[FIN] Marchés financiers: working papers (RePEc, 15/09/2010)

Source : NEP (New Economics Papers) | RePEc

  • Foreign banks and financial stability in emerging markets: Evidence from the global financial crisis
Date: 2010
By: Vogel, Ursula
Winkler, Adalbert
URL: http://d.repec.org/n?u=RePEc:zbw:fsfmwp:149&r=fmk
Foreign banks have increased their market share in many emerging markets since the mid-1990s. We examine whether this contributed to financial stability in the respective host countries in the global financial crisis. Our results suggest that the stabilizing impact of foreign banks was limited to the cross-border component of financial globalization and to two regions: Eastern Europe and Sub-Saharan Africa. Only in the latter region was this translated into more stable credit growth. Thus hopes that a stronger presence of foreign banks might help host countries in isolating domestic credit from international shocks did not materialize in the current crisis. —
Keywords: Foreign banks,cross-border lending,bank credit,financial crisis
JEL: E44
  • MBS Ratings and the Mortgage Credit Boom
Date: 2010
By: Ashcraft, A.
Goldsmith-Pinkham, P.
Vickery, J. (Tilburg University, Center for Economic Research)
URL: http://d.repec.org/n?u=RePEc:dgr:kubcen:201089s&r=fmk
We study credit ratings on subprime and Alt-A mortgage-backed securities (MBS) deals issued between 2001 and 2007, the period leading up to the subprime crisis. The fraction of highly-rated securities in each deal is decreasing in mortgage credit risk (measured either ex-ante or ex-post), suggesting ratings contain useful information for investors. However, we also find evidence of significant time-variation in risk-adjusted credit ratings, including a progressive decline in standards around the MBS market peak between the start of 2005 and mid-2007. Conditional on initial ratings, we observe underperformance (high mortgage defaults and losses, and large rating downgrades) amongst deals with observably higher-risk mortgages based on a simple ex-ante model, and deals with a high fraction of opaque low-documentation loans. These findings hold over the entire sample period, not just for deal cohorts most affected by the cris is.
Keywords: Credit Rating Agencies;Subprime Crisis;Mortgage-Backed Securities
JEL: G21
  • Yield Curve Dynamics: Regional Common Factor Model
Date: 2010-08
By: Boril Šopov (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic)
Jakub Seidler (Czech National Bank)
URL: http://d.repec.org/n?u=RePEc:fau:wpaper:wp2010_17&r=fmk
In this paper, we focus on thorough yield curve modelling. We build on extended classical Nelson-Siegel model, which we further develop to accommodate unobserved regional common factors. We centre our discussion on Central European currencies’ yield curves: CZK, HUF, PLN and SKK. We propose a model to capture regional dynamics purely based on state space formulation. The contribution of this paper is twofold: we examine regional yield curve dynamics and we quantify regional interdependencies amongst considered currencies’ yield curves. We conclude that the CZK yield curve possesses its own dynamics corresponding to country specific features, whereas other currencies’ yield curves are strongly influenced by the regional level, the regional slope factor or both.
Keywords: Dynamic Factor Model, Kalman Filter, Nelson-Siegel, State Space, Regional Yield Curve, Principal Component Analysis
JEL: C51
  • A Duration Hidden Markov Model for the Identification of Regimes in Stock Market Returns
Date: 2010-08-25
By: Christos Ntantamis (School of Economics and Management, University of Aarhus and CREATES)
URL: http://d.repec.org/n?u=RePEc:aah:create:2010-51&r=fmk
This paper introduces a Duration Hidden Markov Model to model bull and bear market regime switches in the stock market; the duration of each state of the Markov Chain is a random variable that depends on a set of exogenous variables. The model not only allows the endogenous determination of the different regimes and but also estimates the effect of the explanatory variables on the regimes’ durations. The model is estimated here on NYSE returns using the short-term interest rate and the interest rate spread as exogenous variables. The bull market regime is assigned to the identified state with the higher mean and lower variance; bull market duration is found to be negatively dependent on short-term interest rates and positively on the interest rate spread, while bear market duration depends positively the short-term interest rate and negatively on the interest rate spread.
Keywords: Hidden Markov Model, Variable-dependent regime duration, Regime Switching, Interest rate effect
JEL: C13
  • The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model
Date: 2010-09-01
By: Bent Jesper Christensen (Aarhus University, School of Economics and Management, Bartholins Allé 10, Aarhus, Denmark & CREATES)
Petra Posedel (University of Zagreb)
URL: http://d.repec.org/n?u=RePEc:aah:create:2010-50&r=fmk
