Social and Behavioral Sciences Commons^™

Lessons Learned: Frederic Mishkin, Matthew A. Lieber

Journal of Financial Crises

Rick Mishkin served as a member of the Board of Governors of the Federal Reserve System from 2006 to 2008 and as director of research at the Federal Reserve Bank of New York from 1994 to 1997. A leading expert on monetary economics and financial markets and a professor at Columbia University’s School of Business since 1983, Mishkin has written 20 books, including the textbook The Economics of Money, Banking, and Financial Markets. This Lessons Learned is based on an interview with Mishkin conducted on October 20, 2020.

Blockchain Technology For Reshaping Stock Exchanges: A Qualitative Exploratory Study In Palestine, Asia Aburidi

Arab Economic and Business Journal

Purpose: This research aims to explore how to reshape stock exchanges by using blockchain technology with an emphasis on the case of the Palestine Exchange. Design/methodology/approach: This research gathered primary data from semi-structured and open-ended interviews. Online interviews were conducted to get information from professionals and academics interested in blockchain. The sample for this research was determined using convenience sampling and a snowball sampling approach. The data was analyzed using the deductive content analysis method. Findings: The research revealed that implementing blockchain is appropriate for third-world countries because it does not necessitate the construction of buildings or infrastructure. Additionally, …

The Effect Of Epidemiological Investor Sentiment On Financial Market Movements, Ruben A. Silverstone

Undergraduate Economic Review

This paper investigates the effect of public sentiment related to epidemiological crises on financial market movements. The outbreak of COVID-19 provided evidence of the havoc a pandemic can wreak on financial markets. The Ebola outbreak between December 2013 and January 2016 provides the ideal case study to isolate sentiment. Sentiment was quantified with established text processing methods, using news on viral events uncorrelated with other potential causes of market movements and incorporating publisher circulation. I find that epidemiological investor sentiment has a highly statistically significant, current, and non-linear relationship with individual company stock returns when controlling for company-specific fixed effects.

Beyond Mechanical Markets: Asset Price Swings, Risk, And The Role Of The State (Book Review), Adrian Ravier

Journal of New Finance

In its opening section, Frydman and Goldberg’s book lays out important methodological contributions questioning the hypothesis of rational expectations, constructed on the basis of the writings of Knight, Keynes and Hayek. But in the second part, it does not propose a convincing model that would help avoid the formation of new financial bubbles. While accepting to some extent that the government entity has no greater knowledge than economic agents, it ignores the perverse public-sector incentives that James M. Buchanan and the School of Public Choice have explored in recent decades. Furthermore, although the repeated reference to Hayek is encouraging, the …

Alternative Economic Indicators, C. James Hueng, Editor

Upjohn Press

Policymakers and business practitioners are eager to gain access to reliable information on the state of the economy for timely decision making. More so now than ever. Traditional economic indicators have been criticized for delayed reporting, out-of-date methodology, and neglecting some aspects of the economy. Recent advances in economic theory, econometrics, and information technology have fueled research in building broader, more accurate, and higher-frequency economic indicators. This volume contains contributions from a group of prominent economists who address alternative economic indicators, including indicators in the financial market, indicators for business cycles, and indicators of economic uncertainty.

Information Search And Financial Markets Under Covid-19, Behzod B. Ahundjanov, Sherzod Akhundjanov, Botir B. Okhunjanov

Applied Economics Faculty Publications

The discovery and sudden spread of the novel coronavirus (COVID-19) exposed individuals to a great uncertainty about the potential health and economic ramifications of the virus, which triggered a surge in demand for information about COVID-19. To understand financial market implications of individuals’ behavior upon such uncertainty, we explore the relationship between Google search queries related to COVID-19—information search that reflects one’s level of concern or risk perception—and the performance of major financial indices. The empirical analysis based on the Bayesian inference of a structural vector autoregressive model shows that one unit increase in the popularity of COVID-19-related global search …

Análisis Económico Del Sector De Vivienda En Bogotá 1998 2018, Andrés Camilo Díaz Vargas, Julián Camilo Rincón Moscoso

Economía

Este trabajo se realizó con el fin de analizar y entender a través de datos históricos, el comportamiento del mercado de vivienda en Bogotá. Tomando como punto de partida la crisis inmobiliaria que enfrentó el país en el año de 1998 con la caída del UPAC y las repercusiones que esto tuvo en la economía. Adicional, realizamos un análisis de algunos indicadores nacionales pertinentes a oferta y demanda de vivienda para determinar algunos factores que han generado el incremento constante que han venido presentando los precios de la vivienda tales como escasez de espacios urbanizables, aumento en la demanda de …

