Speculative and hedging interaction model in oil and U.S. dollar markets with financial transaction taxes

Our article develops a game theory model of interaction between speculative and hedging behaviors in the oil and US dollar markets, in the presence of a severe taxation on speculative financial transactions. From this microeconomic analysis, we derive a regulatory policy. This policy has two consequences at the macro level: on one hand, it has a certain stabilizing effects on oil and US dollar markets, limiting the number of speculative transactions and their size; on the other hand, it induces the speculators to find agreements with real economic agents, which are profitable for both parts. Moreover, we propose that the tax is mostly re-directed to support the real economy. So, the aim of this paper appears twofold: by using Game Theory, we suggest to a pair of economic agents a way to gain in a market, also in presence of a hard taxation on the financial transactions, proposing, at the same time, to normative authority, a method to limit the instability of oil and U.S. Dollar markets and to help real economy. Our idea, at the micro-economic level, is to exploit the hedging actions to obtain a profit, limiting, at the same time, at a macro-level, the speculative attacks on oil and U.S. Dollar markets. These goals are reached by the introduction of well designed financial transactions tax. In particular, we focus on a real economic subject (Multinational Air) and on an investment bank (Bank). The solutions collectively efficient are determined, at a micro-level, by certain agreements between the two economic subjects. Specifically, after an agreement which allows to obtain the maximum collective profit of the interaction, we propose and analyze four different possible fair divisions of this gain, by adopting the Kalai–Smorodinsky method.     

Financial development and relationship evolvement among money supply,economic growth and inflation: a comparative study from the U.S. and China

With the rapid development of financial markets, economic financialization degree can no longer be ignored for its influence on the relationship among money supply, economic growth and inflation. Combined with the horizontal comparison of China, this article concentrates on the financial development and evolution from the period of industrialization to economic financialization in the U.S., systematic and comprehensive analysis is first done on the variation of overall economic operation. Then impulse response function based on VAR model is applied to study the dynamic influence of economic financialization degree on the relationship evolvement. The empirical results show that economic financialization makes good explanation of the deviating phenomenon among money supply, economic growth and inflation, and the interactive relationship between fictitious economy and real economy is becoming closer and closer. Furthermore, compared to the U.S., China still belongs to the process of transforming from the period of industrialization to economic financialization.     

美国次级房货危机对中国房货和金融市场的影响

美国次级房贷危机已对全球股市和美国经济产生较大影响。分析美国次级房贷危机产生的背景和原因,并指出中国的抵押贷款市场存在的重大风险。我们应该以美国次级债危机为借鉴,为中国房地产市场发展和金融市场的健康发展获得一些启示,并做好风险防范措施。     

美国次级房贷危机对中国房贷和金融市场的影响

美国次级房贷危机已对全球股市和美国经济产生较大影响。分析美国次级房贷危机产生的背景和原因,并指出中国的抵押贷款市场存在的重大风险。我们应该以美国次级债危机为借鉴,为中国房地产市场发展和金融市场的健康发展获得一些启示,并做好风险防范措施。     

The equity price channel in a New-Keynesian DSGE model with financial frictions and banking

This paper studies the role of the equity price channel in business cycle fluctuations, and highlights the equity price channel as a different aspect to general equilibrium models with financial frictions and, as a result, emphasizes the systemic influence of financial markets on the real economy. We develop a canonical dynamic general equilibrium model with a tractable role for the equity market in banking, entrepreneur and household economic activities. The model is estimated with Bayesian techniques using U.S. data over the sample period 1982Q01–2015Q01. We show that a dynamic general equilibrium model with an equity price channel well mimics the U.S. business cycle. The model reproduces the strong procyclicality of the equity price. The equity price channel significantly exacerbates business cycle fluctuations through both financial accelerator and bank capital channels. Our results support the increasing emphasis on common equity capital in Basel III regulations. This is beneficial in terms of financial stability, but amplifies and propagates shocks to the real economy.     

Financial integration and growth in the global economy

This paper analyzes the growth dynamics in the developed world and its relationship to the financial structure. The new entrepreneurial economy of creativity and innovation is identified as the main growth area today. However, such an economy needs financial structure capable of coping with the higher risk inherent in the new economy. To provide such a financial structure, the financial markets must be broad, deep, and liquid. Today, only the U.S. financial markets are large enough to provide this financial structure. Hence, financial integration became the imperative for other countries—especially the European Union (EU) and Japan—in order to achieve the level of economic growth as that of the U.S.     

The role of financial frictions during the crisis: An estimated DSGE model

After the recent banking crisis in 2008, financial market conditions have turned out to be a relevant factor for economic fluctuations. This paper provides a quantitative assessment of the impact of financial frictions on the U.S. business cycle. The analysis compares the original Smets and Wouters model (2003, 2007) with an alternative version augmented with the financial accelerator mechanism á la Bernanke, Gertler and Gilchrist (1996, 1999). Both versions are estimated using Bayesian techniques over a sample extended to 2012. The analysis supports the role of financial channels, namely the financial accelerator mechanism, in transmitting dysfunctions from financial markets to the real economy.The Smets and Wouters model, augmented with the financial accelerator mechanism, is suitable to capture much of the historical developments in U.S. financial markets that led to the financial crisis. The model can account for the output contraction in 2008, as well as the widening in corporate spreads, and supports the argument that financial conditions have amplified the U.S. business cycle and the intensity of the recession.     

