Economics Commons^™

Stock Markets And Household Wealth: Can A Stock Market Crash Cause A Recession In The U.S. Economy?, Ishan Singh

Honors Theses

Stock market wealth effects on the level of consumption in the United States economy have been constantly debated; there is evidence for arguments for and against its prominence and its symmetry. This paper seeks to investigate the strength of its negative effect by creating models to analyze unexpected shocks to the Standard and Poor's 500 index. First, a transmission mechanism between the stock market and GDP is established through the use of second-order vector autoregressive models. Following which, theory from the life cycle model and adaptations of previous researchers' models are used to create a structural model. This paper finds …

Misc., Anwar Shaikh Phd2

Archives of Anwar Shaikh

This collection includes:

• Yee, C., Shaikh, A., & Gardens by Joan. (2008, March 26). Email correspondence regarding a landscaping consultation [Email correspondence].

• Shaikh, A., & Vicente, M. A. (2008, February 8). Email correspondence regarding an invitation to be a keynote speaker at ECON 2008 at the University of Buenos Aires [Email correspondence].

• Barbieri, A. E. (2007, December 17). Letter to Anwar Shaikh inviting him as a keynote speaker for ECON 2008 [Letter].

• Universidad de Buenos Aires. (n.d.). Envelope addressed to Anwar Shaikh [Envelope].

• Gorton, G. (2007). Banks, banking, and crises. NBER Reporter, 2007(4). National …

Domestic Bonds, Credit Derivatives, And The Next Transformation Of Sovereign Debt, Anna Gelpern

Georgetown Law Faculty Publications and Other Works

Not long ago, financial markets in most poor and middle-income countries were shallow to nonexistent, and closed to foreigners. Governments often had to rely on risky borrowing abroad; the private sector had even fewer options. But between 1995 and 2005, domestic debt in the emerging markets grew from $1 trillion to $4 trillion. In Mexico, domestic debt went from just over 20% of the total government debt stock in 1995 to nearly 80% in 2007. Foreign and local investors are buying. Over the same period, derivative contracts to transfer emerging market credit risk surpassed the market capitalization of the benchmark …

Banking, Credit, Anwar Shaikh Phd

Archives of Anwar Shaikh

4:27 PM    

Claude responded: This collection includes:

This collection includes:

• Shaikh, A. (n.d.). [Handwritten folder label identifying contents as "Banking, credit"]. Unpublished manuscript note. New School for Social Research.
• Shaikh, A. (n.d.). [Handwritten working notes on banking and credit theory: three-scenario framework for banks and real economy, bonds, and combined case; system of equations for deposit rate i_D, loan rate i_L, profit rate r, and real wage wr; analysis of arbitrage conditions; derivation showing all three cases collapse to the same structure when savings deposits equal zero-coupon bonds; reference to Garegnani; notation regarding base rate as f(money market) …

Test For Infinite Variance In Stock Returns, Xian Ning Yan

Dissertations and Theses Collection (Open Access)

The existence of second order moment or the finite variance is a commonly used assumption in financial time series analysis. We examine the validation of this condition for main stock index return series by applying the extreme value theory. We compare the performances of the adaptive Hill's estimator and the Smith's estimator for the tail index using Monte Carlo simulations for both i.i.d data and dependent data. The simulation results show that the Hill's estimator with adaptive data-based truncation number performs better in both cases. It has not only smaller bias but also smaller MSE when the true tail index …

Estimating The Dynamics Of Mutual Fund Alphas And Betas, Harry Mamaysky, Matthew Spiegel, Hong Zhang

Research Collection Lee Kong Chian School Of Business

This article develops a Kalman filter model to track dynamic mutual fund factor loadings. It then uses the estimates to analyze whether managers with market-timing ability can be identified ex ante. The primary findings are as follows: (i) Ordinary least squares (OLS) timing models produce false positives (nonzero alphas) at too high a rate with either daily or monthly data. In contrast, the Kalman filter model produces them at approximately the correct rate with monthly data; (ii) In monthly data, though the OLS models fail to detect any timing among fund managers, the Kalman filter does; (iii) The alpha and …

Do Analysts Influence Corporate Financing And Investment?, John A. Doukas, Chansog (Francis) Kim, Christos Pantzalis

Finance Faculty Publications

We examine whether abnormal analyst coverage influences the external financing and investment decisions of the firm. Controlling for self-selection bias in analysts' excessive coverage, we find that firms with high (low) analyst coverage consistently engage in higher (lower) external financing than do their industry peers of similar size. Our evidence also demonstrates that firms with excessive analyst coverage overinvest and realize lower future returns than do firms with low analyst coverage. Our findings are consistent with the hypothesis that analysts favor the coverage of firms that have the potential to engage in profitable investment-banking business.

