Money Factors and EMU Government Bond Markets\u27 Convergence

Purpose - “ The authors aim to investigate the cointegrating relationship of the government bond yields, driven by the common money factors in European Monetary Union (EMU). Design/methodology/approach - “ By adopting a dynamic ARDL transformation, the paper provides short-/long-term estimates of bond yields convergence before the burst of the current debt crisis. It also investigates how the degree of convergence between bond yields, driven by money factors, is affected in short/long runs. Findings - “ The findings indicate that the introduction of the common currency has not a uniform effect on the bond yields, and there is a nominal convergence between EMU bond yields based on money market determinants. Originality/value - “ The current financial crisis indicates that the EMU bond market convergence was temporary and it can be highly affected by an exogenous shocks and the sentiment of international investors. The findings imply the necessity for a common monetary and fiscal policy in Euro zone countries

Is the Progress of Financial Innovation a Continuous Spiral Process

We herein examine the progress of financial innovations over the past 30 years, beginning with how they have influenced the financial system. We adopt a framework of classification that provides an overview of previous findings to examine the continuity of financial innovations. We find that the progress of financial innovations is discontinuous and is characterized by isolation and limited research studies. Finally, we highlight the main reasons why the previous literature in this area is limited and how financial innovations have not yet reached the point of diminishing returns

Heterogeneous effects in the international transmission of the US monetary policy: a factor-augmented VAR perspective

© 2018, The Author(s). This paper analyses the international transmission of US monetary policy shocks. We use a time-varying, factor-augmented VAR framework to examine how and to what extent the propagation of US policy shocks affects the South East Asian (SEA) and European Union (EU) economies, through various transmission channels. We find that in the SEA economies, the income absorption effect is the most pronounced channel as indicated by the significant worsening of the trade balance of these countries, which provokes a reduction in their output. In addition, wealth effects and the balance sheet channel have an important contribution in the transmission of the shock to these economies. In the EU, the initial rise observed in output as a result of the shock is driven more by exchange rate movements rather than movements in the trade balance. In terms of changes in the magnitude of the effect of the shock over time, we find that the deepening of global integration dampens the effect of the shock on the foreign economies in core macroeconomic and financial variables. Moreover, the impact of the shock on the foreign economies has increased in the post-crisis period

Cognitive biases in investors’ behaviour under stress: Evidence from the London Stock Exchange

© 2017 Elsevier Inc. The paper examines the implications arising from the effect of two cognitive biases, representativeness and conservatism, for securities price behaviour on the London Stock Exchange. In a single- and multi-factor framework of abnormal returns, the aspects of trend and consistency in the performance ratios of UK companies are examined on the base of behavioural finance theories with respect to cognitive biases. The findings obtained by the multi-factor model confirm the existence of two cognitive biases and trends that investors observe in financial performance over the long-term horizon, which is not the case for the single-factor model

Multidirectional conditional convergence in European banking

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Joint Research Centre Statistical Audit of the 2013 Global Innovation Index

The Econometrics and Applied Statistics Unit at the European Commission Joint Research Centre ( JRC) in Ispra (Italy) was invited for a third consecutive year to audit the Global Innovation Index (GII) because of the adjustments made to the list of indicators included in the GII framework (see Annex 2 for more details). The JRC assessment of the 2013 GII focused on two main issues: the conceptual and statistical coherence of the structure, and the impact of key modelling assumptions on the GII scores and ranks. As in the previous two GII reports, the JRC analysis complements the country rankings with confidence intervals for the GII, the Innovation Input Sub-Index, and the Innovation Output Sub-Index in order to better appreciate the robustness of these ranks to the computation methodology. In addition, for the first time this year, the JRC analysis includes both an assessment of potential redundancy of information in the GII and a measure of distance to the efficient frontier of innovation by using data envelopment analysis (DEA).JRC.G.3-Econometrics and applied statistic