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Author: Jonathan William Welburn Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
Recent economic crises (the 1997 Asian financial crisis, the 1998 Russian crisis, the 2007 global financial crisis, and the 2009 Eurozone crisis) have created a new landscape. These crises elucidate the systemic nature of economic risk, where adverse events appear capable of quickly spreading from one country to the next through a process commonly known as contagion. This dissertation uses an interdisciplinary approach that bridges the fields of operations research, economics, and risk analysis to contribute a novel approach for understanding the processes by which contagion can occur. First, we present a large game-theoretic framework to explain how the dynamics between households, firms, banks, central banks, countries, and financial intergovernmental organizations contribute to crises. Second, we present a more parsimonious model, a borrower-lender game with sequential moves and imperfect information, to discuss the potential for contagion through debt and trade channels while highlighting the role of beliefs. While many in the literature focus on contagion as a direct transmission of economic shocks through debt and trade channels, we find that contagion through trade is unlikely and that the role of lender beliefs can result in apparent contagion. We demonstrate that changes in lender beliefs following revelations of a crisis in one country may lead a lender to be unwilling to lend to another country. This in turn may create a self-fulfilling prophecy where, without access to credit, that country may be less willing and able to repay past debts. Furthermore, we find that our borrower-lender game can explain apparent contagion throughout the Eurozone crisis through deteriorating lender beliefs. While the conventional story is that contagion leads to real propagations through debt (or trade), we find that a real propagation of shocks is not needed.
Author: Jonathan William Welburn Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
Recent economic crises (the 1997 Asian financial crisis, the 1998 Russian crisis, the 2007 global financial crisis, and the 2009 Eurozone crisis) have created a new landscape. These crises elucidate the systemic nature of economic risk, where adverse events appear capable of quickly spreading from one country to the next through a process commonly known as contagion. This dissertation uses an interdisciplinary approach that bridges the fields of operations research, economics, and risk analysis to contribute a novel approach for understanding the processes by which contagion can occur. First, we present a large game-theoretic framework to explain how the dynamics between households, firms, banks, central banks, countries, and financial intergovernmental organizations contribute to crises. Second, we present a more parsimonious model, a borrower-lender game with sequential moves and imperfect information, to discuss the potential for contagion through debt and trade channels while highlighting the role of beliefs. While many in the literature focus on contagion as a direct transmission of economic shocks through debt and trade channels, we find that contagion through trade is unlikely and that the role of lender beliefs can result in apparent contagion. We demonstrate that changes in lender beliefs following revelations of a crisis in one country may lead a lender to be unwilling to lend to another country. This in turn may create a self-fulfilling prophecy where, without access to credit, that country may be less willing and able to repay past debts. Furthermore, we find that our borrower-lender game can explain apparent contagion throughout the Eurozone crisis through deteriorating lender beliefs. While the conventional story is that contagion leads to real propagations through debt (or trade), we find that a real propagation of shocks is not needed.
Author: Graham Bird Publisher: Springer ISBN: 1349095885 Category : Business & Economics Languages : en Pages : 308
Book Description
This collection of articles and papers has been organised under a limited number of specific themes in international financial economics, including balance of payment theory and policy, the activities of the IMF, Special Drawing Rights, the role of the private financial markets, and the international economic order. A unifying theme running through all the essays is that some degree of management of international financial affairs is desirable. The book has a strong policy orientation and should be of interest to students and practitioners of international financial economics alike.
