Three essays on, Hedging in China's oil futures market ; Gold, oil and stock market price volatility links in the USA ; and, Currency fluctuations in S.E. and Pacific Asia PDF Download
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Author: Wei Chen
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Wei Chen
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Author: Wei Chen
Publisher:
ISBN:
Category :
Languages : en
Pages : 409
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Author:
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ISBN:
Category :
Languages : en
Pages :
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This thesis empirically evaluates three key financial and macroeconomic issues: Essay 1 examines the effectiveness of China fuel oil futures in hedging a domestic spot fuel oil position as well as hedging a spot position in the Singapore fuel oil market. To the best of our knowledge, this is the first study of this kind. Dynamic Bi-variate GARCH and constant volatility models are estimated to derive the optimal hedging ratios and hedging effectiveness of China fuel oil futures. That effectiveness is assessed by several criteria, for both in- and out-of-sample periods. Essay 2 aims to investigate the relationship between the oil, gold and US stock markets. By employing a Tri-variate GARCH(1,1) model, this is the first study to explore how volatility is transmitted among those three markets. Additionally, this is the first study to compare Tri-variate GARCH and Bi-variate GARCH modelling strategies as vehicles for determining the volatility interrelations between these markets. Essay 3 explores the power of conventional macroeconomic factors to explain the currency fluctuations over recent years, including the 1997 crises, in six Asian countries. Two regimes Markov Switching TGARCH and constant volatility models are used to determine the causes of market pressures on exchange rates, and the probability of the timing of a currency attack. The Markov Switching models do not require an ex-ante definition of a threshold value to distinguish stable and volatile state like Logit models do, and they can capture the appreciating currency attacks as well as the depreciating ones. The Markov Switching models are also compared with Multinomial Logit models in their ability to detect crises.
Author: Wei Chen
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This thesis empirically evaluates three key financial and macroeconomic issues: Essay 1 examines the effectiveness of China fuel oil futures in hedging a domestic spot fuel oil position as well as hedging a spot position in the Singapore fuel oil market. To the best of our knowledge, this is the first study of this kind. Dynamic Bi-variate GARCH and constant volatility models are estimated to derive the optimal hedging ratios and hedging effectiveness of China fuel oil futures. That effectiveness is assessed by several criteria, for both in- and out-of-sample periods. Essay 2 aims to investigate the relationship between the oil, gold and US stock markets. By employing a Tri-variate GARCH(1,1) model, this is the first study to explore how volatility is transmitted among those three markets. Additionally, this is the first study to compare Tri-variate GARCH and Bi-variate GARCH modelling strategies as vehicles for determining the volatility interrelations between these markets. Essay 3 explores the power of conventional macroeconomic factors to explain the currency fluctuations over recent years, including the 1997 crises, in six Asian countries. Two regimes Markov Switching TGARCH and constant volatility models are used to determine the causes of market pressures on exchange rates, and the probability of the timing of a currency attack. The Markov Switching models do not require an ex-ante definition of a threshold value to distinguish stable and volatile state like Logit models do, and they can capture the appreciating currency attacks as well as the depreciating ones. The Markov Switching models are also compared with Multinomial Logit models in their ability to detect crises.
Author: Lei Xu
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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This study examined the risk connectedness and its asymmetric between oil, gold, and foreign exchange under the realized volatility, spillover index framework, and high-frequency data during the COVID-19 pandemic. It was found that: (1) At the beginning of the COVID-19 outbreak, the total volatility spillover in the system declined, which may indicate that COVID-19 cuts the trading activities in the financial market by inhibiting personnel mobility, to reduce the total risk connectedness; then, the spillover experienced a short-term sharp rise due to panic. (2) The exchange rate volatility spillover had a significant impact on gold and international crude oil, but a restricted effect on domestic crude oil after the outbreak of COVID-19, and these variations of risk transmission caused by COVID-19 emerged later than the outbreak, reflecting a certain lag. (3) The impact of COVID-19 pandemic on the asymmetric risk connectedness between oil, gold and the exchange rate was limited, and the risk transfer resulting from bad news was dominant during the sample period; however, gold was less affected by bad news than the oil and exchange rates. These findings suggested that the establishment of Chinese crude oil futures could restrain volatility spillovers from the exchange rate; the foreign exchange reserve structure should be optimized; the gold proportion should be appropriately increased, and reducing the dependence of oil and gold on the USD could weaken the negative impacts caused by USD exchange rate uncertainty and undesired event like COVID-19.
