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1 – 10 of 247Satyananda Sahoo, Shiv Shankar and Jessica M. Anthony
This chapter assesses the volatility spillover from US monetary policy consequent upon the onset of three episodes primarily engineered by the US Fed, namely quantitative easing…
Abstract
This chapter assesses the volatility spillover from US monetary policy consequent upon the onset of three episodes primarily engineered by the US Fed, namely quantitative easing 1, taper tantrum and balance sheet normalization (BSN) to select emerging market economies (Brazil, India, Russia, South Africa and Turkey) considering around six months pre- and post-occurrence of these events. AR(k)-GARCH (p,q) framework has been used to assess the spillover effect influencing the return of the financial assets and trekking to their volatility segregated as news and persistence effect across markets and economies under study. The authors find that at the overall level, news impact significantly enhanced volatility of bond and currency markets, however, less impact was observed owing to the onset of BSN announcement as markets had factored the news through the well-articulated forward guidance of the Fed.
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Deniz Ilalan and Burak Pirgaip
Since the famous tapering talk of Bernanke, US Dollar (USD) made a significant appreciation on emerging market local currencies. When the stock indices are adjusted to USD, a…
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Since the famous tapering talk of Bernanke, US Dollar (USD) made a significant appreciation on emerging market local currencies. When the stock indices are adjusted to USD, a negative relationship is usually the case. USD index is a natural candidate for measurement of these effects. It is seen that some emerging stock indices exhibit negative causality with USD index in Granger sense. Moreover, the authors take into account rolling correlations of USD index and the relevant stock indices and examine them on the investment horizon beginning from tapering talk. The authors deduce that Granger causality test and correlation results are coherent with each other which sheds light to the famous discussion whether causality implies correlation or vice versa.
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Olivier Bargain and Kristian Orsini
Social assistance and inactivity traps have long been considered as one of the main causes of the poor employment performance of EU countries. The success of New Labour in the UK…
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Social assistance and inactivity traps have long been considered as one of the main causes of the poor employment performance of EU countries. The success of New Labour in the UK has triggered a growing interests in instruments capable of combining the promotion of responsibility and self-sufficiency with solidarity with less skilled workers. Making-work-pay (MWP) policies, consisting of transfers to households with low earning capacity, have quickly emerged as the most politically acceptable instruments in tax-benefit reforms of many Anglo-Saxon countries. This chapter explores the impact of introducing the British Working Families’ Tax Credit (WFTC) in three EU countries with rather different labor market and welfare institutions: Finland, France and Germany. Simulating the reform reveals that, while first-round effects on income distribution is considerable, the interaction of the new instrument with the structural characteristics of the economy and the population may lead to counterproductive second round effects (i.e. changes in economic behavior). The implementation of the reform, in this case, could only be justified if the social inclusion (i.e. transition into activity) of some specific household types (singles and single mothers) is valued more than a rise in the employment per se.
The deadhead subculture – centered around the band Grateful Dead – has been active for 50+ years. Despite its longevity, academic work is sparse compared to other music…
Abstract
The deadhead subculture – centered around the band Grateful Dead – has been active for 50+ years. Despite its longevity, academic work is sparse compared to other music subcultures. Given its durability and resilience, this subculture offers an opportunity to explore subcultural development and maintenance. I employ a contemporary, symbolic interactionist approach to trace the development of deadhead subculture and subcultural identity. Although identity is a basic concept in subculture research, it is not well defined: I suggest that the co-creation and maintenance of subcultural identity can be seen as a dialectic between collective identity and symbolic interactionist conceptions of individual role-identity.
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To raise the quality of regulatory capital, Basel III capital rules recognize unrealized gains and losses on all available-for-sale (AFS) securities in Common Equity Tier 1…
Abstract
To raise the quality of regulatory capital, Basel III capital rules recognize unrealized gains and losses on all available-for-sale (AFS) securities in Common Equity Tier 1 Capital (CET1). However, by examining the correlations between U.S. GDP growth rate, interest rates and regulatory capital ratios computed using Basel III regulatory capital definition for six U.S. global systemically important banks (G-SIBs) since 2007, this chapter finds that Basel III regulatory capital will enhance the pro-cyclicality of Basel III leverage ratio and Tier 1 capital ratio and their sensitivity to long-term interest rates. Therefore, Basel III capital standards may have significant implications for bank supervision and bank capital risk management in the near future. As banks will hold more high-quality liquid assets (HQLAs) as required by Basel III Liquidity Coverage Ratio (LCR), the weight of unrealized gains and losses arising from fair value accounting will increase in Basel III Tier 1 capital base, the consequent increase of pro-cyclicality in a bank’s regulatory capital ratios may distort the true picture of bank capital adequacy. If an expected loss approach (EL) is used as the provisioning model, such capital risk may be increased further. Moreover, as U.S. monetary policy has started tapering quantitative easing, long-term interest rates will increase inevitably. This may increase the negative impact of unrealized gains and losses on AFS securities on bank capital. As a result, it may be difficult for banks to maintain appropriate capital ratios to meet regulatory requirements and support business activities.
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A luminescent purple glow expands, refracting holographic light in the background. As the perspective shifts, each color of the rainbow appears and disappears along multiple axes…
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A luminescent purple glow expands, refracting holographic light in the background. As the perspective shifts, each color of the rainbow appears and disappears along multiple axes of a prismatic spray. Our Diva, Carolyn Ellis, sits alone on a stool in the midst of the purple glow, extending her hand, palm up, with outstretched tapered fingers, beckoning us to join her. “Don’t be afraid,” she smiles, “we are all the same.”