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1 – 10 of over 129000Arun Kumar Misra and Jitendra Mahakud
Financial sector reform measures, which were initiated in 1991, have provided some degree of maturity and integration of different segments of India's financial markets. The…
Abstract
Purpose
Financial sector reform measures, which were initiated in 1991, have provided some degree of maturity and integration of different segments of India's financial markets. The purpose of this paper is to articulate the impact of financial sector reform measures on integration of various segments of financial markets in India.
Design/methodology/approach
The paper surveys various methodologies for measurement of financial integration and uses the recently developed technique of co‐integration in a VAR framework to assess the extent of integration of various segments of India's financial markets.
Findings
The paper concludes that the financial market integration is inconclusive in India. Only a few segments of money market, Gilt market and foreign exchange market are integrated. Interest rate parity does not hold in India's case, which indicates poor evidence in support of international integration of domestic financial markets. Similarly, the analysis of the relationship between domestic saving and domestic investment does not support international integration. The study of co‐integration of Nasdaq and Bombay sensitive index (BSE), also revealed absence of international integration.
Research limitations/implications
Owing to non‐availability of time series data, the paper could not consider the mutual fund market, pension market and various derivatives markets in the overall process of assessment of financial integration. However, the impact on the findings is minimal, as these markets are not so far developed in India.
Practical implications
The findings have significant practical implications particularly in the formulation of policies on management and interventions in the money market, foreign exchange and equity markets and in the overall formulation of monetary policy for the economy.
Originality/value
This paper presents a quite comprehensive research study on financial integration in India and is original, particularly in the area of application of the co‐integration technique for assessment of financial integration.
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Jae-huei Jan and Arun Kumar Gopalaswamy
The purpose of this paper is to estimate long-term currency exchange rate and also identify the key factors for decision makers in the currency exchange market. The study is…
Abstract
Purpose
The purpose of this paper is to estimate long-term currency exchange rate and also identify the key factors for decision makers in the currency exchange market. The study is expected to aid decision makers to take positions in the dynamic Forex market.
Design/methodology/approach
This study is based on quantitative and fundamental analysis of statistically oriented regression models. The trend of quarterly exchange rates is investigated using 110 variables including economic elements, interest rate and other currencies. This research is based on the same information that banks’ dealers use for the analysis. Ordinary least squares linear regression also known as “least squared errors regression” was used to estimate the value of the dependent variable.
Findings
The study concludes that “only Australian economic data” or “only the US economic data” cannot fully reflect the trend of AUD/USD. EUR influences AUD relatively larger than the other main market currencies. Six-month Australian interest rate itself affects AUD/USD trend much more than the six-month interest difference between AUD and USD.
Research limitations/implications
The results indicate that the economic autoregressive moving average model can be used to predict future exchange rate using primary factors identified and not from the generic market or economic view. This helps adjust to the general, common (and possibly wrong) views when making a buy or sell decision.
Originality/value
This is one of the first studies in the context using the information of bank dealers for AUD/USD. This study is highly relevant in the current context, given the significant growth in Forex trade.
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The purpose of this paper is to discuss the compliance with the regulatory-driven changes to collateral management and OIS discounting indicating operational and technological…
Abstract
Purpose
The purpose of this paper is to discuss the compliance with the regulatory-driven changes to collateral management and OIS discounting indicating operational and technological challenges faced by global investment banks. As it transpires, collateral management strategies need to be revised to find optimal solutions for the regulatory-driven landscape. Furthermore, set against the regulatory background, this report tests the reliability of OIS discounting and current trends in interbank lending, as well as emergent issues with CSAs.
Design/methodology/approach
This paper is based on an exploratory, qualitative approach to investigate the regulatory-driven collateral management landscape.
Findings
The new regulatory framework was viewed by the surveyed banks as a factor influencing strategic planning and operations within collateral management. All surveyed banks pointed to the increased regulatory reporting. The interviewed banks highlighted inconsistencies in implementing the new regulatory framework across different countries. With reference to the positive factors influencing collateral management, the responses were mixed and depended on bank-specific opportunities spotted in the new collateral management landscape. According to the surveyed banks, complying with the new regulations has no pronounced impact on the liquidity. The financial scandals undermined the credibility of the LIBOR rate-setting processes and prompted changes to the regulatory framework in the banking sector. Against this backdrop, the interviewed banks considered various alternatives to LIBOR, often beyond the OIS rates. The departure from LIBOR entails operational challenges faced by the participating banks. Surprisingly, the factors that pushed the interviewed banks to OIS discounting were not linked to the regulatory change or reliability of OIS rates but general market trends that emerged in the aftermath of the global financial crisis.