Author: Chang-Jin Kim
Publisher: Mit Press
ISBN: 9780262112383
Category : Business & Economics
Languages : en
Pages : 297
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Book Description
Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents recent advances in econometric methods that make feasible the estimation of models that have both features. One approach, in the classical framework, approximates the likelihood function; the other, in the Bayesian framework, uses Gibbs-sampling to simulate posterior distributions from data.The authors present numerous applications of these approaches in detail: decomposition of time series into trend and cycle, a new index of coincident economic indicators, approaches to modeling monetary policy uncertainty, Friedman's "plucking" model of recessions, the detection of turning points in the business cycle and the question of whether booms and recessions are duration-dependent, state-space models with heteroskedastic disturbances, fads and crashes in financial markets, long-run real exchange rates, and mean reversion in asset returns.
Author: Gary O'Callaghan
Publisher:
ISBN: 9781557752819
Category : Business & Economics
Languages : en
Pages : 39
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Dated September 1993
Author: Financial Crisis Inquiry Commission
Publisher: Cosimo, Inc.
ISBN: 1616405414
Category : Political Science
Languages : en
Pages : 692
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Book Description
The Financial Crisis Inquiry Report, published by the U.S. Government and the Financial Crisis Inquiry Commission in early 2011, is the official government report on the United States financial collapse and the review of major financial institutions that bankrupted and failed, or would have without help from the government. The commission and the report were implemented after Congress passed an act in 2009 to review and prevent fraudulent activity. The report details, among other things, the periods before, during, and after the crisis, what led up to it, and analyses of subprime mortgage lending, credit expansion and banking policies, the collapse of companies like Fannie Mae and Freddie Mac, and the federal bailouts of Lehman and AIG. It also discusses the aftermath of the fallout and our current state. This report should be of interest to anyone concerned about the financial situation in the U.S. and around the world.THE FINANCIAL CRISIS INQUIRY COMMISSION is an independent, bi-partisan, government-appointed panel of 10 people that was created to "examine the causes, domestic and global, of the current financial and economic crisis in the United States." It was established as part of the Fraud Enforcement and Recovery Act of 2009. The commission consisted of private citizens with expertise in economics and finance, banking, housing, market regulation, and consumer protection. They examined and reported on "the collapse of major financial institutions that failed or would have failed if not for exceptional assistance from the government."News Dissector DANNY SCHECHTER is a journalist, blogger and filmmaker. He has been reporting on economic crises since the 1980's when he was with ABC News. His film In Debt We Trust warned of the economic meltdown in 2006. He has since written three books on the subject including Plunder: Investigating Our Economic Calamity (Cosimo Books, 2008), and The Crime Of Our Time: Why Wall Street Is Not Too Big to Jail (Disinfo Books, 2011), a companion to his latest film Plunder The Crime Of Our Time. He can be reached online at www.newsdissector.com.
Author: Marc Levinson
Publisher: The Economist
ISBN: 1541742516
Category : Business & Economics
Languages : en
Pages : 250
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Book Description
The revised and updated 7th edition of this highly regarded book brings the reader right up to speed with the latest financial market developments, and provides a clear and incisive guide to a complex world that even those who work in it often find hard to understand. In chapters on the markets that deal with money, foreign exchange, equities, bonds, commodities, financial futures, options and other derivatives, the book examines why these markets exist, how they work, and who trades in them, and gives a run-down of the factors that affect prices and rates. Business history is littered with disasters that occurred because people involved their firms with financial instruments they didn't properly understand. If they had had this book they might have avoided their mistakes. For anyone wishing to understand financial markets, there is no better guide.
Author: Bassam Fattouh
Publisher:
ISBN: 9781907555206
Category : Petroleum products
Languages : en
Pages : 83
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