The class of marked Poisson processes and its connection with subordinated Lévy processes allow us to propose a new interpretation of multidimensional information flows and their relation to market movements. The new approach provides a unified framework for multivariate asset return models in a Lévy economy. In fact, we are able to recover several processes commonly used to model asset returns as subcases. We consider a first application example using the normal inverse Gaussian specification.
{"title":"Multivariate Marked Poisson Processes and Market Related Multidimensional Information Flows","authors":"Petar Jevtic, M. Marena, P. Semeraro","doi":"10.2139/ssrn.2890521","DOIUrl":"https://doi.org/10.2139/ssrn.2890521","url":null,"abstract":"The class of marked Poisson processes and its connection with subordinated Lévy processes allow us to propose a new interpretation of multidimensional information flows and their relation to market movements. The new approach provides a unified framework for multivariate asset return models in a Lévy economy. In fact, we are able to recover several processes commonly used to model asset returns as subcases. We consider a first application example using the normal inverse Gaussian specification.","PeriodicalId":374935,"journal":{"name":"PSN: Global Markets (Topic)","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130944505","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 : 2016-01-12DOI: 10.11575/SPPP.V9I0.42555
John M. Curtis
China is on the road to becoming a powerful force in global financial markets; statistics suggest that already some 20 per cent of the world’s trade finance is currently conducted in the country’s currency — the yuan, or renminbi (RMB). That is a twentyfold increase in just five years. Canada has shrewdly connected its own financial system to that of China’s, well before many other countries, in securing permission from China to host one of the world’s few renminbi trading hubs. The creation of these trading hubs is an important milestone for China in the long process of the internationalization of its currency. Hosting such a hub is an important milestone for Canada, in that it can help further the increase in bilateral trade and investment, the expanding exchange of businesspeople and students, and the official presence on the ground on the part of both countries’ governments. A key benefit of the creation of an RMB trading centre in Canada is that it will enable Canadian financial institutions to develop a capacity to trade, and an expertise in trading, Chinese currency for non-Chinese financial instruments (such as stocks, bonds, etc.), and converting Canadian currency into Chinese investments. While this may seem straightforward, given the fact that so many different currencies are exchanged freely on global markets each day, the renminbi is unique in the fact that it has been a highly controlled, largely inaccessible currency. That has historically hampered its liquidity and added much more risk than is the case with other major currencies. Canada’s RMB trading hub will reduce those difficulties and risks. Just as significant, however, is the symbolism of Canada’s new hub (which, really, is just a virtual hub, comprised of computer systems, rather than a physical office or trading floor). The designation of Canada as host to an RMB centre — one of just nine in the world, and the only one in North America — was the result of several years of co-ordinated and co-operative advocacy on the part of Canadian businesses and governments who recognized its future importance. And it is a more important step forward in Canada-China bilateral relations than it has perhaps been given credit for. As China marches towards internationalization and liberalization, Canada has positioned itself well as an early partner in that progress. The RMB trading centre might be just a small step, but it is a vital one, in ensuring that Canada remains closer to, and more connected to, China as it emerges as a powerful global force in the world’s financial markets.
{"title":"The Canadian RMB Trading Centre: A Small Step in the Long Road of China's Peaceful Rise in International Financial Markets","authors":"John M. Curtis","doi":"10.11575/SPPP.V9I0.42555","DOIUrl":"https://doi.org/10.11575/SPPP.V9I0.42555","url":null,"abstract":"China is on the road to becoming a powerful force in global financial markets; statistics suggest that already some 20 per cent of the world’s trade finance is currently conducted in the country’s currency — the yuan, or renminbi (RMB). That is a twentyfold increase in just five years. Canada has shrewdly connected its own financial system to that of China’s, well before many other countries, in securing permission from China to host one of the world’s few renminbi trading hubs. The creation of these trading hubs is an important milestone for China in the long process of the internationalization of its currency. Hosting such a hub is an important milestone for Canada, in that it can help further the increase in bilateral trade and investment, the expanding exchange of businesspeople and students, and the official presence on the ground on the part of both countries’ governments. A key benefit of the creation of an RMB trading centre in Canada is that it will enable Canadian financial institutions to develop a capacity to trade, and an expertise in trading, Chinese currency for non-Chinese financial instruments (such as stocks, bonds, etc.), and converting Canadian currency into Chinese investments. While this may seem straightforward, given the fact that so many different currencies are exchanged freely on global markets each day, the renminbi is unique in the fact that it has been a highly controlled, largely inaccessible currency. That has historically hampered its liquidity and added much more risk than is the case with other major currencies. Canada’s RMB trading hub will reduce those difficulties and risks. Just as significant, however, is the symbolism of Canada’s new hub (which, really, is just a virtual hub, comprised of computer systems, rather than a physical office or trading floor). The designation of Canada as host to an RMB centre — one of just nine in the world, and the only one in North America — was the result of several years of co-ordinated and co-operative advocacy on the part of Canadian businesses and governments who recognized its future importance. And it is a more important step forward in Canada-China bilateral relations than it has perhaps been given credit for. As China marches towards internationalization and liberalization, Canada has positioned itself well as an early partner in that progress. The RMB trading centre might be just a small step, but it is a vital one, in ensuring that Canada remains closer to, and more connected to, China as it emerges as a powerful global force in the world’s financial markets.","PeriodicalId":374935,"journal":{"name":"PSN: Global Markets (Topic)","volume":"82 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114125056","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}
A research project hypothesizing on the future of the world economy based on Eastern theories of international relations and their respective relationship to global financial markets and various spheres of political influence through the United States and Asia. Comprised mostly of a few different sections that establish the basis of tianxia theory and traditional Chinese political thought, before delving into the conclusions drawn on the basis of data analytics in various Asian and United States economies.
