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Instruments, investor base, and recent developments in the Malaysian government bond market
Lu, Yinqiu; Yakovlev, Dmitry - 2018
Foreign holdings of Malaysian local currency (LCY) government bonds have increased since the global financial crisis. By exploring the micro-level bank by bank and fund by fund data, we are able to shed light on the key features of the LCY government bonds including their investor base. The data...
Persistent link: https://www.econbiz.de/10011852555
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Conformism and public news
Desgranges, Gabriel; Rochon, Céline - 2011
Persistent link: https://www.econbiz.de/10009487106
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Conformism and Public News
Rochon, Céline - 2011
We study a model where investment decisions are based on investors’ information about the unknown and endogenous return of the investment. The information of investors consists of endogenously determined messages sold by financial analysts who have access to both public and private information...
Persistent link: https://www.econbiz.de/10014402493
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Lending Resumption After Default : Lessons From Capital Markets During the 19Th Century
Sole, Juan - 2006
This paper mines the experience of capital markets during the 19th century to propose an alternative way of interpreting international default episodes. The standard view is that defaulting on sovereign debt entails exclusion from capital markets. Yet we have observed multiple instances of...
Persistent link: https://www.econbiz.de/10014402978
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Correlations in Emerging Market Bonds : The Role of Local and Global Factors
Hamann, A. Javier - 2010
This paper examines the comovement in emerging market bond returns and disentangles the influence of external and domestic factors. The conceptual framework, set in the context of asset allocation, allows us to describe the channels through which shocks originating in a particular emerging or...
Persistent link: https://www.econbiz.de/10014404323
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Forecasting social unrest : a machine learning approach
Redl, Chris; Hlatshwayo, Sandile - 2021
We produce a social unrest risk index for 125 countries covering a period of 1996 to 2020. The risk of social unrest is based on the probability of unrest in the following year derived from a machine learning model drawing on over 340 indicators covering a wide range of macro-financial,...
Persistent link: https://www.econbiz.de/10012796240
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Predicting fiscal crises
Cerovic, Svetlana; Gerling, Kerstin; Hodge, Andrew; … - 2018
This paper identifies leading indicators of fiscal crises based on a large sample of countries at different stages of development over 1970-2015. Our results are robust to different methodologies and sample periods. Previous literature on early warning sistems (EWS) for fiscal crises is scarce...
Persistent link: https://www.econbiz.de/10011905898
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Forecasts in times of crises
Eicher, Theo S.; Kuenzel, David J.; Papageorgiou, Chris; … - 2018
Financial crises pose unique challenges for forecast accuracy. Using the IMF's Monitoring of Fund Arrangement (MONA … informational value as they consistently outperform naive forecast approaches. However, we also document that there is room for … improvement: two thirds of the key macroeconomic variables that we examine are forecast inefficiently and 6 variables (growth of …
Persistent link: https://www.econbiz.de/10011932572
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Setting the Operational Framework for Producing Inflation Forecasts
Kisinbay, Turgut - 2006
How should a central bank organize itself to produce the best possible inflation forecast? This paper discusses …
Persistent link: https://www.econbiz.de/10014400376
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Are Currency Crises Predictable? : A Test
Pattillo, Catherine A. - 1998
This paper evaluates three models for predicting currency crises that were proposed before 1997. The idea is to answer the question: if we had been using these models in late 1996, how well armed would we have been to predict the Asian crisis? The results are mixed but somewhat encouraging. One...
Persistent link: https://www.econbiz.de/10014400560