Pub Date : 2012-07-01DOI: 10.2478/v10316-012-0008-7
C. Spulbar, M. Niţoi, C. Stanciu
Abstract In this study we propose to analyze the monetary policy of the Romanian central bank and to evaluate the inflation inertia and persistence. Thus, we estimate two DSGE models, a simple neokeynesian standard model built around a forward-looking component and in order to offer a more complex perspective we also estimated a DSGE model that captures the inflation inertia. The results show that the prices evolution reflects the difficulties of eliminating the inflation inertia. In Romania, the historic inflation evolution has a major impact on the way the inflation expectations are formed. Even if the inflation decreased at a moderate level, its persistence continues for a long period of time.
{"title":"Inflation Inertia and Inflation Persistence in Romania Using a DSGE Approach","authors":"C. Spulbar, M. Niţoi, C. Stanciu","doi":"10.2478/v10316-012-0008-7","DOIUrl":"https://doi.org/10.2478/v10316-012-0008-7","url":null,"abstract":"Abstract In this study we propose to analyze the monetary policy of the Romanian central bank and to evaluate the inflation inertia and persistence. Thus, we estimate two DSGE models, a simple neokeynesian standard model built around a forward-looking component and in order to offer a more complex perspective we also estimated a DSGE model that captures the inflation inertia. The results show that the prices evolution reflects the difficulties of eliminating the inflation inertia. In Romania, the historic inflation evolution has a major impact on the way the inflation expectations are formed. Even if the inflation decreased at a moderate level, its persistence continues for a long period of time.","PeriodicalId":167061,"journal":{"name":"Emerging Research on Monetary Policy, Banking, and Financial Markets","volume":"78 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127012031","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 : 1900-01-01DOI: 10.4018/978-1-5225-9269-3.ch014
Jatin Trivedi
The main aim of this chapter is to examine causal linkages between selected stock markets of Hungary and Austria in terms of economic globalization. The sample databases cover a long time period from January 2000 to December 2013. The selected ATX stock index represents Austria index, while BUX represents the main stock index of Hungary. The empirical findings highlighted that stock market in Hungary is significantly more volatile and provides comparatively higher investing opportunities for financial asset returns. There are strong evidences of no casual linkages between selected markets of Austria and Hungary. The econometric analysis includes BDS and Granger causality tests. The results are classified in a comparative manner. This book chapter will support decision makings on escalation ratios depending on the international financial market transmitting patterns.
{"title":"Investigating Causal Linkages Between International Stock Markets in Hungary and Austria in Terms of Economic Globalization","authors":"Jatin Trivedi","doi":"10.4018/978-1-5225-9269-3.ch014","DOIUrl":"https://doi.org/10.4018/978-1-5225-9269-3.ch014","url":null,"abstract":"The main aim of this chapter is to examine causal linkages between selected stock markets of Hungary and Austria in terms of economic globalization. The sample databases cover a long time period from January 2000 to December 2013. The selected ATX stock index represents Austria index, while BUX represents the main stock index of Hungary. The empirical findings highlighted that stock market in Hungary is significantly more volatile and provides comparatively higher investing opportunities for financial asset returns. There are strong evidences of no casual linkages between selected markets of Austria and Hungary. The econometric analysis includes BDS and Granger causality tests. The results are classified in a comparative manner. This book chapter will support decision makings on escalation ratios depending on the international financial market transmitting patterns.","PeriodicalId":167061,"journal":{"name":"Emerging Research on Monetary Policy, Banking, and Financial Markets","volume":"426 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126722650","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 : 1900-01-01DOI: 10.4018/978-1-5225-9269-3.ch013
The main objective of this chapter is to estimate volatility patterns in the case of S&P Bombay Stock Exchange (BSE) BANKEX index in India. In recent past, the Indian banking sector was one of the fastest-growing industries and all major banks have been included in S&P BANKEX index as index benchmark constituent companies. The financial econometric framework is based on asymmetric GARCH (1, 1) model which is performed in order to capture asymmetric volatility clustering and leptokurtosis. Data time lag is considered from the first transaction day of January 2002 to last transaction day of June 2014. The empirical results revealed the existence of volatility shocks in the selected time series and also volatility clustering. The volatility impact has generated highly positive clockwise and impacted actual stocks. Moreover, the empirical findings reveal that the BANKEX index grown over 17 times in 12 years and volatility returns have been found present in listed stocks.