We study the risk premium and leverage effect in the S&P500 market using the stochastic volatility-in-mean model of Barndor¤-Nielsen & Shephard (2001). The Merton (1973, 1980) equilibrium asset pricing condition linking the conditional mean and conditional variance of discrete time returns is reinterpreted in terms of the continuous time model. Tests are per- formed on the risk-return relation, the leverage effect, and the overidentifying zero intercept restriction in the Merton condition. Results are compared across alternative volatility proxies, in particular, realized volatility from high-frequency (5-minute) returns, implied Black-Scholes volatility backed out from observed option prices, model-free implied volatility (VIX), and staggered bipower variation. Our results are consistent with a positive risk-return relation and a significant leverage effect, whereas an additional overidentifying zero intercept c ondition is rejected. We also show that these inferences are sensitive to the exact timing of the chosen volatility proxy. Robustness of the conclusions is verified in bootstrap experiments.
Keywords: Financial leverage effect, implied volatility, realized volatility, risk-return relation, stochastic volatility, VIX
JEL: G13
  • Antipersistence in German stock returns
Date: 2010-08
By: Karl-Kuno Kunze
Hans Gerhard Strohe
URL: http://d.repec.org/n?u=RePEc:pot:statdp:39&r=fmk
Persistence of stock returns is an extensively studied and discussed theme in the analysis of financial markets. Antipersistence is usually attributed to volatilities. However, not only volatilities but also stock returns can exhibit antipersistence. Antipersistent noise has a somewhat rougher appearance than Gaussian noise. Heuristically spoken, price movements are more likely followed by movements in the opposite direction than in the same direction. The pertaining integrated process exhibits a smaller range – prices seem to stay in the vicinity of the initial value. We apply a widely used test based upon the modified R/S-Method by Lo [1991] to daily returns of 21 German stocks from 1960 to 2008. Combining this test with the concept of moving windows by Carbone et al. [2004], we are able to determine periods of antipersistence for some of the series under examination. Our results suggest that antipersistence can be fo und for stocks and periods where extraordinary corporate actions such as mergers & acquisitions or financial distress are present. These effects should be properly accounted for when choosing and designing models for inference.
Keywords: Antipersistence, Capital and Ownership Structure, Efficient Market Hypothesis, Long Memory, Mergers and Acquisitions, Stock Returns
JEL: C22
  • Transaction costs, liquidity and expected returns at the Berlin Stock Exchange, 1892-1913
Date: 2010-05
By: Carsten Burhop (Max Planck Institute for Research on Collective Goods, Bonn and University of Cologne)
Sergey Gelman (International College of Economics and Finance, State University – Higher School of Economics, Moscow, Russia)
URL: http://d.repec.org/n?u=RePEc:mpg:wpaper:2010_20&r=fmk
We estimate effective spreads and round-trip transaction costs at the Berlin Stock Exchange for the period 1892-1913 using daily stock market returns for a sample of 27 stocks. Our results show that transaction costs at the main stock exchange in a bank-based financial system at the turn of the 20th century were quite low and about comparable to transaction costs in modern markets. Nonetheless, transaction costs varied substantially over time and across securities, whereby the cross-sectional variation could be substantially explained by firm size and time variation by crises. Furthermore, we find surprising evidence that transaction costs decrease the expected excess returns. Thereby size and momentum premia are of expected signs while market beta has no significant influence on the cross-sectional return variation.
Keywords: Economic history, Germany, Transaction Costs, Effective spreads
JEL: N23
  • Financial Reforms and Persistently High Bank Interest Spreads in Bangladesh: Pitfalls in Institutional Development?
Date: 2010-02
By: Hossain, Monzur
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:24755&r=fmk
This paper analyzes interest rate spreads and margins in banking in Bangladesh for the period 1990-2008. The application of the Arellano-Bover/Blundell-Bond dynamic panel regression model to a panel of 43 banks for the period 1990-2008 reveals persistency in interest spreads and margins. The model also identifies that high administrative costs, high non-performing loan ratio and some macroeconomic factors are the key determinants of persistently high interest rate spreads and margins. Persistently high spreads and margins in old private banks (established before 1999) are attributed to a certain degree of market power in the post-liberalization period (after 1999). These factors together imply a lack of competition and efficiency in the banking sector of Bangladesh despite financial reforms.
Keywords: Interest rate spread and margin; Bank efficiency; Competitiveness; Bangladesh
JEL: G30

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