002 Yale ICF Working Paper No. 00-44 March 2002 STOCK MARKET RETURNS IN THE LONG RUN: PARTICIPATING IN THE REAL ECONOMY Roger G. Ibboson Yale School of Managemen Peng Chen Ibboson Associaes, Inc. This paper

More information

Explaining the NZ-Australian exchange rate occasional paper

Explaining the NZ-Australian exchange rate occasional paper Wespac $ Insiuional Bank April 2002 Explaining he NZ-Ausralian exchange rae occasional paper Paul Conway and Richard Franulovich Wespac Insiuional Bank PO Box 691 Wellingon New Zealand Phone (644) 381-1414

More information

USE OF EDUCATION TECHNOLOGY IN ENGLISH CLASSES

USE OF EDUCATION TECHNOLOGY IN ENGLISH CLASSES USE OF EDUCATION TECHNOLOGY IN ENGLISH CLASSES Mehme Nuri GÖMLEKSİZ Absrac Using educaion echnology in classes helps eachers realize a beer and more effecive learning. In his sudy 150 English eachers were

More information

The Grantor Retained Annuity Trust (GRAT)

The Grantor Retained Annuity Trust (GRAT) WEALTH ADVISORY Esae Planning Sraegies for closely-held, family businesses The Granor Reained Annuiy Trus (GRAT) An efficien wealh ransfer sraegy, paricularly in a low ineres rae environmen Family business

More information

Developing Equity Release Markets: Risk Analysis for Reverse Mortgage and Home Reversion

Developing Equity Release Markets: Risk Analysis for Reverse Mortgage and Home Reversion Developing Equiy Release Markes: Risk Analysis for Reverse Morgage and Home Reversion Daniel Alai, Hua Chen, Daniel Cho, Kaja Hanewald, Michael Sherris Developing he Equiy Release Markes 8 h Inernaional

More information

Economics Honors Exam 2008 Solutions Question 5

Economics Honors Exam 2008 Solutions Question 5 Economics Honors Exam 2008 Soluions Quesion 5 (a) (2 poins) Oupu can be decomposed as Y = C + I + G. And we can solve for i by subsiuing in equaions given in he quesion, Y = C + I + G = c 0 + c Y D + I

More information

The impact of Federal Reserve asset purchase programmes: another twist 1

The impact of Federal Reserve asset purchase programmes: another twist 1 Jack Meaning jm583@ken.ac.uk eng Zhu feng.zhu@bis.org The impac of ederal Reserve asse purchase programmes: anoher wis 1 This aricle examines he effeciveness of recen ederal Reserve asse purchase programmes.

More information

A Dollar or Yen Currency Union in East Asia. Lee K. Lim. School of Accounting, Finance and Economics Edith Cowan University

A Dollar or Yen Currency Union in East Asia. Lee K. Lim. School of Accounting, Finance and Economics Edith Cowan University A Dollar or Yen Currency Union in Eas Asia By Lee K. Lim School of Accouning, Finance and Economics Edih Cowan Universiy School of Accouning, Finance and Economics & FIMARC Working Paper Series Edih Cowan

More information

SPECIAL REPORT May 4, Shifting Drivers of Inflation Canada versus the U.S.

SPECIAL REPORT May 4, Shifting Drivers of Inflation Canada versus the U.S. Paul Ferley Assisan Chief Economis 416-974-7231 paul.ferley@rbc.com Nahan Janzen Economis 416-974-0579 nahan.janzen@rbc.com SPECIAL REPORT May 4, 2010 Shifing Drivers of Inflaion Canada versus he U.S.

More information

Information technology and economic growth in Canada and the U.S.

Information technology and economic growth in Canada and the U.S. Canada U.S. Economic Growh Informaion echnology and economic growh in Canada and he U.S. Informaion and communicaion echnology was he larges conribuor o growh wihin capial services for boh Canada and he

More information

Chapter 1.6 Financial Management

Chapter 1.6 Financial Management Chaper 1.6 Financial Managemen Par I: Objecive ype quesions and answers 1. Simple pay back period is equal o: a) Raio of Firs cos/ne yearly savings b) Raio of Annual gross cash flow/capial cos n c) = (1

More information

What does the Bank of Russia target?