{"title":"China’s New Global Order: Foundations for the Future of the World Economy","authors":"Arsh Shah","doi":"10.2139/ssrn.3549018","DOIUrl":"https://doi.org/10.2139/ssrn.3549018","url":null,"abstract":"A research project hypothesizing on the future of the world economy based on Eastern theories of international relations and their respective relationship to global financial markets and various spheres of political influence through the United States and Asia. Comprised mostly of a few different sections that establish the basis of tianxia theory and traditional Chinese political thought, before delving into the conclusions drawn on the basis of data analytics in various Asian and United States economies.","PeriodicalId":374935,"journal":{"name":"PSN: Global Markets (Topic)","volume":"47 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":"122163550","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}
Italian Abstract: I mercati finanziari sono definiti da spazi della tecnica, mentre gli ordinamenti giuridici sono confinati negli Stati. Questa distinzione pone le basi per ragionare sull difficolta che gli ordinamenti giuridi incontrano nella regolazione dei mercati finanziari. English Abstract: The financial markets struggle against the idea of the modern State. Most of the legal systems are connected to the idea of the State, as they are an epiphany of the power of the State. While financial markets developed fighting against the State. One basic misunderstanding is to apply the concept of border as meant for the States (and therefore for the legal systems) to the financial markets which are basically governed by financial and economic rules.
{"title":"Geo-Tecno-Grafia Di Altri Luoghi (Un Itinerario Dal Con-Fine Allo Spazio De-Finito) (A Journey from the Idea of State to the Financial Markets)","authors":"Alberto Lupoi","doi":"10.2139/SSRN.3000484","DOIUrl":"https://doi.org/10.2139/SSRN.3000484","url":null,"abstract":"Italian Abstract: I mercati finanziari sono definiti da spazi della tecnica, mentre gli ordinamenti giuridici sono confinati negli Stati. Questa distinzione pone le basi per ragionare sull difficolta che gli ordinamenti giuridi incontrano nella regolazione dei mercati finanziari. \u0000English Abstract: The financial markets struggle against the idea of the modern State. Most of the legal systems are connected to the idea of the State, as they are an epiphany of the power of the State. While financial markets developed fighting against the State. One basic misunderstanding is to apply the concept of border as meant for the States (and therefore for the legal systems) to the financial markets which are basically governed by financial and economic rules.","PeriodicalId":374935,"journal":{"name":"PSN: Global Markets (Topic)","volume":"112 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124137496","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}
Title IV of the Dodd-Frank Act introduced the most significant regulatory change in the history of the private fund industry. To analyze the effect of Title IV on the private fund industry, we use five years of private fund performance data with over 7,000 reporting private funds. Our findings do not support the private fund industry’s claims that increased supervision and disclosure mandated in the Dodd-Frank Act have a negative effect on private fund earnings.