Author: Jorge Mario Uribe Gil Publisher: ISBN: Category : Languages : en Pages : 179
Book Description
This thesis adds to the resolution of two problems in finance and economics: i) what is macro-financial uncertainty? : How to measure it? How is it different from risk? How important is it for the financial markets? And ii) what sort of asymmetries underlie financial risk and uncertainty propagation across the global financial markets? That is, how risk and uncertainty change according to factors such as market states or market participants. In Chapter 2, which is entitled "Momentum Uncertainties", I study the relationship between macroeconomic uncertainty and the abnormal returns of a momentum trading strategy in the stock market. I show that high levels of uncertainty in the economy impact negatively and significantly the returns of a portfolio of stocks that consist of buying past winners and selling past losers. High uncertainty reduces below zero the abnormal returns of momentum, extinguishes the Sharpe ratio of the momentum strategy, while increases the probability of momentum crashes both by increasing the skewness and the kurtosis of the momentum return distribution. Uncertainty acts as an economic regime that underlies abrupt changes over time of the returns generated by momentum strategies. In Chapter 3, "Measuring Uncertainty in the Stock Market", I propose a new index for measuring stock market uncertainty on a daily basis. The index considers the inherent differentiation between uncertainty and the common variations between the series. The second contribution of chapter 3 is to show how this financial uncertainty index can also serve as an indicator of macroeconomic uncertainty. Finally, I analyze the dynamic relationship between uncertainty and the series of consumption, interest rates, production and stock market prices, among others. In chapter 4: "Uncertainty, Systemic Shocks and the Global Banking Sector: Has the Crisis Modified their Relationship?", I explore the stability of systemic risk and uncertainty propagation among financial institutions in the global economy, and show that it has remained stable over the last decade. Additionally, I provide a new simple tool for measuring the resilience of financial institutions to these systemic shocks. My contribution to the literature in this essay is mainly the examination of the characteristics and stability of systemic risk and uncertainty, in relation to the dynamics of the banking sector stock returns. This sort of evidence is new to the literature and is supportive of past claims, made in the field of macroeconomics, which hold that during the global financial crisis the financial system may have faced stronger versions of traditional shocks rather than a new type of shock. In chapter 5, "Currency downside risk, liquidity, and financial stability", I analyze downside risk propagation across global currency markets and the ways in which it is related to liquidity. I make two primary contributions to the literature. First, I estimate tail-spillovers between currencies in the global FX market. This index is easy to build and does not require intraday data, which constitutes an important advantage. Second, I show that turnover is related to risk spillovers in global currency markets. Chapter 6 is entitled "Spillovers from the United States to Latin American and G7 Stock Markets: A VAR-Quantile Analysis". This essay contributes to the studies of contagion, market integration and cross-border spillovers during both regular and crisis episodes by carrying out a multivariate quantile analysis. I focus the analysis carried out in this chapter on Latin American stock markets, which have been characterized by a highly positive dynamic in recent decades, in terms of market capitalization and liquidity ratios, after a far-reaching process of market liberalization and reforms to pension funds across the continent during the 80s and 90s. I documented smaller dependences between the LA markets and the US market than those between the US and the developed economies, especially in the highest and lowest quantiles. -- TDX.
Author: C. Fred Bergsten Publisher: Peterson Institute ISBN: 0881326631 Category : Business & Economics Languages : en Pages : 257
Book Description
Over the course of five decades, John Williamson has published an extraordinary number of books, articles, and other pieces on topics ranging from international monetary economics to development policy and bridging scholarly literature and policy debates. This book provides an overview and insight into Williamson's work. It includes contributions from the editors, Stanley Fischer, Edwin M. Truman, Paul De Grauwe, Yuemei Ji, Marcus Miller, Avinash Persaud, Stephany Griffith-Jones, Dagmar Hertova, Olivier Jeanne, Shankar Acharya, Jose Antonio Ocampo, and an essay by John Williamson on designing economic policy.
Author: Kemal Dervis Publisher: Brookings Institution Press ISBN: 0815729626 Category : Political Science Languages : en Pages : 209
Book Description
Now, more than ever, the world needs growth-oriented and socially inclusive policymaking. Is the world giving up on the promise of ever-greater prosperity for all, on functioning democratic institutions, and on long-term peace? Is the special set of circumstances that led to the recent rapid growth in emerging markets unlikely to be present in the future? Will the second decade of the twenty first century end with “secular stagnation”? Does the rise of authoritarianism, populism, and fanatic nihilism—all experienced over the last few years—threaten to unravel what has been built painstakingly since the catastrophe of World War II? Kemal Dervis addresses these and similar questions in this thought-provoking series of essays written for Project Syndicate from 2011 to 2015. The essays are organized in three sections: global economic interdependence, inequality and the political economy of reform, and the specific challenge of Europe. The common theme is the need for growth-oriented and socially inclusive policymaking in an interdependent world. These kinds of policies offer the potential for another wave of unprecedented human progress aided by breathtaking new technologies. However, a huge and destabilizing disruption is possible if policymaking is not globally cooperative and is not focused on inclusion and greater equity. These essays synthesize the experience and analysis of a scholar and policymaker with national, regional, and international experience at the highest levels. Dervis exhibits a passion for combining strongly held values with political feasibility.