What does the Bank of Russia target? SBERBANK OF RUSSIA CENTRE FOR MACROECONOMIC RESEARCH, SBERBANK 5 Augus 2010 Wha does he Bank of Russia arge? The crisis has promped he Russian Cenral Bank (CBR) o review is policies drasically. New frameworks

More information

Capital Flows and Current Account Sustainability: The Ghanaian Experience

Capital Flows and Current Account Sustainability: The Ghanaian Experience CREDIT Research Paper No. 07/07 Capial Flows and Curren Accoun Susainabiliy: The Ghanaian Experience by Absrac Maxwell Opoku-Afari Boh heoreical and operaional definiions of curren accoun susainabiliy

More information

Table of contents Chapter 1 Interest rates and factors Chapter 2 Level annuities Chapter 3 Varying annuities

Table of contents Chapter 1 Interest rates and factors Chapter 2 Level annuities Chapter 3 Varying annuities Table of conens Chaper 1 Ineres raes and facors 1 1.1 Ineres 2 1.2 Simple ineres 4 1.3 Compound ineres 6 1.4 Accumulaed value 10 1.5 Presen value 11 1.6 Rae of discoun 13 1.7 Consan force of ineres 17

More information

Conceptually calculating what a 110 OTM call option should be worth if the present price of the stock is 100...

Conceptually calculating what a 110 OTM call option should be worth if the present price of the stock is 100... Normal (Gaussian) Disribuion Probabiliy De ensiy 0.5 0. 0.5 0. 0.05 0. 0.9 0.8 0.7 0.6? 0.5 0.4 0.3 0. 0. 0 3.6 5. 6.8 8.4 0.6 3. 4.8 6.4 8 The Black-Scholes Shl Ml Moel... pricing opions an calculaing

More information

Risk Modelling of Collateralised Lending

Risk Modelling of Collateralised Lending Risk Modelling of Collaeralised Lending Dae: 4-11-2008 Number: 8/18 Inroducion This noe explains how i is possible o handle collaeralised lending wihin Risk Conroller. The approach draws on he faciliies

More information

Multiple Structural Breaks in the Nominal Interest Rate and Inflation in Canada and the United States

Multiple Structural Breaks in the Nominal Interest Rate and Inflation in Canada and the United States Deparmen of Economics Discussion Paper 00-07 Muliple Srucural Breaks in he Nominal Ineres Rae and Inflaion in Canada and he Unied Saes Frank J. Akins, Universiy of Calgary Preliminary Draf February, 00

More information

Equities: Positions and Portfolio Returns

Equities: Positions and Portfolio Returns Foundaions of Finance: Equiies: osiions and orfolio Reurns rof. Alex Shapiro Lecure oes 4b Equiies: osiions and orfolio Reurns I. Readings and Suggesed racice roblems II. Sock Transacions Involving Credi

More information

THE IMPACT OF CUBES ON THE MARKET QUALITY OF NASDAQ 100 INDEX FUTURES

THE IMPACT OF CUBES ON THE MARKET QUALITY OF NASDAQ 100 INDEX FUTURES Invesmen Managemen and Financial Innovaions, Volume 3, Issue 3, 2006 117 THE IMPACT OF CUBES ON THE MARKET QUALITY OF NASDAQ 100 INDEX FUTURES Seyfein Unal, M. Mesu Kayali, Cuney Koyuncu Absrac Using Hasbrouck

More information

Oil Price Shocks and Stock Markets in BRICs 1

Oil Price Shocks and Stock Markets in BRICs 1 The European Journal of Comparaive Economics Vol. 8, n. 1, pp. 29-45 ISSN 1824-2979 Oil Price Shocks and Sock Markes in BRICs 1 Absrac Shigeki Ono 2 This paper examines he impac of oil prices on real sock

More information

Measuring macroeconomic volatility Applications to export revenue data, 1970-2005

Measuring macroeconomic volatility Applications to export revenue data, 1970-2005 FONDATION POUR LES ETUDES ET RERS LE DEVELOPPEMENT INTERNATIONAL Measuring macroeconomic volailiy Applicaions o expor revenue daa, 1970-005 by Joël Cariolle Policy brief no. 47 March 01 The FERDI is a

More information

Measuring the Effects of Exchange Rate Changes on Investment. in Australian Manufacturing Industry

