This paper first reviews the trade structure between China and the Republic of Korea (hereafter referred as Korea) and the two countries’ international capital flow. Then it discusses the effect of the Federal Reserve rate on UIP in both China and Korea, which turns out to be uninfluential through our analysis. Then we use VAR model and the extended model, the multivariate GARCH-DCC model to examine interaction between different factors. The result shows that positive-legged equity return would induce outflow and flow positively affects equity return. Sharp offshore RMB devaluation would cause domestic market plummets and higher legged spread means higher carry trade return. Besides, in the respect of capital control effects, offshore RMB devaluation would cause spread to be wider because of inelasticity of the onshore RMB rate. Carry trade return has positive and significant intercept. Finally, we argue that although the appreciation of USD has little impact on bilateral trade between China and Korea in short time, in long run, currency risk exists and it may cause significant fluctuations in the trade. We suggest that China and Korea should gradually use local currency to price their trade.
{"title":"The Effect of Changes in the U.S. Monetary Policy on China's Capital Market Stability and Trade between China and Korea","authors":"Jianhua Gang, Zongxin Qian, Chao Zhang, Jiarui Zhang","doi":"10.2139/ssrn.2783547","DOIUrl":"https://doi.org/10.2139/ssrn.2783547","url":null,"abstract":"This paper first reviews the trade structure between China and the Republic of Korea (hereafter referred as Korea) and the two countries’ international capital flow. Then it discusses the effect of the Federal Reserve rate on UIP in both China and Korea, which turns out to be uninfluential through our analysis. Then we use VAR model and the extended model, the multivariate GARCH-DCC model to examine interaction between different factors. The result shows that positive-legged equity return would induce outflow and flow positively affects equity return. Sharp offshore RMB devaluation would cause domestic market plummets and higher legged spread means higher carry trade return. Besides, in the respect of capital control effects, offshore RMB devaluation would cause spread to be wider because of inelasticity of the onshore RMB rate. Carry trade return has positive and significant intercept. Finally, we argue that although the appreciation of USD has little impact on bilateral trade between China and Korea in short time, in long run, currency risk exists and it may cause significant fluctuations in the trade. We suggest that China and Korea should gradually use local currency to price their trade.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"101 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124003570","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The Joint United Nations Programme on AIDS (UNAIDS) encourages governments to use the Modes of Transmission (MOT) model to estimate numbers of infections from various risks and thereby to guide HIV prevention efforts. A simple design error in the model – ignoring frequent sero-concordance among spouses – hugely inflates estimates of infections from spouses. Applications of the model to Uganda and Swaziland illustrate the impact of this error. For Uganda, using survey-based data on sero-discordance in couples cuts estimated annual spouse-to-spouse transmission from 60,948 to 30,000; with this change, the revised MOT model – considering infections from all risks – estimates only 51% of incidence needed to explain Uganda’s epidemic trajectory. For Swaziland, using data on sero-discordance in couples cuts annual spouse-to-spouse HIV transmission from 9,166 to 3,900, and the revised model estimates only 47% of infections needed to explain Swaziland’s epidemic trajectory. This error has similar impacts on MOT estimates for other African countries. Several design errors in the MOT model can be fixed. However, even with a revised design, the model’s dependence on unreliable data (numbers of risk events) and parameters (transmission per event) leads to unreliable estimates. To guide HIV prevention efforts, more reliable information about modes of transmission is and can be available from prospective studies of risks for incident infections and investigations that trace infections.
