scholarly journals Measurement of Systemic Risk in Global Financial Markets and Its Application in Forecasting Trading Decisions

2020 ◽  
Vol 12 (10) ◽  
pp. 4000 ◽  
Author(s):  
Jianxu Liu ◽  
Quanrui Song ◽  
Yang Qi ◽  
Sanzidur Rahman ◽  
Songsak Sriboonchitta
Keyword(s):  
Financial Markets ◽  
Financial Institutions ◽  
Systemic Risk ◽  
Decision Model ◽  
Global Financial Crisis ◽  
Joint Models ◽  
Policy Makers ◽  
Trading Decisions ◽  
The Global Financial Crisis ◽  
First Time

The global financial crisis in 2008 spurred the need to study systemic risk in financial markets, which is of interest to both academics and practitioners alike. We first aimed to measure and forecast systemic risk in global financial markets and then to construct a trade decision model for investors and financial institutions to assist them in forecasting risk and potential returns based on the results of the analysis of systemic risk. The factor copula-generalized autoregressive conditional heteroskedasticity (GARCH) models and component expected shortfall (CES) were combined for the first time in this study to measure systemic risk and the contribution of individual countries to global systemic risk in global financial markets. The use of factor copula-based models enabled the estimation of joint models in stages, thereby considerably reducing computational burden. A high-dimensional dataset of daily stock market indices of 43 countries covering the period 2003 to 2019 was used to represent global financial markets. The CES portfolios developed in this study, based on the forecasting results of systemic risk, not only allow spreading of systemic risk but may also enable investors and financial institutions to make profits. The main policy implication of our study is that forecasting systemic risk of global financial markets and developing portfolios can provide valuable insights for financial institutions and policy makers to diversify portfolios and spread risk for future investments and trade.

Financial Structure and Incentives

2012 ◽  
Vol 221 ◽  
pp. R23-R30
Author(s):  
Martin Čihák ◽  
Asli Demirgüç-Kunt
Keyword(s):  
Financial Markets ◽  
Financial Institutions ◽  
Risk Taking ◽  
Global Financial Crisis ◽  
Financial Sector ◽  
Financial Systems ◽  
Regulatory Approach ◽  
Private Incentives ◽  
The Global Financial Crisis

The article connects two streams of recent research on the financial sector. The first is the regulation literature, which emphasises the central role of incentives in the financial sector. It points out that the challenge of financial sector regulation, highlighted by the global financial crisis, is to align private incentives with public interest without taxing or subsidising private risk-taking. The second stream of research relates to financial structures and examines the mix of financial institutions and financial markets in an economy. It finds that, as economies develop, services provided by financial markets become comparatively more important than those provided by banks. The article brings these two streams together, pointing out that — as financial systems develop from bank-based to market-based — a traditional regulatory approach that relies on banking ratios becomes less effective. There is thus a greater need for properly monitoring and addressing the underlying incentive weaknesses in market-based systems.

scholarly journals Keynesian economics: can it return if it never died?

2020 ◽  
Vol 8 (1) ◽  
pp. 23-25 ◽  
Author(s):  
Barry Eichengreen
Keyword(s):  
Financial Markets ◽  
Global Financial Crisis ◽  
Policy Design ◽  
Analytical Framework ◽  
Fiscal Consolidation ◽  
Policy Makers ◽  
Animal Spirits ◽  
Discretionary Fiscal Policy ◽  
Fiscal Space ◽  
The Global Financial Crisis

Appreciation of the Keynesian synthesis was enhanced by the events of the last decade. The global financial crisis highlighted the fragility of financial markets and the capriciousness of animal spirits. The depth of the downturn pointed to the value of not just automatic stabilizers but also discretionary fiscal policy as tools of macroeconomic management. Keynesian models and not their New Classical challengers provided the practical analytical framework for policy design. Models of the anti-Keynesian effects of fiscal consolidation received little support from actual consolidation experience. The secular-stagnation debate that followed the crisis lent legitimacy to the view that policy-makers with fiscal space were wise to use it.

