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1
Zhu, Qing, Shuyu Bai et Jia Wang. « Liquidity, Asset Price Volatility, and Monetary Policy Choices : Empirical Evidence from China ». Complexity 2022 (26 mai 2022) : 1–19. http://dx.doi.org/10.1155/2022/4710234.
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This article effectively identifies the high and low volatility state of asset prices in China by constructing the MS-AR model, and further investigates the relationship between different dimensions of liquidity and asset price volatility. Moreover, we try to incorporate liquidity into the analytical framework and adopt the TVP-SV-VAR model to study the time-varying characteristics between monetary policy, liquidity, asset price volatility and macroeconomy. The results are as follows: firstly, it shows that the high or low volatility state of China’s stock market and real estate market can be clearly divided, and display the consistency with the trend of asset price volatility. Secondly, liquidity has a strong ability to explain the high and low volatility state of asset prices, but it shows some hysteresis effects. Thirdly, the time-varying results reveal that monetary policy has a regulating effect on liquidity, and the response cycle of quantitative monetary policy is relatively short, which reflects the effects of macroeconomy precisely. However, price-based monetary policy has a longer response cycle and plays a vital role in the anticipatory adjustment and fine-tuning of asset price volatility. These conclusions can provide an explanation for the attention to asset price bubbles and potential financial risks, and offer decision-making references for the central bank to implement differentiated and dynamic monetary policy choices.
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Erturk, Korkut A. « ASSET PRICE BUBBLES, LIQUIDITY PREFERENCE AND THE BUSINESS CYCLE ». Metroeconomica 57, no 2 (mai 2006) : 239–56. http://dx.doi.org/10.1111/j.1467-999x.2006.00241.x.
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Sekizawa, Yoichi, et Yoko Konishi. « Are consumer confidence and asset value expectations positively associated with length of daylight ? : An exploration of psychological mediators between length of daylight and seasonal asset price transitions ». PLOS ONE 16, no 1 (20 janvier 2021) : e0245520. http://dx.doi.org/10.1371/journal.pone.0245520.
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Many economists claim that asset price transitions, particularly stock price transitions, have a seasonal cycle affected by length of daylight. Although they claim that the seasonal affective disorder (SAD) is a mediator between the length of daylight and asset price transitions, recent studies in psychology have been inconclusive about the existence of SAD, and some economics studies disagree regarding the involvement of SAD in seasonal stock price transitions. The purpose of the present study is to examine if there is any psychological mediator linking length of daylight and seasonal asset price transitions as an alternative or supplement to SAD. As a possible mediator, we examined Japan’s consumer confidence index (CCI) and asset value expectations (AVE), which indicate people’s optimism for future economy and are generated from a monthly household survey by the Japanese government. We analyzed individual longitudinal data from this survey between 2004 and 2018 and estimated four fixed-effects regression models to control for time-invariant unobserved heterogeneity across individual households. The results revealed that, (i) there was a seasonal cycle of CCI and AVE; the trough occurred in December and the peak in early summer; (ii) the length of daylight time was positively associated with CCI and AVE; and (iii) the higher the latitude, the larger the seasonal cycle of CCI and AVE became. These findings suggest that the length of the daylight may affect asset price transitions through the cycle of optimism/pessimism for future economy exemplified by the CCI and AVE.
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Andaiyani, Sri, et Telisa Aulia Falianty. « ASEAN CREDIT GROWTH AND ASSET PRICE RESPONSE TO GLOBAL FINANCIAL CYCLE ». Buletin Ekonomi Moneter dan Perbankan 20, no 2 (31 octobre 2017) : 203–28. http://dx.doi.org/10.21098/bemp.v20i2.812.
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An upsurge and volatility of capital flows to Emerging Asian Economies indicated that there is the potential effect of global financial cycle to emerging market. It provides an overview of investor risk aversion in short term investment after financial crisis 2008. Global financial cycle could have a significant impact not only to credit growth but also asset prices, including equity prices and property prices. Rey (2015) has triggered an interesting discussion about global financial cycle. She found that there was a global financial cycle in capital flows, asset prices and credit growth. This cycle was co-moves with the VIX, a measure of uncertainty and risk aversion of the markets. Therefore, this study attempts to analyze empirically global financial cycle shocks, measured by the VIX, on credit, equity prices and property prices in ASEAN-4, namely Indonesia, Malaysia, Singapore, and Thailand. We estimate quarterly frequency data from Q1 1990 to Q2 2016 with Panel Vector Autoregressive (PVAR) approach. The result of this study showed that the response of asset markets and credit to global financial cycle shocks is negative. This result is consistent with ASEAN-4 as small open economies that remain vulnerable to the global factor. This study contributes to the literature in several ways. First, we identify not only cyclical expansions orcontraction in asset markets but also the impact of global financial cycle to credit growth and asset markets in ASEAN-4 countries. Second, we also identify the pattern of cycle in ASEAN-4 countries. Third, we used PVAR approach that can capture heterogeneity.
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Chakraborty, Suparna. « REAL ESTATE CYCLES, ASSET REDISTRIBUTION, AND THE DYNAMICS OF A CRISIS ». Macroeconomic Dynamics 20, no 7 (17 mars 2016) : 1873–905. http://dx.doi.org/10.1017/s1365100515000322.
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In this paper, I explore the dynamics of real estate market fluctuations and business cycle co-movements in a neoclassical setting. Applying a dynamic stochastic general equilibrium model of collateral constraints with asset reallocation to Japan, I find that public policy shocks account well for the business cycle dynamics. In particular, taxes on land holdings of households mimic the impact of a housing preference shock, and if volatile enough, can trigger large asset price fluctuations. However, in the absence of volatility, the impact on prices is intrinsically linked to the persistence of shocks. Dependence on fixed assets such as real estate to secure collateral-based financing significantly amplifies the effect of initial shocks on the real macro aggregates. The financial accelerator works through the “redistribution channel,” shifting a large fraction of the collateral between constrained and unconstrained agents in response to an external stimuli.
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Ertürk, Korkut Alp, et Jake Jennings. « Debt and Financial Sentiment. Early Keynes on Balance Sheet Effects of Asset Price Changes ». Vierteljahrshefte zur Wirtschaftsforschung 89, no 1 (1 janvier 2020) : 45–58. http://dx.doi.org/10.3790/vjh.89.1.45.
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Summary: The paper explores the link between financial sentiment and private debt, using Keynes’s A Treatise on Money as a conceptual backdrop. In responding to his critics after the publication of his General Theory Keynes famously talked about unexpected, violent changes in conventional asset valuations resulting from doubts with a life of their own boiling over onto the surface. Such doubts he argued influenced the size of what he called the bear position, which in his Treatise on Money he took to be an index of financial sentiment. Minsky also drew from Keynes’s earlier work when he famously argued that optimistic future expectations raise asset prices, creating a margin that enables firms to access finance in the present. However, neither asset price speculation nor shifting financial sentiment over the business cycle received in his work the kind of attention they did in Keynes’s Treatise. The focus of this paper is what Minsky left unexplored on financial sentiment and the balance sheet effects of asset price changes in the Treatise, which sheds light on when private debt can become excessive. The central insight is that financial sentiment begins to diverge when economic performance unexpectedly falls short, raising doubts that current asset prices are excessive. While the economy might be debt-led when financial sentiment is strong it tends to become debt-burdened as sentiment weakens.
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Khandelwal, Padamja, Ken Miyajima et Andre Santos. « The impact of oil prices on the banking system in the Gulf Cooperation Council ». Journal of Governance and Regulation 6, no 2 (2017) : 32–47. http://dx.doi.org/10.22495/jgr_v6_i2_p4.
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This paper examines the links between global oil price movements and macroeconomic and financial developments in the Gulf Cooperation Council (GCC). The GCC economies can be adversely affected by low oil prices due to their high dependence on oil and gas exports and macro-financial linkages which can amplify the effects of oil price movements over the financial cycle. Historically, systemic financial sector risks rose in the GCC countries with the oil price upswing in the years before the global financial crisis. Against this background, a range of multivariate panel approaches, including a panel vector autoregression approach, were applied to macroeconomic and bank-level data covering the six GCC economies and span 1999–2014. The paper finds strong empirical evidence of feedback loops between oil price movements, bank balance sheets, and asset prices. Empirical evidence also suggests that bank capital and provisioning have behaved countercyclically through the cycle. That is, these ratios increase during good times. This has helped strengthen the resilience of the financial system to the oil price decline since mid-2014.
