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Articles 1 - 30 of 38
Full-Text Articles in International Economics
The Macrodynamics Of Indian Rupee Swap Yields, Tanweer Akram, Khawaja Mamun
The Macrodynamics Of Indian Rupee Swap Yields, Tanweer Akram, Khawaja Mamun
WCBT Working Papers
This paper econometrically models the dynamics of Indian rupee (INR) swap yields based on key macroeconomic factors using the autoregressive distributive lag (ARDL) approach. It examines whether the short-term interest rate has a decisive influence on long-term INR swap yields after controlling for other factors, such as core inflation, the growth of industrial production, the logarithm of the equity price index, and the logarithm of the INR exchange rate. The estimated models show that the short-term interest rate has an important influence on the swap yields. This implies that the Reserve Bank of India (RBI) can sway borrowing and lending …
Asymmetric Effects In Geopolitical Risk And Foreign Reserves Accumulation Among Brics Countries, Kwame O. Asomaning
Asymmetric Effects In Geopolitical Risk And Foreign Reserves Accumulation Among Brics Countries, Kwame O. Asomaning
Doctoral Dissertations (DBA)
Over the past decade, the rise of Geopolitical Risk (GPR) has had a significant effect on macro financial variables, prompting central banks to accumulate reserves as a "war chest" to protect their economies from the detrimental effects of such shocks. This study examines the asymmetries in the long run, short run, and locational asymmetric effects on foreign reserves in the BRICS countries, using both the Nonlinear ARDL (NARDL) and Quantile ARDL (QARDL) models over the period 2000Q1–2021Q4. The results of the NARDL model suggest that GPR has long-run asymmetric effects for BRICS, while in the short run, all countries display …
Chinese Yuan Interest Rate Swap Yields, Tanweer Akram, Khawaja Mamun
Chinese Yuan Interest Rate Swap Yields, Tanweer Akram, Khawaja Mamun
WCBT Working Papers
This paper models the dynamics of Chinese yuan (CNY)–denominated long-term interest rate swap yields. The financial sector plays a vital role in the Chinese economy, which has grown rapidly in the past several decades. Going forward, interest rate swaps are likely to have an important role in the Chinese financial system. This paper shows that the short-term interest rate exerts a decisive influence on the long-term swap yield after controlling for various macrofinancial variables, such as inflation or core inflation, the growth of industrial production, percent change in the equity price index, and the percentage change in the CNY exchange …
Leadership And Performance In Informal Institutions: The Internal Dynamics Of Brics, Zhen 'Arc' Han, Mihaela Papa
Leadership And Performance In Informal Institutions: The Internal Dynamics Of Brics, Zhen 'Arc' Han, Mihaela Papa
Political Science & Global Affairs Faculty Publications
How does leadership affect the performance of informal institutions? Leadership in BRICS is particularly puzzling: this informal institution rapidly grows despite the disparate interests of its members, some of which are in longstanding conflict. This article examines how three forms of leadership – intellectual, entrepreneurial, and structural – affect institutional performance using BRICS cooperation data. It demonstrates the importance of intellectual leadership, particularly in strategically framing the cooperation problem in a way that creates mutual gains, as essential for realising collective outcomes in informal institutions. Collective action is catalyzed through the interplay of the three leadership forms. However, the activating …
Chinese Yuan Interest Rate Swap Yields, Tanweer Akram, Khawaja Mamun
Chinese Yuan Interest Rate Swap Yields, Tanweer Akram, Khawaja Mamun
WCBT Faculty Publications
This paper models the dynamics of Chinese yuan–denominated long-term interest rate swap yields. It shows that the short-term interest rate exerts a decisive influence on the long-term swap yield after controlling for various macrofinancial variables, such as core inflation, the growth of industrial production, the percent change in the equity price index, and the percentage change in the Chinese yuan exchange rate. The autoregressive distributed lag approach is applied to model the dynamics of the long-term swap yield. The findings reinforce and extend John Maynard Keynes’s conjecture that in advanced countries, as well as emerging market economies such as China, …
Monetary Policy And Systemic Risk-Taking In The Euro Area Banking Sector, Alain Kabundi, Francisco Nadal-De Simone
Monetary Policy And Systemic Risk-Taking In The Euro Area Banking Sector, Alain Kabundi, Francisco Nadal-De Simone
WCBT Faculty Publications