{"title":"UNAIDS’ Modes of Transmission Model Misinforms HIV Prevention Efforts in Africa's Generalized Epidemics","authors":"D. Gisselquist","doi":"10.2139/ssrn.2315554","DOIUrl":"https://doi.org/10.2139/ssrn.2315554","url":null,"abstract":"The Joint United Nations Programme on AIDS (UNAIDS) encourages governments to use the Modes of Transmission (MOT) model to estimate numbers of infections from various risks and thereby to guide HIV prevention efforts. A simple design error in the model – ignoring frequent sero-concordance among spouses – hugely inflates estimates of infections from spouses. Applications of the model to Uganda and Swaziland illustrate the impact of this error. For Uganda, using survey-based data on sero-discordance in couples cuts estimated annual spouse-to-spouse transmission from 60,948 to 30,000; with this change, the revised MOT model – considering infections from all risks – estimates only 51% of incidence needed to explain Uganda’s epidemic trajectory. For Swaziland, using data on sero-discordance in couples cuts annual spouse-to-spouse HIV transmission from 9,166 to 3,900, and the revised model estimates only 47% of infections needed to explain Swaziland’s epidemic trajectory. This error has similar impacts on MOT estimates for other African countries. Several design errors in the MOT model can be fixed. However, even with a revised design, the model’s dependence on unreliable data (numbers of risk events) and parameters (transmission per event) leads to unreliable estimates. To guide HIV prevention efforts, more reliable information about modes of transmission is and can be available from prospective studies of risks for incident infections and investigations that trace infections.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129458400","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2015-12-01DOI: 10.5089/9781513570655.001
Serkan Arslanalp, T. Tsuda
Portfolio flows to emerging markets (EMs) tend to be correlated. A possible explanation is the role global benchmarks play in allocating capital internationally, the so-called 'benchmark effect.' This paper finds that benchmark-driven investors indeed play a large role in a key segment of the market-the EM local currency government bond market-, accounting for more than one third of total foreign holdings as of end-2014. We find that the prominence of these investors declined somewhat after the May 2013 taper tantrum, but remain high. This distinction is important in understanding the drivers of EM capital flows and their sensitivity to different types of shocks. In particular, a high share of benchmark-driven investors may result in capital flows that are more sensitive to global shocks and less sensitive to country factors.
{"title":"Emerging Market Portfolio Flows: The Role of Benchmark-Driven Investors","authors":"Serkan Arslanalp, T. Tsuda","doi":"10.5089/9781513570655.001","DOIUrl":"https://doi.org/10.5089/9781513570655.001","url":null,"abstract":"Portfolio flows to emerging markets (EMs) tend to be correlated. A possible explanation is the role global benchmarks play in allocating capital internationally, the so-called 'benchmark effect.' This paper finds that benchmark-driven investors indeed play a large role in a key segment of the market-the EM local currency government bond market-, accounting for more than one third of total foreign holdings as of end-2014. We find that the prominence of these investors declined somewhat after the May 2013 taper tantrum, but remain high. This distinction is important in understanding the drivers of EM capital flows and their sensitivity to different types of shocks. In particular, a high share of benchmark-driven investors may result in capital flows that are more sensitive to global shocks and less sensitive to country factors.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"91 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133640339","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper analyses the main statistical properties of the Emerging Market Bond Index (EMBI), namely long-range dependence or persistence, non-linearities, and structural breaks, in four Latin American countries (Argentina, Brazil, Mexico, Venezuela). For this purpose it uses a fractional integration framework and both parametric and semiparametric methods. The evidence based on the former is sensitive to the specification for the error terms, whilst the results from the latter are more conclusive in ruling out mean reversion. Further, non-linearities do not appear to be present. Both recursive and rolling window methods identify a number of breaks. Overall, the evidence of long-range dependence as well as breaks suggests that active policies might be necessary for achieving financial and economic stability in these countries.