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Boehm, Christoph E., et T. Niklas Kroner. « The US, Economic News, and the Global Financial Cycle ». International Finance Discussion Paper, no 1371 (février 2023) : 1–104. http://dx.doi.org/10.17016/ifdp.2023.1371.
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We provide evidence for a causal link between the US economy and the global financial cycle. Using intraday data, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all jump instantaneously upon news releases. The responses of stock indexes co-move across countries and are large - often comparable in size to the response of the S&P 500. Further, US macroeconomic news explains on average 23 percent of the quarterly variation in foreign stock markets. The joint behavior of stock prices, bond yields, and risk premia suggests that systematic US monetary policy reactions to news do not drive the estimated effects. Instead, the evidence points to a direct effect on investor’ risk-taking capacity. Our findings show that a byproduct of the United States' central position in the global financial system is that news about its business cycle has large effects on global financial conditions.
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Ryczkowski, Maciej. « MONEY, CREDIT, HOUSE PRICES AND QUANTITATIVE EASING – THE WAVELET PERSPECTIVE FROM 1970 TO 2016 ». Journal of Business Economics and Management 20, no 3 (2 mai 2019) : 546–72. http://dx.doi.org/10.3846/jbem.2019.9859.
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This paper investigates the relationship between money/credit growth and house price inflation for a sample of twelve developed countries. The novel application of the continuous wavelet transform showed significant but time-varying linkages between these two variables. During quantitative easing in the United States and the United Kingdom, growth of respectively broad money and bank credit was leading house price inflation for the 2-8 years cycle. In contrast to this, the Bank of Japan and the European Central Bank either did not assign a separate role to house prices in their reaction functions or the two central banks were not capable to significantly increase house prices by extending money/credit during the business cycle. The significant co-movements of financial variables and house prices around booming episodes warn us that a new asset price boom might appear within the length of a business cycle as a consequence of overly expansionary monetary policy. In the euro area, the significant, long run, and close to a one-for-one link between growth of M3 and house price inflation is an argument for the monetary pillar of the European Central Bank. The present study contributes significantly to the literature by introducing a novel application of a continuous wavelet transform to study the housing prices in relation to money, credit and quantitative easing. The article uses a long-term dataset covering a period of almost half a century to analyse their varying relationship in the short-run to the long-run and from the historical perspective.
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Wong, Chin-Yoong, et Yoke-Kee Eng. « Asset price boom–burst cycle as an elastic money response to technological shocks ». Economics Letters 114, no 3 (mars 2012) : 292–95. http://dx.doi.org/10.1016/j.econlet.2011.10.005.
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Nadenichek, Jon. « Asset markets, relative price shocks and trade anomalies in international real business cycle models ». Quarterly Review of Economics and Finance 41, no 2 (juin 2001) : 183–203. http://dx.doi.org/10.1016/s1062-9769(00)00073-9.
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Shapoval, Yuliia. « Monetary policy of commodity-dependent economies ». VUZF Review 7, no 3 (27 septembre 2022) : 39–48. http://dx.doi.org/10.38188/2534-9228.22.3.04.
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This paper deals with the features of monetary policies of commodity-exporting and commodity-dependent economies, using methods of generalization of their instruments. The review of the monetary policy toolkit of advanced and emerging economies during the 2020–2021 pandemic demonstrates that central banks' reaction has been cautious in adopting asset purchase programs, often limiting their purchases to a smaller scale along with a narrow set of assets. Nevertheless, the application of credit support programs implemented in 2008 and a new set of credit programs for additional segments of the economy facilitated recovery.Central banks of emerging economies started raising key rates in 2021, and in 2022 advanced economies also began conducting tighter monetary policies to combat inflationary pressures of 2021–2022. The impact of the war in Ukraine on commodity markets exacerbated rising сommodity prices along with accommodative monetary policy, has led to stagflation in 2022. EU is among the most affected by inflation caused by the dependence on Russian oil and gas, and simultaneously by the recovery of internal demand after the pandemic. In the first half of 2022, the ECB’s monetary instruments remained asset purchases and lifting key rates. The risk of distracting monetary policy priorities from the green transition due to commodities price upturn is noted.For commodity-exporting emerging economies, shocks of raw materials prices become factors of business cycle fluctuations. The opportunities for effective monetary policy of commodity-exporting economies depend on exchange rate regimes and fiscal policy. The central bank's reaction to the rise in commodity prices is a tightening of monetary policy and a fall in prices – a weakening, suggesting that stabilizing output is more important than inflation targeting.The sharp decline in commodity prices from mid-2014 to early 2016 demanded significant fiscal adjustments and monetary policy tightening measures among commodity export-dependent economies. Compared to the oil crises of 1973 and 1979, today's oil price increase is relatively minor, the energy intensity of GDP is much less, and there is a price upturn in a much broader range of energy and agricultural commodities. Monetary goals and instruments are now much better defined due to the recognition of confidence as one of the monetary instruments in managing inflation expectations.
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Walther, Herbert. « Forty years of real-estate bubbles in the US and the macroeconomy : a Keynesian perspective ». European Journal of Economics and Economic Policies : Intervention 16, no 3 (décembre 2019) : 381–402. http://dx.doi.org/10.4337/ejeep.2019.03.07.
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This paper presents a dynamic, non-linear, stock–flow consistent aggregate Keynesian model with a banking sector, a household sector, a government sector, and a real-estate sector, to study the interactions between booms and busts in the real-estate sector and the macroeconomy. Using this model we try to simulate some ‘stylized facts’ about the US economy observable during the last four decades. It is argued that for various reasons house-price volatility in the US has increased since the 1980s: house prices seem to have followed a ‘cobweb’ pattern of accelerating instability, leading to the climax of the financial crises in 2007/2008. A new run-up of house prices has already started, pointing towards a looming bubble ahead. The US economy seems to have become addicted to asset-price bubbles as the driving force of the business cycle. It is argued that various institutional changes, which can be linked to the dominant economic ideology, are responsible for these developments.
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Tarasov, Valerii. « APPLICATION OF TECHNICAL ANALYSIS FOR CRYPTOCURRENCY MARKET RESEARCH ». Vìsnik Sumsʹkogo deržavnogo unìversitetu 2022, no 4 (2022) : 274–82. http://dx.doi.org/10.21272/1817-9215.2022.4-29.
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The article is to research the possibilities and prospects of using graphical technical analysis for forecasting the movement of asset prices by an Internet trader using the example of Bitcoin (BTC – BitCoin). The theoretical and methodological aspects of cryptocurrency technical analysis in the conditions of modern financial markets were analyzed. A comparative analysis of short- and medium-term technical analysis strategies in Internet trading was carried out. Cryptocurrency-applied technical analysis was used to determine current trends of the Bitcoin growth cycle. The research methods included comparative analysis, and graphical and analytical methods of technical analysis such as the method of observing price movement, capitalization analysis, pattern identification, support/resistance levels identification, indicators use and comparison, and bars analysis (Japanese candles). Cryptocurrency analysis used the Traidingview platform data from BINANCE, BITSTAMP and CRYPTOCAP exchanges. Considering the example of the analysis of the medium-term agreement with patterns and indicators of the BTC instrument, the most likely movement of the asset price is calculated in several stages. In the first stage, the classification of analysis tools and the possibility of applying several of them were investigated. The second stage involved analyzing the difference and risk of using different time frames for investment and finding rational ways of applying the available information to analyze the subsequent deal. In the third stage, a comparative analysis of the transaction with the BTC instrument was carried out, and the likely movement of the cryptocurrency price was determined. Based on the research, the only possible scenario for the behavior of the BTC instrument has been developed, namely: a drop in price and accumulation in the further bearish market. It is substantiated that the best option for analysis is the collection of all available information from the chart and its further analytical summation to obtain the most likely trend of the instrument's movement, as well as the analysis of the speculative value of the deal. The considered approaches to the technical analysis of the Bitcoin cycle create a scientifically based practical tool for Internet trading.
