Is the Effect of Risk on Stock Returns Different in Up and Down Markets? A Multi-Country Study

Several empirical studies in finance have examined whether or not the risk associated with any stock market responds differently in two different states of the stock market, especially in bull and bear markets. This paper studies this problem through a model where (i) the conditional mean specification considers the threshold autoregressive model for two market situations characterized as up and down markets, (ii) the conditional variance specification is asymmetric in the sense of capturing leverage effect, and (iii) the conditional variance directly affects the conditional mean through the risk premium term in the risk-return relationship. Using daily returns on stock indices of eight countries, comprising four developed countries - the USA, the UK, Hong Kong, and Japan - and four important emerging economies, called the BRIC group, we have found that the nature of risk-return relationship is different in up and down markets. Furthermore, the risk aversion parameter is positive in the down markets and negative in the up markets. This finding supports the hypothesis that investors require a premium for taking downside risk and pay a premium for upside variation. Finally, the findings suggest that the nature of risk-return relationship is same for the two groups of countries

Central Bank Intervention in Foreign Exchange Market under Managed Float: A Three Regime Threshold VAR Analysis of Indian Rupee-US Dollar Exchange Rate

We try to comprehensively analyze the nuances of Central Bank’s intervention in the foreign exchange market under a managed float exchange rate regime. We employ a three regime threshold VAR model and identify two endogenously determined threshold values of exchange rate cycle beyond which the Reserve Bank of India (RBI) intervenes in the Indian Rupee–US Dollar (Re/$) exchange rate market. We find that, as FIIs flow in, RBI’s interventions, mainly through open market operations, are successful in bringing the Re/$ exchange rate within the desired band. Within the band, the RBI tries only to mitigate domestic inflationary conditions

Central Bank Intervention in Foreign Exchange Market under Managed Float: A Three Regime Threshold VAR Analysis of Indian Rupee-US Dollar Exchange Rate

We try to comprehensively analyze the nuances of Central Bank’s intervention in the foreign exchange market under a managed float exchange rate regime. We employ a three regime threshold VAR model and identify two endogenously determined threshold values of exchange rate cycle beyond which the Reserve Bank of India (RBI) intervenes in the Indian Rupee–US Dollar (Re/$) exchange rate market. We find that, as FIIs flow in, RBI’s interventions, mainly through open market operations, are successful in bringing the Re/$ exchange rate within the desired band. Within the band, the RBI tries only to mitigate domestic inflationary conditions

Mean and Volatility Spillovers between REIT and Stocks Returns A STVAR-BTGARCH-M Model

In this study we have examined volatility spillovers as well as volatility-in-mean effect between REIT returns and stock returns for both the USA and the UK by applying a bivariate GARCH-M model where the conditional mean is specified by a smooth transition VAR model. Dynamic conditional correlation approach has been applied with the GJR-GARCH specification so that the intrinsic nature of asymmetric volatility in case of positive and negative shocks can be duly captured. The major findings that we have empirically found is that the mean spillover effect from stock returns to REIT returns is significant for both the countries while the same from REIT returns to stock returns is significant only in the UK. It is also evident from the results that own risk-return relationship of REIT market is positive and significant only in the bear market situation in both the countries while for the stock market own risk-return relationship is insignificant for both the bull and bear markets in the USA but it is negative in the bear market condition and positive in the bull market situation for the UK. We have also found that asymmetric nature of conditional variance and dynamic behavior in the conditional correlation holds as well. Finally, several tests of hypotheses regarding equality of various kinds of spillover effects in the bull and bear market situations show that these spillover effects are not the same in the two market conditions in most of the aspects considered in this study

