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  1. Brexit and uncertainty in financial markets
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, Tommaso
    Erschienen: January 2018
    Verlag:  Brunel University London, [Uxbridge]

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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Economics and finance working paper series ; no. 18, 02
    Umfang: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  2. On the persistence of UK inflation
    a long-range dependence approach
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, Tommaso
    Erschienen: March 2018
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Schriftenreihe: Economics and finance working paper series ; no. 18, 03
    Umfang: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  3. Brexit and uncertainty in financial markets
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, Tommaso
    Erschienen: 2018
    Verlag:  DIW Berlin, German Institute for Economic Research, Berlin

    This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British pound’s... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British pound’s implied volatilities (IVs) vis-à-vis the main currencies traded in the FOREX, namely the euro, the US dollar and the Japanese yen. We split the sample to compare the stochastic properties of the series under investigation before and after the Brexit referendum, and find an increase in the degree of persistence in all cases except for the British pound-yen IV, whose persistence has declined after Brexit. These findings highlight the importance of completing swiftly the negotiations with the EU to achieve an appropriate Brexit deal.

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/175076
    Schriftenreihe: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1719
    Umfang: 1 Online-Ressource (circa 21 Seiten), Illustrationen
  4. On the persistence of UK inflation
    a long-range dependence approach
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, Tommaso
    Erschienen: 2018
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich

    This paper examines the degree of persistence in UK inflation by applying long-memory methods to historical data that span the period from 1660 to 2016. Specifically, we use both parametric and non-parametric fractional integration techniques, that... mehr

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    Staats- und Universitätsbibliothek Bremen
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    DS 63 (6968)
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    This paper examines the degree of persistence in UK inflation by applying long-memory methods to historical data that span the period from 1660 to 2016. Specifically, we use both parametric and non-parametric fractional integration techniques, that are more general than those based on the classical I(0) vs. I(1) dichotomy. Further, we carry out break tests to detect any shifts in the degree of persistence, and also run rolling-window and recursive regressions to investigate its evolution over time. On the whole, the evidence suggests that the degree of persistence of UK inflation has been relatively stable following the Bretton Woods period, despite the adoption of different monetary regimes. The estimation of an unobserved-components stochastic volatility model sheds further light on the issues of interest by showing that post-Bretton Woods changes in UK inflation are attributable to a fall in the volatility of permanent shocks.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/180230
    Schriftenreihe: Array ; no. 6968
    Umfang: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  5. On the persistence of UK inflation
    a long-range dependence approach
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, Tommaso
    Erschienen: 2018
    Verlag:  DIW Berlin, German Institute for Economic Research, Berlin

    This paper examines the degree of persistence in UK inflation by applying long-memory methods to historical data that span the period from 1660 to 2016. Specifically, we use both parametric and non-parametric fractional integration techniques, that... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 14 (1731)
    Fernleihe:
    keine Fernleihe

     

    This paper examines the degree of persistence in UK inflation by applying long-memory methods to historical data that span the period from 1660 to 2016. Specifically, we use both parametric and non-parametric fractional integration techniques, that are more general than those based on the classical I(0) vs. I(1) dichotomy. Further, we carry out break tests to detect any shifts in the degree of persistence, and also run rolling-window and recursive regressions to investigate its evolution over time. On the whole, the evidence suggests that the degree of persistence of UK inflation has been relatively stable following the Bretton Woods period, despite the adoption of different monetary regimes. The estimation of an unobserved-components stochastic volatility model sheds further light on the issues of interest by showing that post-Bretton Woods changes in UK inflation are attributable to a fall in the volatility of permanent shocks.

     
    Export in Literaturverwaltung   RIS-Format
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    Volltext (kostenfrei)
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    Volltext (kostenfrei)
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/178210
    Schriftenreihe: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1731
    Umfang: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  6. Brexit and uncertainty in financial markets
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, Tommaso
    Erschienen: 2018
    Verlag:  Munich Society for the Promotion of Economic Research ‐ CESifo GmbH, Munich, Germany

    This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British pound’s... mehr

    Standort:
    Staats- und Universitätsbibliothek Bremen
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 63 (6874)
    Fernleihe:
    keine Fernleihe

     

    This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British pound’s implied volatilities (IVs) vis-à-vis the main currencies traded in the FOREX, namely the euro, the US dollar and the Japanese yen. We split the sample to compare the stochastic properties of the series under investigation before and after the Brexit referendum, and find an increase in the degree of persistence in all cases except for the British pound-yen IV, whose persistence has declined after Brexit. These findings highlight the importance of completing swiftly the negotiations with the EU to achieve an appropriate Brexit deal.