{"title":"Modeling S&P Bombay Stock Exchange BANKEX Index Volatility Patterns Using GARCH Model","authors":"","doi":"10.4018/978-1-5225-9269-3.ch013","DOIUrl":"https://doi.org/10.4018/978-1-5225-9269-3.ch013","url":null,"abstract":"The main objective of this chapter is to estimate volatility patterns in the case of S&P Bombay Stock Exchange (BSE) BANKEX index in India. In recent past, the Indian banking sector was one of the fastest-growing industries and all major banks have been included in S&P BANKEX index as index benchmark constituent companies. The financial econometric framework is based on asymmetric GARCH (1, 1) model which is performed in order to capture asymmetric volatility clustering and leptokurtosis. Data time lag is considered from the first transaction day of January 2002 to last transaction day of June 2014. The empirical results revealed the existence of volatility shocks in the selected time series and also volatility clustering. The volatility impact has generated highly positive clockwise and impacted actual stocks. Moreover, the empirical findings reveal that the BANKEX index grown over 17 times in 12 years and volatility returns have been found present in listed stocks.","PeriodicalId":167061,"journal":{"name":"Emerging Research on Monetary Policy, Banking, and Financial Markets","volume":"113 ","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131692033","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 : 1900-01-01DOI: 10.4018/978-1-5225-9269-3.ch005
This chapter aims to provide additional empirical evidence on monetary policy transmission mechanism in Romania over the period 2001 to 2012 based on a BVAR analysis with a KoKo Minnesota/Litterman prior. The importance of the central bank is rising in Romania considering its main attribution to control the interest rate in accordance with its objectives. The empirical evidence provides a significant contribution to literature taking into account the characteristics of the selected emerging country, i.e. Romania, a former communist country in Central and Eastern Europe.
{"title":"Monetary Policy Transmission Mechanism in Romania Over the Period 2001 to 2012","authors":"","doi":"10.4018/978-1-5225-9269-3.ch005","DOIUrl":"https://doi.org/10.4018/978-1-5225-9269-3.ch005","url":null,"abstract":"This chapter aims to provide additional empirical evidence on monetary policy transmission mechanism in Romania over the period 2001 to 2012 based on a BVAR analysis with a KoKo Minnesota/Litterman prior. The importance of the central bank is rising in Romania considering its main attribution to control the interest rate in accordance with its objectives. The empirical evidence provides a significant contribution to literature taking into account the characteristics of the selected emerging country, i.e. Romania, a former communist country in Central and Eastern Europe.","PeriodicalId":167061,"journal":{"name":"Emerging Research on Monetary Policy, Banking, and Financial Markets","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131777708","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 : 1900-01-01DOI: 10.4018/978-1-5225-9269-3.ch017
The main purpose of this chapter is to highlight the long-term behavior of Milan Stock Exchange (Italy) based on the FTSE MIB major stock market index. The empirical analysis covers a long period of time from January 1999 to December 2013 and describes the daily stock price movements in order to identify both financial expansion and contraction cycles. However, Milan Stock Exchange is a developed stock market that exhibits a more stable behavior than emerging stock markets, even stylized facts are much lower in this case. The econometric analysis provides an exhaustive perspective, because selected stock market behavior has changed completely due to the negative influence of the global financial crisis.