Forecasting House Prices in the United States with Multiple Structural Breaks

The boom-bust cycle in U.S. house prices has been a fundamental determinant of the recent financial crisis leading up to the Great Recession. The risky financial innovations in the housing market prior to the recent crisis fueled the speculative housing boom. In this backdrop, the main objectives of this empirical study are to i) detect the possibility of multiple structural breaks in the US house price data during 1995-2010, exhibiting very sharp upturns and downturns; ii) endogenously determine the break points and iii) conduct house price forecasting exercises to see how models with structural breaks fare with competing time series models – linear and nonlinear. Using a very general methodology (Bai-Perron, 1998, 2003), we found four break points in the trend in the S&P/Case-Shiller 10 city aggregate house-price index series. Next, we compared the forecasting performance of the model with structural breaks to four competing models – namely, Random Acceleration (RA), Autoregressive Moving Average (ARMA), SelfExciting Threshold Autoregressive (SETAR), and Smooth Transition Autoregressive (STAR). Our findings suggest that house price series not only has undergone structural changes but also regime shifts. Hence, forecasting models that assume constant coefficients such as ARMA may not accurately capture house price dynamics

The Role of the Federal Reserve in the U.S. Housing Crisis: A VAR Analysis with Endogenous Structural Breaks

This paper reexamines the role of the Federal Reserve in triggering the recent housing crisis. Specifically, we explore if the relationship between the federal funds rate and the housing variables underwent structural changes in the wake of the housing crisis. Using quarterly data spanning 1960–2017, we estimate a VAR model involving federal funds rate, real GDP growth and a housing variable (captured by house price inflation or residential investment share or housing starts) and conduct time series analysis for the pre- and post-crisis periods. While previous studies mostly set break-dates based on events known a priori to split the full sample to subsamples, we endogenously determine structural break points occurring at multiple unknown dates. Our Granger causality analysis indicates that the federal funds rate did not cause house price inflation, although it caused residential investment share and housing starts in the pre-crisis period. In the post-crisis period, the real GDP growth caused residential investment and housing starts while house price inflation had a momentum of its own. Our impulse response and forecast error variance decomposition analysis reinforce these results. Overall, our findings suggest that housing volume fluctuates more than house prices over the business cycle

Bandwidth and power enhancement in the MEMS-based piezoelectric energy harvester using magnetic tip mass

In this paper, the performance and frequency bandwidth of the piezoelectric energy harvester (PZEH) is improved by introducing two permanent magnets attached to the proof mass of a dual beam structure. Both magnets are in the vicinity of each other and attached in such a way to proof mass of a dual beam so that they create a magnetic field around each other. The generated magnetic field develops a repulsive force between the magnets, which improves electrical output and enhances the bandwidth of the harvester. The simple rectangular cantilever structure with and without magnetic tip mass has a frequency bandwidth of 4 Hz and 4.5 Hz, respectively. The proposed structure generates a peak voltage of 20 V at a frequency of 114.51 Hz at an excitation acceleration of 1 g (g= 9.8 m/s2 ). The peak output power of a proposed structure is 25.5 µW. The operational frequency range of a proposed dual beam cantilever with a magnetic tip mass of 30 mT is from 102.51 Hz to 120.51 Hz, i.e., 18 Hz. The operational frequency range of a dual beam cantilever without magnetic tip mass is from 104.18 Hz to 118.18 Hz, i.e., 14 Hz. There is an improvement of 22.22% in the frequency bandwidth of the proposed dual beam cantilever with a magnetic tip mass of 30 mT than the dual beam without magnetic tip mass

Evaluation of results of “Trochanteric Femoral Nailing (TFN) “ in comminuted unstable trochanteric fractures

ABSTRACT:  Background:               In recent years, intramedullary nails for the treatment of comminuted and unstable intertrochanteric hip fractures have gained prominence relative to conventional, sliding hip screws.             The purpose of our study was to evaluate the result of Trochanteric   femoral nailing in comminuted, unstable Trochanteric fracture femur in terms of anatomical restoration and functional outcome.Materials & Methods :             It is a prospective and without control study. Trochanteric femoral nailing has been done in selected 25 patients and they are followed up postoperatively for at least 12 months. Pre-operative and post-operative clinical and radiological parameters are compared accordingly.Results:             Union in all cases. Overall complication rate 12% including some implant related complications. Functional outcome on Harris Hip Score is comparable with standard literature.Conclusions:            For treatment of intertrochanteric hip fractures, particularly with comminuted fracture fragments, an intramedullary devices offer beneficial features in comparison with the extramedullary devices. Further biomechanical and clinical studies are necessary to validate the efficacy of the trochanteric femoral nail, but in our experience this is an improvement over the currently available devices. Level of Evidence-    Level 1 therapeutic study