Measuring the Effects of Exchange Rate Changes on Investment. in Australian Manufacturing Industry Measuring he Effecs of Exchange Rae Changes on Invesmen in Ausralian Manufacuring Indusry Robyn Swif Economics and Business Saisics Deparmen of Accouning, Finance and Economics Griffih Universiy Nahan

More information

DYNAMIC MODELS FOR VALUATION OF WRONGFUL DEATH PAYMENTS

DYNAMIC MODELS FOR VALUATION OF WRONGFUL DEATH PAYMENTS DYNAMIC MODELS FOR VALUATION OF WRONGFUL DEATH PAYMENTS Hong Mao, Shanghai Second Polyechnic Universiy Krzyszof M. Osaszewski, Illinois Sae Universiy Youyu Zhang, Fudan Universiy ABSTRACT Liigaion, exper

More information

When Is Growth Pro-Poor? Evidence from a Panel of Countries

When Is Growth Pro-Poor? Evidence from a Panel of Countries Forhcoming, Journal of Developmen Economics When Is Growh Pro-Poor? Evidence from a Panel of Counries Aar Kraay The World Bank Firs Draf: December 2003 Revised: December 2004 Absrac: Growh is pro-poor

More information

Evidence from the Stock Market

Evidence from the Stock Market UK Fund Manager Cascading and Herding Behaviour: New Evidence from he Sock Marke Yang-Cheng Lu Deparmen of Finance, Ming Chuan Universiy 250 Sec.5., Zhong-Shan Norh Rd., Taipe Taiwan E-Mail ralphyclu1@gmail.com,

More information

Tax Externalities of Equity Mutual Funds

Tax Externalities of Equity Mutual Funds Tax Exernaliies of Equiy Muual Funds Joel M. Dickson The Vanguard Group, Inc. John B. Shoven Sanford Universiy and NBER Clemens Sialm Sanford Universiy December 1999 Absrac: Invesors holding muual funds

More information

Name: Algebra II Review for Quiz #13 Exponential and Logarithmic Functions including Modeling

Name: Algebra II Review for Quiz #13 Exponential and Logarithmic Functions including Modeling Name: Algebra II Review for Quiz #13 Exponenial and Logarihmic Funcions including Modeling TOPICS: -Solving Exponenial Equaions (The Mehod of Common Bases) -Solving Exponenial Equaions (Using Logarihms)

More information

CURRENT ACCOUNTS IN THE EURO AREA: AN INTERTEMPORAL APPROACH. José Manuel Campa Angel Gavilán

CURRENT ACCOUNTS IN THE EURO AREA: AN INTERTEMPORAL APPROACH. José Manuel Campa Angel Gavilán CIIF Working Paper WP no 651 Sepember, 2006 CURRENT ACCOUNTS IN THE EURO AREA: AN INTERTEMPORAL APPROACH José Manuel Campa Angel Gavilán IESE Business School Universiy of Navarra Avda. Pearson, 21 08034

More information

Chapter 7. Response of First-Order RL and RC Circuits

Chapter 7. Response of First-Order RL and RC Circuits Chaper 7. esponse of Firs-Order L and C Circuis 7.1. The Naural esponse of an L Circui 7.2. The Naural esponse of an C Circui 7.3. The ep esponse of L and C Circuis 7.4. A General oluion for ep and Naural

More information

Working paper No.3 Cyclically adjusting the public finances

Working paper No.3 Cyclically adjusting the public finances Working paper No.3 Cyclically adjusing he public finances Thora Helgadoir, Graeme Chamberlin, Pavandeep Dhami, Sephen Farringon and Joe Robins June 2012 Crown copyrigh 2012 You may re-use his informaion

More information

Longevity 11 Lyon 7-9 September 2015

Longevity 11 Lyon 7-9 September 2015 Longeviy 11 Lyon 7-9 Sepember 2015 RISK SHARING IN LIFE INSURANCE AND PENSIONS wihin and across generaions Ragnar Norberg ISFA Universié Lyon 1/London School of Economics Email: ragnar.norberg@univ-lyon1.fr

More information

Chapter 4: Exponential and Logarithmic Functions

Chapter 4: Exponential and Logarithmic Functions Chaper 4: Eponenial and Logarihmic Funcions Secion 4.1 Eponenial Funcions... 15 Secion 4. Graphs of Eponenial Funcions... 3 Secion 4.3 Logarihmic Funcions... 4 Secion 4.4 Logarihmic Properies... 53 Secion

