scholarly journals Risk Taking and Fiscal Smoothing with Sovereign Wealth Funds in Advanced Economies

2019 ◽  
Vol 7 (1) ◽  
pp. 4 ◽  
Author(s):  
Snorre Lindset ◽  
Knut Anton Mork
Keyword(s):  
Interest Rates ◽  
Risk Taking ◽  
Interest Rate Risk ◽  
Sovereign Wealth Funds ◽  
Policy Makers ◽  
Risky Assets ◽  
The Government ◽  
Utility Preferences ◽  
Portfolio Policy ◽  
Over Time

In an economy with a sovereign wealth fund (SWF), the government may draw on the fund to supplement other government revenues. If the fund is invested in risky assets, this introduces a new stochastic element into the government’s budget. We analyze the interaction between the draw from and risk taking in the SWF. Using non-expected utility preferences, we distinguish between intended changes and stochastic changes in the SWF draws over time. We show that the desire for smoothness in taxes and public services translates into smoothing of SWF draws and lower risk taking. It can even lead to procyclical rebalancing of the SWF portfolio. Future interest rates are associated with interest-rate risk. We show that this risk may lead to a higher optimal equity share in the SWF portfolio. Policy makers can use the draws from the SWF to smooth over time variation in risk-free rates.

Intra-sectoral and Intersectoral Parity Issues in Pricing of Agricultural Crops: A Preliminary Analysis

1987 ◽  
Vol 26 (4) ◽  
pp. 401-417
Author(s):  
Sarfraz K. Qureshi
Keyword(s):  
Preliminary Analysis ◽  
Agricultural Sector ◽  
Terms Of Trade ◽  
Agricultural Crops ◽  
Allocation Of Resources ◽  
Price Determination ◽  
Policy Makers ◽  
The Government ◽  
Distribution Of Income ◽  
Over Time

Intersectoral terms of trade play a cruc1al role in determining the sectoral distribution of income and resource allocation in the developing countries. The significance of intra-sectoral terms of trade for the allocation of resources within the agricultural sector is also widely accepted by research scholars and policy-makers. In the context of planned development, the government specifies production targets for the agricultural sector and for different crops. The intervention of government in the field of price determination has important implications for the achievement of planned targets. In Pakistan, there is a feeling among many groups including farmers and politicians with a rural background that prices of agricultural crops have not kept their parities intact over time and that prices generally do not cover the costs of production. The feeling that production incentives for agriculture have been eroded is especially strong for the period since the early 1970s. It is argued that strong inflationary pressures supported by a policy of withdrawal of government subsidies on agricultural inputs have resulted in rapid increases in the prices paid by agriculturists and that increases in the prices received by farmers were not enough to compensate them for the rising prices of agricultural inputs and consumption goods.

Using Self Organizing Maps for Banking Oversight

2016 ◽  
pp. 1306-1332 ◽  
Author(s):  
Felix Lopez-Iturriaga ◽  
Iván Pastor-Sanz
Keyword(s):  
Neural Networks ◽  
Financial Stability ◽  
Bankruptcy Prediction ◽  
Self Organizing Maps ◽  
Policy Makers ◽  
Savings Banks ◽  
Visual Tool ◽  
The Government ◽  
Over Time ◽  
Self Organizing

This chapter combines two methods based on neural networks (trait recognition and self-organizing maps) to develop a model of bankruptcy prediction. The authors apply the method to the Spanish savings banks, most of them rescued by the Government between 2008 and 2013 in a costly massive process. First, the authors detect the combinations of variables (performance, asset structure, and capitalization) that best describe the profile of the rescued savings banks. Then, the authors use these combinations on a yearly basis to generate bi-dimensional maps in which banks are placed according to their risk and similarities. This method provides a visual tool that can improve the oversight of policy makers on the whole financial system and enable time pertinent answers to some threatens to the country financial stability. The maps are useful means to detect and understand how the financial threats emerge over time too.

