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Borrowing Alone The Theory and Policy Implications of the Commodification of Finance

Hannsgen, Greg - EconWPA - 2004

Over the past 20 years, finance has become commodified. Firms increasingly obtain finance from securities markets, instead of borrowing from commercial banks with which they have long-term relationships, while Fannie Mae and Freddie Mac package a growing number of mortgages into bonds. When...

Persistent link: https://www.econbiz.de/10005134641

The Efficiency of Canadian Capital Markets: Some Bank of Canada Research

Hendry, Scott; King, Michael R. - EconWPA - 2004

Capital markets and their related financial instruments make an important contribution to the welfare of Canadians. The Bank of Canada is interested in the efficient functioning of capital markets through each of its responsibilities for monetary policy, the financial system, and funds...

Persistent link: https://www.econbiz.de/10005413072

The effectiveness and usefulness for commodity-dependent countries of new tools in commodity markets: risk management and collateralized finance

Rutten, Lamon - EconWPA - 2003

This paper describes the experiences of developing country enterprises, farmers and governments with commodity price risk management and various forms of structured finance. It explores the constraints that these entities face in using modern financial markets, including counterparty and...

Persistent link: https://www.econbiz.de/10005413090

From Financial Liberalization to Banking Failure: Starting on the Wrong Foot?

Fischer, Klaus P.; Smaoui, Houcem - EconWPA - 1997

In this paper we attempt to identify the characteristics of banks that are most likely to be at the origin of a banking crisis following a financial liberalization (FL) process. We do this analysis in response to the observed fact that FL processes arse often followed by banking crisis that cost...

Persistent link: https://www.econbiz.de/10005134840

Co-movements in EU banks’ fragility: a dynamic factor model approach

Brasili, Andrea; Vulpes, Giuseppe - EconWPA - 2004

We analyse co-movements in the fragility of EU banks and verify to which extent such co-movements have increased in time, following, for example, the completion of Monetary Union and the introduction of the euro. To this end, we provide a measure of co-movements in bank risk by means of a...

Persistent link: https://www.econbiz.de/10005561701

Financial Liberalization Causes Banking System Fragility

Fischer, Klaus P.; Chenard, Martin - EconWPA - 1997

This paper explores theoretically and empirically the link between Financial Liberalization (FL) and the banking crisis that often follow. We also investigate the proposition, classical in development economics, that FL should result in an increase in supply of funds to the real sector. To...

Persistent link: https://www.econbiz.de/10005561748

Introducing a scale of market shocks

Zumbach, Gilles O.; Dacorogna, Michel M.; Olsen, Jorgen L. - EconWPA - 2004

importance of the market movements. These indices are based on the price volatility and are computed by integrating mapped asset …

Persistent link: https://www.econbiz.de/10005076995

Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach

SULEIMANN, Ryan - EconWPA - 2003

ﬁnancial instruments in the portfolio and on the volatility of those returns.This task is relatively simple if the correlations … and volatilities do not change over time.But in reality both volatility and stock market indexes’ correlations do change …

Persistent link: https://www.econbiz.de/10005124892

A Self-Consistent Model for the Forward Price Dynamics

Makhankov, Vlad - EconWPA - 2003

applications in power industries. This model with stochastic volatility of the forward price is built using the ideas and equations … of stochastic differential geometry in order to close the system of equations for the forward price and its volatility …. Stationary distributions for the forward price volatility are found analytically as well as the forward price curves in the one …

Persistent link: https://www.econbiz.de/10005124894

Financial contagion, interest rates and the role of the exchange rate as shock absorber in Central and Eastern Europe

Habib, Maurizio Michael - EconWPA - 2002

affected by ‘vo- latility contagion’ coming from emerging markets. I find also some partial support for the ‘volatility …

Persistent link: https://www.econbiz.de/10005125528