Political Shocks And Financial Markets: Regression-Discontinuity Evidence From National Elections, Daniele Girardi

Economics Department Working Paper Series

Despite growing interest in the effect of political-institutional factors on the economy, causally identified evidence on the reaction of financial markets to electoral outcomes is still relatively scarce, due to the difficulty of isolating causal effects. This paper fills this gap: we estimate the ‘local average treatment effect’ of left-wing (as opposed to conservative) electoral victories on share prices, exchange rates, and sovereign bond yields and spreads. Using a new dataset of worldwide national (parliamentary and presidential) elections in the post-WWII period, we obtain a sample of 954 elections in which main parties/candidates can be classified on the left-right scale …

Range-Based Volatility, Expected Stock Returns, And The Low Volatility Anomaly, Benjamin M. Blau, Ryan J. Whitby

Economics and Finance Faculty Publications

One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility), which will result in a positive relation between risk and future returns. However, the empirical evidence is mixed when determining how volatility is related to future returns. In this paper, we examine this relation using a range-based measure of volatility, which is shown to be theoretically, numerically, and empirically superior to other measures of volatility. In a variety of tests, we find that range-based volatility is negatively associated with expected stock returns. These results are robust to time-series multifactor models …

Fss 2020 Financial Markets Programme: Progress So Far, Charles Ohamara

Bullion

The Financial System Strategy (FSS) 2020 is a national reform program aimed at developing and transforming Nigeria's financial sector into a growth catalyst to fast track the achievement of the Vision 20:2020 and engineer Nigeria's evolution into on International Financial Centre. The strategic objectives of FSS2020 are to strengthen and deepen the domestic financial markets, enhance the integration of domestic financial markets with the external financial markets and supporting the reals sector. To attain these objectives, the key regulators of the Nigerian financial system come together under the leadership of the Central Bank of Nigeria and crafted the vision to …

Interactions Between United States (Vix) And United Kingdom (Vftse) Market Volatility: A Time Series Study, Jacob Friar

WCBT Undergraduate Publications

Financial markets have become increasingly more dependent on calculated measures of volatility. Many of the leading economies have developed their own indices that reflect the expectations of market volatility, including the United States (VIX) and the United Kingdom (VFTSE). This study uses these two indices in particular to conduct a time series analysis as a means to identifying potential relationships between the value of the VIX and VFTSE, over time. The analysis concludes that there is a two-way relationship between the indices, and therefore the VAR Model was implemented. Further evaluation of the impulses reveals that while values of each …

Essays On The Law Of One Price In Financial Markets And The Recent Financial Crisis, Igor Sorkin

Dissertations, Theses, and Capstone Projects

Essay 1: The theory of the Law of One Price (LOOP) is one of the most important theories in International Economics. I use financial markets to revisit the validity of the LOOP in the short run, and then extend the analysis into the long-run to examine whether events such as the Financial Crisis of 2007-2009 can lead to the failure of the LOOP or worsen deviations from it. Using the data on Canadian companies cross-listed on the New York Stock Exchange, I find strong support that the LOOP holds in a cross-sectional framework despite the fact that the sample includes …

Information Propagation In Financial Markets, Garrett A. Mcbrayer

Graduate Theses and Dissertations

This dissertation consists of three essays which examine information flows through financial markets and across firms, and investigates the factors affecting the process of information dissemination. The first essay examines whether the announcement of a credit rating change for a given firm contains information pertinent to the valuations of intra-industry peer firms. I identify an information spillover effect on peer firms surrounding credit rating downgrades. Further, I find that the post-announcement spillover effects are indicative of an overreaction in the market’s response to the downgrade announcement. Peer firms exhibit predictability in their post-announcement returns as a function of their relative …

Essays On The Impacts Of Quantitative Easing On Financial Markets, Joanne Guo

Dissertations, Theses, and Capstone Projects

Due to the severity of the financial crisis of 2008, the Federal Reserve had attempted a variety of unconventional monetary policy to support the U.S. financial markets at the verge of collapse. The most well-known of the Fed's unconventional monetary policy is quantitative easing, in which it purchased a large amount of government securities from the markets in order to lower longer term interest rates and mortgage rates. The several rounds of quantitative easing had different impacts, intended as well as unintended, on U.S. financial markets and foreign markets. The purpose of this paper is to fully explore the effects, …

