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Essays on financial contagion and regime shifts
Li, Huimin - 2004
This study reexamines the Asian stock market contagion by employing a dynamic multivariate GARCH model. Based on a commonly held definition, contagion is defined as a significant increase in comovements between asset returns across markets. By analyzing the correlation coefficient series, this...
Persistent link: https://www.econbiz.de/10009451008
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Heterogeneous parameter uncertainty and the timing of investment during crisis
Ni, Shawn; Ratti, Ronald A. - 2009
We present a model in which investors observe the same macroeconomic data but have varying levels of information about the parameters that determine the distribution of the expected returns on investment. During a crisis that increases macroeconomic uncertainty and reduces asset prices, the...
Persistent link: https://www.econbiz.de/10009482088
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An empirical investigation into the trading relationships between Asian stock markets and selected advanced equity markets
Vo, Xuan Vinh; Daly, Kevin James; Emerging Financial … - University of Western Sydney; University of Western Sydney; … - 2004
, Taiwan, Indonesia, Malaysia, Philippines, Singapore, Thailand, and the advanced stock markets of Australia, Germany and the …
Persistent link: https://www.econbiz.de/10009482240
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The Malaysian REIT development and their role in a portfolio
Osmadi, Atasya - University of Western Sydney; College of Business; … - 2010
global REIT investment market; particularly focusing on Islamic REITs in Malaysia. This issue is important as REITs have … at large; particularly with the recent significant development of REITs in Asia in recent years. The objectives for this … research are: 1. To compare the structure and regulation of Malaysian REITs with other countries; both in Asia and …
Persistent link: https://www.econbiz.de/10009482092
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Blueprint for an International Lender of Last Resort
Lerrick, Adam; Meltzer, Allan H. - 2001
This paper proposes a low cost alternative to the large bailout packages that the International Monetary Fund (IMF) has organized to address financial crises. The IMF would act as a lender of last resort. Faced with an unsustainable debt burden, a government would declare default. It would...
Persistent link: https://www.econbiz.de/10009441288
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Development of a model to predict financial distress of companies listed on the JSE
Muller, Grant Henri - 2008
ENGLISH ABSTRACT: To date, there has been significant research completed on the topic of corporate financial distress. Two pioneering researchers in the field of predicting financial distress was Beaver in 1966 and Altman in 1968. More recent research, based on companies listed on the JSE has...
Persistent link: https://www.econbiz.de/10009442208
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Essays on Markov-Switching Dynamic Stochastic General Equilibrium Models
Foerster, Andrew Thomas - 2011
This dissertation presents two essays on Markov-Switching dynamic stochastic general equilibrium models. The first essay is "Perturbation Methods for Markov-Switching Models," which is co-authored with Juan Rubio-Ramirez, Dan Waggoner, and Tao Zha. This essay develops an perturbation-based...
Persistent link: https://www.econbiz.de/10009475390
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Modelling extreme financial returns of global equity markets
Cotter, John - 2004
Extreme asset price movements appear to be more pronounced recently and havemajor consequences for an economy’s financial stability and monetary policies.This paper investigates the extreme behaviour of equity market returns andquantifies the probabilities of these losses. Taking fourteen...
Persistent link: https://www.econbiz.de/10009475644
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Containing systemic risk
Whelan, Karl - 2009
Systemic risk refers to the risk of financial system breakdown due to linkagesbetween institutions. This risk cannot be assessed by looking at how individualinstitutions manage risks but instead requires a full understanding of how thesystem as a whole operates. At present, the data available to...
Persistent link: https://www.econbiz.de/10009475660
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Financial Markets, Financial Intermediation, and Bailout Policy
Vinogradov, Dmitri V. - 2006
The 1980s and 1990s have been marked with a series of financial and banking crises all over the world. This turned the attention of economists to such questions as how a financial system should be structured in order to reduce the vulnerability of an economy to the risk of a crisis, or what...
Persistent link: https://www.econbiz.de/10009476251