{"title":"Did the Dodd-Frank Act Impact Private Fund Performance? – Evidence from 2010-2015","authors":"Wulf A. Kaal, Barbara Luppi, S. Paterlini","doi":"10.2139/ssrn.2629347","DOIUrl":"https://doi.org/10.2139/ssrn.2629347","url":null,"abstract":"Title IV of the Dodd-Frank Act introduced the most significant regulatory change in the history of the private fund industry. To analyze the effect of Title IV on the private fund industry, we use five years of private fund performance data with over 7,000 reporting private funds. Our findings do not support the private fund industry’s claims that increased supervision and disclosure mandated in the Dodd-Frank Act have a negative effect on private fund earnings.","PeriodicalId":374935,"journal":{"name":"PSN: Global Markets (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121987349","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}
How resilient are emerging market economies to potentially tougher external conditions, especially if they become prolonged? This paper takes the view that initial economic conditions before the eruption of an adverse external shock matter, and they matter a lot. In particular, the literature shows that policy decisions taken in the pre-crisis period played a major role in explaining a country's performance, in terms of financial stability and economic growth, during the global financial crisis. With that as the starting point, the rest of this essay is organized in two sections. The first identifies the relevant variables that need to be assessed to determine emerging markets' resilience to adverse external shocks. Using a sample of 21 emerging market economies, the values of the identified variables in 2007 (the pre-global financial crisis year) are compared with the respective values at the end of 2014. The second section uses the identified variables to construct an indicator of relative resilience for emerging market economies. Despite some limitations, this indicator identifies how a country ranks against its peers and whether its relative ability to withstand external shocks has increased or decreased since the global financial crisis.
{"title":"Emerging Market Macroeconomic Resilience to External Shocks: Today versus Pre–Global Crisis","authors":"L. Rojas-Suárez","doi":"10.2139/ssrn.2569238","DOIUrl":"https://doi.org/10.2139/ssrn.2569238","url":null,"abstract":"How resilient are emerging market economies to potentially tougher external conditions, especially if they become prolonged? This paper takes the view that initial economic conditions before the eruption of an adverse external shock matter, and they matter a lot. In particular, the literature shows that policy decisions taken in the pre-crisis period played a major role in explaining a country's performance, in terms of financial stability and economic growth, during the global financial crisis. With that as the starting point, the rest of this essay is organized in two sections. The first identifies the relevant variables that need to be assessed to determine emerging markets' resilience to adverse external shocks. Using a sample of 21 emerging market economies, the values of the identified variables in 2007 (the pre-global financial crisis year) are compared with the respective values at the end of 2014. The second section uses the identified variables to construct an indicator of relative resilience for emerging market economies. Despite some limitations, this indicator identifies how a country ranks against its peers and whether its relative ability to withstand external shocks has increased or decreased since the global financial crisis.","PeriodicalId":374935,"journal":{"name":"PSN: Global Markets (Topic)","volume":"2016 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125719853","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}
We develop a global vector autoregressive model to study the transmission of information between currency spot markets. Our model accounts for both simultaneous and dynamic interactions between exchange rates and order flows using historical data from the Reuters Dealing 2000–1 platform for the period May–August 1996. By analysing the network topography of the system, we find that currency markets are intricately linked and that the Deutsche Mark and the Yen exert a leading influence over the European currencies. Furthermore, using a novel technique we find that the Yen and Sterling act as safe haven currencies.
{"title":"Quantifying Informational Linkages in a Global Model of Currency Spot Markets","authors":"Matthew Greenwood‐Nimmo, V. Nguyen, Y. Shin","doi":"10.2139/ssrn.2443243","DOIUrl":"https://doi.org/10.2139/ssrn.2443243","url":null,"abstract":"We develop a global vector autoregressive model to study the transmission of information between currency spot markets. Our model accounts for both simultaneous and dynamic interactions between exchange rates and order flows using historical data from the Reuters Dealing 2000–1 platform for the period May–August 1996. By analysing the network topography of the system, we find that currency markets are intricately linked and that the Deutsche Mark and the Yen exert a leading influence over the European currencies. Furthermore, using a novel technique we find that the Yen and Sterling act as safe haven currencies.","PeriodicalId":374935,"journal":{"name":"PSN: Global Markets (Topic)","volume":"137 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115920011","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}
Domestic financial market development is a key determinant of a currency’s international status, and financial depth and market liquidity are two essential attributes for an international currency. This paper discusses the status of the People’s Republic of China’s (PRC) financial markets and their depth and liquidity conditions. The paper also compares the PRC’s financial markets with those in developed and emerging economies, contemporaneously and historically. The paper finds that the PRC’s financial markets are not as deep and liquid as those in developed economies, and are much less so than those with international currencies. To support the internationalization of the renminbi, the PRC needs to remove several major obstacles to deepen its financial markets and improve their liquidity conditions.