{"title":"The EMBI in Latin America: Fractional Integration, Non-Linearities and Breaks","authors":"G. Caporale, Hector Carcel, L. Gil‐Alana","doi":"10.2139/ssrn.2698029","DOIUrl":"https://doi.org/10.2139/ssrn.2698029","url":null,"abstract":"This paper analyses the main statistical properties of the Emerging Market Bond Index (EMBI), namely long-range dependence or persistence, non-linearities, and structural breaks, in four Latin American countries (Argentina, Brazil, Mexico, Venezuela). For this purpose it uses a fractional integration framework and both parametric and semiparametric methods. The evidence based on the former is sensitive to the specification for the error terms, whilst the results from the latter are more conclusive in ruling out mean reversion. Further, non-linearities do not appear to be present. Both recursive and rolling window methods identify a number of breaks. Overall, the evidence of long-range dependence as well as breaks suggests that active policies might be necessary for achieving financial and economic stability in these countries.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134589972","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper explores the possible linkages between Shanghai and Bombay stock markets, accounting for complimentarity (through direct linkages) and substitutability (through indirect linkages) features between China and India to confirm real linkages in physical world. We employ a Dynamic OLS estimation proposed by Stock and Watson (1994) to estimate long run relationship between two variables. Considering the long memory feature of financial data, we apply the ARFIMA regression to our cointegrated residual derived from Dynamic OLS estimation. While differencing cointegrated residual with fractionally integrated order of d value, we estimate the long term and short dynamic relations of index returns in two stock markets, with the help of VECM equation. Furthermore, we apply a DCC-MGARCH model to analyze ARCH effect, GARCH effect, and volatility transmission between two stock markets. We use Quantile regression approach to study dependence structure and intensity at different quantiles between two markets. Dummy variables are taken to distinguish pre-crisis periods and in crisis, post-crisis periods.
{"title":"Empirical Analyses of Linkages between Shanghai and Bombay Stock Markets","authors":"Li Zhongwu","doi":"10.2139/ssrn.2677484","DOIUrl":"https://doi.org/10.2139/ssrn.2677484","url":null,"abstract":"This paper explores the possible linkages between Shanghai and Bombay stock markets, accounting for complimentarity (through direct linkages) and substitutability (through indirect linkages) features between China and India to confirm real linkages in physical world. We employ a Dynamic OLS estimation proposed by Stock and Watson (1994) to estimate long run relationship between two variables. Considering the long memory feature of financial data, we apply the ARFIMA regression to our cointegrated residual derived from Dynamic OLS estimation. While differencing cointegrated residual with fractionally integrated order of d value, we estimate the long term and short dynamic relations of index returns in two stock markets, with the help of VECM equation. Furthermore, we apply a DCC-MGARCH model to analyze ARCH effect, GARCH effect, and volatility transmission between two stock markets. We use Quantile regression approach to study dependence structure and intensity at different quantiles between two markets. Dummy variables are taken to distinguish pre-crisis periods and in crisis, post-crisis periods.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129578816","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
While large businesses have resumed international trade at levels seen before the financial crisis, small- and medium-sized enterprises (SMEs) have not fared as well. For these firms — the backbone of economies everywhere — growth is impeded by the limited availability of bank loans to finance trade. The problem is especially acute for SMEs in Asia, the world’s largest trading region and the one most reliant on trade finance.This report points out the major impediments to financing in the region and recommends regulatory and procedural changes. It assesses the state of trade finance in Asia, paying particular attention to the ASEAN countries and the needs of SMEs. It emphasizes that to succeed, regional efforts to integrate trade law and procedures must be combined with the replacement of paper documents with electronic transactions, as well as standardized procedures across countries.For investors, the use of trade receivable assets, through securitization or direct investment, could be an attractive alternative in an environment of low interest rates. They offer appealing alpha yields, consistent returns, low volatility, “real economy” investment, and lower default rates than other interest-based assets. Also, the behavior of these assets can be uncorrelated to the market, offering portfolio risk diversification.
