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Financial Reform and Liberalization in Iran and comparison with two ECO members: Pakistan and Turkey

Taghipour, Anoshirvan - EcoMod Network - 2013

In the literature, there are many studies to measure financial liberalization indices, but none of them has studied for the case of Iran. Therefore, to fill this gap, in this paper we introduce a comprehensive indicator for financial liberalization which considers various aspects of financial...

Persistent link: https://www.econbiz.de/10010887925

Credit Rating Impact on European Stock Markets

Faias, Jose; Ferro, Ana Mão de; Moreira, Carlos - EcoMod Network - 2013

The impact of credit rating changes in both the bond and the stock market has been a widely discussed subject in the press since the outburst of the financial crises we are going through nowadays. However, the scientific coverage of the topic has been limited since 2007 and has not focused on...

Persistent link: https://www.econbiz.de/10010887930

DSGE MODEL WITH BANKING SECTOR: THE CASE OF INDONESIA

Simorangkir, Iskandar; Harmanta; Purwanto, Nur M. Adhi; … - EcoMod Network - 2013

A well-functioning financial system is necessary for an effective monetary policy transmission. Simultaneously, monetary policy can also influence financial system stability through its effect on financial condition and behavior of the financial market. Changes in policy rate will have an effect...

Persistent link: https://www.econbiz.de/10010887934

Modeling Short Term Debt: Panel Evidence from Turkish Manufacturing Firms

Payaslioglu, Cem; Tuna, Gülcay - EcoMod Network - 2013

Using a mixture of macro variables such as growth and bank lending rates and firm-specific micro variables, this paper examines the determinants of short term debt using firm level panel data for Turkish manufacturing companies traded in Istanbul Stock Exchange. The original sample drawn from...

Persistent link: https://www.econbiz.de/10010887946

The role of microfinance institutions in supporting women microenterprises in urban Sudan

Siddig, Khadra Hassan; Hegazi, Mohamed Osman - EcoMod Network - 2014

finance was less than the proposed rate of 12% of the inflow of finance, which was specified by the bank. It is also revealed … findings of the survey reported that the lack of funds to finance investment or ongoing business operations is one of the main … or financial institutions. Nonetheless, all interviewees underlined their need for finance as a major constraint …

Persistent link: https://www.econbiz.de/10010888986

Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR

Semmler, Willi; Mittnik, Stefan - EcoMod Network - 2012

This paper introduces a Banking-Macro Model and estimates the linkages through a Multi-Regime VAR (MRVAR). We first introduce a dynamic model which is akin to the Brunnermeier and Sannikov (BS) model (2010). The banking sector borrows from capital markets, issues liabilities, accumulates assets,...

Persistent link: https://www.econbiz.de/10010902509

Modelling and Forecasting Volatility with VIX index

Spieser, Philippe. K.; Kockerols, Thore - EcoMod Network - 2012

The main objective of our study is to model and forecast volatility as measured by the VIX index, with the aim of producing information to banks and also to macroeconomists. We begin with Arma/Arima models, augmented with Garch errors and exogenous regressors : some macroeconomic leading...

Persistent link: https://www.econbiz.de/10010902517

Connectedness Cycles in Equity Markets: A Wavelet Approach

Schmidbauer, Harald; Rösch, Angi; Uluceviz, Erhan - EcoMod Network - 2012

The connectedness of international equity markets can be measured building on the well-established forecast error variance decomposition framework. This approach permits the assessment of the propagation of shocks (spillovers) across equity markets on a day-to-day basis. The focus of our...

Persistent link: https://www.econbiz.de/10010902532

Modelling and forecasting the volatility of petroleum futures prices

Yoon, Seong-Min; Kang, Sang Hoon - EcoMod Network - 2012

We investigate volatility models and their forecasting abilities for three types of petroleum futures contracts traded on the New York Mercantile Exchange (West Texas Intermediate crude oil, heating oil #2, and unleaded gasoline) and suggest some stylized facts about the volatility of these...

Persistent link: https://www.econbiz.de/10010902546

Interaction between levels and volatilities of Stock market returns and exchange rate in the BRICS grouping

Bonga-Bonga, Lumengo - EcoMod Network - 2012

The emergence of the BRICS (Brazil, Russia, India, China and South Africa) grouping and the rapid advancement of their stock market may results in the acceleration of the appreciation of their respective currencies and ultimately the loss of their trade competitiveness. Conversely, exchange rate...

Persistent link: https://www.econbiz.de/10010902549