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Full-Text Articles in Business
The Cascade Effect On Lending Conditions: Evidence From The Syndicated Loan Market, Wei-Shao Wu, H H Chang, Sandy Suardi, Yuanchen Chang
The Cascade Effect On Lending Conditions: Evidence From The Syndicated Loan Market, Wei-Shao Wu, H H Chang, Sandy Suardi, Yuanchen Chang
Sandy Suardi
This paper investigates, both theoretically and empirically, how interactions among potential lenders may influence contract terms via informational cascade in the syndicated loan market. Our model shows that the ex-post observed interest rate is higher and the probability of syndication failure is lower when potential lenders can only observe the decisions of their predecessors versus when they can freely communicate with each other. Empirical tests confirm the model's predictions and the existence of a cascade effect on lending conditions. Using relational distance to proxy for the segmentation of communication, we find that relational distance is positively related to the loan …
Factor Reversal In Euro Zone Stock Returns: Evidence From The Crisis Period, Hsin-I Chou, Jing Zhao, Sandy Suardi
Factor Reversal In Euro Zone Stock Returns: Evidence From The Crisis Period, Hsin-I Chou, Jing Zhao, Sandy Suardi
Sandy Suardi
The adoption of the euro led to a shift in importance from country to industry effects in euro zone stock returns. For the first time, this paper shows that country effects have regained importance in the recent spate of crises. This euro-wide factor reversal is driven by countries with poor economic fundamentals, comprising Portugal, Italy, Ireland, Greece, and Spain (PIIGS). The results imply that a more traditional country portfolio approach provides greater diversification benefits during crisis periods and the minimum-variance frontier of industry portfolios in PIIGS countries can be improved by adjusting country weights.
Dynamic Effects Of Trade And Output Volatility On The Trade-Growth Nexus: Evidence From Singapore, Renuka Mahadevan, Sandy Suardi
Dynamic Effects Of Trade And Output Volatility On The Trade-Growth Nexus: Evidence From Singapore, Renuka Mahadevan, Sandy Suardi
Sandy Suardi
Purpose - This paper seeks to revisit the highly debated trade‐growth hypothesis by considering the effects of trade and output volatility on the relationship between trade and economic growth. Design/methodology/approach - The relationship is modeled by testing for the existence of output and trade (export and imports separately) using the conditional variances of the variables and then specifying an autoregressive conditional heteroskedastic (ARCH) process in a vector error correction model. Findings - Using Singapore as a case study, the paper finds the two‐way relationship between export growth and trade‐adjusted GDP growth is robust even after controlling for the effects of …
Predicting Short-Term Interest Rates Using Bayesian Model Averaging: Evidence From Weekly And High Frequency Data, Chew Lian Chua, Sandy Suardi, Sarantis Tsiaplias
Predicting Short-Term Interest Rates Using Bayesian Model Averaging: Evidence From Weekly And High Frequency Data, Chew Lian Chua, Sandy Suardi, Sarantis Tsiaplias
Sandy Suardi
This paper examines the forecasting performance of Bayesian model averaging (BMA) for a set of single factor models of short-term interest rates. Using weekly and high frequency data for the one-month Eurodollar rate, BMA produces predictive likelihoods that are considerably better than those associated with the majority of the short-rate models, but marginally worse than those of the best model in each dataset. We also find that BMA forecasts based on recent predictive likelihoods are preferred to those based on the marginal likelihood of the entire dataset.
Central Bank Intervention, Threshold Effects And Asymmetric Volatility: Evidence From The Japanese Yen-Us Dollar Foreign Exchange Market, Sandy Suardi
Sandy Suardi
Recent empirical evidence of nonlinearities in the time series behaviour of exchange rates suggests that a linear model of the exchange rate may yield invalid inference when used to assess the effectiveness of central bank intervention. Using a double threshold GARCH model of the Japanese yen-US dollar exchange rates, we find that interventions by the Bank of Japan and the Federal Reserve are more effective in changing the direction of the exchange rate movements and reducing its volatility level in a regime when the exchange rates are severely misaligned. There is also evidence in such a regime for a negative …