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Understanding the Growth of African Financial Markets
This paper examines empirically the determinants of financial market development in Africa with an emphasis on banking systems and stock markets. The results show that income level, creditor rights protection, financial repression, and political risk are the main determinants of banking sector development in Africa, and that stock market liquidity, domestic savings, banking sector development, and political risk are the main determinants of stock market development. We also find that liberalizing the capital account promotes financial market development only in countries with high incomes, well- developed institutions, or both. The powerful impacts of political risk on both banking sector and stock market development suggest that resolution of political risk may be important to the development of African financial markets.
eBook
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
Recent work on econometric detection mechanisms has shown the effectiveness of recursive procedures in identifying and dating financial bubbles in real time. These procedures are useful as warning alerts in surveillance strategies conducted by central banks and fiscal regulators with real-time data. Use of these methods over long historical periods presents a more serious econometric challenge due to the complexity of the nonlinear structure and break mechanisms that are inherent in multiple-bubble phenomena within the same sample period. To meet this challenge, this article develops a new recursive flexible window method that is better suited for practical implementation with long historical time series. The method is a generalized version of the sup augmented Dickey–Fuller (ADF) test of Phillips et al. (\"Explosive behavior in the 1990s NASDAQ: When did exuberance escalate asset values?\" International Economic Review 52 (2011), 201–26; PWY) and delivers a consistent real-time date-stamping strategy for the origination and termination of multiple bubbles. Simulations show that the test significantly improves discriminatory power and leads to distinct power gains when multiple bubbles occur. An empirical application of the methodology is conducted on S&P 500 stock market data over a long historical period from January 1871 to December 2010. The new approach successfully identifies the well-known historical episodes of exuberance and collapses over this period, whereas the strategy of PWY and a related cumulative sum (CUSUM) dating procedure locate far fewer episodes in the same sample range.
Journal Article
Moore's Law versus Murphy's Law: Algorithmic Trading and Its Discontents
Financial markets have undergone a remarkable transformation over the past two decades due to advances in technology. These advances include faster and cheaper computers, greater connectivity among market participants, and perhaps most important of all, more sophisticated trading algorithms. The benefits of such financial technology are evident: lower transactions costs, faster executions, and greater volume of trades. However, like any technology, trading technology has unintended consequences. In this paper, we review key innovations in trading technology starting with portfolio optimization in the 1950s and ending with high-frequency trading in the late 2000s, as well as opportunities, challenges, and economic incentives that accompanied these developments. We also discuss potential threats to financial stability created or facilitated by algorithmic trading and propose “Financial Regulation 2.0,” a set of design principles for bringing the current financial regulatory framework into the Digital Age.
Journal Article
Quantitative risk management : a practical guide to financial risk
\"State of the art risk management techniques and practices--supplemented with interactive analytics. All too often risk management books focus on risk measurement details without taking a broader view. Quantitative Risk Management delivers a synthesis of common sense management together with the cutting-edge tools of modern theory. This book presents a road map for tactical and strategic decision making designed to control risk and capitalize on opportunities. Most provocatively it challenges the conventional wisdom that \"risk management\" is or ever should be delegated to a separate department. Good managers have always known that managing risk is central to a financial firm and must be the responsibility of anyone who contributes to the profit of the firm. A guide to risk management for financial firms and managers in the post-crisis world, Quantitative Risk Management updates the techniques and tools used to measure and monitor risk. These are often mathematical and specialized, but the ideas are simple. The book starts with how we think about risk and uncertainty, then turns to a practical explanation of how risk is measured in today's complex financial markets. Covers everything from risk measures, probability, and regulatory issues to portfolio risk analytics and reporting Includes interactive graphs and computer code for portfolio risk and analytics. Explains why tactical and strategic decisions must be made at every level of the firm and portfolio. Providing the models, tools, and techniques firms need to build the best risk management practices, Quantitative Risk Management is an essential volume from an experienced manager and quantitative analyst\"-- Provided by publisher.
Book
Bond Yields in Emerging Economies: It Matters What State You Are In (PDF Download)
While many studies have looked into the determinants of yields on externally issued sovereign bonds of emerging economies, analysis of domestically issued bonds has hitherto been limited, despite their growing relevance. This paper finds that the extent to which fiscal variables affect domestic bond yields in emerging economies depends on the level of global risk aversion. During tranquil times in global markets, fiscal variables do not seem to be a significant determinant of domestic bond yields in emerging economies. However, when market participants are on edge, they pay greater attention to country-specific fiscal fundamentals, revealing greater alertness about default risk.
eBook
The origin of financial crises : central banks, credit bubbles and the efficient market fallacy
\"[This book] provides a compelling analysis of the forces behind the recent economic crisis. In a series of disarmingly simple arguments George Cooper challenges the core principles of today's economic orthodoxy, explaining why financial markets do not obey the efficient market principles but are instead inherently unstable and habitually crisis prone. First published in the summer of 2008 in the midst of the crisis, the author accurately pinpointed the fundamental problems in policy and economic theory that led to the banking crisis. Now updated to reflect the massive upheavals since then and providing even more forthright opinions, the book is essential reading for anyone looking to find the root cause of [financial crises].\"--Publisher's description.
China's Gradualistic Economic Approach and Financial Markets
China's gradualistic approach allowed the government to learn how the economy reacts to small policy changes, and to adjust its reforms before implementing them in full. With fully developed financial markets, however, private actors may front-run future policy changes, making it impossible to implement policies gradually. With financial markets, the government faces a time-inconsistency problem. The government would like to commit to a gradualistic approach, but after it observes the economy's quick reaction, it has no incentive to implement its policies in small steps.
Journal Article