More information

CAUSAL RELATIONSHIP BETWEEN STOCK MARKET AND EXCHANGE RATE, FOREIGN EXCHANGE RESERVES AND VALUE OF TRADE BALANCE: A CASE STUDY FOR INDIA

CAUSAL RELATIONSHIP BETWEEN STOCK MARKET AND EXCHANGE RATE, FOREIGN EXCHANGE RESERVES AND VALUE OF TRADE BALANCE: A CASE STUDY FOR INDIA CAUSAL RELATIONSHIP BETWEEN STOCK MARKET AND EXCHANGE RATE, FOREIGN EXCHANGE RESERVES AND VALUE OF TRADE BALANCE: A CASE STUDY FOR INDIA BASABI BHATTACHARYA & JAYDEEP MUKHERJEE Reader, Deparmen of Economics,

More information

How much depreciation of the US dollar for sustainability of the current accounts?

How much depreciation of the US dollar for sustainability of the current accounts? How much depreciaion of he US dollar for susainabiliy of he curren accouns? Eiji Ogawa and Taeshi Kudo Firs version: May 27, 2004 This version: June 6, 2004 This paper is prepared for a conference of he

More information

CURRENT ACCOUNTS IN THE EURO AREA: AN INTERTEMPORAL APPROACH. José Manuel Campa and Ángel Gavilán an. Documentos de Trabajo N.

CURRENT ACCOUNTS IN THE EURO AREA: AN INTERTEMPORAL APPROACH. José Manuel Campa and Ángel Gavilán an. Documentos de Trabajo N. CURRENT ACCOUNTS IN THE EURO AREA: AN INTERTEMPORAL APPROACH 2006 José Manuel Campa and Ángel Gavilán an Documenos de Trabajo N.º 0638 CURRENT ACCOUNTS IN THE EURO AREA: AN INTERTEMPORAL APPROACH CURRENT

More information

Sustainability of current account deficit with high oil prices: Evidence from Turkey 1

Sustainability of current account deficit with high oil prices: Evidence from Turkey 1 Inernaional Journal of Economic Sciences Vol. III / No. 2 / 2014 Susainabiliy of curren accoun defici wih high oil prices: Evidence from Turkey 1 Erkan Özaa ABSTRACT Curren accoun defici as a raio of GDP

More information

TIME-VARYING WORLD INTEGRATION OF THE MALAYSIAN STOCK MARKET: A KALMAN FILTER APPROACH

TIME-VARYING WORLD INTEGRATION OF THE MALAYSIAN STOCK MARKET: A KALMAN FILTER APPROACH ASIAN ACADEMY of MANAGEMENT JOURNAL of ACCOUNTING and FINANCE AAMJAF, Vol. 6, No. 2, 1 17, 2010 TIME-VARYING WORLD INTEGRATION OF THE MALAYSIAN STOCK MARKET: A KALMAN FILTER APPROACH Bi-Kun Yeoh 1, Chee-Wooi

More information

STATE BANK OF PAKISTAN WORKING PAPERS. Exchange Rate Pass-Through to Domestic Prices in Pakistan. Zulfiqar Hyder Sardar Shah

STATE BANK OF PAKISTAN WORKING PAPERS. Exchange Rate Pass-Through to Domestic Prices in Pakistan. Zulfiqar Hyder Sardar Shah STATE BANK OF PAKISTAN WORKING PAPERS No. 5 June 2004 Exchange Rae Pass-Through o Domesic Prices in Pakisan by Zulfiqar Hyder Sardar Shah Sae Bank of Pakisan Working Paper No. 5, June 2004 Exchange Rae

More information

Determinants and Price Discovery of China Sovereign Credit Default Swaps

Determinants and Price Discovery of China Sovereign Credit Default Swaps Deerminans and Price Discovery of China Sovereign Credi Defaul Swaps Thomas Eyssell College of Business Adminisraion Universiy of Missouri-S. Louis One Universiy Blvd S. Louis, MO 63121 Tel: 314-516-5625;