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Cao, Dan, Wenlan Luo et Guangyu Nie. « Uncovering the Effects of the Zero Lower Bound with an Endogenous Financial Wedge ». American Economic Journal : Macroeconomics 15, no 1 (1 janvier 2023) : 135–72. http://dx.doi.org/10.1257/mac.20200495.
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We study the effects of the zero lower bound (ZLB) on the severity of financial crises using an incomplete markets New Keynesian model with two occasionally binding constraints: a ZLB on the nominal interest rate and a borrowing constraint tied to an asset price. The model’s financial wedge corresponds to an endogenous multiplier on the borrowing constraint. Binding ZLB exacerbates financial crises through its interaction with the asset fire sale vicious cycle, driving up the financial wedge. Our results offer a novel reinterpretation of the negligible effect of the ZLB in representative agent New Keynesian models with exogenous wedges. (JEL E12, E31, E32, E43, E52, G01)
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Wang, Yehui, Jianxu Liu, Yuxuan Tang et Songsak Sriboonchitta. « Housing Risk and Its Influence on House Price : An Expected Utility Approach ». Mathematical Problems in Engineering 2020 (28 mars 2020) : 1–16. http://dx.doi.org/10.1155/2020/3943676.
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House price is affected by households’ expectation of future house price trend and volatility, where the expected volatility of housing capital return, indicated by variance, is defined as the housing market risk. Theoretically, risk element cannot be directly inserted in the standard housing models because most of the models are built on the underlying assumption of certainty. Extending the life-cycle model to a two-asset expected utility case with uncertainty, we show house price is affected by housing market risk premium, which is a function of households’ risk-aversion coefficient, real housing wealth, and expected housing volatility. Empirical analysis relying on China’s 2001–2018 provincial housing panel data supports the theoretical innovation. Despite the empirical results show that the effect of housing market risk on house price is tiny, simulations suggest that the consideration of risk is quite helpful in analyzing and predicting the long-run house price equilibriums.
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Chen, Shuai, et Jiameng Yang. « Environmental Pollution Liability Insurance Pricing and the Solvency of Insurance Companies in China : Based on the Black–Scholes Model ». International Journal of Environmental Research and Public Health 20, no 2 (16 janvier 2023) : 1630. http://dx.doi.org/10.3390/ijerph20021630.
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Environmental pollution liability insurance is becoming increasingly important for China to achieve its emission reduction targets. Insurance pricing is a crucial factor restricting the market share of environment pollution liability insurance, from the perspective of the Black–Scholes pricing model, which in turn has influenced the solvency of insurance companies in China. Firstly, this study analyzes the problems existing in compulsory liability insurance for environmental pollution in China. It proceeds with analyzing the price of compulsory environmental pollution liability insurance using the Black–Scholes pricing model, and derives a high premium insurance rate of 2.44%. Moreover, it performs a multivariate regression analysis using the asset and liability data, taken from the annual report, to identify three key factors affecting the solvency adequacy ratio, namely, capital debt ratio, reflecting the company asset structure; net interest rate on assets, reflecting the asset scale with actual solvency; and claim ratio, reflecting the business quality. Based on the results of regression analysis and robustness test for the China Insurance Clauses (CIC) company, People’s Insurance Company of China (PICC), and Asia-Pacific Property & Casualty Insurance (API) company, it is shown that the effect of total asset, total debt, capital debt ratio, claim ratio, and net interest rate on assets on the solvency adequacy ratio is significant, with respect to the size of the coefficients. Based on the Black–Scholes pricing model found in the previous cycle of liability insurance, and keeping in view the existing problems of environmental pollution liability insurance expenditure, this paper presents suggestions that are conducive to improving the solvency of insurance companies in China.
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Devaney, Steven. « Measuring European property investment performance : comparing different approaches ». Journal of European Real Estate Research 7, no 1 (29 avril 2014) : 112–32. http://dx.doi.org/10.1108/jerer-10-2013-0022.
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Purpose – Price indices for commercial real estate markets are difficult to construct because assets are heterogeneous, they are spatially dispersed and they are infrequently traded. Appraisal-based indices are one response to these problems, but may understate volatility or fail to capture turning points in a timely manner. This paper estimates “transaction linked indices” for major European markets to see whether these offer a different perspective on market performance. The paper aims to discuss these issues. Design/methodology/approach – The assessed value method is used to construct the indices. This has been recently applied to commercial real estate datasets in the USA and UK. The underlying data comprise appraisals and sale prices for assets monitored by Investment Property Databank (IPD). The indices are compared to appraisal-based series for the countries concerned for Q4 2001 to Q4 2012. Findings – Transaction linked indices show stronger growth and sharper declines over the course of the cycle, but they do not notably lead their appraisal-based counterparts. They are typically two to four times more volatile. Research limitations/implications – Only country-level indicators can be constructed in many cases owing to low trading volumes in the period studied, and this same issue prevented sample selection bias from being analysed in depth. Originality/value – Discussion of the utility of transaction-based price indicators is extended to European commercial real estate markets. The indicators offer alternative estimates of real estate market volatility that may be useful in asset allocation and risk modelling, including in a regulatory context.
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Thoenissen, Christoph. « EXCHANGE RATE DYNAMICS, ASSET MARKET STRUCTURE, AND THE ROLE OF THE TRADE ELASTICITY ». Macroeconomic Dynamics 15, no 1 (7 avril 2010) : 119–43. http://dx.doi.org/10.1017/s1365100509991039.
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A canonical flexible-price international real–business cycle model with incomplete financial markets can address the exchange rate–volatility puzzle, the exchange rate–persistence puzzle, and the consumption real–exchange rate anomaly, as well as the quantity anomaly. Crucial for the success of the model is the choice of the elasticity of substitution between home and foreign produced goods. The paper shows that the range of this parameter that allows the model to address these international macroeconomics anomalies is very narrow. Furthermore, the paper highlights an anomalous relationship between real–exchange rate persistence and the elasticity of substitution between home- and foreign-produced goods.
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Allen, Franklin. « Modelling Financial Instability ». National Institute Economic Review 192 (avril 2005) : 57–67. http://dx.doi.org/10.1177/002795010519200107.
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Financial instability can have large adverse effects on an economy. One major cause of instability is asset price bubbles. This paper starts by considering how such bubbles can arise due to the expansion of money and credit. The ways in which subsequent financial instability occurs are then discussed. Banking crises can arise due to panics or as a result of the business cycle. Contagion and financial fragility can cause small disturbances to have large effects. Finally, policy issues are touched upon.
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Ismawati, Linna, Inna Neskorodieva et Svitlana Pustovhar. « Influence of economic factors on the share’s value through the concepts of the life cycle : The case of Indonesia ». Journal of Eastern European and Central Asian Research (JEECAR) 10, no 1 (8 janvier 2023) : 114–24. http://dx.doi.org/10.15549/jeecar.v10i1.1049.
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The article aimed to substantiate the differentiated impact of critical internal factors of the economic activities on the market value of shares for joint-stock companies accounting for the organizational development cycle. Using the Company’s Financial Statements in the Automotive and Component subsectors listed on the Indonesia Stock Exchange for 2008-2021, the Chow test, path analysis, and t-criterion, we determined the features of the relationship between the share price and the economic performance indicators of joint-stock companies are determined. We used path analysis for modeling to assess the relationship between the price of shares and the number of dividend payments per share, asset turnover, and net profit per share built. A differentiated nature of the relationship between the indicators depending on the accounting company’s life cycle has been established. Knowing the stage of the business, the company can develop the most effective dividend strategy and determine the appropriate management method.
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Lu, Zhihang, et Xiangjing Jia. « Discussion on the Asset Allocation of Chinese Investors in the Post-Epidemic Period ». Finance and Market 6, no 1 (21 avril 2021) : 36. http://dx.doi.org/10.18686/fm.v6i1.3170.
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In 2020, a sudden COVID-19 epidemic sweeping across the world, it will have an indelible and significant impact on China and even the world economy. Asset price fluctuations increase in the real estate, bonds, stocks, bulk commodities and other investment markets, and the risk is in aggravation. Therefore, since our country is to build the domestic large cycle as the main body, and the bi-circulating promotes mutually, the new development pattern of domestic and international macroeconomic growth is expected to accelerate. This paper, from the monetary policy, the view of the present situation and the types of investors in financial markets, analyses the main points of the investors’ capital allocation outbreak era and the reasons, and provides a reference for readers.
