41 research outputs found
Une mesure macroeÌconomeÌtrique âaÌ la Feldstein-Horiokaâ du degreÌ dâinteÌgration financieÌre en Europe
Time is Money: An Heterogenous Agent Model for the FX
This paper deals with a Bayesian extension of a behavioral finance framework âĂ laâ De Grauwe and Grimaldi (The Exchange Rate in a Behavioural Finance Framework, Princeton University Press, Princeton, 2006) in which agents operating in the FX market differ in their forecasting time horizon for the exchange rate. In the short run, if we believe in the world described by Meese and Rogoff (J. Int. Econ., 14(1â2):3â24, 1983), this leads to a chartist rule, whereas in the long run, the PPP condition appears as a natural anchor. In between, i.e. in the medium run, we implement an APEER model using Bayesian tools, as an alternative to the FEER-BEER nexus. Our results show that the stabilizing impact of the intermediate rule depends on agentsâ good perception of the fundamentals
A multilevel analysis to systemic exposure: insights from local and system-wide information
In the aftermath of the financial crisis, the growing literature on financial
networks has widely documented the predictive power of topological
characteristics (e.g. degree centrality measures) to explain the systemic
impact or systemic vulnerability of financial institutions. In this work, we
show that considering alternative topological measures based on local
sub-network environment improves our ability to identify systemic institutions.
To provide empirical evidence, we apply a two-step procedure. First, we recover
network communities (i.e. close-peer environment) on a spillover network of
financial institutions. Second, we regress alternative measures of
vulnerability on three levels of topological measures: the global level (i.e.
firm topological characteristics computed over the whole system), local level
(i.e. firm topological characteristics computed over the community) and
aggregated level by averaging individual characteristics over the community.
The sample includes financial institutions (banks, broker-dealers,
insurance and real-estate companies) listed in the Standard \& Poor's 500
index. Our results confirm the informational content of topological metrics
based on close-peer environment. Such information is different from the one
embeds in traditional system wide topological metrics and is proved to be
predictor of distress for financial institutions in time of crisis.Comment: 12 pages, 3 figures and 3 table
Rebalancing IMF Quotas
In this paper, we address the issue of IMF quota calculation in several directions. We first discuss the relevance of various specifications regarding the choice of variables, the way to measure them and the potential functional forms. Then, relying on long-run projections for GDP, trade and foreign direct investment, we compare the âoldâ system of formulas to the new one adopted in 2008 at different time horizons until 2030. Two major results emerge from our analysis. First, a single chair for the Eurozone can free 2â3 percentage points of quota shares, but this amount fades over time because intra-Eurozone trade is relatively less dynamic than world trade. Second, introducing population in quota formulas would be the most transparent and efficient way of significantly raising the quota shares for less developed countries