Originality/value
The paper contributes to the widespread, albeit complex, discussion on how banks adapt to the rapidly changing environment in collateral management and risk operations.
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The purpose of this paper is to trace how and why the market-designed Libor benchmark turned bad, thereby necessitating a regulatory response.
Abstract
Purpose
The purpose of this paper is to trace how and why the market-designed Libor benchmark turned bad, thereby necessitating a regulatory response.
Design/methodology/approach
The study relies on primary and secondary data in the public domain and complemented by a single-case study.
Findings
The study demonstrates how and why Libor benchmark rigging led to reforms in the UK and elsewhere.
Research limitations/implications
The study relying mainly on the secondary data analysis needs to be enhanced by further empirical-based studies.
Practical implications
Insights generated by the study suggest why it might not be worthwhile for market participants to game the system.
Social implications
Libor benchmark affects the financial system widely with varying significance to the wider public. With better regulatory oversight, its negative impact is expected to be mitigated considerably.
Originality/value
The seriousness with which the enforcement agency and judiciary now treat financial crime weakens the earlier public perception that white-collar crime is enforced differently.
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Yi‐xiang Tian, Qiu‐ping Yang and Jing‐tao Yuan
Reverse floating interest rate‐linked structured products are important innovative products for investors to achieve a relatively high yield at low interest rates, and the…
Abstract
Purpose
Reverse floating interest rate‐linked structured products are important innovative products for investors to achieve a relatively high yield at low interest rates, and the reasonable pricing of such products is an important factor to influence investors' needs and issuers' profits. The purpose of this paper is to empirically analyze the rationality of the pricing of reverse floating interest rate‐linked products.
Design/methodology/approach
This paper combines the Itô's Lemma and introduces the Black‐Derman‐Toy (BDT) model into the time‐varying volatility to build a binary tree interest rates BDT model under the time‐varying volatility, and to establish the pricing model of reverse floating interest rate‐linked products. Dozens of product data of ABN AMRO Bank and other world‐renowned banks or financial institutions are empirically analyzed.
Findings
The results show that the average pricing of these products is high, and the expected rate of return of the product is lower than the same period of the Five‐year US Treasury Bill rate.
Originality/value
This paper has combined the theory and practice together. The research method described in this paper is of significance to the pricing of interest rate‐linked structured products, and the pricing method of binary tree BDT model to solve the term structure of interest rates and estimation problem of volatility term structure of interest rates.
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The purpose of this paper is to analyze the evolution of the crisis, its causes and the corrective policy actions with the aim of drawing up from that a set of economics policy…
Abstract
Purpose
The purpose of this paper is to analyze the evolution of the crisis, its causes and the corrective policy actions with the aim of drawing up from that a set of economics policy and substantive implications and conclusions.
Design/methodology/approach
To throw into sharp relief the causes and particular features of the financial crisis, the paper traces the combined evolution of financial innovations and globalization which underscores the eruption of the crisis. It then analyzes the recession and the ensuing policy actions. The US actions are examined in detail by analyzing the pertinent technical, macroeconomics, and political issues. Thereafter, elements of reforms are outlined, which in part draw on the work of the Bank of International Settlements. This leads into substantive and policy conclusions of great significance.
Findings
The paper elucidates the major historic changes observed in monetary policy design and execution. It also brings out the changes in the empirical size of the various fiscal policy lags as compared with the received literature. It is argued that if the policy actions succeed the empirical relevance of the modern quantity theory and new classical macroeconomics would be thrown into question. Other set of conclusions involves setting up an internationally coordinated of financial regulations and bank supervision. It is argued that reforming the international monetary system has become unavoidable. There are also a host of specific other conclusions.
Originality/value
The conclusions and analysis contained in this paper are totally new. Given their comprehensiveness and global orientation, they will presage in future work, an overdue revision in received macroeconomic theory and financial supervision not seen since the 1960s.