50 Years of Central Banking in Kenya

2021 ◽  
Keyword(s):  
Central Bank ◽  
Financial Institutions ◽  
Global Financial Crisis ◽  
Central Banking ◽  
Eastern Africa ◽  
African Region ◽  
Policy Makers ◽  
Bank Executives ◽  
The Global Financial Crisis ◽  
High Level

This book documents important milestones in the epic journey traversed by the Central Bank of Kenya over the last 50 years, putting into perspective the evolution of central banking globally and within the East African region, and contemplating future prospects and challenges. The book is timely, mainly because the global financial landscape has shifted. Central bankers have expanded their mandates, beyond the singular focus on inflation and consider economic growth as their other important objective. Financial crises have continued to disrupt the functioning of financial institutions and markets, the most devastating episodes being the global financial crisis, which broke out in 2008 and from which the global financial system has not fully recovered, and the unprecedented challenges posed by the global coronavirus pandemic. Bank regulation has moved from Basel I, to Basel II, and somehow migrated to Basel III, although some countries are still at the crossroads. The book originated from the wide-ranging discussions on central banking, from a symposium to celebrate the 50 year anniversary on 13 September 2016 in Nairobi. The participants at the symposium included current and former central bank governors from Kenya and the Eastern Africa region, high-level officials from multilateral financial institutions, policy-makers, bank executives, civil society actors, researchers and students. The book is an invaluable resource for policy-makers, practitioners, and researchers, on how monetary policy and financial practices in vogue today in Kenya have evolved through time and worked very well, but also about some pitfalls.

2011 Triennial Surveillance Review - External Study - IMF and Global Financial Stability

Policy Papers ◽  
2011 ◽  
Vol 2011 (52) ◽  
Author(s):  
Keyword(s):  
Financial Institutions ◽  
Executive Director ◽  
Financial Stability ◽  
Global Financial Crisis ◽  
Monetary Authority ◽  
Policy Makers ◽  
Crisis Prevention ◽  
Run Up ◽  
The Global Financial Crisis ◽  
The Imf

External study prepared by John Palmer, Chair, Toronto Leadership Centre, former Superintendent, Office of the Superintendent of Financial Institutions, Canada, former Deputy Managing Director Monetary Authority of Singapore, former Canadian Managing Partner of KPMG and Yoke Wang Tok, Former Senior Advisor to the IMF Executive Director representing ASEAN, Nepal, Fiji and Tonga and former Principal Economist, Monetary Authority of Singapore: This report aims to provide an independent view of how the Fund is discharging its multilateral surveillance responsibilities, in particular its contribution to global financial stability and crisis prevention, working in coordination with other relevant international groupings/institutions such as the FSB and BIS. As we emerge from the global financial crisis (GFC), the Fund has regained much of its credibility and relevance. The GFC caught many, including the IMF, by surprise. Since then, the Fund has done considerable self-analysis and taken active steps to strengthen its surveillance and policy advice and to improve traction with policy makers. The IEO report on the Fund’s performance in the run-up to the financial and economic crisis identified various shortcomings that needed to be addressed. One of its key findings was the inability of the Fund to connect-the dots, to deliver hard-hitting messages and the difficulty experienced by the Fund in thinking beyond mainstream/official views. Many of the IEO’s findings have relevance to this review.

scholarly journals THE INTER-TIER SPREAD OF HOUSING BUBBLES: ARE LUXURY MARKETS TO BLAME?

