The Time Horizon Of Asset Price Movements To Predict Financial Crises

2018 ◽  
Author(s):  
Zunera Batool
Keyword(s):  
Financial Crises ◽  
Time Horizon ◽  
Asset Price ◽  
Price Movements

An Historical Perspective on the Quest for Financial Stability and the Monetary Policy Regime

2018 ◽  
Vol 78 (2) ◽  
pp. 319-357 ◽  
Author(s):  
Michael D. Bordo
Keyword(s):  
Monetary Policy ◽  
Financial Crises ◽  
Financial Stability ◽  
Historical Perspective ◽  
Asset Price ◽  
Financial Instability ◽  
Historical Evidence ◽  
Policy Regime ◽  
Extreme Form ◽  
Credit Booms

This article surveys the co-evolution of monetary policy and financial stability for a number of countries from 1880 to the present. Historical evidence on the incidence, costs, and determinants of financial crises (the most extreme form of financial instability), combined with narratives on some famous financial crises, suggests that financial crises have many causes, including credit-driven asset price booms, which have become more prevalent in recent decades, but in general financial crises are very heterogeneous and hard to categorize. Moreover, evidence shows that the association across the country sample between credit booms, asset price booms, and serious financial crises is quite weak.

Early Warning System for Financial Crises

2018 ◽  
pp. 1-25 ◽  
Author(s):  
Amir Manzoor
Keyword(s):  
Financial Crisis ◽  
Early Warning ◽  
Financial Crises ◽  
Early Warning System ◽  
Financial Stability ◽  
Time Horizon ◽  
Warning System ◽  
False Alarms ◽  
Financial Risks ◽  
Policy Makers

To maintain financial stability, prevention of financial crisis is very important. This prevention is especially is especially important for developing countries where we need robust instruments for prediction of financial crises. One such instrument is Early Warning System (EWS). An EWS provided signals that could reflect the likelihood of a financial crisis over a given time horizon. Changing nature of financial risks due to liberalization of economies has increased the importance of an effective EWS. This chapter explores the state of the art of EWS. It is suggested that policy makers should take into account their objectives and related thresholds of various while developing an EWS since there exists a sharp trade-off between correctly calling crises and false alarms.

Financial Crises, Asset Price Volatility and Structural Changes

2019 ◽  
Vol 26 (3) ◽  
pp. 1-21
Author(s):  
Kyung-Hee Lee ◽  
◽  
Kyung-Soo Kim ◽  
Sang-Youn Jee
Keyword(s):  
Financial Crises ◽  
Structural Changes ◽  
Asset Price ◽  
Price Volatility

scholarly journals The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis

2007 ◽  
Vol 45 (4) ◽  
pp. 936-972 ◽  
Author(s):  
Lukas Menkhoff ◽  
Mark P Taylor
Keyword(s):  
Information Processing ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Asset Price ◽  
Technical Analysis ◽  
Exchange Market ◽  
Stylized Facts ◽  
Price Movements ◽  
Inductive Analysis

Technical analysis involves the prediction of asset price movements from inductive analysis of past movements. We establish a number of stylized facts, including that technical analysis is widespread in the foreign exchange market and that it may be profitable. We then analyze four arguments that have been put forward to explain this: that the market may not be fully rational; that technical analysis may exploit the influence of official interventions; that it may be an efficient form of information processing; and that it may inform on nonfundamental influences. While each may have some validity, the latter is the most plausible. As for the foreign exchange, it is almost as romantic as young love, and quite as resistant to formulae.

Speculative Bubbles and Financial Crises

2012 ◽  
Vol 4 (3) ◽  
pp. 184-221 ◽  
Author(s):  
Pengfei Wang ◽  
Yi Wen
Keyword(s):  
Systemic Risk ◽  
Financial Crises ◽  
Asset Prices ◽  
Asset Price ◽  
Real Economy ◽  
Positive Probability ◽  
The Real ◽  
Speculative Bubbles ◽  
Financial Bubbles ◽  
Intrinsic Values

Are asset prices unduly volatile and often detached from their fundamentals? Does the bursting of financial bubbles depress the real economy? This paper addresses these issues by constructing a DSGE model with speculative bubbles. We characterize conditions under which storable goods, regardless of their intrinsic values, can carry bubbles, and agents are willing to invest in such bubbles despite their positive probability of bursting. The results show that systemic risk, commonly perceived changes in the bubble's probability of bursting, can generate boom-bust cycles with hump-shaped output dynamics and produce asset price movements many times more volatile than the economy's fundamentals. (JEL E13, E23, E32, E44, G01, G12).

The Long Swings of Employment, Investment, and Asset Prices

2013 ◽  
Author(s):  
Gylfi Zoega
Keyword(s):  
Financial Crises ◽  
Asset Prices ◽  
Asset Price ◽  
Rate Model ◽  
Natural Rate ◽  
Share Prices ◽  
Natural Rate Of Unemployment ◽  
The Relationship

This chapter examines the long swings of employment, investment, and asset prices. It highlights one stylized fact that a model of the natural rate of unemployment should be able to take into account: the relationship among unemployment, investment, and share prices that is observed in the data. Although this relationship is often ignored, it provides a justification for some recent models of the natural rate. The chapter first considers a moving natural rate of unemployment before discussing the relationship between the long swings of employment and asset price swings. It then introduces a stripped-down natural rate model that generates a relationship among the natural rate of unemployment, investment, and asset prices. It also describes how financial crises are linked to changes in asset prices, investment, and employment.

Early Warning System for Financial Crises

2016 ◽  
pp. 22-45
Author(s):  
Amir Manzoor
Keyword(s):  
Financial Crisis ◽  
Early Warning ◽  
Financial Crises ◽  
Early Warning System ◽  
Financial Stability ◽  
Time Horizon ◽  
Warning System ◽  
False Alarms ◽  
Financial Risks ◽  
Policy Makers

To maintain financial stability, prevention of financial crisis is very important. This prevention is especially is especially important for developing countries where we need robust instruments for prediction of financial crises. One such instrument is Early Warning System (EWS). An EWS provided signals that could reflect the likelihood of a financial crisis over a given time horizon. Changing nature of financial risks due to liberalization of economies has increased the importance of an effective EWS. This chapter explores the state of the art of EWS. It is suggested that policy makers should take into account their objectives and related thresholds of various while developing an EWS since there exists a sharp trade-off between correctly calling crises and false alarms.

Sign in / Sign up

Export Citation Format

Share Document