More information

Graphing the Von Bertalanffy Growth Equation

Graphing the Von Bertalanffy Growth Equation file: d:\b173-2013\von_beralanffy.wpd dae: Sepember 23, 2013 Inroducion Graphing he Von Beralanffy Growh Equaion Previously, we calculaed regressions of TL on SL for fish size daa and ploed he daa and

More information

Fifth Quantitative Impact Study of Solvency II (QIS 5) National guidance on valuation of technical provisions for German SLT health insurance

Fifth Quantitative Impact Study of Solvency II (QIS 5) National guidance on valuation of technical provisions for German SLT health insurance Fifh Quaniaive Impac Sudy of Solvency II (QIS 5) Naional guidance on valuaion of echnical provisions for German SLT healh insurance Conens 1 Inroducion... 2 2 Calculaion of bes-esimae provisions... 3 2.1

More information

BALANCE OF PAYMENTS AND FINANCIAL MA REPORT 2015. All officiell statistik finns på: www.scb.se Statistikservice: tfn 08-506 948 01

BALANCE OF PAYMENTS AND FINANCIAL MA REPORT 2015. All officiell statistik finns på: www.scb.se Statistikservice: tfn 08-506 948 01 RKET BALANCE OF PAYMENTS AND FINANCIAL MA REPORT 2015 All officiell saisik finns på: www.scb.se Saisikservice: fn 08-506 948 01 All official saisics can be found a: www.scb.se Saisics service, phone +46

More information

PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE

PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE Profi Tes Modelling in Life Assurance Using Spreadshees PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE Erik Alm Peer Millingon 2004 Profi Tes Modelling in Life Assurance Using Spreadshees

More information

State Machines: Brief Introduction to Sequencers Prof. Andrew J. Mason, Michigan State University

State Machines: Brief Introduction to Sequencers Prof. Andrew J. Mason, Michigan State University Inroducion ae Machines: Brief Inroducion o equencers Prof. Andrew J. Mason, Michigan ae Universiy A sae machine models behavior defined by a finie number of saes (unique configuraions), ransiions beween

More information

Premium Income of Indian Life Insurance Industry

Premium Income of Indian Life Insurance Industry Premium Income of Indian Life Insurance Indusry A Toal Facor Produciviy Approach Ram Praap Sinha* Subsequen o he passage of he Insurance Regulaory and Developmen Auhoriy (IRDA) Ac, 1999, he life insurance

More information

expressed here and the approaches suggested are of the author and not necessarily of NSEIL.

expressed here and the approaches suggested are of the author and not necessarily of NSEIL. I. Inroducion Do Fuures and Opions rading increase sock marke volailiy Dr. Premalaa Shenbagaraman * In he las decade, many emerging and ransiion economies have sared inroducing derivaive conracs. As was

More information

SHB Gas Oil. Index Rules v1.3 Version as of 1 January 2013

SHB Gas Oil. Index Rules v1.3 Version as of 1 January 2013 SHB Gas Oil Index Rules v1.3 Version as of 1 January 2013 1. Index Descripions The SHB Gasoil index (he Index ) measures he reurn from changes in he price of fuures conracs, which are rolled on a regular

More information

Debt Accumulation, Debt Reduction, and Debt Spillovers in Canada, 1974-98*

Debt Accumulation, Debt Reduction, and Debt Spillovers in Canada, 1974-98* Deb Accumulaion, Deb Reducion, and Deb Spillovers in Canada, 1974-98* Ron Kneebone Deparmen of Economics Universiy of Calgary John Leach Deparmen of Economics McMaser Universiy Ocober, 2000 Absrac Wha

More information

Contrarian insider trading and earnings management around seasoned equity offerings; SEOs

Contrarian insider trading and earnings management around seasoned equity offerings; SEOs Journal of Finance and Accounancy Conrarian insider rading and earnings managemen around seasoned equiy offerings; SEOs ABSTRACT Lorea Baryeh Towson Universiy This sudy aemps o resolve he differences in

More information

Market Liquidity and the Impacts of the Computerized Trading System: Evidence from the Stock Exchange of Thailand

Market Liquidity and the Impacts of the Computerized Trading System: Evidence from the Stock Exchange of Thailand 36 Invesmen Managemen and Financial Innovaions, 4/4 Marke Liquidiy and he Impacs of he Compuerized Trading Sysem: Evidence from he Sock Exchange of Thailand Sorasar Sukcharoensin 1, Pariyada Srisopisawa,