{"title":"Investigating Long-Term Behavior of Milan Stock Exchange (Italy)","authors":"","doi":"10.4018/978-1-5225-9269-3.ch017","DOIUrl":"https://doi.org/10.4018/978-1-5225-9269-3.ch017","url":null,"abstract":"The main purpose of this chapter is to highlight the long-term behavior of Milan Stock Exchange (Italy) based on the FTSE MIB major stock market index. The empirical analysis covers a long period of time from January 1999 to December 2013 and describes the daily stock price movements in order to identify both financial expansion and contraction cycles. However, Milan Stock Exchange is a developed stock market that exhibits a more stable behavior than emerging stock markets, even stylized facts are much lower in this case. The econometric analysis provides an exhaustive perspective, because selected stock market behavior has changed completely due to the negative influence of the global financial crisis.","PeriodicalId":167061,"journal":{"name":"Emerging Research on Monetary Policy, Banking, and Financial Markets","volume":"7 14","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120863538","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 : 1900-01-01DOI: 10.4018/978-1-5225-9269-3.ch015
The main objective of this chapter involves analyzing dynamic causal linkages between developed stock markets of Spain and Canada. The long-run dynamic causal linkages between international stock markets highlight the importance of a functional and stable financial environment. As an explanation based on chaos theory, seemingly insignificant structural imbalances can easily generate dramatic consequences in the context of a globalized and integrated worldwide financial structure. The empirical analysis is based on daily log-returns of selected developed stock markets major indices during the sample period between June 1993 and December 2013. The financial econometrics empirical research includes the Unit Root Test, the Augmented Dickey-Fuller stationary test, the BDS test and the Granger causality test. The empirical results provide a useful framework on international portfolio diversification and risk management.
{"title":"Analyzing Dynamic Causal Linkages Between Developed Stock Markets of Spain and Canada","authors":"","doi":"10.4018/978-1-5225-9269-3.ch015","DOIUrl":"https://doi.org/10.4018/978-1-5225-9269-3.ch015","url":null,"abstract":"The main objective of this chapter involves analyzing dynamic causal linkages between developed stock markets of Spain and Canada. The long-run dynamic causal linkages between international stock markets highlight the importance of a functional and stable financial environment. As an explanation based on chaos theory, seemingly insignificant structural imbalances can easily generate dramatic consequences in the context of a globalized and integrated worldwide financial structure. The empirical analysis is based on daily log-returns of selected developed stock markets major indices during the sample period between June 1993 and December 2013. The financial econometrics empirical research includes the Unit Root Test, the Augmented Dickey-Fuller stationary test, the BDS test and the Granger causality test. The empirical results provide a useful framework on international portfolio diversification and risk management.","PeriodicalId":167061,"journal":{"name":"Emerging Research on Monetary Policy, Banking, and Financial Markets","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127613762","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 : 1900-01-01DOI: 10.4018/978-1-5225-9269-3.ch001
C. Spulb
This chapter leads a complex research study on the determinants of bank cost efficiency in transitional economies based on empirical evidence for Latin America, Central, and Eastern Europe, and South-East Asia. The empirical results suggested that banks, which follow a more cautious strategy, characterized by lower risk appetite and average expectations on profitability, have higher cost efficiency. Moreover, the empirical evidence highlighted the fact that a higher gross domestic product growth rate implies an increase in the inefficiency level, indicating an unsustainable bank management behavior, which in periods of economic growth adopts policies that can generate inefficiency in order to gain market share and to obtain higher bonuses. The global financial crisis has had a high negative impact on the banking system in transition economies.
{"title":"Determinants of Bank Cost Efficiency in Transition Economies","authors":"C. Spulb","doi":"10.4018/978-1-5225-9269-3.ch001","DOIUrl":"https://doi.org/10.4018/978-1-5225-9269-3.ch001","url":null,"abstract":"This chapter leads a complex research study on the determinants of bank cost efficiency in transitional economies based on empirical evidence for Latin America, Central, and Eastern Europe, and South-East Asia. The empirical results suggested that banks, which follow a more cautious strategy, characterized by lower risk appetite and average expectations on profitability, have higher cost efficiency. Moreover, the empirical evidence highlighted the fact that a higher gross domestic product growth rate implies an increase in the inefficiency level, indicating an unsustainable bank management behavior, which in periods of economic growth adopts policies that can generate inefficiency in order to gain market share and to obtain higher bonuses. The global financial crisis has had a high negative impact on the banking system in transition economies.","PeriodicalId":167061,"journal":{"name":"Emerging Research on Monetary Policy, Banking, and Financial Markets","volume":"177 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116009299","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 : 1900-01-01DOI: 10.4018/978-1-5225-9269-3.ch006
C. Spulbar, M. Niţoi, L. Nețoiu
This chapter aims to provide an elaborate empirical analysis of the monetary policy dynamics in Romania using a structural vector autoregressive model. This chapter contributes to literature based on an empirical framework regarding the implications of exchange rate channel within the monetary policy, and the impact of the monetary aggregates channels in order to explain the evolution of the prices level in Romania.