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Lewin, Peter, et Nicolas Cachanosky. « A financial framework for understanding macroeconomic cycles ». Journal of Financial Economic Policy 8, no 2 (3 mai 2016) : 268–80. http://dx.doi.org/10.1108/jfep-07-2015-0041.
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Purpose A comprehensive understanding business cycles needs to account not only for the allocation of resources over time but also for resource allocation across industries at any point in time. But to properly understand how these “time-distortions” take place and how the price mechanisms that drive them work, a clear and well-defined conceptualization of the “average length” of the structure of production is required. The authors use insights provided by Macaulay’s duration and Hicks’s average period to show that financial duration and related concepts have a direct connection to macroeconomic stability. Design/methodology/approach This study uses a theoretical and conceptual approach. It first presents the connection between average period of production and financial duration and then compares and applies this to macroeconomic business cycle theories. Findings This study points to important implications for macroeconomic policy. It not only claims that a low interest rate contributes to the creation of asset bubbles but also shows the market mechanism through which the real sector is affected. The application of financial concepts to macroeconomic cycles shows the price mechanism through which resources are allocated across industries. Originality/value The financial approach we offer to business cycles is fairly unexplored. As such, this paper offers a novel conceptual and theoretical framework for business cycles.
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Ulytskyi, Oleh, Olena Sukhina, Valentyna Antonenko, Nataliia Ryzhenko et Daria Zhavryda. « Methods of Valuation of Ecosystem Assets and their Assimilation Services ». Scientific Horizons 24, no 12 (27 avril 2022) : 70–83. http://dx.doi.org/10.48077/scihor.24(12).2021.70-83.
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An urgent problem of the modern world is the degradation of ecosystems, which requires a radically new approach to assessing and ensuring further, cost-effective use of their potential. However, the value assessment of ecosystem assets (capital) that provide assimilation and other, in particular, oxygen-producing, services to territorial communities has not yet been conducted. It is proved that if ecosystem assets are recognised as the property of territorial communities and the latter are granted the right to dispose of their property (ecosystem assets), the problem of valuation of such assets becomes a priority task. The purpose of the study is to compare scientific approaches to the valuation of ecosystem assets and develop a method for evaluating them, considering the ecosystem services that they provide to territorial communities during their life cycle. The study involves general scientific methods of economic studies and specific ones. The essential features of methods for evaluating a natural resource object are determined, which are the assessment methodology and financial and economic tools used for its practical implementation. Based on this, the analysis is conducted and the substantive features of the method of discounting cash flows (rent valuation method), cost, market prices, hedonistic pricing (price advantages), transport costs, conditional survey method, etc. are established. It is proved that these methods do not meet the requirements of value-market assessment and do not allow for an adequate assessment of the assimilation potential of ecosystems. An ecosystem asset should be considered from the standpoint of environmental safety, so the assessment methods should be different. In view of the above, the most optimal method is proposed: the value of ecosystem assets is determined by the value of the entire complex of assimilation and oxygen-producing services provided by them for their entire life cycle. The author’s method was tested on the example of poplar alley, which is part of Taras Shevchenko Boulevard, located in Kyiv
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Kim, Jiseul. « Don’t Pass Deferred Maintenance Costs to the Next Generation ! The Effects of Politics on State Highway Maintenance Spending ». Public Works Management & ; Policy 27, no 2 (18 octobre 2021) : 127–51. http://dx.doi.org/10.1177/1087724x211047247.
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Routine maintenance spending for public infrastructure is critical for reducing life-cycle costs, and improving asset preservation and quality. Yet, states focus more on building new roads and expansion than maintaining existing assets’ conditions. Deferred maintenance costs are transferred to the future taxpayers, and they will eventually pay the expensive price. So far, there is little academic endeavor to examine the determinants of state and local routine maintenance spending. This study uses a panel data analysis covering 47 states from 1995 to 2009 to examine the effects of politics on state highway routine maintenance spending. The study finds that political incentive and conflict are key factors delaying state highway routine maintenance spending. The re-election-minded governors and legislatures tend to allocate less funding to maintenance to satisfy the current taxpayers. The study further finds that politically-divided states spend less on highway maintenance due to higher transaction costs in the policy-making process.
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Jiang, Xiaochun, Wei Sun, Peng Su et Ting Wang. « The Synergy of Financial Volatility between China and the United States and the Risk Conduction Paths ». Sustainability 11, no 15 (1 août 2019) : 4151. http://dx.doi.org/10.3390/su11154151.
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Based on monthly data of six major financial variables from January 1996 to December 2018, this paper employs a structural vector autoregressive model to synthesize financial conditions indices in China and the United States, investigates fluctuation characteristics and the synergy of financial volatility using a Markov regime switching model, and further analyzes the transmission paths of the financial risk by using threshold regression. The results show that there is an approximately three-year cycle in the financial fluctuations of both China and the United States, and such fluctuations have a distinct asymmetry. Two thresholds were applied (i.e., 0.361 and 0.583), taking the synergy index (SI) as the threshold variable. The impact of the trade factor is significant across all thresholds and is the basis of financial linkages. When the SI is less than 0.361, the exchange rate factor is the main cause of the financial cycle comovement change. As the financial volatility synergy increases, the asset factor and interest rate factor start to become the primary causes. When the level of synergy breaks through 0.583, the capital factor based on stock prices and house price is still the main path of financial market linkage and risk transmission, but the linkage of monetary policy shows a restraining effect on synergy. Therefore, it is necessary to monitor the financial cycle and pay attention to the coordination between countries in terms of policy regulation.
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Kobayashi, Keiichiro, Tomoyuki Nakajima et Masaru Inaba. « COLLATERAL CONSTRAINT AND NEWS-DRIVEN CYCLES ». Macroeconomic Dynamics 16, no 5 (9 janvier 2012) : 752–76. http://dx.doi.org/10.1017/s1365100510000829.
Texte intégralRésumé :
We develop business-cycle models with financial constraints, the driving force of which is news about the future (i.e., changes in expectations). We assume that an asset with fixed supply (“land”) is used as collateral, and firms need to hold collateral to finance their input costs. The latter feature introduces an interaction between the inefficiencies in the financial market and in the factor market. Good news raises the price of land today, which relaxes the collateral constraint. It, in turn, reduces the inefficiency in the labor market. If this force is sufficiently strong, the equilibrium labor supply increases. So do output, investment, and consumption. Our models also generate procyclical movement in Tobin's Q. We also show that when the news turns out to be wrong, the economy may fall into a recession.
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O’Hara, Anthony. « International subprime crisis and recession : Emerging macroprudential, monetary, fiscal and global governance ». Panoeconomicus 58, no 1 (2011) : 1–17. http://dx.doi.org/10.2298/pan1101001o.
Texte intégralRésumé :
This paper scrutinizes technical international policy reactions to the subprime crisis and recession. Short-term policy responses present challenges to the conservative policies of the 1980s-2000s, while long-term structures and issues are likely to redirect governance significantly. Macroprudential policy now includes systemic risk and debt problems arising from booms in the cycle. Monetary policy considers asset price instability as well as inflation. Fiscal policy in practice cannot ignore functional finance. Alternative forms of global money and reducing international payment instabilities are now a core element of policy. While there is still some asymmetry in policy, international financial crises can be useful in moderating ceremonial policy structures.
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Wildani, Muhammad Alfan. « THE EFFECT OF COMMODITY SUPERCYCLE AND DOMESTIC MARKET OBLIGATION ON PROFITABILITY RATIO (NET PROFIT MARGIN, RETURN ON ASSET) CASE STUDY ON COAL MINING ISSUERS IN INDONESIA STOCK EXCHANGE ». International Journal of Financial and Investment Studies (IJFIS) 3, no 2 (27 février 2023) : 63–68. http://dx.doi.org/10.9744/ijfis.3.2.63-68.
