202,264 research outputs found
"Financial Markets"
This paper provides a brief exposition of financial markets in Post Keynesian economics. Inspired by John Maynard Keynes's path-breaking insights into the role of liquidity and finance in "monetary production economies," Post Keynesian economics offers a refreshing alternative to mainstream (mis)conceptions in this area. We highlight the importance of liquidity-as provided by the financial system—to the proper functioning of real world economies under fundamental uncertainty, contrasting starkly with the fictitious modeling world of neo-Walrasian exchange economies. The mainstream vision of well-behaved financial markets, channeling saving flows from savers to investors while anchored by fundamentals, complements a notion of money as an arbitrary numeraire and mere convenience, facilitating exchange but otherwise "neutral." From a Post Keynesian perspective, money and finance are nonneutral but condition and shape real economic performance. It takes public policy to anchor asset prices and secure financial stability, with the central bank as the key public policy tool.Financial Markets; Liquidity; Uncertainty; Rate of Interest; Instability; Central Banking
On Financial Markets Trading
Starting from the observation of the real trading activity, we propose a
model of a stockmarket simulating all the typical phases taking place in a
stock exchange. We show that there is no need of several classes of agents once
one has introduced realistic constraints in order to confine money, time, gain
and loss within an appropriate range. The main ingredients are local and global
coupling, randomness, Zipf distribution of resources and price formation when
inserting an order. The simulation starts with the initial public offer and
comprises the broadcasting of news/advertisements and the building of the book,
where all the selling and buying orders are stored. The model is able to
reproduce fat tails and clustered volatility, the two most significant
characteristics of a real stockmarket, being driven by very intuitive
parameters.Comment: 18 pages, submitte
Developing financial markets
Central banks have an interest in well-functioning money markets, foreign exchange markets, and secondary markets for government securities. Efficient financial markets support both the monetary stability and financial stability goals of the central bank; and more broadly should benefit economic development. Well-functioning money markets support the transmission of an interest-rate based monetary policy and can provide information to the central bank. Liquid foreign exchange markets can help to stabilise the exchange rate and reduce transaction costs in cross-border trade and transfers. The development of these markets will support the later introduction of related financial markets such as repo and derivatives, which should in turn lead to improved risk management and financial stability, thereby enhancing economic welfare. Liquidity and price stability in short-term interest rate markets can support market-making, and thus liquidity in the securities markets. This in turn should reduce the cost of issuance for the government and other fixed-interest issuers. Indeed the secondary market for government securities may act as a catalyst for wider fixed income securities markets development: its yield curve is the benchmark for the pricing of the private sector credit. The advancement of these markets should be accompanied by the development of the appropriate market infrastructure such as robust payment and settlement systems and supportive legal framework. Many developing economies are characterised by illiquidity in these core markets, and in most cases a surplus of central bank money, in the form of excess commercial bank balances with the central bank. This handbook will look at what the central bank, and the Ministry of Finance as issuer of government securities, could do (and in some cases should not do) in support of the development of these markets.Developing financial markets
EU Retail Financial Market Integration: Mirage or Reality? ECRI Policy Briefs No. 3, 3 June 2008
This paper starts with a bird’s eye view of retail financial markets in the EU today and their degree of integration. It reviews the EU measures affecting retail financial markets and how rule-making has evolved over the last 15 years. A third section discusses issues raised by EU rule-making in retail financial markets and concludes with recommendations for policy
News Cohesiveness: an Indicator of Systemic Risk in Financial Markets
Motivated by recent financial crises significant research efforts have been
put into studying contagion effects and herding behaviour in financial markets.
Much less has been said about influence of financial news on financial markets.
We propose a novel measure of collective behaviour in financial news on the
Web, News Cohesiveness Index (NCI), and show that it can be used as a systemic
risk indicator. We evaluate the NCI on financial documents from large Web news
sources on a daily basis from October 2011 to July 2013 and analyse the
interplay between financial markets and financially related news. We
hypothesized that strong cohesion in financial news reflects movements in the
financial markets. Cohesiveness is more general and robust measure of systemic
risk expressed in news, than measures based on simple occurrences of specific
terms. Our results indicate that cohesiveness in the financial news is highly
correlated with and driven by volatility on the financial markets
Extreme times in financial markets
We apply the theory of continuous time random walks to study some aspects of
the extreme value problem applied to financial time series. We focus our
attention on extreme times, specifically the mean exit time and the mean
first-passage time. We set the general equations for these extremes and
evaluate the mean exit time for actual data.Comment: 6 pages, 3 figure
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