scholarly journals Excessive credit growth or the catching up process: The case of central, eastern, and southeastern European countries

2015 ◽  
Vol 60 (206) ◽  
pp. 7-44
Author(s):  
Dusan Stojanovic ◽  
Danilo Stojanovic
Keyword(s):  
Financial Crisis ◽  
Private Sector ◽  
Empirical Analysis ◽  
Credit Growth ◽  
Crisis Period ◽  
Empirical Results ◽  
Catching Up ◽  
Out Of Sample ◽  
Hp Filter ◽  
Strong Expansion

Most CESEE countries had an impressive credit growth prior to the outbreak of the financial crisis in 2008. Nevertheless, that experience has taught us that the strong expansion of private sector credit must not be ignored. In an attempt to investigate whether the rapid credit growth was a result of the catching-up process or was a risky process with well-known consequences, we performed empirical analysis by applying statistical (HP filter) and econometric (pooled OLS, fixed effect OLS, and PMG) approaches. The empirical results of both out-of-sample and in-sample approaches suggest that in the pre-crisis period excessive credit growth in terms of higher actual than estimated credit growth was recorded for the majority of the countries observed. Compared to the out of-sample approach, in-sample estimates, which turned out to be more reliable, indicate that the pre-crisis growth was less pronounced and that over the post-crisis period actual credit growth fluctuated around the estimated growth, pointing to the fact that the former was in line with movements in its fitted values.

An Analysis on the Stochastic Process underlying KOSPI200 Index Oprions Focused on Jumps Process

2015 ◽  
Vol 23 (2) ◽  
pp. 183-205
Author(s):  
Young Ho Eom ◽  
Woon Wook Jang
Keyword(s):  
Stochastic Process ◽  
Financial Crisis ◽  
Option Pricing ◽  
Stochastic Processes ◽  
Stochastic Volatility ◽  
Good Option ◽  
Index Options ◽  
Crisis Period ◽  
Empirical Results

This paper investigates empirically the modelling issues for the stochastic processes underlying KOSPI200 index options. Empirical results show that we need to incorporate two factor stochastic volatility processes to have a good option pricing performance. However, the number of the leverage channel is not an important issue for the modelling of the KOSPI200 index options. Our results also show that the models with finite activity large jumps outperform that with infinite activity small jumps for the financial crisis period. On the while, for the pre-crisis period, there is no clear superiority or inferiority between both jumps models.

When Should Investors Short the Stocks of Acquiring Firms? Big-Data Insights from Joining CAR and EVA Style Analysis

2019 ◽  
Keyword(s):  
Big Data ◽  
Financial Crisis ◽  
Empirical Analysis ◽  
Global Financial Crisis ◽  
Short Selling ◽  
Style Analysis ◽  
Crisis Period ◽  
Acquiring Firms ◽  
The Global Financial Crisis

The authors examine the announcement timing as to when investors should execute a short-selling strategy on the stocks of acquiring firms. The authors assess the gains (or losses) from executing a short-selling strategy immediately at the acquisition announcement or in a “wait to execute” short strategy during the post-acquisition announcement. The authors conduct a big-data empirical analysis with 14,636 acquisitions on the stocks of acquiring firms over the 17-year period, 1990–2016, to assess shorting gains or losses experienced by two major types of deals. Specifically, the authors look at acquirers doing deals with public targets and acquirer deals with private targets. The authors assess the acquirer gains or losses over several sub-periods, including years prior to the global financial crisis (1990–2007), during the financial crisis (2008–2009), and in the post financial crisis period (2010–2016). The authors find that the gains to shorting (or longing) the stocks of acquirers are dependent on the particular deal type (acquirer, public target; acquirer, private target) and whether or not the acquirer is a pre-classified wealth creator or wealth destroyer according to EVA style analysis.

scholarly journals Did Foreign Investors Destabilize the Korean Equity Market during the Asian Crisis?

2006 ◽  
Vol 7 (1) ◽  
pp. 75-86 ◽  
Author(s):  
Gab-Je Jo
Keyword(s):  
Financial Crisis ◽  
Equity Market ◽  
Asian Crisis ◽  
Domestic Investment ◽  
Investment Activity ◽  
Foreign Investors ◽  
Equity Investment ◽  
Crisis Period ◽  
Empirical Results ◽  
Korean Market

This paper investigates the behavior of foreign equity investment in the Korean market over the period of 1995 through 2001. The main questions examined in this paper are: Is foreign equity investment is relatively more reversible than domestic investment in the wake of financial crisis? And do foreign equity investors tend to increase the volatility of the market more than domestic investors? The empirical results indicate that equity investment activity by foreigners was more reversible than domestic investment for the duration of financial crisis period. Furthermore, I have found evidence that foreign equity investors tend to cause higher volatility in the market than domestic investors.

scholarly journals Application of Taylor Rule Fundamentals in Forecasting Exchange Rates

Economies ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 93
Author(s):  
Joseph Agyapong
Keyword(s):  
Financial Crisis ◽  
Exchange Rates ◽  
Taylor Rule ◽  
Window Size ◽  
Symmetric Model ◽  
Monthly Data ◽  
Crisis Period ◽  
Small Window ◽  
Out Of Sample ◽  
The U.S

This paper examines the effectiveness of the Taylor rule in contemporary times by investigating the exchange rate forecastability of selected four Organisation for Economic Co-operation and Development (OECD) member countries vis-à-vis the U.S. It employs various Taylor rule models with a non-drift random walk using monthly data from 1995 to 2019. The efficacy of the model is demonstrated by analyzing the pre- and post-financial crisis periods for forecasting exchange rates. The out-of-sample forecast results reveal that the best performing model is the symmetric model with no interest rate smoothing, heterogeneous coefficients and a constant. In particular, the results show that for the pre-financial crisis period, the Taylor rule was effective. However, the post-financial crisis period shows that the Taylor rule is ineffective in forecasting exchange rates. In addition, the sensitivity analysis suggests that a small window size outperforms a larger window size.

The Determinants of Merger Withdrawals’ Abnormal Returns in The Australian Market

2015 ◽  
pp. 89-110 ◽  
Author(s):  
Thuy Nguyen Thu ◽  
Giang Dao Thi Thu ◽  
Hoang Truong Huy
Keyword(s):  
Financial Crisis ◽  
Event Study ◽  
Abnormal Returns ◽  
Market Response ◽  
Crisis Period ◽  
Valuation Effects ◽  
Event Study Method ◽  
Private And Public ◽  
Method Of Payment ◽  
The Impact

This paper examines the abnormal returns in merger withdrawals in Australia, especially distinguishing the market response between private and public targets. We also study the determinants of those abnormal returns, including the method of payment and the impact of financial crisis periods. Using the event study method, we document that in the Australian context, the announced withdrawal of mergers involving private targets creates significantly negative valuation effects in comparison with the valuation effects in withdrawal of mergers involving public targets. We also find that a financial crisis period strongly affects abnormal returns of merger withdrawals. However, the method of payment does not have any impact on the abnormal returns.

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