The propagation of U.S. shocks to Canada: Understanding the role of real financial linkages

This paper examines the role of financial frictions in affecting the transmission of U.S. real and financial shocks to Canada using a dynamic stochastic general‐equilibrium model with an active banking sector and financial frictions. We find that the U.S. banking and interbank markets can be a potentially important source of variability of Canadian output and inflation—consistent with the financial crisis. The presence of both the demand and the real supply sides of credit in the model help to capture the stylized facts of both the domestic and the international business cycles.     

Mexican real wages and the U.S. economy

This article examines real wage determinants from 1996 to 2014 across Mexican states. Real wages are determined in equilibrium by combining labor supply (years of education and population growth) and labor demand (mostly external factors) forces. Panel data models provide two main results. First, years of education and U.S. real GDP appear to be reliable predictors of wages in fixed effects models, with very marked changes after the U.S. 2008–2009 financial crisis and stronger effects on northern Mexican states. Second, dynamic panels confirm the role of foreign forces: positive from the U.S. economy and negative from the real exchange rate.     

Transmission of shocks across global real estate and equity markets: An examination of the 2007–2008 housing crisis

This study analyses the impact of the 2007–2008 U.S. financial crisis on the structure of interdependence among several major global real estate and equity markets. Moreover, it performs a step-by-step comparative analysis to evaluate similarities and differences in the convergence patterns of global real estate markets vis-à-vis global equity markets. Long-run results indicate that global real estate markets were less integrated than global equity markets prior to the crisis. Since the crisis, however, both global real estate and global equity markets have become highly integrated with the U.S. real estate and equity markets, respectively, and have fully converged. Short-run analyses indicate that during the pre-crisis period, global real estate markets were highly exogenous and independent. In contrast, global equity markets were comparatively more interdependent with one another and more endogenous. After the crisis, however, both global real estate and equity markets reacted strongly to shocks emanating from the U.S. markets, although the impact of the U.S. real estate market on the global real estate market is more pronounced than the effect of the U.S. equity market on the global equity markets. Finally, the study shows that U.S. real estate and equity markets are the channels of transmission or the sources of trends that drive global markets over the long-run and the short-run.     

金融改革实验区金融创新与监管动态响应机制研究——基于美国金融创新产品的衍生逻辑视角

温州金融改革实验区的设立及随后深圳推出系列金融创新举措开启了我国金融实验区改革的序幕。在金融实验区,围绕引导民间资本进入规范化的金融体系以更好服务中小微企业孕育了一条凸显金融创新的资金流动链条。美国金融创新体系中以房地产市场为基础的金融创新衍化逻辑尤为典型,但该衍化链条蕴藏的金融监管对创新响应失衡引发了流动性逆转联动着金融危机的爆发,之后掀起全球金融监管改革潮。鉴于此,本文借鉴美国金融创新衍化的经验,弥补其不足,并结合当前国际金融监管趋势,在金融实验区搭建了金融创新与监管间"一种理念,两种响应"的动态响应机制,以期在防范金融风险的基础上使金融创新能够更好服务实体经济。     

Emerging market sovereign spreads,global financial conditions and U.S. macroeconomic news

We investigate the impact of global financial conditions, U.S. macroeconomic news and domestic fundamentals on the evolution of EMBI spreads for a panel of 18 emerging market (EM) countries using daily data. To this end, we consider not only the conventional panel cointegration procedures but also the recent common correlated effects method to tackle cross-section dependence that may stem from common global shocks such as contagion. The results suggest that the long-run evolution of EMBI spreads depends on global financial conditions, crises contagion and domestic fundamentals proxied by sovereign ratings. The results from panel equilibrium correction models suggest that EMBI spreads respond substantially also to U.S. macroeconomic news and changes in the Federal Reserve's target interest rates. The magnitude and the sign of the effect of the U.S. news, however, crucially depend on the state of the U.S. economy, such as the presence of inflation dominance.     

Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach

This paper investigates the presence of asymmetries in the short- and long-run relationships between the 5-year CDS index spreads at the U.S. industry level and a set of major macroeconomic and financial variables, namely the corresponding industry stock indices, the VIX index, the 5-year Treasury bond yield and the crude oil price, using the NARDL approach. The empirical results provide significant evidence of both short-run and long-run asymmetries in the linkage between ten industry CDS spreads and the potential driving factors common for all industries, confirming the importance of asymmetric nonlinearity in this context. It is also shown that the industry equity prices, the VIX, the 5-year Treasury bond rate and, to a lesser extent, the crude oil price constitute important asymmetric determinants of these U.S. industry CDS spreads. The findings of this study have relevant implications for investors, speculators, arbitrageurs and policy makers interested in credit risk at the industry level.     