scholarly journals Riding the Yield Curve

2020 ◽  
Vol 20 (53) ◽  
Author(s):  
Ralph Chami ◽  
Thomas Cosimano ◽  
Celine Rochon ◽  
Julieta Yung
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Risk Taking ◽  
Yield Curve ◽  
Interest Rate Risk ◽  
Risk Capital ◽  
Hedging Strategies ◽  
Rate Risk ◽  
Rate Environment ◽  
Changes In Risk

Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with the empirical properties of cashflow valuations identified in the literature. We provide evidence that non-linearities arise from hedging strategies of investors exposed to interest rate risk. Capital losses are amplified when interest rates increase and risk averse investors have taken positions on instruments with longer maturity, expecting instead interest rates to revert back to their historical average.

Using Self Organizing Maps for Banking Oversight

2016 ◽  
pp. 116-140
Author(s):  
Felix Lopez-Iturriaga ◽  
Iván Pastor-Sanz
Keyword(s):  
Neural Networks ◽  
Financial Stability ◽  
Bankruptcy Prediction ◽  
Self Organizing Maps ◽  
Policy Makers ◽  
Savings Banks ◽  
Visual Tool ◽  
The Government ◽  
Over Time ◽  
Self Organizing

This chapter combines two methods based on neural networks (trait recognition and self-organizing maps) to develop a model of bankruptcy prediction. The authors apply the method to the Spanish savings banks, most of them rescued by the Government between 2008 and 2013 in a costly massive process. First, the authors detect the combinations of variables (performance, asset structure, and capitalization) that best describe the profile of the rescued savings banks. Then, the authors use these combinations on a yearly basis to generate bi-dimensional maps in which banks are placed according to their risk and similarities. This method provides a visual tool that can improve the oversight of policy makers on the whole financial system and enable time pertinent answers to some threatens to the country financial stability. The maps are useful means to detect and understand how the financial threats emerge over time too.

Explaining Variation in Rates of Entrepreneurship in the United States: 1899-1988

1996 ◽  
Vol 22 (5) ◽  
pp. 747-781 ◽  
Author(s):  
Scott Shane
Keyword(s):  
United States ◽  
Economic Growth ◽  
Interest Rates ◽  
Risk Taking ◽  
Age Distribution ◽  
Strong Support ◽  
The United States ◽  
Business Failure ◽  
The U.S ◽  
Over Time

This paper examines rates of entrepreneurship over time in the U.S. economy. It finds strong support for the argument that variations in rates of entrepreneurship follow a Schumpeterian model. Changes in rates of entrepreneurship appear to be driven by changes in technology. Some evidence is also found for the effects of the Protestant Ethic, interest rates, prior rates of entrepreneurship, risk-taking propensity, business failure rates, economic growth, immigration, and age distribution of the population.

KEBIJAKAN POLITIK KERUKUNAN ANTARAGAMA DI INDONESIA ERA REFORMASI

2017 ◽  
Vol 9 (2) ◽  
pp. 407-424
Author(s):  
Jamaluddin Jamaluddin
Keyword(s):  
Transition Period ◽  
Religious Life ◽  
New Order ◽  
Reform Era ◽  
Policy Makers ◽  
Accommodation Space ◽  
Nation States ◽  
The Government ◽  
Definition Of ◽  
Cultural Reality

Indonesian reformation era begins with the fall of President Suharto. Political transition and democratic transition impact in the religious life. Therefore, understandably, when the politic transition is not yet fully reflects the idealized conditions. In addition to the old paradigm that is still attached to the brain of policy makers, various policies to mirror the complexity of stuttering ruler to answer the challenges of religious life. This challenge cannot be separated from the hegemonic legacy of the past, including the politicization of SARA. Hegemony that took place during the New Order period, adversely affected the subsequent transition period. It seems among other things, with airings various conflicts nuances SARA previously muted, forced repressive. SARA issues arise as a result of the narrowing of the accommodation space of the nation state during the New Order regime. The New Order regime has reduced the definition of nation-states is only part of a group of people loyal to the government to deny the diversity of socio-cultural reality in it. To handle the inheritance, every regime in the reform era responds with a pattern and a different approach. It must be realized, that the post-reform era, Indonesia has had four changes of government. The leaders of every regime in the reform era have a different background and thus also have a vision that is different in treating the problem of racial intolerance, particularly against religious aspect. This treatment causes the accomplishment difference each different regimes of dealing with the diversity of race, religion and class that has become the hallmark of Indonesian society.