     
    Export in Literaturverwaltung   RIS-Format
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    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/174997
    Schriftenreihe: Array ; no. 6874
    Umfang: 1 Online-Ressource (circa 20 Seiten), Illustrationen
  7. Trade in secured debt, adjustment in haircuts and international portfolios
    Autor*in: Trani, Tommaso
    Erschienen: 2011
    Verlag:  HEID, Genève

    I study the composition of international portfolios under collateral constraints and the implied cross-border transmission of shocks. I develop an international portfolio model with these features, in which leveraged investors seek diversification in... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 272 (2011,13)
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    I study the composition of international portfolios under collateral constraints and the implied cross-border transmission of shocks. I develop an international portfolio model with these features, in which leveraged investors seek diversification in both assets and secured liabilities and in which the pledgeable portion of assets adjusts to the state of the economy, reflecting borrowers' credit risk. The new analytical results are as follows. First, agents choose endogenously how much to borrow from each country. Second, the collateral constraint, being a contractual link between secured and unsecured financial instruments, permits to compute portfolios without an arbitrage condition between those classes of assets. Finally, haircuts adjust endogenously through the change in the collateral values. After estimating the parameters governing this adjustment, I find that both portfolios and international transmission mechanism are quite sensitive to leveraged investors' funding. As for portfolios, secured bonds have particularly effective hedging properties in managing the terms of trade risk. As for the international transmission, tightening haircuts affect the economic slowdown: initially severe contractions are followed by quick reversions to the long-term equilibrium. On a cumulative basis, these two effects compensate if haircuts adjust precisely to the economic state. But in case of uncertainty about this adjustment, collateral constraints are a source of risk which cannot be internationally diversified. -- financial flows ; borrowing limits ; creditworthiness ; risk premia ; international business ; cycle ; macroeconomic interdipendence

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/77464
    Auflage/Ausgabe: This version: October 2011
    Schriftenreihe: Graduate Institute of International and Development Studies Working Paper ; 2011,13
    Umfang: Online-Ressource (PDF-Datei: 69 S., 554 KB), graph. Darst.
  8. Funding under borrowing limits in international portfolios
    Autor*in: Trani, Tommaso
    Erschienen: 2012
    Verlag:  HEID, Genève

    I develop an open economy portfolio model to study how leveraged investors' wholesale funding affects the international transmission of shocks. Under binding borrowing limits, there is a link between the international investment positions of... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 272 (2012,01)
    Fernleihe:
    keine Fernleihe

     

    I develop an open economy portfolio model to study how leveraged investors' wholesale funding affects the international transmission of shocks. Under binding borrowing limits, there is a link between the international investment positions of integrated economies as investors diversify the asset side of their balance sheets. Building on this mechanism, I introduce the liability side, allowing investors sell domestic and foreign bonds and capturing changes in counterparty risk in a stylized way (i.e., debt-to-asset ratios are specific to each borrower and time-varying). I model and parameterize these ratios, conditional on portfolio choice. I can solve for portfolios taking advantage of the link between assets and liabilities which is implied by the borrowing constraints. Equilibrium portfolios feature home funding bias, which is justified by a crucial interaction between the terms of trade and the tightness of the borrowing constraints. Dynamically, this interaction implies that the source of debt which is most sensitive to shocks is foreign funding. In fact, any shock creates a wedge between the cost of funding in different countries; the value of collateral must adjust accordingly through asset prices. Yet, asset prices are mainly affected by financiers' concern for counterparty risk: impact effects are deep and in line with the terms of trade effect. Combined, these effects have somehow novel implications for the net foreign asset positions. The cumulative effects have instead more mixed results on fluctuations. -- borrowing limits ; counterparty risk ; financial flows ; international financial markets ; international ; lending ; macroeconomic interdependence