{"title":"Trade Finance: A Catalyst for Growth in Asia","authors":"C. Lopez, Stephen F. Lin, Jakob Wilhelmus","doi":"10.2139/ssrn.2667928","DOIUrl":"https://doi.org/10.2139/ssrn.2667928","url":null,"abstract":"While large businesses have resumed international trade at levels seen before the financial crisis, small- and medium-sized enterprises (SMEs) have not fared as well. For these firms — the backbone of economies everywhere — growth is impeded by the limited availability of bank loans to finance trade. The problem is especially acute for SMEs in Asia, the world’s largest trading region and the one most reliant on trade finance.This report points out the major impediments to financing in the region and recommends regulatory and procedural changes. It assesses the state of trade finance in Asia, paying particular attention to the ASEAN countries and the needs of SMEs. It emphasizes that to succeed, regional efforts to integrate trade law and procedures must be combined with the replacement of paper documents with electronic transactions, as well as standardized procedures across countries.For investors, the use of trade receivable assets, through securitization or direct investment, could be an attractive alternative in an environment of low interest rates. They offer appealing alpha yields, consistent returns, low volatility, “real economy” investment, and lower default rates than other interest-based assets. Also, the behavior of these assets can be uncorrelated to the market, offering portfolio risk diversification.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"156 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115688999","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Existing high dimensional two-sample tests usually assume that different elements of a high dimensional predictor are weakly dependent. Such a condition can be violated when data follow a low dimensional latent factor structure. As a result, the recently developed two-sample testing methods are not directly applicable. To fulfill such a theoretical gap, we propose here a Factor Adjusted two-Sample Testing (FAST) procedure to accommodate the low dimensional latent factor structure. Under the null hypothesis, together with fairly weak technical conditions, we show that the proposed test statistic is asymptotically distributed as a weighted chi-square distribution with a finite number of degrees of freedom. This leads to a totally different test statistic and inference procedure, as compared with those of Bai and Saranadasa (1996) and Chen and Qin (2010). Simulation studies are carried out to examine its finite sample performance. A real example on China stock market is analyzed for illustration purpose.
{"title":"A High Dimensional Two-Sample Test Under a Low Dimensional Factor Structure","authors":"Yingying Ma, Wei Lan, Hansheng Wang","doi":"10.2139/ssrn.2656961","DOIUrl":"https://doi.org/10.2139/ssrn.2656961","url":null,"abstract":"Existing high dimensional two-sample tests usually assume that different elements of a high dimensional predictor are weakly dependent. Such a condition can be violated when data follow a low dimensional latent factor structure. As a result, the recently developed two-sample testing methods are not directly applicable. To fulfill such a theoretical gap, we propose here a Factor Adjusted two-Sample Testing (FAST) procedure to accommodate the low dimensional latent factor structure. Under the null hypothesis, together with fairly weak technical conditions, we show that the proposed test statistic is asymptotically distributed as a weighted chi-square distribution with a finite number of degrees of freedom. This leads to a totally different test statistic and inference procedure, as compared with those of Bai and Saranadasa (1996) and Chen and Qin (2010). Simulation studies are carried out to examine its finite sample performance. A real example on China stock market is analyzed for illustration purpose.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117012064","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
M. A. Al Amin, Mohammad Arafat Ali, Rahatul Jannat, Taysir Taher, M. Abdullah, Rizvy Ahmed, Noorihsan Mohammad
In light of recent events that have taken place in the Bangladesh, the importance of knowing the financial position of banks is imperative to stakeholders. In this sector the most used financial statements are the financial position, profit and loss account and statement of cash flow where the financial position shows the assets, liability and stock holder equity. Statement of cash flow shows the banks cash disbursement and saving, profit and loss account shows the net profit or net loss of a bank. The focus of this study is to confirm the validity of Altman’s Z-Score model as a predictor of Bangladeshi bank failures. This requires two data sets: failed and non-failed banks. The empirical findings verified the predictive ability of the Z-Score model to the Bangladeshi banks. Our data shows that all selected banks are insolvent. It show that all banks are performing very aggressive as working capital and Equity to Debt ratio is low. Some banks have negative working capital, so they cannot liquidate day to day business. Most of banks have low equity than liability. Because they are taking more deposit than loans. They have to reconstruct their capital structure and have to satisfy liquidity in order to be solvent.