Hong Kong's Money: The History, Logic And Operation Of The Currency Peg, Hwee Kwan Chow

Research Collection School Of Economics

No abstract provided.

Central Bank Of Nigeria Annual Report And Statement Of Accounts For The Year Ended 31st December 2007, Central Bank Of Nigeria

CBN Annual Report

In 2007, the Central Bank of Nigeria (CBN) faced significant challenges in monetary management due to statutory allocations to government tiers, autonomous foreign exchange inflows, and pre-election spending. These challenges were addressed through Open Market Operations (OMO), issuance of treasury securities, standing facilities, and foreign exchange swaps. The introduction of the monetary policy rate (MPR) in December 2006 moderated inter-bank rates, encouraged trading, and improved the transmission of monetary policy actions. The Bank intensified its non-regular management activities to ensure the Policy Support Instrument (PSI) target was met. The financial system at end-2007 comprised the CBN, the Nigeria Deposit Insurance …

Life And Debt For Etsu Graduate Students., Laura Nelson

Electronic Theses and Dissertations

Through in-depth interviews with 21 participants, this thesis investigates how graduate students at East Tennessee State University feel about their finances. Although all adults, by necessity, have everyday money concerns, this study explores the unique experiences that post-baccalaureate students have with debt, how they talk about it, and what meanings they attach to student loans in their daily lives. This study is novel in that little research to date has examined how graduate students' perceptions of adulthood are connected to their financial situations and their stage in life. For example, saving money is important to this population mainly because it …

5 Women's Status And Children's Food Security In Pakistan, Basudeb Guha‐Khasnobis, Gautam Hazarika

School of Economics and Finance Faculty Publications

This chapter examines the role of women's intra-household status relative to men's in children's food security in Pakistan. Data from the 1991 Pakistan Integrated Household Survey (PIHS) yield a measure of evidence of a positive relation between women's intra-household status and children's food security.

A Structural Analysis Of Higher Education Government Relations Organizations And Their Relationship To State Funding, Randall Brumfield

Graduate Theses and Dissertations

Competing interests for state government funding have affected the status of public higher education as a budget priority. State legislators and executive officeholders are increasing appropriations to areas such as public K-12 education, health care, infrastructure, and social services programs at the expense of state colleges and universities. As such the higher education community must effectively utilize its government relations organizations to communicate with elected officials the importance of state funding. The purpose of the study was to identify the functional and personnel trends existing within government relations offices, and, to determine the extent a relationship may exist between organizational …

Direction-Of-Change Forecasts Based On Conditional Variance, Skewness And Kurtosis Dynamics: International Evidence, Peter F. Christoffersen, Francis X. Diebold, Roberto S. Mariano, Anthony S. Tay, Yiu Kuen Tse

Research Collection School Of Economics

Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce direction-of change forecasts useful for market timing. We attempt to do so in an international sample of developed equity markets, with some success, as assessed by formal probability forecast scoring rules such as the Brier score. An important ingredient is our conditioning not only on conditional mean and variance information, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts.

Some Perspectives On The Actuarial Adequacy Of The Pension Benefit Guarantee Corporation, Andrew Frank Thompson

UNIversitas: Journal of Research, Scholarship, and Creative Activity

This paper analyzes the actuarial adequacy of PBGC in providing insurance coverage to employees participating in single employer, defined benefit pension plans. The first part of this investigation examines the micro and macro economic factors that impact the financial stability and actuarial viability of PBGC. A second section discusses externalities that may contribute to suboptimal premiums and adverse selection for PBGC. A linear control model is introduced to analyze the most effective way PBGC might use its $100 million credit line with the Department of the Treasury. In addition, a model based on the economic theory of clubs develops relationships …

Sv Mixture Models With Application To S&P 500 Index Returns, Garland B. Durham

Finance

Understanding both the dynamics of volatility and the shape of the distribution of returns conditional on the volatility state is important for many financial applications. A simple single-factor stochastic volatility model appears to be sufficient to capture most of the dynamics. It is the shape of the conditional distribution that is the problem. This paper examines the idea of modeling this distribution as a discrete mixture of normals. The flexibility of this class of distributions provides a transparent look into the tails of the returns distribution. Model diagnostics suggest that the model, SV-mix, does a good job of capturing the …

Surge In Islamic Finance Service Industry, Ishrat Husain Dr.