More information

New Classical Economics. Graduate Macroeconomics I ECON 309 Cunningham

New Classical Economics. Graduate Macroeconomics I ECON 309 Cunningham New Classical Economics Graduae Macroeconomics I ECON 309 Cunningham New Classical Economics 1. Acceps model of GE wih no imperfecions. 2. Prices are perfecly flexible, and all markes are permanenly cleared

More information

NBER WORKING PAPER SERIES IS THE U.S. CURRENT ACCOUNT DEFICIT SUSTAINABLE? AND IF NOT, HOW COSTLY IS ADJUSTMENT LIKELY TO BE?

NBER WORKING PAPER SERIES IS THE U.S. CURRENT ACCOUNT DEFICIT SUSTAINABLE? AND IF NOT, HOW COSTLY IS ADJUSTMENT LIKELY TO BE? NBER WORKING PAPER SERIES IS THE U.S. CURRENT ACCOUNT DEFICIT SUSTAINABLE? AND IF NOT, HOW COSTLY IS ADJUSTMENT LIKELY TO BE? Sebasian Edwards Working Paper 11541 hp://www.nber.org/papers/w11541 NATIONAL

More information

Monetary Policy & Real Estate Investment Trusts *

Monetary Policy & Real Estate Investment Trusts * Moneary Policy & Real Esae Invesmen Truss * Don Bredin, Universiy College Dublin, Gerard O Reilly, Cenral Bank and Financial Services Auhoriy of Ireland & Simon Sevenson, Cass Business School, Ciy Universiy

More information

The Interest Rate Risk of Mortgage Loan Portfolio of Banks

The Interest Rate Risk of Mortgage Loan Portfolio of Banks The Ineres Rae Risk of Morgage Loan Porfolio of Banks A Case Sudy of he Hong Kong Marke Jim Wong Hong Kong Moneary Auhoriy Paper presened a he Exper Forum on Advanced Techniques on Sress Tesing: Applicaions

More information

Hedging with Forwards and Futures

Hedging with Forwards and Futures Hedging wih orwards and uures Hedging in mos cases is sraighforward. You plan o buy 10,000 barrels of oil in six monhs and you wish o eliminae he price risk. If you ake he buy-side of a forward/fuures

More information

Making Use of Gate Charge Information in MOSFET and IGBT Data Sheets

Making Use of Gate Charge Information in MOSFET and IGBT Data Sheets Making Use of ae Charge Informaion in MOSFET and IBT Daa Shees Ralph McArhur Senior Applicaions Engineer Advanced Power Technology 405 S.W. Columbia Sree Bend, Oregon 97702 Power MOSFETs and IBTs have

More information

4.8 Exponential Growth and Decay; Newton s Law; Logistic Growth and Decay

4.8 Exponential Growth and Decay; Newton s Law; Logistic Growth and Decay 324 CHAPTER 4 Exponenial and Logarihmic Funcions 4.8 Exponenial Growh and Decay; Newon s Law; Logisic Growh and Decay OBJECTIVES 1 Find Equaions of Populaions Tha Obey he Law of Uninhibied Growh 2 Find

More information

Modeling Tourist Arrivals Using Time Series Analysis: Evidence From Australia

Modeling Tourist Arrivals Using Time Series Analysis: Evidence From Australia Journal of Mahemaics and Saisics 8 (3): 348-360, 2012 ISSN 1549-3644 2012 Science Publicaions Modeling Touris Arrivals Using Time Series Analysis: Evidence From Ausralia 1 Gurudeo AnandTularam, 2 Vicor

More information

Can Oil Prices Predict Stock Market Returns?

