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Crisis, Capital Controls and Covered Interest Parity: Evidence from China in Transformation
Chen, Jinzhao - HAL - 2012
This paper aims to investigate the intensity and the effectiveness of the capital controls in China from 2003 to 2010 …
Persistent link: https://www.econbiz.de/10010738729
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Mini-perm Structures in PPP Contracts: Risks and Opportunities
Dupas, Nicolas; Marty, Frédéric; Voisin, Arnaud - HAL - 2011
Prior to the 2008 financial crisis, the economic model of PPPs benefited from a very favorable environment in terms of credit availability and cost. The high level of liquidity in financial markets allowed rising abundant and not expensive external resources, because of both the low level of...
Persistent link: https://www.econbiz.de/10010541078
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Extreme Value at Risk and Expected Shortfall during Financial Crisis
Kourouma, L.; Dupre, D.; Sanfilippo, G.; Taramasco, O. - HAL - 2011
This paper investigates Value at Risk and Expected Shortfall for CAC 40, S&P 500, Wheat and Crude Oil indexes during the 2008 financial crisis. We show an underestimation of the risk of loss for the unconditional VaR models as compared with the conditional models. This underestimation is...
Persistent link: https://www.econbiz.de/10009399186
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Continuous time regime switching model applied to foreign exchange rate.
Goutte, Stéphane; Zou, Benteng - HAL - 2012
Modified Cox-Ingersoll-Ross model is employed, combining with Hamilton (1989) type Markov regime switching framework, to study foreign exchange rates, where all parameter values depend on the value of a continuous time Markov chain. Basing on real data of some foreign exchange rates, the...
Persistent link: https://www.econbiz.de/10009422114
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The 2007-2008 financial crisis: Is there evidence of disaster myopia?
Cornand, Camille; Gimet, Céline - HAL - 2012
The disaster myopia hypothesis is a theoretical argument that may explain why crises are a recurrent event. Under very optimistic circumstances, investors disregard any relevant information concerning the increasing degree of risk. Agents' propensity to underestimate the probability of adverse...
Persistent link: https://www.econbiz.de/10009278316
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A multi-horizon scale for volatility
Subbotin, Alexander - HAL - 2008
We decompose volatility of a stock market index both in time and scale using wavelet filters and design a probabilistic indicator for valatilities, analogous to the Richter scale in geophysics. The peak-over-threshold method is used to fit the generalized Pareto probability distribution for the...
Persistent link: https://www.econbiz.de/10010750636
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High Watermarks of Market Risks
Maillet, Bertrand; Médecin, Jean-Philippe; Michel, Thierry - HAL - 2009
We present several estimates of measures of risk amongst the most well-known, using both high and low frequency data. The aim of the article is to show which lower frequency measures can be an acceptable substitute to the high precision measures, when transaction data is unavailable for a long...
Persistent link: https://www.econbiz.de/10010738652
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La crise argentine 1976-2001 : lectures institutionnalistes et régulationnistes
Boyer, Robert; César, Julio Neffa - HAL - 2007
complete opening to world trade and financial globalization. The shakiness of major institutional compromises and the lack of … policy tools to respond to the vagaries of the world economy explain the 1998 turning point from growth to depression. The … transformed by the expected medium term rise of commodities prices at the world level. …
Persistent link: https://www.econbiz.de/10010738973
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European States and Financial Systems: A Biased Relationship
Rey, Nathalie - HAL - 2012
Public intervention in the banking sector takes three main forms: prudential regulation, especially with the Basel II ratio for adequacy of a bank's own funds for their exposure to risk ; insuring deposits, the goal of which is to ensure a minimum level of protection for depositors and savers in...
Persistent link: https://www.econbiz.de/10010593609
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Coping with the Recent Financial Crisis, did Inflation Targeting Make Any Difference?
Azangue, Armand Fouejieu - HAL - 2012
The effects of the 2008/2009 financial crisis went largely among the financial markets and hit the real economy, generating one of the greatest global economic shocks. The aim of this study is to investigate whether inflation targeting has made a difference during this crisis. We first present...
Persistent link: https://www.econbiz.de/10010663554