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OTC Derivatives Market in India: Recent Regulatory Initiatives and Open Issues for Market Stability and Development

Arora, Dayanand; Rathinam, Francis Xavier - 2010

complementary. Regarding the introduction of new derivative products for credit risk transfer, the recent announcement by the RBI …

Persistent link: https://www.econbiz.de/10011807654

Hedging with commodity futures and the end of normal backwardation

Güntner, Jochen; Karner, Benjamin - 2020

nontrivial hedging gains in and out of sample. During 1999-2019, the maximum Sharpe ratio portfolio assigns positive weights to …

Persistent link: https://www.econbiz.de/10012662703

Three futures for postcrisis banking in the Americas: The financial trilemma and the Wall Street complex

Dymski, Gary A. - 2010

This would seem an opportune moment to reshape banking systems in the Americas. But any effort to rethink and improve banking must acknowledge three major barriers. The first is a crisis of vision: there has been too little consideration of what kind of banking system would work best for...

Persistent link: https://www.econbiz.de/10010281752

The effects of margin changes on commodity futures markets

Daskalaki, Charoula; Skiadopoulos, George - 2014

In light of the recently passed 2010 Dodd-Frank Act, we assess the effect of margin changes on prices, the risk-sharing between speculators and hedgers, and the price stability of 20 commodity futures markets. We find that margin increases decrease the rate at which prices change, yet they...

Persistent link: https://www.econbiz.de/10011381003

Managing the impact of volatility in international capital markets in an uncertain world

Kregel, Jan - 2009

International financial flows are the propagation mechanism for transmitting financial instability across borders. They are also the source of unsustainable external debt. Managing volatility thus requires institutions that promote domestic financial stability, ensure that domestic instability...

Persistent link: https://www.econbiz.de/10010266563

Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models

Nguyen, Hoang; Virbickaite, Audrone - 2022

Stock and oil relationship is usually time-varying and depends on the current economic conditions. In this study, we propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship into a short-run dynamic stochastic component and a...

Persistent link: https://www.econbiz.de/10013331916

Hedging and pricing in imperfect markets under non-convexity

Assa, Hirbod; Gospodinov, Nikolay - 2014

This paper proposes a robust approach to hedging and pricing in the presence of market imperfections such as market … incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging … proposed theoretical approach are illustrated with an application on hedging economic risk. …

Persistent link: https://www.econbiz.de/10010397681

Is the currency risk priced in equity markets?

Giurda, Francesco; Tzavalis, Elias - 2004

In this paper we investigate whether the currency risk is priced in international stock markets. We suggest a parsimonious version of the international capital asset pricing model with an EGARCH-M(1,1) specification of the second moments' dynamics of stock and currency returns, assuming that the...

Persistent link: https://www.econbiz.de/10010284112

Options for China in a dollar standard world: A sovereign currency approach

Wray, L. Randall; Liu, Xinhua - 2014

This paper examines the fiscal and monetary policy options available to China as a sovereign currency-issuing nation operating in a dollar standard world. We first summarize a number of issues facing China, including the possibility of slower growth, global imbalances, and a number of domestic...

Persistent link: https://www.econbiz.de/10010513080

Evaluation of Macroeconomic Models for Financial Stability Analysis

Bårdsen, Gunnar; Lindquist, Kjersti-Gro; Tsomocos, … - 2006

As financial stability has gained focus in economic policymaking, the demand for analyses of financial stability and the consequences of economic policy has increased. Alternative macroeconomic models are available for policy analyses, and this paper evaluates the usefulness of some models from...

Persistent link: https://www.econbiz.de/10012143653

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