Author: Ann Blair Kloman Publisher: Xlibris Corporation ISBN: 1450045707 Category : Philosophy Languages : en Pages : 133
Book Description
The Fantods of Risk is a collection of essays from the pages of Risk Management Reports, which the author edited, wrote and published from 1974 through 2007, plus several other published articles. The subject is risk management, a discipline for dealing with uncertainty in our personal and organizational lives. They continue the author’s contrary and challenging approach to managing risk, first started in Risk Management Reports and later in Mumpsimus Revisited, published in 2005.
Author: Ranga Chand Publisher: Independently Published ISBN: Category : Business & Economics Languages : en Pages : 0
Book Description
The 2007-2008 financial crises and the Great Recession that followed was a global event that caused great upheaval in the world economy. The crisis, which started in the US with the sub-prime mortgage debacle and the bursting of the housing bubble, triggered a credit crunch that reverberated around the globe and came close to toppling the world's financial infrastructure. The developed countries were particularly hard hit as GDP dropped sharply in all the major Western economies. With demand plunging and job losses mounting, the unemployment rate soared. Compared to their pre-crisis levels, the rate doubled in several countries including Ireland, Spain and the United States and tripled in the Baltic countries of Latvia and Lithuania.Tens of thousands of businesses, both large and small from all economic sectors, went bankrupt. For households, as property prices tanked millions of homeowners found themselves in negative equity, owing more on their mortgages than their homes were worth. When Lehman Brothers, the behemoth Wall Street bank, collapsed in September 2008 it was a watershed moment. Credit markets froze and liquidity virtually vanished as banks were reluctant to lend for fear of not being repaid which gummed up the economic machinery. As panic rippled through the system and investors headed for the exits, global stock markets took a battering. By the end of 2008 trillions of dollars in value had been wiped out. This book brings together a series of essays that the author wrote for his corporate clients over the period from 2009 to 2012. The articles analyzed the impact and fallout that the Great Recession had on the global economy and critically examined the efficacy of the policy responses of governments and central banks as they tried to steady the global economic ship. Also included are a number of posts by the author that were published in the Globe and Mail, Canada's premier national newspaper.
Author: H. Felix Kloman Publisher: Xlibris Corporation ISBN: 1436302269 Category : Business & Economics Languages : en Pages : 133
Book Description
The Fantods of Risk is a collection of essays from the pages of Risk Management Reports, which the author edited, wrote and published from 1974 through 2007, plus several other published articles. The subject is risk management, a discipline for dealing with uncertainty in our personal and organizational lives. They continue the author's contrary and challenging approach to managing risk, first started in Risk Management Reports and later in Mumpsimus Revisited, published in 2005.
Author: Brigitte Granville Publisher: Skyhorse Publishing ISBN: Category : Business & Economics Languages : en Pages : 300
Book Description
Contributors from member organizations of the Tokyo Club discuss the topics "Reflections on the Economies of Three Major Western Players," "Assessment and Responses to Financial Turmoil," "In Search of an Exchange Rate Regime," and "Managing Risks in an Integrating World Financial System." Members of the Tokyo Club include the Brookings Institution (USA), IFO-Institut Fur Wirtschaftsforschung (Germany), Institut Francais des Relations Internationales (France), The Royal Institute of International Affairs (UK), and Nomura Research Institute, Ltd. (Japan).
Author: Jonathan William Welburn
Author: Jonathan William Welburn
Author: Graham Bird
Author: Jorge Mario Uribe Gil
Author: C. Fred Bergsten
Author: Kemal Dervis
Author: Ann Blair Kloman
Author: Ranga Chand
Author: H. Felix Kloman
Author: Brigitte Granville
Author: Gerald K. Helleiner