MEASURES OF STOCK MARKET VALUE AND RETURNS FOR THE U.S. NONFINANCIAL CORPORATE SECTOR, 1900–2002

This paper describes a new dataset of annual time series relating to the U.S. nonfinancial corporate sector: its market value, returns, and the major underlying stocks and flows that are valued by financial markets. The data cover the entire twentieth century, and thus fill a significant gap in the documentation of financial and real economy linkages. Previously available data cover either shorter periods, or a more restricted sample of quoted companies. A range of series are constructed on a consistent basis: returns; dividend yields (including an alternative "cashflow" measure); earnings; and " q ", on a range of definitions; as well as corporate leverage measures. The main features are: the relative long-run stability of both q and the cashflow dividend yield; the systematic tendency for q to be less than unity; and the ambiguous picture presented by alternative measures of corporate leverage.     

中国外汇储备投资组合选择——基于外汇储备循环路径的内生性分析

本文从中美两国经济的本质性差异出发,通过刻画中国外汇储备对外投资的"循环路径",构建了包括央行、金融市场和实体经济的斯塔克尔伯格及古诺模型,进而模拟出中国外汇储备对外投资对本国经济的间接贡献、合意的外汇储备投资组合,以及最优外汇储备投资规模。研究结果表明,中国外汇储备投资于美国风险资产的规模将影响外汇储备间接转化为美国对中国FDI的比例。同时,中国央行外汇储备规模及投资策略对危机时期的反应不足。改变外汇储备投资收益的主要方法包括降低居民的相对风险回避系数,通过政策引导促进居民消费,以及大力发展中国金融市场,降低对美国金融市场的依赖程度。     

Volatility transmission to the fine wine market

The goal of this paper is to explore volatility transmission from various markets to the fine wine market. Knowledge of these channels for transmitting volatility to the wine market allows practitioners to anticipate the future volatility and the consequences of a shock on the wine market, to develop their investment strategy and diversify their risk. We especially analyse the impact of U.S. markets (i.e. art, commodities, credit, financial and real estate) during the 2007–2017 period. We shed additional light on how the volatility of the fine wine market varies during an extended period including a financial crisis. Our results indicate that, in the short-term, volatility is transmitted with a negative effect through the financial and commodity markets and with a positive effect through the art, residential real estate, and credit default markets. In the long-term, the wine market is impacted by all other markets. We show that correlations are time-varying.     

The relationship between developed equity markets and the Pacific Basin's emerging equity markets

Using a trivariate vector autoregression (VAR) model with a proper control for heteroscedasticity, this paper investigates the relationships between the two largest equity markets in the world—the U.S. and Japan—and the four Asian emerging equity markets: Hong Kong, Korea, Singapore, and Taiwan. Evidence indicates that the links between the developed markets and the Asian emerging markets (AEMs) began to increase after the stock market crash in October 1987, and have significantly intensified since the outbreak of the Asian financial crisis in July 1997.     

Near-zero U.S. Interest Rates,Primary Commodity Prices,and Financial Control in Emerging Markets

The U.S. Federal Reserve's monetary policy at the center of the world dollar standard has a first-order impact on global financial stability. However, except in moments of international crises, the Fed focuses inward on domestic American economic indicators and generally ignores collateral damage from its monetary policies in the rest of the world. But this makes the U.S. economy less stable. Currently, ultra-low interest rates on dollar assets ignite waves of hot money into emerging markets by carry traders that generate bubbles in international primary commodity prices and other assets. These bubbles burst when some accident at the center, such as a banking crisis, causes a reflux of the hot money. Ironically, these near-zero interest rates hold back investment in the American economy itself.     

Existence of financial market equilibria with transaction costs

The purpose of this paper is to give an existence proof of equilibria in a two-period exchange economy with incomplete markets and transaction costs. When tradings on financial markets incur real transaction costs —interpreted as costs of enforcement of financial contracts or real taxation of financial revenues —the set of individual portfolios is bounded by the limited resources of the economy. Existence of equilibria then follows from Kakutani 's fixed point theorem.     

Duration of bankruptcy proceedings and monetary policy effectiveness

A common assumption in well-known costly-state-verification frameworks is that when a borrower defaults, creditors receive a payoff immediately (after incurring bankruptcy costs). While this assumption enhances tractability, it is unrealistic given the considerable delays in the actual practice of bankruptcy. In this paper, I identify the duration of bankruptcy proceedings as an additional source of friction in financial markets and investigate the relationship between this friction and the effectiveness of monetary policy by using U.S. state-level data. Consistent with the commonly-observed positive relationship between the degree of standard financial frictions and the amplitude of macroeconomic responses, I find that U.S. monetary policy is most effective in states with longer bankruptcy proceedings.