{"title":"Analysis of the Monetary Policy Dynamics in Romania Using a Structural Vector Autoregressive Model","authors":"C. Spulbar, M. Niţoi, L. Nețoiu","doi":"10.4018/978-1-5225-9269-3.ch006","DOIUrl":"https://doi.org/10.4018/978-1-5225-9269-3.ch006","url":null,"abstract":"This chapter aims to provide an elaborate empirical analysis of the monetary policy dynamics in Romania using a structural vector autoregressive model. This chapter contributes to literature based on an empirical framework regarding the implications of exchange rate channel within the monetary policy, and the impact of the monetary aggregates channels in order to explain the evolution of the prices level in Romania.","PeriodicalId":167061,"journal":{"name":"Emerging Research on Monetary Policy, Banking, and Financial Markets","volume":"30 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133077190","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 : 1900-01-01DOI: 10.4018/978-1-5225-9269-3.ch004
This book chapter investigates the financial nexus generated by bank soundness, concentration, and efficiency in the banking sector, as well as the development of the capital markets. The selected databases includes the time period between 1997 and 2010 for a large sample of 63 developed and developing countries. The empirical findings suggested that bank performance has a high impact on the relation between soundness, structural and functional characteristics of the banking sector. The econometric framework is complex and the empirical results appear to be robust for various measures of the selected variables and for distinct estimation techniques.
{"title":"Financial Nexus","authors":"","doi":"10.4018/978-1-5225-9269-3.ch004","DOIUrl":"https://doi.org/10.4018/978-1-5225-9269-3.ch004","url":null,"abstract":"This book chapter investigates the financial nexus generated by bank soundness, concentration, and efficiency in the banking sector, as well as the development of the capital markets. The selected databases includes the time period between 1997 and 2010 for a large sample of 63 developed and developing countries. The empirical findings suggested that bank performance has a high impact on the relation between soundness, structural and functional characteristics of the banking sector. The econometric framework is complex and the empirical results appear to be robust for various measures of the selected variables and for distinct estimation techniques.","PeriodicalId":167061,"journal":{"name":"Emerging Research on Monetary Policy, Banking, and Financial Markets","volume":"30 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126094452","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 : 1900-01-01DOI: 10.4018/978-1-5225-9269-3.ch016
The main aim of this chapter is to provide an econometric analysis focused on investigating the consequences of financial contagion between certain developed capital markets, such as USA, France, UK, and Germany in terms of global financial crisis. In the recent past, the impact of international transmission mechanisms significantly affected the investment behavior due to the propagation of financial shocks. More specifically, the risk of financial contagion highlights the vulnerability of traditional assumptions based on efficiency and rationality considering the global implications of resource allocation performance and international portfolio diversification.
{"title":"The Global Implications of Financial Contagion in Developed Capital Markets","authors":"","doi":"10.4018/978-1-5225-9269-3.ch016","DOIUrl":"https://doi.org/10.4018/978-1-5225-9269-3.ch016","url":null,"abstract":"The main aim of this chapter is to provide an econometric analysis focused on investigating the consequences of financial contagion between certain developed capital markets, such as USA, France, UK, and Germany in terms of global financial crisis. In the recent past, the impact of international transmission mechanisms significantly affected the investment behavior due to the propagation of financial shocks. More specifically, the risk of financial contagion highlights the vulnerability of traditional assumptions based on efficiency and rationality considering the global implications of resource allocation performance and international portfolio diversification.","PeriodicalId":167061,"journal":{"name":"Emerging Research on Monetary Policy, Banking, and Financial Markets","volume":"212 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133231745","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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