[FIN] Marchés financiers (2): working papers (RePEc, 02/08/2010)

Source : NEP (New Economics Papers) | RePEc

  • Financial Regulation Going Forward
Date: 2010-07
By: Franklin Allen (Professor, University of Pennsylvania(E-mail: allenf@wharton.upenn.edu))
Elena Carletti (Professor, European University Institute(E-mail: Elena.Carletti@EUI.eu))
URL: http://d.repec.org/n?u=RePEc:ime:imedps:10-e-18&r=fmk
The financial sector is heavily regulated in order to prevent financial crises. The recent crisis showed how ineffective this regulation and other types of government intervention were in achieving this aim. We argue that the crisis was primarily caused by housing price bubbles. These occurred because of too loose monetary policies and the easy availability of credit resulting from the build up of large foreign exchange reserves by Asian central banks. A number of regulatory reforms are suggested. It is also argued that central banks need to have more checks and balances. Finally, the international financial architecture needs to be changed so that Asian countries do not feel the need to accumulate large foreign exchange reserves.
Keywords: Bubbles, Monetary Policy, Global Imbalances
JEL: G12
  • The structure of international stock market returns
Date: 2010-07
By: Joao A. Bastos (CEMAPRE, School of Economics and Management (ISEG), Technical University of Lisbon)
Jorge Caiado (CEMAPRE, School of Economics and Management (ISEG), Technical University of Lisbon)
URL: http://d.repec.org/n?u=RePEc:cma:wpaper:1002&r=fmk
The behavior of international stock market returns in terms of rate of return, unconditional volatility, skewness, excess kurtosis, serial dependence and long-memory is examined. A factor analysis approach is employed to identify the underlying dimensions of stock market returns. In our approach, the factors are estimated not from the observed historical returns but from their empirical properties, without imposing any restriction about the time dependence of the observations. To identify clusters of markets and multivariate outliers, factor analysis is then used to generate factor scores. The findings suggest the existence of meaningful factors which determine the differences in terms of the dependence structure between developed and emerging market returns.
Keywords: Developed and emerging stock markets, Empirical properties of returns, Factor analysis, Serial depedence, Long-memory
JEL: C13
  • Currency Hedging for International Portfolios
Date: 2010-06-28
By: Jochen M. Schmittmann
URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:10/151&r=fmk
This paper examines the benefits from hedging the currency exposure of international investments in single- and multi-country equity and bond portfolios from the perspectives of German, Japanese, British and American investors. Over the period 1975 to 2009, hedging of currency risk substantially reduced the volatility of foreign investments at a quarterly investment horizon. Contrary to previous studies, the paper finds that at longer investment horizons of up to five years the case for hedging for risk reduction purposes remained strong.In addition to its impact on risk, hedging affected returns in economically meaningful magnitudes in some cases.
Keywords: Exchange risk , Foreign exchange transactions , Foreign investment , International capital markets , Risk management , Multiple currency practices ,
  • Nonparametric Analysis of Hedge Funds Lifetimes
Date: 2010-03
By: Darolles, Serge
Florens, Jean-Pierre
Simon, Guillaume
URL: http://d.repec.org/n?u=RePEc:ide:wpaper:22804&r=fmk
Most of hedge funds databases are now keeping history of dead funds in order to control biases in empirical analysis. It is then possible to use these data for the analysis of hedge funds lifetimes and survivorship. This paper proposes two nonparametric specifications of duration models. First, the single risk model is an alternative to parametric duration models used in the literature. Second, the competing risks model consider the two reasons why hedge funds stop reporting. We apply the two models to hedge funds data and compare our results to the literature. In particular, we show that a cohort eect must be considered. Moreover, the reason of the exit is a crucial information for the analysis of funds’ survival as for a large part of disappearing funds, exit cannot be explained by low performance or low level of assets.

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