Reverse Line Movements In Nfl Gambling: Parallels To Financial Market Biases And The Imitation Of Informed Bettor Strategies, Philip S. Crawford

CMC Senior Theses

Participants in the NFL gambling market can largely be divided into two distinct groups: informed bettors (“Sharps”) and uninformed bettors (“Squares”). Empirical and anecdotal evidence suggest that the dynamic between Sharp and Square bettors is very similar to that between institutional and retail investors. Professionals tend to be far better informed and utilize rational betting/investing strategies while individuals exhibit biases which perpetuate irrational strategies and therefore pricing inefficiencies. This study finds that uninformed participants in financial markets and the NFL betting market do share similar biases, and that these biases can be exploited by informed participants to generate positive excess …

An Overview And Dynamics Of Financial Market Development In Nigeria And Imperatives For Exchange Rate Stability, E.U. Ukeje

Economic and Financial Review

The article discusses the important role money market plays in the economic development of any country which provides the platform for central banks to influence short-term interest rates,

Integration Of Central And Eastern European And The Euro-Area Financial Markets: Repercussions From The Global Financial Crisis, Lucjan T. Orlowski, Anna Tsibulina

WCBT Faculty Publications

We examine integration of financial markets and banking sectors in Central and Eastern Europe and the euro area. We study co-movements between government bond and equity markets of Germany and those of Poland, Czech Republic, Hungary, as well as Slovenia and Slovakia (the two recent euro members). We assume that financial integration is essential for subsequent monetary convergence, as it will enable the euro candidates to mitigate systemic risk and avert potentially destabilizing shocks. Government bond yields of the Czech Republic and Poland show high correlation with German yields, in contrast to those of the remaining countries. Equity returns of …

Singapore's Financial Market: Challenges And Future Prospects, David K. C. Lee, Kok Fai Phoon

Research Collection Lee Kong Chian School Of Business

Singapore has successfully developed into one of the leading international financial centers in a short span of less than half a century. The factors of success can be attributed to time, space, and people. Given the complexity and connectivity of today’s markets, there are many challenges in a fast changing environment marked by huge global capital flows and punctuated by crisis after crisis. This chapter will explain the success of Singapore’s financial market and provide the author’s outlook for the island state’s future prospects in the aftermath of the US debt crisis, the Euro crisis, and likely slowdown in emerging …

Putting Retirement At Risk: Has Financial Risk Exposure Grown More Quickly For Older Households Than Younger Ones?, Christian Weller, Sara Bernardo

Gerontology Institute Publications

Financial markets have been characterized by boom and bust cycles since the 1980s, while the responsibility for managing retirement wealth has increasingly shifted onto individual households at the same time. Policymakers and experts have expressed concern over rising risk exposure among older households, who appear to be increasingly exposed to the growing financial risks just as they near retirement. We consider household data from the Federal Reserve’s Survey of Consumer Finances from 1989 to 2010 to analyze the correlation between age and risk exposure. We test if older households’ risk exposure has indeed grown over time, if it has increased …

In The Debt We Trust: The Unconstitutionality Of Defaulting On American Financial Obligations, And The Political Implications Of Their Perpetual Validity, Zachary K. Ostro

Student Articles and Papers

Starting in August 2011, America has undergone a series of fiscal and political crises surrounding the threat of defaulting on the national debt and the need to raise the debt ceiling. These crises have caused tremendous stress and irreparable harm to our financial markets and political system, causing a downgrade in United States debt for the first time in history, forcing drastic budget cuts, and contributing to a sixteen-day government shutdown this past October. What is most unfortunate, however, is that all of this was preventable for the simple reason that, as a matter of constitutional law, defaulting on the …

Shareholders And Social Welfare, William W. Bratton, Michael L. Wachter

All Faculty Scholarship

This article addresses the question whether (and how) the shareholders matter for social welfare. Answers to the question have changed over time. Observers in the mid-twentieth century believed that the socio-economic characteristics of real world shareholders were highly pertinent to social welfare inquiries. But they went on to conclude that there followed no justification for catering to shareholder interest, for shareholders occupied elite social strata. The answer changed during the twentieth century’s closing decades, when observers came to accord the shareholder interest a key structural role in the enhancement of economic efficiency even as they also deemed irrelevant the characteristics …

Essays On International Trade And Finance, Amat Adarov

Graduate Theses and Dissertations

The dissertation consists of three papers exploring the macroeconomic implications of heterogeneity of countries in financial development, economic interconnectedness via trade and financial linkages.