{"title":"The People's Republic of China's Financial Markets: Are They Deep and Liquid Enough for Renminbi Internationalization?","authors":"P. C. Cruz, Yuning Gao, Lei Lei Song","doi":"10.2139/ssrn.2431616","DOIUrl":"https://doi.org/10.2139/ssrn.2431616","url":null,"abstract":"Domestic financial market development is a key determinant of a currency’s international status, and financial depth and market liquidity are two essential attributes for an international currency. This paper discusses the status of the People’s Republic of China’s (PRC) financial markets and their depth and liquidity conditions. The paper also compares the PRC’s financial markets with those in developed and emerging economies, contemporaneously and historically. The paper finds that the PRC’s financial markets are not as deep and liquid as those in developed economies, and are much less so than those with international currencies. To support the internationalization of the renminbi, the PRC needs to remove several major obstacles to deepen its financial markets and improve their liquidity conditions.","PeriodicalId":374935,"journal":{"name":"PSN: Global Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129704015","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 emergence of global supply chains, that is the organization of production processes in factories that are part of a network of suppliers located in different countries and specialized in specific production phases, brings about a number of major changes in the way the global economy works and interacts. To explore more in detail this phenomenon from a microeconomic perspective, in this paper we provide evidence on Business Groups, that is network-like forms of hierarchical organization between legally autonomous firms spanning both within and across national borders. Exploiting a unique dataset of 270,474 headquarters controlling more than 1,500,000 (domestic and foreign) affiliates in all countries worldwide, we find that business groups account for a significant part of value-added generation in both developed and developing countries, with a prevalence in the latter. In order to characterize their boundaries, we introduce an entropy-like metric able to summarize the hierarchical complexity of a group and its trade-off between exploitation of knowledge as an input across the hierarchy and the associated communication costs. When relating these metrics to the performance of affiliates across business groups, we find a robust (albeit non-linear) positive relationship between a group’s hierarchical complexity and productivity which dominates the already known correlation between vertical integration and productivity. Results are in line with the theoretical framework of knowledge-based hierarchies developed by the literature, in which intangible assets are a complementary input in the production processes.
{"title":"Global Supply Chains and International Competitiveness","authors":"C. Altomonte, Armando Rungi","doi":"10.2139/ssrn.2435133","DOIUrl":"https://doi.org/10.2139/ssrn.2435133","url":null,"abstract":"The emergence of global supply chains, that is the organization of production processes in factories that are part of a network of suppliers located in different countries and specialized in specific production phases, brings about a number of major changes in the way the global economy works and interacts. To explore more in detail this phenomenon from a microeconomic perspective, in this paper we provide evidence on Business Groups, that is network-like forms of hierarchical organization between legally autonomous firms spanning both within and across national borders. Exploiting a unique dataset of 270,474 headquarters controlling more than 1,500,000 (domestic and foreign) affiliates in all countries worldwide, we find that business groups account for a significant part of value-added generation in both developed and developing countries, with a prevalence in the latter. In order to characterize their boundaries, we introduce an entropy-like metric able to summarize the hierarchical complexity of a group and its trade-off between exploitation of knowledge as an input across the hierarchy and the associated communication costs. When relating these metrics to the performance of affiliates across business groups, we find a robust (albeit non-linear) positive relationship between a group’s hierarchical complexity and productivity which dominates the already known correlation between vertical integration and productivity. Results are in line with the theoretical framework of knowledge-based hierarchies developed by the literature, in which intangible assets are a complementary input in the production processes.","PeriodicalId":374935,"journal":{"name":"PSN: Global Markets (Topic)","volume":"244 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115225754","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}
We explore the relation between institutional quality, trust and stock-market participation. In our theoretical model, agents update their beliefs in a Bayesian manner based on observations on frauds and choose whether to invest in the stock market. The corresponding empirical model shows that institutional quality affects trust and that the part of trust that is explained by institutional quality influences stock-market participation. For immigrants, we consider learning factors, such as education and duration of stay, and we find that the impact of the institutional quality of the country of residence, relative to that of the home country, tends to increase with education.
{"title":"Institutional Quality, Trust and Stock-Market Participation: Learning to Forget","authors":"Hossein Asgharian, Lu Liu, Frederik Lundtofte","doi":"10.2139/ssrn.2369732","DOIUrl":"https://doi.org/10.2139/ssrn.2369732","url":null,"abstract":"We explore the relation between institutional quality, trust and stock-market participation. In our theoretical model, agents update their beliefs in a Bayesian manner based on observations on frauds and choose whether to invest in the stock market. The corresponding empirical model shows that institutional quality affects trust and that the part of trust that is explained by institutional quality influences stock-market participation. For immigrants, we consider learning factors, such as education and duration of stay, and we find that the impact of the institutional quality of the country of residence, relative to that of the home country, tends to increase with education.","PeriodicalId":374935,"journal":{"name":"PSN: Global Markets (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133476320","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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