Faculty Research - Newspaper and Magazine Articles

The last five years have witnessed a huge expansion in the Islamic Finance Service Industry (IFSI). The current assets are estimated at over $ 500 billion in Islamic banking segment alone. More than 250 Shariah-compliant mutual funds are currently managing about US 11 billion dollars in assets. Corporate and sovereign sukuk bonds amounting to about $ 18 billion have been issued so far. The annual market capitalization of the stocks meeting the Dow Jones Islamic Market Index Criteria in Islamic countries is estimated at US $ 300 billion. The total assets of all the banking and non-banking financial services being …

On The Use Of Size Premiums, Arithmetic Or Geometric Average Returns, And Liquidity Premiums In Determining Discount Rates, Hal B. Heaton

Faculty Publications

In recent court cases, a number of technical issues have arisen in determining appropriate discount rates for use in the discounted cash flow approach to valuation. This article examines three issues, reviews the literature about the issues, and summarizes the key considerations.

On The Segmentation Of Markets, Nicolas Laurent Jacquet, Serene Tan

Research Collection School Of Economics

This paper endogenizes the market structure of an economy with heterogeneous agents who want to form bilateral matches in the presence of search frictions and when utility is nontransferable. There exist infinitely many marketplaces, and each agent chooses which marketplace to be in: agents get to choose not only whom to match with but also whom they meet with. Perfect segmentation is obtained in equilibrium, where agents match with the first person they meet. All equilibria have the same matching pattern. Although perfect assortative matching is not obtained in equilibrium, the degree of assortativeness is greater than in standard models.

The Shift From Defined Benefit Pensions To 401(K) Plans And The Pension Assets Of The Baby Boom Cohort, James Poterba, Steven Venti, David A. Wise

Dartmouth Scholarship

The rise of 401(k) plans and the decline of defined benefit plans will have an important effect on the wealth of future retirees. Changing demographic structure also will affect the aggregate stock of retirement wealth. We project the stock of assets held in retirement plans and the average retirement saving of retirees through 2040. Our projections show large increases in wealth at retirement, especially if the returns on corporate equities are comparable with historical returns. Retirement wealth will grow, however, even if equity returns fall substantially below their historical level.

The Study On Sinochem Shipping Corporation’S Fleet Expansion, Yunhao Ji

World Maritime University Dissertations

No abstract provided.

The Study On Function And Application Of Financial Leasing For The Development Of Small-Medium Shipping Enterprises In China, Tian Wen

World Maritime University Dissertations

No abstract provided.

On The Segmentation Of Markets, Nicolas L. Jacquet, Serene Tan

Research Collection School Of Economics

This paper endogenizes the market structure of an economy with heterogeneous agents who want to form bilateral matches in the presence of search frictions and when utility is nontransferable. There exist infinitely many marketplaces, and each agent chooses which marketplace to be in: agents get to choose not only whom to match with but also whom they meet with. Perfect segmentation is obtained in equilibrium, where agents match with the first person they meet. All equilibria have the same matching pattern. Although perfect assortative matching is not obtained in equilibrium, the degree of assortativeness is greater than in standard models.

Stochastic Modeling Of Retail Mortgage Loans Based On Past Due, Prepaid, And Default States, Chang Liu

Doctoral Dissertations

Stochastic models were developed that provide important measures related to retail mortgages and credit cards for the management of a bank. Based on Markov theory, two models were developed that predict mortgage portfolio size and expected duration of stay in each of the states, which are defined according to the criteria of Basel Accord II and the Federal Reserve Bank. Also, to facilitate comparisons among different types of credit products and different time periods, a model was developed to generate a health index for a retail mortgage. This model could be easily extended, using multivariate regression or multivariate time series …

