Climate Finance

In this article, we review the literature studying interactions between climate change and financial markets. We first discuss various approaches to incorporating climate risk in macrofinance models. We then review the empirical literature that explores the pricing of climate risks across a large number of asset classes, including real estate, equities, and fixed income securities. In this context, we also discuss how investors can use these assets to construct portfolios that hedge against climate risk. We conclude by proposing several promising directions for future research in climate finance. Expected final online publication date for the Annual Review of Financial Economics, Volume 13 is November 2021. Please see http://www.annualreviews.org/page/journal/pubdates for revised estimates.

Comprehensive Monetary Easing In The Eurozone: Lessons Learnt From Japan

The European Central Bank’s (ECB) unconventional monetary policy has so far failed to deliver the much-anticipated results. In October 2019, the euro area’s (EA-19) HICP-inflation fell to a three-year low of just 0.7% year-over-year (y/y), thus being far below the ECB’s goal of “below, but close to 2.00% over the medium term”. By November 2019, HICP-inflation had recovered to a modest 1.0% (y/y) with seasonally-adjusted Eurozone GDP growing at a disappointing 1.2% (y/y) in Q3 2019 compared with the same quarter of the previous year (Eurostat, 2019). Inevitably, these developments raise the question to what extent the ECB might eventually consider extending its Quantitative Easing (QE) program, i.e. its €2.6tn asset purchase programs (APP) beyond the ongoing €20bn-per-month purchase of fixed income securities. Any further easing could, for example, foresee an enhancement of the securities purchased to inter alia include shares of stock. In contrast to widely held beliefs, this by no means were an entirely unprecedented phenomenon, but corresponded to measures (so-called comprehensive monetary easing, CME) adopted by the Bank of Japan (BoJ) as early as 2010 (Bank of Japan, 2010a). Notwithstanding the BoJ’s CME, however, HICP-inflation in Japan fell to 0.0% (y/y) in December 2019, the latest date for which data were available, which caused annual HICP-inflation for the full year to drop to only 0.8% (y/y). Based on the experiences gained in Japan, and notwithstanding a potential revision of the ECB’s inflation target to a 1.5% to 2.5% range, this contribution will analyse the extent to which an expansion of the ECB’s set of hitherto employed unconventional monetary policies through CME could sustainably stimulate economic growth - and inflation - in the euro area. Preliminary results suggest a rather muted impact.

Integração de questões socioambientais na avaliação de títulos de renda fixa corporativos

This study presents a diagnosis of the current practices and a proposal of a roadmap for integrating social environmental variables in corporate fixed income securities valuation. The roadmap does not make a distinction between the different forms that the securities can take on and was developed by identifying the best integration practices adopted by market players. The sample was formed by 67 agents from the corporate fixed income securities market obtained by criteria of engagement in sustainable finance and relevance in the fixed income securities market. The diagnosis indicated a weak consideration of social environmental variables in the valuation of fixed income securities with little difference among the practices of the domestic and foreign financial institutions with credit rating being the main approach used. The roadmap proposed presents basic considerations of risks and opportunities following the path of analysis the sector and corporate social environmental factors accompanied by adjusting contractual rate spreads. The specific contributions expected from the study are to improve the financial strategy of companies, reach greater efficiency in investor portfolio management, and provide guidance that is more adequate by the regulators and formulators of public policies.

Candlestick Technical Analysis on Select Indian Stocks: Pattern detection and Efficiency Statistics

Financial markets generate vast data every trading day. There are markets for equity shares, commodities, fixed income securities and currencies etc. Further, we do have organised markets for financial ddderivatives. The exponential growth of financial markets isthe order of the modern-day. Developments in information and communication technology (ICT) helped the growth of financial markets and its operations to greater heights. One of the financial market analysis is Candlestick Technical analysis also is known as Japanese candlestick charting. It is the oldest form of financial market analysis originated in japan. This study measured the occurrence and tested the efficiency of various bullish reversal candlestick patterns on 17 stocks of India’s leading stock market benchmark index NIFTY 50 for the period of 16 years from 2000 to 2015.Data mining with backtesting methodology is used to find the top 10 candlestick patterns with respect to the frequency of occurrence during the study period. The efficiency profitability is analysed using Technique for Order Preference by Similarity to Ideal Solution (TOPSIS) method , a multi-criteria decision making (MCDM) method on the backtested results for the 5-day holding period.The results of the study show that hammer (HMR), long engulfing pattern (LEB) and Rising window (RSW) are the top three ranked candlestick patterns.