Chapter 1 examines whether countries which are more centrally located in the global trade network have more synchronized stock markets. Global trade data is used to construct a novel measure of random walk betweenness centrality (RWBC), measuring the extent to which a country lies on random pathways in-between other countries and is therefore likely to be a conduit in the transmission of a shock across global markets. Based on a panel dataset of 58 countries over …

Complexity, Innovation, And The Regulation Of Modern Financial Markets, Dan Awrey

Cornell Law Faculty Publications

The intellectual origins of the global financial crisis (GFC) can be traced back to blind spots emanating from within conventional financial theory. These blind spots are distorted reflections of the perfect market assumptions underpinning the canonical theories of financial economics: modern portfolio theory, the Modigliani and Miller capital structure irrelevancy principle, the capital asset pricing model and, perhaps most importantly, the efficient market hypothesis. In the decades leading up to the GFC, these assumptions were transformed from empirically (con)testable propositions into the central articles of faith of the ideology of modern finance: the foundations of a widely held belief in …

Neoliberalism And The Global Financial Crisis, Sharon Beder

Sharon Beder

The new right advocated policies that aided the accumulation of profits and wealth in fewer hands with the argument that it would promote investment, thereby creating more jobs and more prosperity for all. However financial markets provide opportunities for investment without creating jobs and, as the global financial crisis has revealed, speculative investment feeds an ephemeral prosperity that can be wiped out in a short time period. Inequities resulting from new right policies – including the deregulation of labour markets and the reduction of government spending – reduced consumer demand which had to be propped up with consumer credit and …

Economic Performance, Creditor Protection, And Labour Inflexibility, Felipe Balmaceda Assoc Prof., Ronald Fischer Full Professor

Felipe Balmaceda

We present a static general equilibrium model of an open economy where agents are heterogeneous in terms of observable wealth and there are endogenous credit constraints due to imperfect creditor protection. Improved credit protection, harder assets, and more efficient bankruptcy procedures increase output, investment, and credit penetration. Better credit protection and harder assets lead to higher interest rate spreads. In a capital constrained (unconstrained) economy, greater (lower) wealth inequality leads to higher (lower) investment and output. Interest rate spreads are lower in richer and more unequal economies in terms of their wealth distribution. We also show that increased labour protection …

Three Essays On The Effects Of Reverting Capital Flows On U.S. Financial Markets, Rahames A. Lizardo

Theses and Dissertations - UTB/UTPA

The United States has been running, for a long time now, an-increasing current account deficit. In fact, the U.S. has a current account deficit with most countries in the world. The implication is that Americans have been enjoying an ever-increasing standard of living by consuming way more than what they produce, not only manufactured goods, but also important commodities such as oil. In other words, a significant fraction of our prosperity is based on borrowing rather than increased production. These persistent deficits, which translate into additional indebtedness by the U.S. and an-ever increasing amount of dollars reserves by countries such …

2009-2 Lucas, Keynes, And The Crisis, David Laidler

Department of Economics Research Reports

No abstract provided.

Neoliberalism And The Global Financial Crisis, Sharon Beder

Faculty of Arts - Papers (Archive)

The new right advocated policies that aided the accumulation of profits and wealth in fewer hands with the argument that it would promote investment, thereby creating more jobs and more prosperity for all. However financial markets provide opportunities for investment without creating jobs and, as the global financial crisis has revealed, speculative investment feeds an ephemeral prosperity that can be wiped out in a short time period. Inequities resulting from new right policies – including the deregulation of labour markets and the reduction of government spending – reduced consumer demand which had to be propped up with consumer credit and …

Implementation Of Basel Ii: Any Role For International Financial Institutions?, C. E. Nwandikom

Economic and Financial Review

This paper examines the three pillars of Basel II which provide a broad and coherent framework for linking regulatory capital to risk, for improving internal risk measurement and management and for enhancing supervisory and market discipline at large, complex and internationally-active banks.

Geo-Politics, The ‘War On Terror’ And The Competitiveness Of The City Of London, Richard Woodward

Books/Book Chapters

No abstract provided.