Multidimensional Copula Models of Dependencies Between Selected International Financial Market Indexes

The purpose of the article is to assess the level of domestic financial market dollarization, find out the causes of this economic phenomenon, trace its evolution and identify current features, substantiate proposals to minimize the negative consequences for the financial market and the economy in general. The methods of theoretical analysis, synthesis and generalization, analysis of statistical data and its graphical interpretation are used in the research. The results of the research showed that the main reasons for dollarization in Ukraine were high inflation and sharp fluctuations in the exchange rate of the national currency. In general, the dollarization of national financial markets occurs through the following channels: 1) borrowing on the international financial market; 2) the entrance of foreign banks to a domestic market; 3) investing abroad, when a national financial market is not sufficiently developed to create high-quality and highly liquid assets, dollarization provides rapid access to foreign financial assets and optimization of the profitability and risk structure of an investment portfolio; 4) the difference (spread) between interest rates in national and foreign currency. Based on the study of the domestic financial market, the following conclusions are made: 1) the level of Ukraine`s financial market dollarization in the aggregate and in terms of its separate segments is high; 2) this level poses a threat to the stable operation of financial intermediaries and the banking system in case of the national currency devaluation; 3) currency imbalance of assets and liabilities in the banking system has strongly decreased since 2008, but is still significant; 4) foreign currency is widely used by economic agents in the shadow sector of the economy. We consider the current dollarization level dangerous for the development of the country's financial system, and its reduction to a scientifically sound natural level should become one of the main tasks of the National Bank of Ukraine. Achieving the natural dollarization level and effective use of the domestic financial market potential will allow to intensify Ukraine's national economy development and promote integration into the international financial market and the global financial space.

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THE ROLE OF THE BANKING SECTOR OF THE RUSSIAN FINANCIAL MARKET IN TRANS-BORDER MOVEMENTS OF CAPITAL ON THE INTERNATIONAL FINANCIAL MARKET

Banking law ◽

10.18572/1812-3945-2019-1-40-48 ◽

2019 ◽

Vol 1 ◽

pp. 40-48 ◽

Cited By ~ 1

Author(s):

Elena A. Zvonova ◽

Keyword(s):

Financial Market ◽

Banking Sector ◽

International Financial Market ◽

In Trans

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Volatility in International Financial Market Issuance: The Role of the Financial Center

Open Economies Review ◽

10.1007/s11079-007-9034-8 ◽

2007 ◽

Vol 18 (2) ◽

pp. 157-176

Author(s):

Marco Cipriani ◽

Graciela L. Kaminsky

Keyword(s):

Financial Market ◽

International Financial Market ◽

Financial Center

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Assessing some stylized facts about financial market indexes: a Markov copula approach

Journal of Economic Studies ◽

10.1108/jes-06-2012-0080 ◽

2014 ◽

Vol 41 (2) ◽

pp. 253-271 ◽

Cited By ~ 5

Author(s):

Osvaldo Candido Silva Filho ◽

Flavio Augusto Ziegelmann

Keyword(s):

Financial Market ◽

Trading Volume ◽

Negative Relationship ◽

Type Equation ◽

Constant Term ◽

Distribution Functions ◽

Content Type ◽

Time Dynamic ◽

Time Dynamics ◽

Market Indexes

Purpose – The aim of this paper is to measure and evaluate the relationship between returns-volatility and trading volume and returns and volatility of financial market indexes using time-varying copulas. Design/methodology/approach – The time dynamic dependence parameter is allowed to evolve according to a restricted ARMA-type equation which includes a constant term that is driven by a hidden two-state first-order Markov chain. Findings – In using this time dynamics in conjunction with non-elliptical distribution functions and tail dependence measure, the authors are allowing for (and focusing on) non-linearities in the returns-volume-volatility relationship. The results support the assumption that current trading volume provides information about future volatility as well as that there is a negative relationship between returns and their volatilities in financial market indexes. Originality/value – The authors provide an interesting empirical interpretation for the regimes the authors have identified: in the high dependence regime the sequential information arrival hypothesis and/or noise trading hypothesis are valid, consequently future volatility prediction is possible and persistent but does not last indefinitely; in the low dependence regime, the future volatility prediction is more unlikely to occur, since both trading volume and return negatives have a low (near zero) relation with future volatility.

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