2021 ◽  
Vol 25 (2) ◽  
pp. 115-126
Author(s):  
Shew-Huei Kuo ◽  
Ming-Te Lee ◽  
Ming-Long Lee
Keyword(s):  
Risk Management ◽  
Financial Institutions ◽  
Global Financial Crisis ◽  
The Other ◽  
Policy Makers ◽  
Asset Bubbles ◽  
Mass Housing ◽  
Price Bubbles ◽  
Housing Bubbles ◽  
The Global Financial Crisis

Understanding the spread of asset bubbles is pivotal to the effectiveness of risk management. This study thus estimates housing bubbles and investigates how and to what extent price bubbles spread between the tiers of luxury and mass housing in Hong Kong. The results show that price bubbles spread between housing tiers, the spreading of bubbles is not uni-directional from luxury to mass tiers, and more than 60% of bubbles come from inter-tier spreading. Moreover, bubble shocks from the luxury tier have stronger spreading influences on the movements of bubbles in the mass housing tier than the other way around during the period before the end of the global financial crisis (GFC), whereas the opposite is true for the period after GFC. The findings are important for policy makers attempting to tackle soaring housing bubbles, financial institutions seeking to managing lending risk, and housing investors wanting to time the submarkets.

Ocena antykryzysowej polityki gospodarczej Stanów Zjednoczonych i wybranych państw członkowskich Unii Europejskiej w latach 2005–2014

2016 ◽  
pp. 26-46
Author(s):  
Marcin Jan Flotyński
Keyword(s):  
United States ◽  
European Union ◽  
Financial Markets ◽  
Global Economy ◽  
Global Financial Crisis ◽  
The United States ◽  
The European Union ◽  
High Volatility ◽  
The Global Financial Crisis ◽  
Domestic Products

The global financial crisis in 2007–2009 began a period of high volatility on the financial markets. Specifically, it caused an increased amplitude of fluctuations of the level of gross domestic products, the level of investment and consumption and exchange rates in particular countries. To address the adverse market circumstances, governments and central banks took actions in order to bolster the weakening global economy. The aim of this article is to present the anti-crisis actions in the United States and selected member states of the European Union, including Poland, and an assessment of their efficiency. The analysis conducted indicates that generally the actions taken in the United States in response to the crisis were faster and more adequate to the existing circumstances than in the European Union.

Financial Sustainability and Infrastructure Finance

2018 ◽  
Author(s):  
Felipe Carvalho de Rezende
Keyword(s):  
Financial Institutions ◽  
Financial Stability ◽  
Global Financial Crisis ◽  
Financial Sustainability ◽  
Infrastructure Finance ◽  
Strategic Role ◽  
Development Banks ◽  
The Global Financial Crisis ◽  
Capital Development

Among the lessons that can be drawn from the global financial crisis is that private financial institutions have failed to promote the capital development of the affected economies, and to dampen financial fragility. This chapter analyses the macroeconomic role that development banks can play in this context, not only providing long-term funding necessary to promote economic development, but also fostering financial stability. The chapter discusses, in particular, the need for public financial institutions to provide support for infrastructure and sustainable development projects. It concludes that development banks play a strategic role by funding infrastructure projects in particular, and outlines the lessons for enhancing their role as catalysts for mitigating risks associated with such projects.

Financialization

2018 ◽  
pp. 276-290
Author(s):  
Ravi Roy ◽  
Thomas D. Willett
Keyword(s):  
Financial Markets ◽  
Financial Services ◽  
Capital Mobility ◽  
Global Financial Crisis ◽  
Economic Globalization ◽  
The Past ◽  
The World ◽  
The Global Financial Crisis ◽  
National Economies ◽  
Global Financial System

The size and scope of financial sectors throughout the world have grown exponentially in tandem with the rise of globalization and increased capital mobility. The terms “economic globalization” and “financialization” are often discussed as inextricably related phenomena. Although the rapid increase in the number and variety of financial services and products during the past four decades has helped spur economic growth and create wealth on an unprecedented scale, the devastating fallout from the global financial crisis of 2008–2009, and the economic turbulence that followed, demonstrates how poorly managed financial sectors can simultaneously cause enormous pain. This chapter argues that if the opportunities created by economic globalization and financialization are to be maximized, while at the same tempering volatile financial markets, then the global financial system (and the national economies connected with it) must be fundamentally restructured. A number of ways that should be taken under consideration are discussed.

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