Can Oil Prices Predict Stock Market Returns? Can Oil Prices Predic Sock Marke Reurns? Kevin Daly (Corresponding uhor) School of Economics and Finance Locked Bag 1797, Penrih NSW 2751, usralia Tel: 61-2-462-3546 E-mail: k.daly@uws.edu.au bdallah Fayyad

More information

NASDAQ-100 Futures Index SM Methodology

NASDAQ-100 Futures Index SM Methodology NASDAQ-100 Fuures Index SM Mehodology Index Descripion The NASDAQ-100 Fuures Index (The Fuures Index ) is designed o rack he performance of a hypoheical porfolio holding he CME NASDAQ-100 E-mini Index

More information

Market Movements and Investors Reaction to Earnings News

Market Movements and Investors Reaction to Earnings News Marke Movemens and Invesors Reacion o Earnings News by Vishaal Baulkaran Faculy of Managemen Universiy of Lehbridge Lehbridge, AB, Canada TK 3M4 Phone: (403) 329-2074, Fax: (403) 329-2038 E-mail: vishaal.baulkaran@uleh.ca

More information

1. Explain why the theory of purchasing power parity is often referred to as the law of one price.

1. Explain why the theory of purchasing power parity is often referred to as the law of one price. Chaper Review Quesions. xplain why he heory of purchasing power pariy is ofen referred o as he law of one price. urchasing ower ariy () is referred o as he law of one price because he deerminaion of he

More information

The Transport Equation

The Transport Equation The Transpor Equaion Consider a fluid, flowing wih velociy, V, in a hin sraigh ube whose cross secion will be denoed by A. Suppose he fluid conains a conaminan whose concenraion a posiion a ime will be

More information

Consumer sentiment is arguably the

Consumer sentiment is arguably the Does Consumer Senimen Predic Regional Consumpion? Thomas A. Garre, Rubén Hernández-Murillo, and Michael T. Owyang This paper ess he abiliy of consumer senimen o predic reail spending a he sae level. The

More information

Small and Large Trades Around Earnings Announcements: Does Trading Behavior Explain Post-Earnings-Announcement Drift?

Small and Large Trades Around Earnings Announcements: Does Trading Behavior Explain Post-Earnings-Announcement Drift? Small and Large Trades Around Earnings Announcemens: Does Trading Behavior Explain Pos-Earnings-Announcemen Drif? Devin Shanhikumar * Firs Draf: Ocober, 2002 This Version: Augus 19, 2004 Absrac This paper

More information

INTERNATIONAL REAL ESTATE REVIEW 2003 Vol. 6 No. 1: pp. 43-62. Banking System, Real Estate Markets, and Nonperforming Loans

INTERNATIONAL REAL ESTATE REVIEW 2003 Vol. 6 No. 1: pp. 43-62. Banking System, Real Estate Markets, and Nonperforming Loans Banking Sysem, Real Esae Markes, and Nonperforming Loans 43 INTERNATIONAL REAL ESTATE REVIEW 2003 Vol. 6 No. 1: pp. 43-62 Banking Sysem, Real Esae Markes, and Nonperforming Loans Wen-Chieh Wu Deparmen

More information

Journal of Financial and Strategic Decisions Volume 12 Number 1 Spring 1999

Journal of Financial and Strategic Decisions Volume 12 Number 1 Spring 1999 Journal of Financial and Sraegic Decisions Volume 12 Number 1 Spring 1999 THE LEAD-LAG RELATIONSHIP BETWEEN THE OPTION AND STOCK MARKETS PRIOR TO SUBSTANTIAL EARNINGS SURPRISES AND THE EFFECT OF SECURITIES

More information

Do Credit Rating Agencies Add Value? Evidence from the Sovereign Rating Business Institutions

Do Credit Rating Agencies Add Value? Evidence from the Sovereign Rating Business Institutions Iner-American Developmen Bank Banco Ineramericano de Desarrollo (BID) Research Deparmen Deparameno de Invesigación Working Paper #647 Do Credi Raing Agencies Add Value? Evidence from he Sovereign Raing

More information

A Mathematical Description of MOSFET Behavior

A Mathematical Description of MOSFET Behavior 10/19/004 A Mahemaical Descripion of MOSFET Behavior.doc 1/8 A Mahemaical Descripion of MOSFET Behavior Q: We ve learned an awful lo abou enhancemen MOSFETs, bu we sill have ye o esablished a mahemaical

More information

DEMAND FORECASTING MODELS

DEMAND FORECASTING MODELS DEMAND FORECASTING MODELS Conens E-2. ELECTRIC BILLED SALES AND CUSTOMER COUNTS Sysem-level Model Couny-level Model Easside King Couny-level Model E-6. ELECTRIC PEAK HOUR LOAD FORECASTING Sysem-level Forecas

More information