{"title":"A Study on Profitability Analysis of Five Bangladeshi Banks","authors":"M. A. Al Amin, Mohammad Arafat Ali, Rahatul Jannat, Taysir Taher, M. Abdullah, Rizvy Ahmed, Noorihsan Mohammad","doi":"10.2139/SSRN.2655753","DOIUrl":"https://doi.org/10.2139/SSRN.2655753","url":null,"abstract":"In light of recent events that have taken place in the Bangladesh, the importance of knowing the financial position of banks is imperative to stakeholders. In this sector the most used financial statements are the financial position, profit and loss account and statement of cash flow where the financial position shows the assets, liability and stock holder equity. Statement of cash flow shows the banks cash disbursement and saving, profit and loss account shows the net profit or net loss of a bank. The focus of this study is to confirm the validity of Altman’s Z-Score model as a predictor of Bangladeshi bank failures. This requires two data sets: failed and non-failed banks. The empirical findings verified the predictive ability of the Z-Score model to the Bangladeshi banks. Our data shows that all selected banks are insolvent. It show that all banks are performing very aggressive as working capital and Equity to Debt ratio is low. Some banks have negative working capital, so they cannot liquidate day to day business. Most of banks have low equity than liability. Because they are taking more deposit than loans. They have to reconstruct their capital structure and have to satisfy liquidity in order to be solvent.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129150238","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The world economic crisis, among others, characterized by the amount of financial shock and panic and loss of public confidence to prevent such a large impact on the real economy. There is also the world economy is expected to slow, after experiencing a global crisis in 2008 and the European crisis is not yet over (Smolo & Mirakhor 2010, Prorokowski, 2013, Dabrowski, et al, 2009, Park 2009, Feldkircher, 2012, Allen & Moessner 2012, Nikkinen, et al, 2013, Ahmed 2010, Sivakumar & Krishnaswami, 2012, bancel & Mittoo, 2011, Krohn & Gruver, 2008, De Bondt, 2010, Tomasic, 2011, Alqotawni, 2013). But still far from the estimated global depression. The world economy is experiencing a correction and a shift of the US-European economic pole towards hegemony countries emerging forces, such as the BRIC countries, including Indonesia. It is hoped there will be alleviation scheme crisis in Europe that will be the safety of the world economy in 2012, and entered a period of stability in the next year as will the fall of the stock market correction in Wall Street, London, Europe-Asia and other parts of the world (Heinz & Tomenendal, 2012, Sincai & Monica, 2011, Mc Clellan, 2008). Global economy is declining as a result of the World Financial Crisis (Global Financial Crisis/GFC). Implications for developed countries more severely than emerging forces (BBC Monitoring Asia Pacific, 2012). Getting the findings regarding DSN-MUI role in the development of the Islamic capital market in Indonesia in the future by using the methodology TSR. The result is expected to contribute to help increase product marketing sharia in the capital market. Significance of Research, to study such follows: Based on existing literature to date, this research can be regarded as a preliminary study on the implications of the Islamic Fatwa Share Trading Mechanism (DSN-MUI Fatwa # 80) and the performance of Indonesian capital market with the TSR method in technical analysis using the VAR method. As input for regulators and DSN-MUI especially for the development of the capital markets move based on Islamic principles or the companies belonging to the Jakarta Islamic Index. As input for subsequent researchers to conduct advanced research development.
{"title":"The Effect of Theta Variable Before and After of Screening Process to Every Changes of Price and Volume of Jakarta Composite Index, Application of TSR Method","authors":"H. Widjaja","doi":"10.2139/ssrn.2638105","DOIUrl":"https://doi.org/10.2139/ssrn.2638105","url":null,"abstract":"The world economic crisis, among others, characterized by the amount of financial shock and panic and loss of public confidence to prevent such a large impact on the real economy. There is also the world economy is expected to slow, after experiencing a global crisis in 2008 and the European crisis is not yet over (Smolo & Mirakhor 2010, Prorokowski, 2013, Dabrowski, et al, 2009, Park 2009, Feldkircher, 2012, Allen & Moessner 2012, Nikkinen, et al, 2013, Ahmed 2010, Sivakumar & Krishnaswami, 2012, bancel & Mittoo, 2011, Krohn & Gruver, 2008, De Bondt, 2010, Tomasic, 2011, Alqotawni, 2013). But still far from the estimated global depression. The world economy is experiencing a correction and a shift of the US-European economic pole towards hegemony countries emerging forces, such as the BRIC countries, including Indonesia. It is hoped there will be alleviation scheme crisis in Europe that will be the safety of the world economy in 2012, and entered a period of stability in the next year as will the fall of the stock market correction