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Malcolm Wright and Erica Riebe
The purpose of this paper is to test whether brand defection shows double‐jeopardy effects, and whether stochastic models provide useful benchmarks of expected brand defection…
Abstract
Purpose
The purpose of this paper is to test whether brand defection shows double‐jeopardy effects, and whether stochastic models provide useful benchmarks of expected brand defection rates.
Design/methodology/approach
The approach takes the form of an empirical study of brand defection in four markets using panel data, comparing the performance of simple OLS models with a stochastic model.
Findings
Brand defection shows double jeopardy. Almost all brand defection in the markets studied could be explained by the category examined and the market share of the focal brand. A stochastic model of choice fits these data well, and provides many further practical and theoretical applications.
Practical implications
The study provides improved benchmarks for brand defection, allowing managers to spot whether their brand is performing better or worse than expected. It also allows better analysis of market structure for subscription services, especially under dynamic conditions, and better estimation of customer lifetime value when defection rates are not known for all brands.
Originality/value
The paper closes a gap in the brand defection literature by showing that a given level of defection is a natural characteristic of any market, subject to within‐market variations dominated by market share. Recent work has overlooked these points, resulting in unrealistic goals for customer defection programmes and inefficient estimates of customer lifetime value. The paper also provides a method of defection analysis that can be deployed by numerate managers and market researchers, and used as a basis for further academic work.
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The author notes the proposals put forward by the Joint Working Group of Standard Setters on Financial Instruments and sets out the arguments why the banking community is against…
Abstract
The author notes the proposals put forward by the Joint Working Group of Standard Setters on Financial Instruments and sets out the arguments why the banking community is against the concept of measuring financial instruments under a fair value accounting system. He suggests that the proposals should be abandoned and that the accounting standard setters join with the banking industry to produce improvements in financial reporting.
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This paper seeks to examine how Public Private Partnerships (PPPs) have been affected by the global financial crisis (GFC). After briefly discussing PPPs and the GFC, the paper…
Abstract
Purpose
This paper seeks to examine how Public Private Partnerships (PPPs) have been affected by the global financial crisis (GFC). After briefly discussing PPPs and the GFC, the paper considers whether the latter has been a contributing factor in the declining number of projects reaching financial close.
Design/methodology/approach
The paper employs document content analysis to compare the time between notification of a project in the Official Journal of the European Union and its financial close in order to assess whether this period has increased since the beginning of the GFC. Two case studies are also presented.
Findings
Apart from a very small number of projects, the time between official project notification and financial close is lengthening, with the case studies providing some possible explanations for this.
Originality/value
Whilst Burger et al. provide some general statistics on the impact of the GFC on PPPs in a number of countries, this paper examines over 600 PPPs in the UK and supplements this analysis with two case studies, in order to assess whether the GFC has led to delays in projects reaching financial close.
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Elena Alexandra Mamouni Limnios, John Watson, Tim Mazzarol and Geoffrey N. Soutar
A key issue faced by co-operative enterprises is how to raise external equity capital without compromising member control. The purpose of this study is to examine the potential of…
Abstract
Purpose
A key issue faced by co-operative enterprises is how to raise external equity capital without compromising member control. The purpose of this study is to examine the potential of a special type of financial instrument called a Cooperative Capital Unit (CCU) introduced into the Australian legislation to facilitate external investment while maintaining member control.
Design/methodology/approach
A Delphi panel and six focus groups were used to provide an understanding of the challenges associated with cooperative governance and financing and to aid the development of a conceptual framework for the implementation of CCUs.
Findings
The findings from these Delphi panel and six focus groups were used to develop a proposed framework that the authors believe will be useful in structuring equity-like instruments depending on the purposes they might serve. In particular, the authors propose a new form of cooperative ownership and equity structure that could: better align member and investor interests; provide a mechanism to strengthen one role over the other depending on the needs of the cooperative; and provide investors with a better sense of security while retaining member control.
Originality/value
To the best of the authors’ knowledge, the cooperative ownership and equity structure proposed in this study are novel and not currently found in theory or practice. The insights provided by this study should, therefore, be of interest to a wide range of stakeholders, including cooperatives; professional advisors to these businesses; government regulators; investors; and researchers.
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