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Global Bonding; Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets?

Bayoumi, Tamim; Bui, Trung - International Monetary Fund (IMF) - 2012

financial markets and spillovers from Europe to Japan. The results also suggest that the uncertainty about the direction of …

Persistent link: https://www.econbiz.de/10011242378

Outlook for Interest Rates and Japanese Banksâ€™ Risk Exposures under Abenomics

Arslanalp, Serkan; Lam, Raphael W. - International Monetary Fund (IMF) - 2013

This paper examines how Japan’s long-term interest rates and Japanese banks’ interest rate risk exposures may evolve … yields in Japan are determined to a large extent by growth and inflation outlook, fiscal conditions, demography, and the … increased purchases by the Bank of Japan. At the same time, illustrative scenarios suggest the interest rate risk exposure of …

Persistent link: https://www.econbiz.de/10011142198

The 2011 Japanese earthquake, tsunami and nuclear crisis

Asongu, Simplice A. - In: Journal of Financial Economic Policy 4 (2012) 4, pp. 340-353

Purpose – Natural disasters may inflict significant damage upon international financial markets. The purpose of this study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake, tsunami and subsequent nuclear crisis....

Persistent link: https://www.econbiz.de/10014866872

Use of IC information in Japanese financial firms

Holland, John; Henningsson, Johan; Johanson, Ulf; Koga, … - In: Journal of Intellectual Capital 13 (2012) 4, pp. 562-581

Purpose – The purpose of this paper is to explore the perceptions of: how Japanese financial firms (JFF) acquire and use company intellectual capital (IC) information in their common routine equity investment decisions, how this activity contributes to knowledge creation in the JFFs, and how...

Persistent link: https://www.econbiz.de/10014875629

Excess comovements between the Euro/US dollar and British pound/US dollar exchange rates

Kühl, Michael - 2009

The aim of this paper is to discuss excess comovements for the Euro/US dollar and British pound/US dollar exchange rates, i.e. we look for comovements of exchange rates which are stronger than implied by fundamentals. The results of the empirical analysis give evidence that excess comovements...

Persistent link: https://www.econbiz.de/10010302725

Dynamics of sectoral business cycle comovement

Sandqvist, Anna Pauliina - 2015

In this paper a multivariate dynamic conditional correlation (DCC) general autoregressive conditional heteroskedasticity (GARCH) framework is employed to study dynamics of sectoral comovement across manufacturing sectors both in Germany and in the United States. Asymmetric effects both in...

Persistent link: https://www.econbiz.de/10011417856

Copula-based dynamic conditional correlation multiplicative error processes

Bodnar, Taras; Hautsch, Nikolaus - 2013

We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations. Modeling the variables' conditional mean processes using a multiplicative error model we map the resulting...

Persistent link: https://www.econbiz.de/10010326710

Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte

Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014

The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...

Persistent link: https://www.econbiz.de/10010331352

Madhavan, Vinodh - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-16

(MIST) equity markets and the developed stock markets such as US, UK, Germany, Japan, Hong Kong, and Singapore. To start … stock markets considered for this study, Mexico is found to exhibit high DCC with US and least amount of DCC with Japan … comes to South Korea, it exhibits the least amount of DCC with US and high DCC with Hong Kong, Singapore, and Japan. …

Persistent link: https://www.econbiz.de/10011988783

Diversification Power of Real Estate Market Securities: The Role of Financial Crisis and Dividend Policy

Ilbasmis, Metin; Gronwald, Marc; Zhao, Yuan - 2018

This paper investigates dynamic conditional correlations between stock and REIT markets in both Turkey and the U.S. We use an Asymmetric DCC - GJR - GARCH model to estimate the dynamic conditional correlation at daily, weekly, and monthly frequencies. Our contribution is threefold. First, we...

Persistent link: https://www.econbiz.de/10011872072