Available empirical evidence on the significance of the (micro) risk-taking channel of monetary policy is not enough to indicate a threat to financial stability. Evidence of risk-taking with systemic risk implications is necessary. Statistical measures that capture systemic risk in all its forms within a structural factor-augmented vector autoregressive model suggest that conventional and unconventional monetary policies have resulted in systemic risk-taking in the euro area banking sector. Systemic risk has taken the form of an increase in the banking sector’s vulnerability via contagion and interconnectedness. Banks’ balance sheets, however, do not account for the full transmission from (micro) risk …
Do Oil Price Returns Impact Exchange Rates Fluctuations: Evidence From The Top Four Oil Importing Countries In Asia – China, India, Japan And South Korea, Alexander Nti
Doctoral Dissertations (DBA)
Using daily data obtained from Federal Reserve Bank of St. Louis database, we convert oil price and exchange rates to first difference logarithm to examine the link between oil price and exchange rates. We apply Johansen Cointegration models to examine relationship between the series, and our results indicate the variables are not cointegrated. Augmented Dicky Fuller test indicates that the series are nonstationary at level, but stationary at first difference. Impulse response analysis based on unrestricted vector autoregressive (VAR) yields varying results for the relationship between oil price and exchange rates across the currencies of the four countries considered. Thus, …
Does The Legal System Affect The Cost Of External Financing? Evidence From Ipo Underpricing Of Foreign Firms Listed In U.S. Stock Markets, Shaokang Wang, Jing Jiang
Does The Legal System Affect The Cost Of External Financing? Evidence From Ipo Underpricing Of Foreign Firms Listed In U.S. Stock Markets, Shaokang Wang, Jing Jiang
WCBT Faculty Publications
To study the effect of the legal system on the cost of external financing, we examine the degree of underpricing of the IPOs by foreign companies listed in U.S. We find that firms from highly corrupted countries have larger IPO underpricing. The quality of the home-country public law enforcement reduces the degree of IPO underpricing. In particular, the criminal sanction for violations of securities laws is the most significant factor in reducing underpricing. The evidence shows that even when a non-U.S. firm meets sophisticated U.S. regulations and goes public in a U.S. exchange, the degree of underpricing is still influenced …
Integration Of Central And Eastern European And The Euro-Area Financial Markets: Repercussions From The Global Financial Crisis, Lucjan T. Orlowski, Anna Tsibulina
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 …
The Dangers Of Aggressive Trade Liberalization: Why The Washington Consensus Is Not A Global Consensus, Stephen T. Hanshaw
The Dangers Of Aggressive Trade Liberalization: Why The Washington Consensus Is Not A Global Consensus, Stephen T. Hanshaw
Government Undergraduate Publications
The theory of trade and capital market liberalization has been floated around in discussions about economic stability and development for decades. Due to the fact that the world is becoming more and more interdependent and interconnected each and every day, the necessity for a global market emerged in the early 1990’s. The Western response to globalization in many cases was dubbed the "Washington Consensus," of which trade liberalization is a huge part. The idea of trade liberalization is centralized in the idea of a free-market economy, originally posited by Adam Smith. His model proposed the idea of the "invisible hand", …
Sovereign Default Risk In The Euro-Periphery And The Euro-Candidate Countries, Hubert Gabrisch, Lucjan T. Orlowski, Toralf Pusch
Sovereign Default Risk In The Euro-Periphery And The Euro-Candidate Countries, Hubert Gabrisch, Lucjan T. Orlowski, Toralf Pusch
WCBT Working Papers
This study examines the key drivers of sovereign default risk in five euro area periphery countries and three euro-candidates that are currently pursuing independent monetary policies. We argue that the recent proliferation of sovereign risk premiums stems from both domestic and international sources. We focus on contagion effects of external financial crisis on sovereign risk premiums in these countries, arguing that the countries with weak fundamentals and fragile financial institutions are particularly vulnerable to such effects. The domestic fiscal vulnerabilities include: economic recession, less efficient government spending and a rising public debt. External ‘push’ factors entail increasing liquidity- and counter-party …
Teaching About Global Debt In Social Studies Classrooms, Anand Marri, Timothy Patterson, Scott Wylie
Teaching About Global Debt In Social Studies Classrooms, Anand Marri, Timothy Patterson, Scott Wylie
Education Faculty Publications
The article offers guidelines in teaching high school students about global debt in their social studies class in the U.S. It outlines various ways on how to infuse discussions about global debt into social studies classrooms which include connecting the topic of global debt on a student's personal finance, providing of instructional materials, and focusing on public policy dilemmas. The author suggests teaching students about global debt through student-centered pedagogy.