Strategic Alliances By Financial Services Firms, Hua Wang

Doctoral Dissertations

The importance of strategic alliances in the financial services industry is increasing; however, research focusing on strategic alliances is limited. In this dissertation, I intend to enhance the existing literature by examining the effect of strategic alliances on the value of financial services firms and the level of cooperation between partner firms involved in strategic alliances. The specific objectives of the dissertation are to examine the market reaction to strategic alliance announcements, to examine the preand post-announcement long-run abnormal stock performance and operating performance for the participants of strategic alliances, and to examine joint ventures and mergers and acquisitions after …

Naked And Covered In Monte Carlo: A Reappraisal Of Option Taxation, Eric D. Chason

Faculty Publications

The market for equity options and related derivatives is staggering, covering trillions of dollars worth of assets. As a result, the taxation of these instruments is inherently important. Moreover, the importance is made even more acute by the use of options in creating more complex transactions and in avoiding taxes. Consider an equity call option, which entitles, but does not obligate, its holder to buy stock at a set price at a set time in the future. Option theory gives us a way to break the option down into more fundamental units. For example, an equity call option over 10,000 …

Direction-Of-Change Forecasts For Asian Equity Markets Based On Conditional Variance, Skewness And Kurtosis Dynamics: International Evidence, Peter F. Christoffersen, Francis X. Diebold, Robert S. Mariano, Anthony S. Tay, Yiu Kuen Tse

Research Collection School Of Economics

Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce direction-of change forecasts useful for market timing. We attempt to do so in an international sample of developed equity markets, with some success, as assessed by formal probability forecast scoring rules such as the Brier score. An important ingredient is our conditioning not only on conditional mean and variance information, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts.

The Casual Link Between Stock Returns And Trading Volume: Some Evidence From An Emerging Market, Abdul Rashid

Business Review

This paper investigates the dynamic association between daily stock index returns and percentage trading volume changes. To proceed with this, linear and nonlinear Granger causality tests are applied to the Karachi Stock Exchange (KSE) data. The analysis covers the span of about 5 years with 1266 daily observations. The same methodology is employed for two non-overlapping sub-periods to examine the robustness of the results. Unidirectional linear Granger causality from stock returns to trading volume is observed for the entire sample period and for both the sub-periods as well. The null hypothesis of linear Granger noncausality from percentage volume changes to …

Financial Liberalization And Monetary Policy Cooperation In East Asia, Hwee Kwan Chow, Peter N. Kriz, Roberto S. Mariano, Augustine H. H. Tan

Research Collection School Of Economics

As the countries in East Asia embark on financial liberalization, a key issue that confronts policymakers is the greater complexity of risks that is injected into the financial system. In particular, capital account liberalization may potentially increase the vulnerability of individual countries to external financial shocks. This paper advocates the optimally cascading of financial liberalization that is consistent across three dimensions: extent of domestic financial liberalization; the degree of exchange rate flexibility; and the scope of capital account liberalization. Unless the process of liberalization is properly managed, it could provoke destabilizing capital flows and lead to volatile exchange rates. Smooth …

Crédito Y Confianza: Los Impactos Socioeconómicos De Fondo Esperanza En Temuco Y Padre Las Casas, Rebecca Berwick

Independent Study Project (ISP) Collection

Microcredit is not a 21st century phenomenon, but it has gained remarkable momentum recently, with the awarding of the 2006 Nobel Peace Prize to the founder of the Grameen Bank of Bangladesh. Fondo Esperanza saw a need for such facilitated access to small loans around Chile. Though Chile is often viewed as a model for Latin American macroeconomic success, it maintains one of the worst distributions of wealth in the world. Much of Chile’s disadvantaged people attempt to make a living through the operation of micro-businesses. In my research, I explored Fondo Esperanza’s operations in Temuco: its organizational structure and …

Pay And Performance: Among 100 Best U.S. Companies To Work For, Omair Mahmood Faisal

Undergraduate Theses and Capstone Projects

In the 21st century, world is becoming a global village and with increased competition businesses are always looking for regions with the lowest possible production costs. Appropriate compensation of U.S. employees working for major U.S. corporations is a hotly debated topic in political circles. This research focuses on the top 100 companies designated as “the best companies to work for” by Fortune Magazine for the year 2006. Performance of these companies, as measured by their return on equity, return on assets, revenue growth and earnings growth along with their profit margin is used to determine the impact on them as …