Interpreting the Reagan Deficits

2017 ◽  
Author(s):  
Thomas J. Sargent
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Reagan Administration ◽  
Federal Budget ◽  
Ronald Reagan ◽  
Government Budget ◽  
Government Deficits ◽  
Tax Smoothing ◽  
The Government ◽  
Monetary And Fiscal Policy

This chapter examines the large net-of-interest deficits in the U.S. federal budget that have marked the administration of Ronald Reagan. It explains the fiscal and monetary actions observed during the Reagan administration as reflecting the optimal decisions of government policymakers. The discussion is based on an equation whose validity is granted by all competing theories of macroeconomics: the intertemporal government budget constraint. The chapter first considers the government budget balance and the optimal tax smoothing model of Robert Barro before analyzing monetary and fiscal policy during the Reagan years: a string of large annual net-of-interest government deficits accompanied by a monetary policy stance that has been tight, especially before February 1985, and even more so before August 1982. Indicators of tight monetary policy are high real interest rates on government debt and pretax yields that exceed the rate of economic growth.

Anti-corruption in History

2017 ◽  
Keyword(s):  
Financial Institutions ◽  
Global Media ◽  
Policy Makers ◽  
The Past ◽  
Human Wellbeing ◽  
Modern Period ◽  
Legitimate Power ◽  
Wide Range ◽  
Scant Attention ◽  
Over Time

Anticorruption in History is the first major collection of case studies on how past societies and polities, in and beyond Europe, defined legitimate power in terms of fighting corruption and designed specific mechanisms to pursue that agenda. It is a timely book: corruption is widely seen today as a major problem, undermining trust in government, financial institutions, economic efficiency, the principle of equality before the law and human wellbeing in general. Corruption, in short, is a major hurdle on the “path to Denmark”—a feted blueprint for stable and successful statebuilding. The resonance of this view explains why efforts to promote anticorruption policies have proliferated in recent years. But while the subjects of corruption and anticorruption have captured the attention of politicians, scholars, NGOs and the global media, scant attention has been paid to the link between corruption and the change of anticorruption policies over time and place. Such a historical approach could help explain major moments of change in the past as well as reasons for the success and failure of specific anticorruption policies and their relation to a country’s image (of itself or as construed from outside) as being more or less corrupt. It is precisely this scholarly lacuna that the present volume intends to begin to fill. A wide range of historical contexts are addressed, ranging from the ancient to the modern period, with specific insights for policy makers offered throughout.

scholarly journals Risk Management for Bonds with Embedded Options

Mathematics ◽  
2020 ◽  
Vol 8 (5) ◽  
pp. 790
Author(s):  
Antonio Díaz ◽  
Marta Tolentino
Keyword(s):  
Risk Management ◽  
Interest Rate ◽  
Interest Rates ◽  
Interest Rate Risk ◽  
Interest Rate Models ◽  
Management Measures ◽  
Interest Rate Risk Management ◽  
Embedded Options ◽  
The Interest Rate ◽  
Interest Rate Change

This paper examines the behavior of the interest rate risk management measures for bonds with embedded options and studies factors it depends on. The contingent option exercise implies that both the pricing and the risk management of bonds requires modelling future interest rates. We use the Ho and Lee (HL) and Black, Derman, and Toy (BDT) consistent interest rate models. In addition, specific interest rate measures that consider the contingent cash-flow structure of these coupon-bearing bonds must be computed. In our empirical analysis, we obtained evidence that effective duration and effective convexity depend primarily on the level of the forward interest rate and volatility. In addition, the higher the interest rate change and the lower the volatility, the greater the differences in pricing of these bonds when using the HL or BDT models.

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