Texte intégralRésumé :
The Covid-19 pandemic has resulted in economic paralysis due to the economy and human mobility. This resulted in demand for commodities that occurred simultaneously with conditions that were already improving, causing the supply to be unable to meet demand because the world's industrialized countries continued to boost their economic activities. This led to a very large demand for commodities, opening up coalescing commodities in general which soared simultaneously and formed a super cycle in commodities. Coal commodities that occur very quickly are certainly very profitable for coal mining companies. Based on the results of the regression in the study, it shows an increase in the reference price of coal which in this study uses the price of coal at Newcastle Port. It can be seen that one point of increase in the price of coal will affect an increase of 0.173 in return on assets and 0.111 in the net profit margin of coal mining issuers listed on the Indonesia Stock Exchange. The influence of the independent variable supercycle commodities, which in this study uses coal samples and the Domestic Market Obligation (DMO) policy, proved to have an effect and positive value on the dependent variable.
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Dorokhov, E. V. « Enhancement of the System of Statistical Indicators for Assessing the State and Prospects of Development of the Stock Market ». Voprosy statistiki 29, no 1 (28 février 2022) : 17–27. http://dx.doi.org/10.34023/2313-6383-2022-29-1-17-27.
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The article substantiates the need to improve the system of indicators that meet the requirements of market participants and potential investors in obtaining reliable and comprehensive statistical information on the state and development prospects of the Russian stock market (SM).The analysis of the current state of statistical monitoring of the Russian SM in terms of the misuse of insider information and manipulation of the financial market is carried out, statistical indicators for assessing stock assets and market indices are considered, and the main indicators of volatility and investment indicators related to the financial and economic characteristics of issuing companies are analyzed. According to the author, it is necessary to improve the quality of information on the value of stock assets and stock indices. To accomplish this task, it is proposed to use indicators that can adequately assess the current and forecast value of issuing companies and the degree of manipulation of their market quotations.The author proposes a method of calculating the investment indicator by dividing the price of the stock by its moving average profit for the previous time period equal to the economic cycle. Based on the factual material of the US and Russian stock markets, statistics of the values of this investment indicator, it is shown that it is possible to assess the adequate current and forecast value of stock assets, as well as the degree of their manipulation.The calculated investment indicator shows the adequacy of the market value of companies to their fundamental financial and economic characteristics. The volatility of this indicator for a short period of time is a signal of a possible manipulation with the prices of this stock asset. Therefore, this investment indicator can become an important supplement to the existing system of statistical indicators on the state and development of the Russian SM.
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Morhachov, I. V. « FEATURES OF DIVERSIFICATION AND REBALANCING OF THE SECURITIES PORTFOLIO : ASPECTS OF ORGANIZATION OF INVESTMENT FUNDS ». Economics and Law, no 1 (10 mai 2022) : 98–108. http://dx.doi.org/10.15407/econlaw.2022.01.098.
Texte intégralRésumé :
Features of diversification and formation of individual parts of the securities portfolio, as well as the parameters of bringing it to the planned parameters have a significant impact on investment efficiency and risk. The urgency of rebalancing the securities portfolio in the activities of investment funds has been clarified, as such entities often have a certain policy on the structure of assets and liabilities. The aim of the work is to clarify the features of rebalancing the securities portfolio, which ensure the optimal parameters for the level of return on investment and risk. The need to rebalance the portfolio of securities in the long run due to the objective existence of the life cycle of companies, which determines the importance of timely sale of their shares. The connection between the peculiarities of rebalancing the securities portfolio and the issues of its risk and efficiency is clarified. Features of different types of such rebalancing from the point of view of influence on balance of risk and efficiency are considered. No type of rebalancing can achieve both risk minimization and efficiency maximization. The classification of types of corresponding rebalancing is carried out. The optimality of the type of rebalancing of the securities portfolio depending on the market features is specified: speculative or investments; and the impact of taxation on the intensity of asset purchase and sale transactions was defined. The main disadvantage of this type of rebalancing as profit-taking is a significant increase in taxes and deterioration of the portfolio structure due to the sale of assets, which are constantly rising in price and purchase of bad assets. This type of rebalancing is not optimal for markets (e.g., the US) and stocks that are constantly rising in price, but is appropriate for speculative volatile markets (e.g., China and East Asia) and assets. The main alternative to this type of rebalancing is to record losses or follow a certain index. An example of the practical use of this type is the Vanguard S&P 500 ETF, which completely repeats the structure of the S&P 500 stock index while buying stocks that rise in price and sells, on the contrary, decreased. This type of rebalancing of the securities portfolio is considered optimal for emerging markets and stocks. An alternative to these two types of rebalancing is one that involves the sale of assets only in the event of a loss of fundamental attractiveness. The change of portfolio shares is carried out by purchasing additional assets upon receipt or appearance of cash. However, this almost eliminates the targets of diversification in terms of risk management. Criteria for determining the stage of aging of the company and the time of sale of its shares are proposed. It has been established that holding bonds in a portfolio in order to provide a reserve for acquiring shares at the time of their price fall is advisable only when expecting a nonsystemic crisis, that is, a crisis for an individual asset; in the activities of investment management institutions, the type of rebalancing of the securities portfolio should be a secondary issue, as the economic basis for their economic efficiency in the long run is the selection, purchase and holding of fundamentally attractive shares.
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Andrade, Maria Elisabeth Moreira Carvalho, et Eliseu Martins. « Challenges with the public policy of measuring assets to set tariffs in the electricity sector : should someone benefit and someone be sacrificed ? » Revista Contabilidade & ; Finanças 28, no 75 (20 juillet 2017) : 344–60. http://dx.doi.org/10.1590/1808-057x201703160.
Texte intégralRésumé :
ABSTRACT This paper contributes by encouraging discussions about the public policy of setting tariffs for public services based on the value of the investment made by the providers of these services. The purpose of this study was, in an unprecedented way and by combining theories of equity valuation and finance, to identify the asset valuation method that can lead to a fair value and balance between an affordable price for the consumer and an adequate return on investment for the concessionaires. The value assigned to these assets affects the tariff in two ways: (i) via depreciation/amortization, which affects the cost of service; (ii) via the return on investment, which is the portion that corresponds to the investor’s profit. We analyzed the Brazilian electricity sector, in which the rates set by the Brazilian Electricity Regulatory Agency (ANEEL) currently use the new replacement value (NRV) approach. We carried out empirical tests using data available on the ANEEL website from the second cycle periodic tariff review and information obtained in financial statements from 1995 onwards. The analysis included the NVR and restated historical cost (RHC) methods, the latter being updated by the extended consumer price index (IPCA). After the descriptive and statistical analyses, we used the test of means to verify the differences between the variables in terms of NRV vs. RHC. The first conclusion was the absence of a significant difference between the NRV and RHC methods; that is, on average, the replacement price showed no significant difference to what would be the pure and simple restatement of assets. But this was found to hide something relevant, the fact that this average is derived from two main groups: that of the consumers who are paying more for energy services than they should, which constitutes a visible benefit to investors and loss for these consumers, and that of the consumers who are paying less than they should, which benefits them but harms investors.
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Scofield, David, et Steven Devaney. « What sells in a crisis ? Determinants of sale probability over a cycle and through a crash ». Journal of Property Investment & ; Finance 35, no 6 (4 septembre 2017) : 619–37. http://dx.doi.org/10.1108/jpif-02-2017-0013.
Texte intégralRésumé :
Purpose The purpose of this paper is to understand what affects the liquidity of individual commercial real estate assets over the course of the economic cycle by exploring a range of variables and a number of time periods to identify key determinants of sale probability. Design/methodology/approach Analyzing 12,000 UK commercial real estate transactions (2003 to 2013) the authors use an innovative sampling technique akin to a perpetual inventory approach to generate a sample of held assets for each 12 month interval. Next, the authors use probit models to test how market, owner and property factors affect sale probability in different market environments. Findings The types of properties that are most likely to sell changes between strong and weak markets. Office and retail assets were more likely to sell than industrial both overall and in better market conditions, but were less likely to sell than industrial properties during the downturn from mid-2007 to mid-2009. Assets located in the City of London more likely to sell in both strong and weak markets. The behavior of different groups of owners changed over time, and this indicates that the type of owner might have implications for the liquidity of individual assets over and above their physical and locational attributes. Practical implications Variation in sale probability over time and across assets has implications for real estate investment management both in terms of asset selection and the ability to rebalance portfolios over the course of the cycle. Results also suggest that sample selection may be an issue for commercial real estate price indices around the globe and imply that indices based on a limited group of owners/sellers might be susceptible to further biases when tracking market performance through time. Originality/value The study differs from the existing literature on sale probability as the authors analyzed samples of transactions drawn from all investor types, a significant advantage over studies based on data restricted to samples of domestic institutional investors. As well, information on country of origin for buyers and sellers allows us to explore the influence of foreign ownership on the probability of sale. Finally, the authors not only analyze all transactions together, but the authors also look at transactions in five distinct periods that correspond with different phases of the UK commercial real estate cycle. This paper considers the UK real estate market, but it is likely that many of the findings hold for other major commercial real estate markets.