Extreme Risks In Financial Markets And Monetary Policies Of The Euro-Candidates, Hubert Gabrisch, Lucjan T. Orlowski
Extreme Risks In Financial Markets And Monetary Policies Of The Euro-Candidates, Hubert Gabrisch, Lucjan T. Orlowski
WCBT Faculty Publications
This study investigates extreme tail risks in financial markets of the euro-candidate countries and their implications for monetary policies. Our empirical tests show the prevalence of extreme risks in the conditional volatility series of selected financial variables, that is, interbank rates, equity market indexes and exchange rates. We argue that excessive instability of key target and instrument variables should be mitigated by monetary policies. Central banks in these countries will be well-advised to use both standard and unorthodox (discretionary) tools of monetary policy while steering their economies out of the financial crisis and through the euro-convergence process.
Introduction To The Symposium On 'Financial Risks And Economic Stability In Emerging Market Economies', Lucjan Orlowski
Introduction To The Symposium On 'Financial Risks And Economic Stability In Emerging Market Economies', Lucjan Orlowski
WCBT Faculty Publications
Developing resilience to contagion effects from global financial crises and economic recessions has been an ongoing crucial task for policymakers in emerging market economies. The recent global financial crisis of 2007-2009 has underscored the importance of pursuing disciplined macroeconomic policies and of devising sound macroprudential regulations that would strengthen the immunity of emerging markets and their institutions to various types of risks, including credit, default, sovereign, liquidity and market risks. The studies included in this symposium are not intended to provide a comprehensive overview of financial vulnerabilities in a broad spectrum of emerging markets. Rather, they share a common aim …
Workers' Migration And Remittances In Bangladesh, Khawaja Mamun, Hiranya K. Nath
Workers' Migration And Remittances In Bangladesh, Khawaja Mamun, Hiranya K. Nath
WCBT Faculty Publications
Bangladesh has sent more than 6.7 million workers to over 140 countries during a period of more than three decades since the mid-1970s. Most of these workers temporarily migrated to work in Middle East and Southeast Asia. This mass movement of temporary migrant workers has, to some extent, eased unemployment pressures on the over-burdened labor market in this highly populated country. More importantly, the remittance transfers received from these migrant workers have reached a phenomenal level of over 10 billion US dollars in 2009, approximately 12 percent of GDP in Bangladesh. This paper analyzes the trends and various other aspects …
Proliferation Of Tail Risks And Policy Responses In The Eu Financial Markets, Lucjan Orlowski
Proliferation Of Tail Risks And Policy Responses In The Eu Financial Markets, Lucjan Orlowski
WCBT Faculty Publications
This study draws attention to the proliferation of tail risks in financial markets prior to and during the course of the recent global financial crisis. It examines the level of tail risks in selected equity, interbank lending and foreign exchange markets in selected EU Member States in relation to the United States. The extent of tail risks is assessed by applying general error distribution (GED) parameterization in GARCH volatility tests of the examined variables. The empirical tests prove that tail risks were pronounced across all of the examined European financial markets throughout the crisis. They were also significant prior to …
The Impact Of Terrorism On Business, Michael D. Larobina, Richard L. Pate
The Impact Of Terrorism On Business, Michael D. Larobina, Richard L. Pate
WCBT Faculty Publications
Terrorism has in one form or another been a part of society throughout history. Since the September 11, 2001 attacks in New York, the world community has been more focused on terrorism than ever before in most recent modern history. Terrorism has impacted multiple levels of society across the world community. One of those levels is the business environment. A specific aim of terrorism is to disrupt and destroy ongoing businesses. Therefore, the ability of governments to disrupt and destroy terrorism is essential to the continued growth and expansion of the world economy. Terrorism will directly impact a country's ability …
Relative Inflation-Forecast As Monetary Policy Target For Convergence To The Euro, Lucjan T. Orlowski
Relative Inflation-Forecast As Monetary Policy Target For Convergence To The Euro, Lucjan T. Orlowski
WCBT Faculty Publications