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/77378
    Schriftenreihe: Graduate Institute of International and Development Studies Working Paper ; 2012,01
    Schlagworte: Portfolio-Management; Liquiditätsbeschränkung; Schock; Kapitalmobilität; Internationaler Finanzmarkt; Offene Volkswirtschaft; Theorie; Leverage-Effekt
    Umfang: Online-Ressource (PDF-Datei: 51 S., 431 KB), graph. Darst.
  9. Country portfolios with heterogeneous pledgeability
    Autor*in: Trani, Tommaso
    Erschienen: 2012
    Verlag:  HEID, Genève

    In a two-country portfolio model with leverage constraints, I focus on private assets in order to understand how their behaviour can justify an expected excess return as well as the flight-to-safety observed in the data. The specific goal is to study... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 272 (2012,02)
    Fernleihe:
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    In a two-country portfolio model with leverage constraints, I focus on private assets in order to understand how their behaviour can justify an expected excess return as well as the flight-to-safety observed in the data. The specific goal is to study how much these phenomena are explained by the fact that investors cannot always borrow the same amount of resources pledging domestic assets as pledging foreign collateral. Modeling the leverage constraints accordingly, I propose a methodology to deal with this heterogeneous pledgeability and solve for country portfolios. The central feature of this approach is that any idiosyncratic shocks generate an expected excess returns which compensate the current effects of the shock on the relative riskiness of local versus foreign collateral. The resulting portfolio solution shows that, in equilibrium, investors care for this risk and renounce to a part of the expected excess return - favouring current borrowing. The main consequences are: the home equity bias is smaller than in a model where assets are homogeneously pledgeable; the ex post dynamics of the relative premium paid on collateralized assets contribute to the cross-border transmission of shocks. Given these dynamics, idiosyncratic shocks to the pledgeability of local assets affect the value of external claims and liabilities of the country hit by the shock in such a way that its net foreign assets match those observed in the data during times of flight-to-safety. -- portfolio choice ; riskiness of pledged collateral ; return differentials ; macroeconomic interdependence

     
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    Weitere Identifier:
    hdl: 10419/77461
    Schriftenreihe: Graduate Institute of International and Development Studies Working Paper ; 2012,02
    Schlagworte: Portfolio-Management; Kapitaleinkommen; Zwei-Länder-Modell; Offene Volkswirtschaft; Theorie; Leverage-Effekt
    Umfang: Online-Ressource (PDF-Datei: 37 S., 321 KB), graph. Darst.
  10. Countercyclical capital regulation and bank ownership structure
    Autor*in: Trani, Tommaso
    Erschienen: 2012
    Verlag:  HEID, Genève

    This paper develops a macroeconomic framework where the representative bank is owned by inside and outside owners and copes with capital requirements that vary countercyclically. The issuance of outside equity is characterized getting insights from... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 272 (2012,14)
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    keine Fernleihe

     

    This paper develops a macroeconomic framework where the representative bank is owned by inside and outside owners and copes with capital requirements that vary countercyclically. The issuance of outside equity is characterized getting insights from the literature on corporate governance, especially that on corporate governance and investor protection. The insider receives utility benefits from the diversion of dividends, but the costs of diversion increase with the size of bank equity owned by outsiders. The goal is to see to what extent the willingness of insiders to share the bank with outsiders is affected by capital regulation. I find a negative link, which holds only if capital restrictions vary countercyclically. Thinking of a positive shock, the justification for such a negative link is that the shock leads not only to tighter regulation, but also to higher expected dividends and, relatedly, to higher agency costs affecting the distribution of earnings. -- macroprudential policy ; bank regulation ; insider-outsider ; bank shareholding

     
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    Weitere Identifier:
    hdl: 10419/77415
    Schriftenreihe: Graduate Institute of International and Development Studies Working Paper ; 2012,14
    Schlagworte: Bankgeschäft; Corporate Governance; Anlegerschutz; Eigenkapital; Shareholder Value; Theorie
    Umfang: Online-Ressource (PDF-Datei: 44 S., 665 KB), graph. Darst.