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Lillerovde, Egil, Bill Sullivan et Arvind Chetty. « Risk-based coating maintenance : an integrated program ». APPEA Journal 51, no 2 (2011) : 728. http://dx.doi.org/10.1071/aj10108.
Texte intégralRésumé :
The integration of a cost-effective coating management plan into an asset integrity system is essential in ensuring asset longevity. The success of any corrosion management program relies on condition monitoring and quality auditing. Monitoring activities also contribute to maintenance plan feedback ensuring continuous improvement in corrosion management activities. It is recognised that there are many ways to organise and operate successful corrosion management programs, each of which is asset specific and depends on factors such as: Design. Stage in the life cycle. Process conditions. Operational history. AGR defines corrosion management as: “…the part of the overall management system that is concerned with the development, implementation, review and maintenance of the corrosion policy.” AGR corrosion management programs use a combination of risk-based Inspection technologies and traditional restorative maintenance activities. SOLVTM, a unique product from AGR Field Operations, is used for the management of fabric maintenance (surface coatings, insulation, passive fire protection, pipe and cable penetrations).Long-term plans: 5-year plans or longer based on client requirements. Prioritising areas and recommended maintenance intervals. Cost estimates and scope of work. Estimated condition development. Application: Treatment of component surfaces (coatings). Passive fire protection. Quality control. The benefits of the SOLVTM concept can be summarised as: Information regarding condition of maintenance objects. Preparation of fixed price maintenance plan and workpacks. Condition control through survey and audit. Cost control via quantified scope. Maintenance budget inputs for 5-year plan. Documented cost savings of 20–50 % have been realised where SOLVTM has been introduced and been used for long-term corrosion management.
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Lugachev, M. I., N. V. Ulianova et K. G. Skripkin. « New Approaches to the Interpretation of Balance in the Digital Economy ». Statistics and Economics 17, no 3 (30 juin 2020) : 25–36. http://dx.doi.org/10.21686/2500-3925-2020-3-25-36.
Texte intégralRésumé :
The purpose of the article is to theoretically prove the possibility of generating forecast information in the balance-sheet regarding profit indicators, net inflow of operating money and financial capital. According to the authors, the system of these indicators is revealed in dynamics, thus reflecting the impact of profit on the financial condition of the organization. A logical and accounting balance-sheet relationship is established between actual and forecast indicators that characterize the financial condition in the past and future. By analyzing the processes in the operating cycle, the economic and financial feasibility of operating profit as a net cash flow from operating activities is theoretically proved. Based on the process approach and the induction method, the indicator of operating profit is included in the valuation of the asset and liability side of the balance-sheet, thereby developing the valuation method and forming a new forecast model of balance-sheet generalizations. The content of the forecast model of balance is described in the form of a balance equation. The obtained theoretical conclusions are verified experimentally.As a result, the asset of the balance-sheet reflects the process of transforming the value of operational resources into their selling price, and the forecast operating profit is generated in the liability side of the balance-sheet, which relates to assets and liabilities recognized in accounting at the current time. Cost parameter and value index are introduced, which characterize the indicators of income and expenses as the transformation of operational resources. Any change in the cost of resources used and the possible price (value) of their sale is reflected in the balance-sheet and affects the change in the estimate of forecast operating profit in real time. At the same time, due to the simultaneous recognition in the balance-sheet of actual and forecast estimates of assets and liabilities and the indicator of forecast operating profit, the indicator of financial capital receives a new interpretation. If we compare the value of assets and accounts payable, then financial capital characterizes the security of operating activities with own sources of financing in the past. If we compare the selling price of assets and account payable, then financial capital shows the forecast for repayment of account payable at the expense of own funds in the future. Consequently, the transition from actual to forecast estimates in the balance-sheet reveals the process of the circulation of operating capital and shows how much profit is provided by investments in working stocks made in the past. Due to the double recording method, any forecast estimates can be verified by the user, which increases the reliability of the forecast information in the balance-sheet.In fact, the balance-sheet is interpreted as a new method of analysis and forecasting of financial and economic indicators characterizing the activities of the organization. At the same time, it is not necessary to perform additional analytical calculations, forecast operating profit and analysis of its impact on financial capital can be carried out in real time as often as accounting entries are made that affect the change in working capital.
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Ong, Zhi Chao, Ee Teng Yap, Zubaidah Ismail et Shin Yee Khoo. « Assessment on Structural Integrity of In-service Machine Using De-noised Vibrational Modal Data and Artificial Neural Network ». MATEC Web of Conferences 237 (2018) : 03002. http://dx.doi.org/10.1051/matecconf/201823703002.
Texte intégralRésumé :
The recent oil price drop creates a demand for swift action within oil and gas industry to shift focus from increasing daily production rates, to optimizing existing assets in achieving growth. Industrial machinery, one of the industry’s key asset many times failed due to high amplitude vibration that contributes to accelerated wear and tear and subsequently results in high cycle fatigue failure. As such there is a need to develop a structural integrity assessment for in–service machinery for continuous and safe operation. Vibration–based method such as Experimental Modal Analysis (EMA) is widely used for damage detection on civil and piping system under stationary environment. However, in industrial applications, system shutdown is very costly. EMA is also undesirable in this case due to the dominant ambient and system disturbances on the in–service system. An alternative method called Impact-Synchronous Modal Analysis (ISMA) is developed to perform modal analysis under noisy environment. Applying the ISMA technique in de-noising the non–synchronous disturbances at upstream could generate a cleaner and static–like modal data downstream for analysis. Artificial Neuron Networks (ANN) is then applied extensively in structural damage identification purposes based on changes in modal data due to its excellent pattern recognition ability. By leveraging on the latest technologies, i.e. ISMA and ANN as proposed, it allows real–time monitoring of assets, in this case, the machines, as well as the ability to transform continuous streams of data into useful information to predict damages.
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Xu, Tengfei, Zhichao Wang, Zhimin Han, Mengdi Zhang, Jingcheng Liu et Shixiao Chang. « A Quantitative Trading Strategy Based on A Position Management Model ». Academic Journal of Science and Technology 2, no 1 (14 juillet 2022) : 82–93. http://dx.doi.org/10.54097/ajst.v2i1.901.
Texte intégralRésumé :
With the rapid development of economic globalization, various financial products have appeared in the domestic and foreign financial markets. How to adopt ideal trading strategies to meet the demands of market traders for high returns and low risks has become the focus of investors and the research goal of scholars. In order to solve this problem, this paper establishes a quantitative trading strategy based on the position management model.First, we performed price forecasting for gold and bitcoin based on the Time-series ARIMA method. A differential autoregressive moving average model was developed for the price data of gold and bitcoin at different cycle times, respectively, and used to predict the price of the next trading day. Error analysis was performed with the actual prices, and it was found that the prediction error was the smallest when the data was 60 days, and the relative error of the average prediction value (APV) could be controlled at 0.003016.Then, we establish a quantitative trading strategy based on the position management model. We use the Apriori algorithm of Association rules to study the rising and falling rules of gold and bitcoin assets. According to the rule of " High throw bargain - hunting" in the investment market, we established a position management model and achieved dynamic and stable returns. After the model is established, we continue to introduce the evaluation indexes of the investment value of financial assets, among which the first-class indexes are profitability and safety. We use the Analytic Hierarchy Process (AHP) to determine the weight of each evaluation index, and allocate the daily trading investment through the ratio of two asset evaluation indexes. This quantitative trading strategy, based on the position management model of AHP, can not only stabilize the income but also avoid risks, reaching a quantitative trading strategy with an annualized rate of return of 25%. On September 10th, 2021, the accumulated income could reach 223,640.58 USD.Further, we evaluate the profitability and risk resistance of the strategy using Principal component analysis. Model validation was performed by varying the parameter values and selecting the parameters that yielded a locally optimal solution, which was found to be consistent with our initial parameters and was proof of the optimal solution of the model.Finally, we conducted a sensitivity analysis of the model. The two variable parameters of initial commission fluctuation and investment principal of gold and bitcoin are varied up and down respectively, and the results show that as the initial commission increases or the principal decreases, the number of trades under this strategy gradually decreases and the trading return gradually decreases, and the sensitivity curve shows that the model is sensitive and meets expectations.