A monetary policy framework based on targeting a relative inflation-forecast is proposed for the economies converging to the euro. Such strategy aims at containing the differentials between the domestic and the implicit monetary union inflation-forecasts. Hence, these differentials become a basis for setting an operational policy target. The proposed framework can be viewed as an extension of flexible inflation targeting that prioritizes low and stable inflation over the exchange rate stability. It is believed to be consistent with the Maastricht convergence criteria and can be implemented in concurrence with the exchange rate stability benchmark for the ERM2. Several empirical tests …
Stages Of The Ongoing Global Financial Crisis: Is There A Wandering Asset Bubble?, Lucjan Orlowski
Stages Of The Ongoing Global Financial Crisis: Is There A Wandering Asset Bubble?, Lucjan Orlowski
WCBT Faculty Publications
This study argues that the severity of the current global financial crisis is strongly influenced by changeable allocations of the global savings. This process is named a “wandering asset bubble”. Since its original outbreak induced by the demise of the subprime mortgage market and the mortgage-backed securities in the U.S., this crisis has reverberated across other credit areas, structured financial products and global financial institutions. Four distinctive stages of the crisis are identified: the meltdown of the subprime mortgage market, spillovers into broader credit market, the liquidity crisis epitomized by the fallout of Bear Sterns with some contagion effects on …
Assessing Competition Policy Performance Metrics: Concerns About Cross-Country Generalisability, Lesley Denardis, A. E. Rodriguez
Assessing Competition Policy Performance Metrics: Concerns About Cross-Country Generalisability, Lesley Denardis, A. E. Rodriguez
Political Science & Global Affairs Faculty Publications
Recent interest in competition policy performance has typically relied on subjective performance metrics that have undergone little direct scrutiny by users. We examine the quality of the popular World Economic Forum's antitrust performance metric and assess whether it is immune from perception-bias. A bias-free metric is required to ensure cross-country consistency in its intended performance assessment.
We note various instances where the WEF's competition policy performance survey was completed but where there existed neither competition legislation nor an associated enforcement agency at the time. This seeming inconsistency is neither amenable to traditional econometric heterogeneity treatment nor instrumentable; importantly, it is …
Institutional Issues Impeding Progress Of The Free Trade Area Of The Americas Agreement (Ftaa), Sivakumar Venkataramany, Balbir B. Bhasin
Institutional Issues Impeding Progress Of The Free Trade Area Of The Americas Agreement (Ftaa), Sivakumar Venkataramany, Balbir B. Bhasin
WCBT Faculty Publications
For any bilateral or multilateral trade agreement to be effective, it is imperative that all participants derive maximum benefit. This paper examines the institutional issues facing the partners of the Free Trade of the Area of the Americas (FTAA), analyzes some of the current areas of conflict and suggests action to reduce tensions and promote harmony, cooperation and accommodation which is a necessity when multiple countries attempt to foster such an agreement.
American Index Put Options Early Exercise Premium Estimation, Ako Doffou
American Index Put Options Early Exercise Premium Estimation, Ako Doffou
WCBT Faculty Publications
"This paper examines empirically the value of early exercise by testing the ability of two American put valuation models to predict the early exercise premium for the S&P 100 American put options. An accuracy test and a quality test are performed on (1) the MacMillan (1986) & Barone-Adesi and Whaley (1987) model, and (2) the Carr, Jarrow and Myneni(1992) model. The test results show that early exercise premium is significant regardless of moneyness. Moreover, consistent with the theory, the value of early exercise is significantly negatively related to moneyness and interest rates and significantly positively related to time to maturity …
Monetary Policy And Inflation In The European Monetary Union – Perspectives And Lessons, Lucjan T. Orlowski
Monetary Policy And Inflation In The European Monetary Union – Perspectives And Lessons, Lucjan T. Orlowski
WCBT Faculty Publications
The paper examines systemic changes in monetary policies in Europe that have played a pivotal role in containing inflation. It emphasizes the connection between the systemic evolution of monetary policies and the precepts of the original as well as the new generation policy models prescribed by the ‘Washington Consensus’. It further underscores the importance of key criteria of optimum currency area (labor mobility, trade openness, symmetric consumer preferences and political integration) for viability and further future enlargement of the euro area. For the candidates to the euro flexible inflation targeting policies that encompass the euro-convergence parameters are suggested.
