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On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
Diebold, Francis X.; Yılmaz, Kamil - 2011
We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...
Persistent link: https://www.econbiz.de/10010500191
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Measuring the stability of a dynamic system: The case of the stock market turmoil 2007-2008
Bask, Mikael; Widerberg, Anna - 2010
The aim of this paper is to demonstrate how the change in actual and potential market risks in the Dow Jones Industrial Average (DJIA) during the two-year period 2007-2008 can be analyzed with the help of-analysis. In the empirical analysis, the average of the Lyapunov exponents for the dynamic...
Persistent link: https://www.econbiz.de/10010321428
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Credit Migration Derivatives: Implementation,Calibration, and Pricing
Andersson, Andreas - National Centre of Competence in ResearchFinancial … - 2009
We consider the modelling of credit migration risk and the pricing of migration derivativesour approach enlarges the traditional setup where credit risk is based on default solely.We implement the Regime Shifting Markov Mixture model developed in Andersson (2007)and Andersson and Vanini (2008)...
Persistent link: https://www.econbiz.de/10005868719
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A Kolmogorov-Smirnov Type Test For Positive Quadrant Dependence
Scaillet, Olivier; Goderniaux, Anne-Cécile - Institut für Schweizerisches Bankwesen <Zürich> - 2005
This paper proposes a Kolmogorov-type test for the shortfall order (also known in the literature as the right-spread or excess-wealth order) against parametric alternatives. In the case of the null hypothesis corresponding to the Negative Exponential distribution, this provides a test for the...
Persistent link: https://www.econbiz.de/10005858899
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AIG in hindsight
McDonald, Robert; Paulson, Anna - 2014
The near-failure on September 16, 2008, of American International Group (AIG) was an iconic moment in the financial crisis. The decision to rescue AIG was controversial at the time and remains so. Large bets on real estate pushed AIG to the brink of bankruptcy. In one case, AIG used securities...
Persistent link: https://www.econbiz.de/10011460674
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Forecasting Exchange Rates with Commodity Convenience Yields
Beutler, Toni - 2012
This paper investigates whether commodity convenience yields - the yields that accrue to the holders of physical commodities - can predict the exchange rate of commodity-exporters' currencies. Predictability is a consequence of the fact that i) convenience yields are useful predictors for...
Persistent link: https://www.econbiz.de/10011430096
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Surfing the waves of globalization: Asia and financial globalization in the context of the trilemma
Aizenman, Joshua; Chinn, Menzie D.; Ito, Hiro - 2011
choices matter for output volatility and the medium-term level of inflation. Greater monetary independence is associated with … lower output volatility while greater exchange rate stability implies greater output volatility, which can be mitigated if a … inflation rate. We find that trilemma policy configurations affect output volatility through the investment or trade channel …
Persistent link: https://www.econbiz.de/10010331079
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Asymmetric exchange rate policy in inflation targeting developing countries
Benlialper, Ahmet; Cömert, Hasan; Öcal, Nadir - 2017
In the last decades, many developing countries abandoned their existing policy regimes and adopted inflation targeting (IT) by which they aimed to control inflation through the use of policy interest rates. During the period before the crisis, most of these countries experienced large...
Persistent link: https://www.econbiz.de/10011636631
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Do Central Banks Respond to Exchange Rate Movements? a Markov-Switching Structural Investigation
Alstadheim, Ragna; Bjørnland, Hilde C.; Maih, Junior - 2013
find that the size of policy responses, and the volatility of structural shocks, have not stayed constant during the sample …
Persistent link: https://www.econbiz.de/10012143836
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Inflation targeting and real exchange rates in emerging markets
Aizenman, Joshua; Hutchison, Michael; Noy, Ilan - 2008
We examine the inflation targeting (IT) experiences of emerging market economies, focusing especially on the roles of the real exchange rate and the distinction between commodity and non-commodity exporting nations. In the context of a simple empirical model, estimated with panel data for 17...
Persistent link: https://www.econbiz.de/10010285328