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Anderson, Anne, Everard J. Cowan et Karen C. Denning. « Human Capital Reorganizations and Market Performance : U.S. Firms ». Business and Economic Research 5, no 2 (13 août 2015) : 97. http://dx.doi.org/10.5296/ber.v5i2.7878.
Texte intégralRésumé :
This empirical examination of human capital reorganizations uses Standard and Poor’s large, mid and small cap firms and demonstrates that the typical market response is suggestive of what casual empiricism would suggest: firms undertake work force reductions in periods of poor performance. Though the average firm experiences negative price impacts, nearly half (45%) do not. Firm size and technological intensity matter in impacting the negative abnormal results. Bankruptcy potential and financial distress do not appear to be significant indicators. The peace dividend following the Cold War (1992-1997), white collar outsourcing (1995-2009) and the savings and loan crash (1985-1995) have a dampening effect on the market response to layoffs and other human capital restructurings. Regulatory change and changes in foreign competition have a minor impact. During business cycle downturns our sample has a smaller response to layoff announcements. Offshoring and financing changes intensify the market effect whereas asset changes have a positive impact. Changes in business focus and changes in technology seem to have no impact on the market response to layoffs decisions.
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Guthrie, Graeme. « Regulating Infrastructure : The Impact on Risk and Investment ». Journal of Economic Literature 44, no 4 (1 novembre 2006) : 925–72. http://dx.doi.org/10.1257/jel.44.4.925.
Texte intégralRésumé :
The last thirty years have witnessed a fundamental change in the regulation of infrastructure industries. Whereas firms were subject to rate of return regulation and protected from entry in the past, they now face various forms of incentive regulation, competition is actively promoted by many regulators, and both regulators and the firms they regulate must often confront rapid technological progress. This paper surveys the literature on the investment implications of different regulatory schemes, highlighting the relevance of modern investment theory, which puts risk and intertemporal issues, such as the irreversibility of much infrastructure investment, center stage. It discusses the impact on regulated monopolists' investment behavior of key regulatory characteristics, namely the price flexibility allowed by the regulator, the length of the regulatory cycle, and the costs the regulator will allow the firm to recover at future regulatory hearings. It also considers the impact of competition, especially the situation where a vertically integrated firm has its operation of a bottleneck asset regulated, on investment by regulated firms and their competitors.
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Kim, Sungsoo, et Brandon byunghwan Lee. « The value relevance of capital expenditures and the business cycle ». Studies in Economics and Finance 35, no 3 (6 août 2018) : 386–406. http://dx.doi.org/10.1108/sef-03-2017-0063.
Texte intégralRésumé :
Purpose This paper aims to clarify the relationship between corporate capital investments and business cycles. Specifically, a major purpose of this paper is to investigate whether there are inherent differences in corporate investment patterns and whether the stock market exhibits different reactions to the value relevance of capital expenditures across different business conditions. Design/methodology/approach The authors use pooled ordinary least square regressions with archival stock price data and financial data from CRSP and Compustat. The authors regress buy and hold returns on the main test variables and control variables that are identified to be related to the investment literature. Findings This paper provides empirical evidence that US firms’ capital expenditures are more value relevant to capital market participants during expansionary business cycles and, conversely, less value relevant during contractionary business cycles. This evidence validates previous literature that has found the information content of capital expenditures to be uncertain and cyclical in nature. Research limitations/implications The main limitation of this paper, as with other work dealing with stock returns and archived financial data, is that the authors try to match stock returns with contemporaneous financial data in an association study context. The precise mapping in this methodology is always challenging and has been questioned in the literature. Practical implications This paper has various implications for capital market participants. Capital expenditures are good news for investors, but they will make a better investment when firms make capital investments during an expansionary period. Creditors deciding whether to extend credit to firms would benefit from more accurate information on the viability of long-term investment. The results also suggest to creditors that an excessive number of loans during the contractionary period may be suboptimal because firms’ returns on capital investment are smaller in that period than in the expansionary period. Social implications Given the valuation of implications of long-term capital investments across different business conditions, this paper sheds light on asset allocations for mutual funds, institutional investors who are entrusted with investors’ investments including retirement funds. Originality/value This paper fulfils an identified need to study how capital investments are valued differently across different business conditions.
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Moon, Soojae. « The “Backus-Smith” puzzle, non-tradable output, and international business cycles ». Studies in Economics and Finance 33, no 4 (3 octobre 2016) : 532–52. http://dx.doi.org/10.1108/sef-01-2015-0033.
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Purpose This paper aims to examine the effects of adding non-tradable sector and trade in intermediate goods sector and their impact on the “Backus-Smith” (BS) puzzle and the features of the non-tradable output. Conventional international real business cycle models show that the real exchange rate and the terms of trade are positively correlated to the relative consumption movement between the home and foreign economies when there is a total factor productivity shock, whereas the correlation in the data is negative. The author develops a two-country, dynamic, stochastic and general equilibrium (DSGE) model with staggered price setting in the non-tradable sector and international trade in intermediate goods sector because of product differentiation in a high-asset market frictions situation. Design/methodology/approach In this paper, DGSE simulation and calibration are performed using Matlab with Dynare. Findings When the world economy has positive country-specific productivity shock, the benchmark model with non-tradable sector and intermediate goods sector successfully solves the BS puzzle and is able to match several features of the data. The dynamic responses to productivity shock show that integrating product differentiation is necessary to generate a more volatile and counter-cyclical non-tradable output. Originality/value The paper investigates the effects of incorporating non-tradable sector and trade in interemediate goods sector to standard two-country DSGE model through simulation and calibration.
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Singh, Vipul Kumar. « Pricing competitiveness of jump-diffusion option pricing models : evidence from recent financial upheavals ». Studies in Economics and Finance 32, no 3 (3 août 2015) : 357–78. http://dx.doi.org/10.1108/sef-08-2012-0099.
Texte intégralRésumé :
Purpose – The purpose of this paper is to investigate empirically the forecasting performance of jump-diffusion option pricing models of (Merton and Bates) with the benchmark Black–Scholes (BS) model relative to market, for pricing Nifty index options of India. The specific period chosen for this study canvasses the extreme up and down limits (jumps) of the Indian capital market. In addition, equity markets keep on facing high and low tides of financial flux amid new economic and financial considerations. With this backdrop, the paper focuses on finding an impeccable option-pricing model which can meet the requirements of option traders and practitioners during tumultuous periods in the future. Design/methodology/approach – Envisioning the fact, the all option-pricing models normally does wrong valuation relative to market. For estimating the structural parameters that governs the underlying asset distribution purely from the underlying asset return data, we have used the nonlinear least-square method. As an approach, we analyzed model prices by dividing the option data into 15 moneyness-maturity groups – depending on the time to maturity and strike price. The prices are compared analytically by continuously updating the parameters of two models using cross-sectional option data on daily basis. Estimated parameters then used to figure out the forecasting performance of models with corresponding BS and market – for pricing day-ahead option prices and implied volatility. Findings – The outcomes of the paper reveal that the jump-diffusion models are a better substitute of classical BS, thus improving the pricing bias significantly. But compared to jump-diffusion model of Merton’s, the model of Bates’ can be applied more uniquely to find out the pricing of three popularly traded categories: deep-out-of-the-money, out-of-the-money and at-the-money of Nifty index options. Practical implications – The outcome of this research work reveals that the jumps are important components of pricing dynamics of Nifty index options. Incorporation of jump-diffusion process into option pricing of Nifty index options leads to a higher pricing effectiveness, reduces the pricing bias and gives values closer to the market. As the models have been tested in extreme conditions to determine the dominant effectuality, the outcome of this paper helps traders in keeping the investment protected under normal conditions. Originality/value – The specific period chosen for this study is very unique; it canvasses the extreme up and down limits (jumps) of the Indian capital market and provides the most apt situation for testifying the pricing competitiveness of the models in question. To testify the robustness of models, they have been put into a practical implication of complete cycle of financial frame.