Reflections On A Seminal Force In International Accounting, Karen Cascini
Reflections On A Seminal Force In International Accounting, Karen Cascini
WCBT Faculty Publications
Accounting is a manifestation of several important environmental factors within a country, including economic, educational and political, and, as such, is evolutionary in accordance with those changing social structures. In today‟s ever expanding global economy, the understanding of international aspects of accounting is critical to understanding world events and the way in which they affect our lives. As new nations and new economic powers emerge, continually updated information, including accounting information, is an essential resource for linking an internal accounting system with worldwide systems. Because of the major impact that international accounting has had on countries‟ internal accounting systems, it …
Monetary And Fiscal Policy In Poland During The Eu Accession, Lucjan Orlowski
Monetary And Fiscal Policy In Poland During The Eu Accession, Lucjan Orlowski
WCBT Faculty Publications
The main objective of this chapter is to review the fiscal and monetary policies of Poland for EU accession and to extract their guiding precepts. Only the most essential aspects of fiscal and monetary convergence are examined, with some attention to institutional convergence. An in-depth analysis of institutional convergence falls beyond the boundaries of this study, as its main focus is on the systemic foundations of macroeconomic stabilization policies during the economic transition and in the course of preparations for EU accession. The chapter also examines policy options for the post-accession macroeconomic policy strategy which will focus on preparations for …
Periodically Collapsing Bubbles In The Asian Emerging Stock Markets, Ako Doffou
Periodically Collapsing Bubbles In The Asian Emerging Stock Markets, Ako Doffou
WCBT Faculty Publications
This paper investigates empirically the existence of periodically collapsing bubbles in the Asian emerging stock markets using the Enders-Siklos (2001) momentum threshold autoregressive model. As explained in Bohl (2003), this non-linear time series technique can be used to analyze bubble driven run-ups in stock prices followed by a crash in a non- cointegration framework with asymmetric adjustment. This technique offers a more potent insight in the stock prices behavior than can possibly be obtained using conventional non-cointegration tests. The empirical findings for ten Asian emerging stock markets from 1993 to 2005 refute the bubble hypothesis.
Bond Yield Compression In The Countries Converging To The Euro, Lucjan T. Orlowski, Kirsten Lommatzsch
Bond Yield Compression In The Countries Converging To The Euro, Lucjan T. Orlowski, Kirsten Lommatzsch
WCBT Faculty Publications
We demonstrate that bond yield compression is under way in the countries converging to the euro and that German yields are significant drivers of local currency yields. Based on the evidence from Poland, Hungary and the Czech Republic, we conclude that these new ...Member States of the European Union are ready to adopt the euro without risking a disruptive shock to their financial stability. This message transpires from investigating the daily volatility dynamics of local bond yields as a function of German yields, conditional on changes in local term spreads, exchange rates and adjustments to central bank reference rates. Similar …
Export-Led Growth In Bangladesh: A Time Series Analysis, Hiranya K. Nath, Khawaja Mamun
Export-Led Growth In Bangladesh: A Time Series Analysis, Hiranya K. Nath, Khawaja Mamun
WCBT Faculty Publications
This article examines time series evidence to investigate the link between exports and economic growth in Bangladesh. Using quarterly data for a period from 1976 to 2003 the article finds that industrial production and exports are cointegrated. The results of an error correction model (ECM) suggest that there is a long-run unidirectional causality from exports to growth in Bangladesh.
Targeting Relative Inflation Forecast As Monetary Policy Framework For Adopting The Euro, Lucjan T. Orlowski
Targeting Relative Inflation Forecast As Monetary Policy Framework For Adopting The Euro, Lucjan T. Orlowski
WCBT Faculty Publications
This study proposes relative inflation forecast targeting as an operational framework of monetary policy for adopting the euro by the EU new Member States. This strategy assumes containing differentials between the domestic and the eurozone inflation forecasts as an operational target. A model prescribing the RIFT framework is presented along with a set of appropriate policy indicator variables and instrument rules. The proposed framework advances the strategy based on relatively strict inflation targeting that is currently pursued by some NMS. Several ARCHclass tests in various functional forms are employed for providing preliminary empirical evidence on convergence of inflation differentials relative …
The Relationship Between Import Prices And Inflation In The United States, Thomas D. Corrigan
The Relationship Between Import Prices And Inflation In The United States, Thomas D. Corrigan
WCBT Faculty Publications
Inflation has been a non-issue in the United States in recent years despite strong economic growth, on balance, and falling unemployment. Some analysts believe that "new economy" dynamics are responsible for this favorable outcome and further claim that the traditional Phillips curve tradeoff between growth and inflation is no longer a valid assumption underlying economic policy decisions. Others believe that the Phillips curve is indeed alive and well but that favorable "supply shocks" have masked the still relevant tradeoff between growth and price stability. One potential "supply shock" candidate is a declining trend in the cost of imports into the …