in Wall Street, London, Europe-Asia and other parts of the world (Heinz & Tomenendal, 2012, Sincai & Monica, 2011, Mc Clellan, 2008). Global economy is declining as a result of the World Financial Crisis (Global Financial Crisis/GFC). Implications for developed countries more severely than emerging forces (BBC Monitoring Asia Pacific, 2012). Getting the findings regarding DSN-MUI role in the development of the Islamic capital market in Indonesia in the future by using the methodology TSR. The result is expected to contribute to help increase product marketing sharia in the capital market. Significance of Research, to study such follows: Based on existing literature to date, this research can be regarded as a preliminary study on the implications of the Islamic Fatwa Share Trading Mechanism (DSN-MUI Fatwa # 80) and the performance of Indonesian capital market with the TSR method in technical analysis using the VAR method. As input for regulators and DSN-MUI especially for the development of the capital markets move based on Islamic principles or the companies belonging to the Jakarta Islamic Index. As input for subsequent researchers to conduct advanced research development.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127834431","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
E. Feyen, Swati R. Ghosh, Katie Kibuuka, Subika Farazi
Using the universe of all externally issued bonds by corporates and sovereigns in emerging and developing economies during 2000-14, this paper analyzes various issuance trends, including the unprecedented post-crisis surge. The paper focuses on external issuance at the country-industry and individual bond levels and finds that global factors matter greatly for emerging and developing economies issuance. A decrease in U.S. expected equity market (or interest rate) volatility, U.S. corporate credit spreads, and U.S. interbank funding costs and an increase in the Federal Reserve’s balance sheet (i) raise the odds that the monthly issuance volume of a country-industry is above its historical average; (ii) decrease individual bond yields and spreads; and (iii) raise bond maturities, after controlling for country pull factors, bond characteristics (for example, type of issuer, industry, and riskiness). Additionally, we document support that the risk-taking channel of exchange rate appreciation also operates for external bond issuance. Moreover, while the paper finds that country pull factors affect the impact of global factors, it does not find consistent evidence for this across the board. This result suggests that, during loose global funding conditions, flows are mostly driven by push factors and do not systematically discriminate between emerging and developing economies. Taken together, the findings suggest that although issuers might be able to benefit from benign international funding conditions, the large issuance volumes, currency risks, and high exposure to global factors could pose external and domestic challenges for policy makers, particularly when global cycles reverse.
{"title":"Global Liquidity and External Bond Issuance in Emerging Markets and Developing Economies","authors":"E. Feyen, Swati R. Ghosh, Katie Kibuuka, Subika Farazi","doi":"10.1596/1813-9450-7363","DOIUrl":"https://doi.org/10.1596/1813-9450-7363","url":null,"abstract":"Using the universe of all externally issued bonds by corporates and sovereigns in emerging and developing economies during 2000-14, this paper analyzes various issuance trends, including the unprecedented post-crisis surge. The paper focuses on external issuance at the country-industry and individual bond levels and finds that global factors matter greatly for emerging and developing economies issuance. A decrease in U.S. expected equity market (or interest rate) volatility, U.S. corporate credit spreads, and U.S. interbank funding costs and an increase in the Federal Reserve’s balance sheet (i) raise the odds that the monthly issuance volume of a country-industry is above its historical average; (ii) decrease individual bond yields and spreads; and (iii) raise bond maturities, after controlling for country pull factors, bond characteristics (for example, type of issuer, industry, and riskiness). Additionally, we document support that the risk-taking channel of exchange rate appreciation also operates for external bond issuance. Moreover, while the paper finds that country pull factors affect the impact of global factors, it does not find consistent evidence for this across the board. This result suggests that, during loose global funding conditions, flows are mostly driven by push factors and do not systematically discriminate between emerging and developing economies. Taken together, the findings suggest that although issuers might be able to benefit from benign international funding conditions, the large issuance volumes, currency risks, and high exposure to global factors could pose external and domestic challenges for policy makers, particularly when global cycles reverse.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117124984","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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