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Gourio, François. « Disaster Risk and Business Cycles ». American Economic Review 102, no 6 (1 octobre 2012) : 2734–66. http://dx.doi.org/10.1257/aer.102.6.2734.
Texte intégralRésumé :
Motivated by the evidence that risk premia are large and countercyclical, this paper studies a tractable real business cycle model with a small risk of economic disaster, such as the Great Depression. An increase in disaster risk leads to a decline of employment, output, investment, stock prices, and interest rates, and an increase in the expected return on risky assets. The model matches well data on quantities, asset prices, and particularly the relations between quantities and prices, suggesting that variation in aggregate risk plays a significant role in some business cycles. (JEL E13, E32, E44, G32)
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Chang, Yuan. « Financial Soundness Indicator, Financial Cycle, Credit Cycle and Business Cycle－Evidence from Taiwan ». International Journal of Economics and Finance 8, no 4 (23 mars 2016) : 166. http://dx.doi.org/10.5539/ijef.v8n4p166.
Texte intégralRésumé :
<p>Business cycle is the repeated expansions (from trough to peak) and contractions (from peak to trough) of real economic activity. Credit cycle is the cyclical process of the bank credit, ranging from short/long-term, loan to enterprise and loan to individual. Financial cycle reflects ups and downs in asset prices and financial institution's balance sheet. This paper examines the linkage among cycles as well as their lead-lag relationship. Theoretically, credit cycle is one of reasons driving business cycle, and financial cycle is a fundamental cause of credit cycle. Based on Taiwan’s quarterly data, this paper firstly identifies cyclical behavior of indicators of real economic activity, bank credit and assets prices in recent decade by defining expansion phases and contraction phases of cyclical variables. Second, this paper calculates concordance index to examine the degree of synchronization among cycles. Third, while the soundness for assets and liabilities of financial institution may drive financial cycle, this paper employs IMF’s Financial Soundness Indicator (FSI) as predictor of expansion and contraction phase of cyclical variables. Specifically, the paper assesses the health of bank’s balance sheet variables by Probit estimation on linkage between FSIs and expansion/contraction phase of cycle. Based on empirical evidence, the knowledge about the extent of assets/liability condition of financial institution corresponding to the expansion and contraction phase of financial, credit and business cycle is enhanced. Authority concerning about financial stability should oversight the performance of FSIs and then engage in prompt corrective actions when the level and volatility of those indicators sharply.</p>
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Omoke, Victor, Obioma R. Nwaogbe, Abraham Pius, Stella M. Ayam et Husam Helmi. « Analytical Study of Fleet Management and Vehicle Replacement Model : Evidence from the Nigerian National Petroleum Cooperation Headquarter Abuja ». Cross-Currents : An International Peer-Reviewed Journal on Humanities & ; Social Sciences 4, no 4 (27 août 2018) : 87–97. http://dx.doi.org/10.36344/ccijhss.2018.v04i04.008.
Texte intégralRésumé :
This study focuses on improving the operational performance of transport services in Nigeria by examining the economic life cycle of the vehicles in Nigerian National Petroleum Cooperation (NNPC). Data were collected on vehicle numbers, make, price, year of purchase and maintenance costs. Using Vehicle Replacement and Maintenance Model (VRMM) for the analysis. The study found that Toyota Hilux (T/Hilux) has economic life span of six years, while both Corolla T/Coaster and Skoda Superb have economic life span of eight years. Lastly, T/Camry and Honda Pilot should be replaced after nine years. Also, it is discovered that the NNPC vehicles were used to the end of their life spans. In the asset management principle, this practice is an economic wastage i.e. waste of resources and this issue need to be addressed. In view of the findings in this research work, the following recommendations are explained; the land transport department of NNPC should derive a policy of using their vehicles to its economic life span thereby preventing economic wastage, and NNPC fleet managers should be able to set apart a certain amount every year to make replacement easy. For example, 15% of inflation rate can be set apart every year for each vehicle.
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Bidabad, Bijan. « Interest-Free Treasury Bonds (IFTB) ». International Journal of Shari'ah and Corporate Governance Research 2, no 2 (8 juin 2019) : 13–21. http://dx.doi.org/10.46281/ijscgr.v2i2.306.
Texte intégralRésumé :
Purpose: Although the treasury bill is the most important monetary instrument in central banking, its application in different phases of the business cycle, especially in a liquidity trap, is not working well. To remove this obstacle “Interest-Free Treasury Bond” (IFTB) is introduced as a substitute for conventional treasury bills.
Design: IFTB is a valuable paper which is issued by government treasury through a barter contract and is sold to central or commercial banks. The issuer is a debtor to the holder and has to pay back the nominal value at maturity; in addition, the issuer is committed to lending a similar amount of money to the paper holder for an equal period. Zero interest rate is nominated for lending and borrowing.
Finding: IFTB is a zero-coupon, asset-backed note with no interest and is designed upon “debt equal to future loan”, or “loan equal to future debt” with “time-withdrawal right”. The paper holder can supply and transact her bond in the secondary market at a competitive price.
Practical implication: It can be used as a substitute for conventional treasury bills. All conventional and non-usury systems can implement IFTB.
JEL: E43, E44, E52, E58, E62, E63
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Chen, Xi, et Michael Funke. « Real-Time Warning Signs of Emerging and Collapsing Chinese House Price Bubbles ». National Institute Economic Review 223 (février 2013) : R39—R48. http://dx.doi.org/10.1177/002795011322300105.
Texte intégralRésumé :
The recent increase in Chinese house prices has led to concerns that China is vulnerable to asset price shocks. In this paper, we apply recently developed recursive unit root tests to spot the beginning and the end of potential speculative bubbles in Chinese house price cycles. Overall, we find that except for 2009–10 actual house prices are not significantly disconnected from fundamentals. Thus, the evidence for speculative house price bubbles in China is in general weak.
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Carli, Francesco, et Leonor Modesto. « ENDOGENOUS CREDIT AND INVESTMENT CYCLES WITH ASSET PRICE VOLATILITY ». Macroeconomic Dynamics 22, no 7 (15 juin 2017) : 1859–74. http://dx.doi.org/10.1017/s1365100516000912.
Texte intégralRésumé :
It is commonly accepted that credit market frictions are an important source of macroeconomic fluctuations. But what is the link between the two? And what is the driving factor of asset prices volatility? To answer these questions, we have introduced a specific credit friction, limited commitment, in a general equilibrium model with production and investment in productive capital, where agents can trade bonds. The model always displays a stationary equilibrium where bonds are traded. More importantly, limited commitment may generate stochastic endogenous fluctuations driven by self-fulfilling volatile expectations (sunspots), yielding credit and investment cycles and bond price volatility consistent with data.
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Jinnai, Ryo. « Innovation, product cycle, and asset prices ». Review of Economic Dynamics 18, no 3 (juillet 2015) : 484–504. http://dx.doi.org/10.1016/j.red.2014.10.002.
Texte intégral
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Adam, Klaus, Albert Marcet et Johannes Beutel. « Stock Price Booms and Expected Capital Gains ». American Economic Review 107, no 8 (1 août 2017) : 2352–408. http://dx.doi.org/10.1257/aer.20140205.
Texte intégralRésumé :
Investors' subjective capital gains expectations are a key element explaining stock price fluctuations. Survey measures of these expectations display excessive optimism (pessimism) at market peaks (troughs). We formally reject the hypothesis that this is compatible with rational expectations. We then incorporate subjective price beliefs with such properties into a standard asset-pricing model with rational agents (internal rationality). The model gives rise to boom-bust cycles that temporarily delink stock prices from fundamentals and quantitatively replicates many asset-pricing moments. In particular, it matches the observed strong positive correlation between the price dividend ratio and survey return expectations, which cannot be matched by rational expectations. (JEL D83, D84, G12, G14)