Public and Private Learning from Prices, Strategic Substitutability and Complementarity, and Equilibrium Multiplicity

We study a general static noisy rational expectations model, where investors have private information about asset payoffs, with common and private components, and about their own exposure to an aggregate risk factor, and derive conditions for existence and uniqueness (or multiplicity) of equilibria. We find that a main driver of the characterization of equilibria is whether the actions of investors are strategic substitutes or complements. This latter property in turn is driven by the strength of a private learning channel from prices, arising from the multidimensional sources of asymmetric information, in relation to the usual public learning channel. When the private learning channel is strong (weak) in relation to the public we have strong (weak) strategic complementarity in actions and potentially multiple (unique) equilibria. The results enable a precise characterization of whether information acquisition decisions are strategic substitutes or complements. We find that the strategic substitutability in information acquisition result obtained in Grossman and Stiglitz (1980) is robust.rational expectations equilibrium, strategic complementarity, multiplicity of equilibria, asymmetric information, risk exposure, bedging, supply information

Proposals for Full-Reserve Banking : A Historical Survey from David Ricardo to Martin Wolf

Peer reviewe

Public and private learning from prices, strategic substitutability and complementarity, and equilibrium multiplicity

We study a general static noisy rational expectations model, where investors have private information about asset payoffs, with common and private components, and about their own exposure to an aggregate risk factor, and derive conditions for existence and uniqueness (or multiplicity) of equilibria. We find that a main driver of the characterization of equilibria is whether the actions of investors are strategic substitutes or complements. This latter property in turn is driven by the strength of a private learning channel from prices, arising from the multidimensional sources of asymmetric information, in relation to the usual public learning channel. When the private learning channel is strong (weak) in relation to the public we have strong (weak) strategic complementarity in actions and potentially multiple (unique) equilibria. The results enable a precise characterization of whether information acquisition decisions are strategic substitutes or complements. We find that the strategic substitutability in information acquisition result obtained in Grossman and Stiglitz (1980) is robust.Rational expectations equilibrium; strategic complementarity; multiplicity of equilibria; asymmetric information; risk exposure; hedging; supply information;

1913 Minutes of the Kentucky Annual Conference of the Methodist Episcopal Church: The Eighty-Seventh Annual Session

https://place.asburyseminary.edu/mechurchminutes/1036/thumbnail.jp

O impacto das criptomoedas na sociedade e o iminente desafio para os órgãos de polícia criminal

O fenómeno das criptomoedas tem vindo ao longo dos últimos anos a vincar a sua presença nas sociedades. O desenvolvimento da tecnologia blockchain foi um fator determinante para a criação da bitcoin e demais criptomoedas. A aplicabilidade dos sistemas blockchain são múltiplos e transversais a vários sectores, com potencial disruptivo dos mais variados sistemas e processos tradicionais das sociedades. Um pouco por todo o mundo, pondera-se a inclusão da tecnologia blockchain nos sistemas financeiros e criação de moedas digitais de banco central, de modo a responder a uma crescente procura por formas digitais de transferência de ativos instantâneas. Os indivíduos e organizações criminosas encontraram nas moedas virtuais, uma nova solução tecnológica para movimentar valor, constituindo-se como uma mais-valia na sua atividade criminal. A cibercriminalidade associada à utilização de criptomoeda cria maiores desafios às autoridades policiais que procedem à investigação desses crimes, sendo necessário capacitar as polícias para combater eficientemente esta realidade criminal.In the past years, cryptocurrencies have been arising in society. The development of blockchain technology was the main factor for the appearance of bitcoin and other major cryptocurrencies. Blockchain technology can be applied in many sectors of society and withholds a disruptive potential in comparison to other traditional systems of society. The integration of blockchain in financial systems and the creation of central bank digital currencies, is being evaluated globally, and this would respond to the increase demand for an immediate digital money transfer system. Individuals and criminal organizations saw in cryptocurrencies a brand new way to transfer illicit funds, and therefor helped them in their illicit activities. Cybercrime associated with the use of cryptocurrencies enhances the challenges for police authorities who investigate these crimes, therefore, they need specialized skills to effectively investigate these criminal activities.N/

Estimación de un modelo de negociación de futuros americanos del Standard & Poor’s 500 incorporando elementos de microestructura de los mercados financieros

El presente trabajo recopila información de varios proyectos de investigación y documentación empírica sobre la dinámica de la microestructura de los mercados financieros donde algunos enfatizan en los movimientos que presentan los precios de las acciones americanas y el efecto en la volatilidad de los futuros americanos. Posteriormente se habla sobre la presencia y el impacto en el mercado provocado por el High Frecuency Trade (HFT). Considerando la investigación realizada se desarrolla un modelo que use la información existen del mercado buscando visualizar la posible toma de decisiones de los traders sobre operaciones en acciones americanas. En el desarrollo se tomaron dos tipos de datos, datos internos y datos externos, haciendo uso de los datos externos (información económica, o de mercado en general) y generar los datos internos que consisten en el volumen de ordenes intradía que afectan en la negociación y la volatilidad del subyacente para calcular el valor razonable de mercado o Fair Value de los futuros americanos. El modelo diseñado es una herramienta para validar si la programación de estrategias de trading incorporando modelos de microestructura permiten leer el libro de órdenes y usarlo para predecir el mejor precio de compra o venta para un futuro de acuerdo con la dispersión entre oferta y demanda. El modelo es evaluado mediante un backtesting enfocado en su usabilidad para un periodo de datos establecido, lo que también será funcional como backtesting de la estrategia de negociación. El contenido de este trabajo se distribuye en cinco secciones, la primera corresponde al estado de arte del HFT y de los modelos de microestructura incluyendo el uso y beneficios en los mercados financieros según una revisión bibliográfica disponible, en la segunda sección se presenta la justificación académica de este trabajo y los marcos referenciales que usaron en su desarrollo, ya en la tercera sección se presenta la metodología para la selección de modelos y el desarrollo de algoritmo de negociación, además de un apartado exclusivo para validar el modelo a través de backtesting, en la cuarta sección se presentan los resultados obtenidos tanto en el algoritmo de negociación como en la validación del modelo final. La última sección concluye y se presentan recomendaciones

The pricing strategy and risk management of financial leasing: A case study of the new energy vehicle business

Financial leasing, an innovative financial product that combines trading, financing and leasing, has become one of the five pillar industries of the global financial market. After more than 30 years’ development in China, financial leasing has improved in terms of enterprise number, business amount, legal policies, market environment. However, due to the complexity of the financial leasing industry, irregular operations and immature markets are accompanied by certain risks. Faced with the environmental issues and the “green” trend, new energy vehicle has attracted attention worldwide. In China, the government has issued a series of measures and subsidies to promote the new energy vehicle industry. As a result, the production and sales of new energy vehicles have greatly increased and the financing leasing business of new energy vehicles has rapidly developed. At present, the overall penetration rate of China’s auto finance is about 38%, among which the financial leasing only constitutes 2%. The financing leasing business of new energy vehicles is still in its infancy, so the market is large. However, there are risks in the financial leasing business of new energy vehicles, including financial risks and environmental risks. This thesis takes the new energy vehicle financial leasing business of SQ Company as a research case. Based on reading and analyzing the literature, this thesis divided the risks of the company’s new energy vehicle finance leasing business into financial risk and environmental risk, and used CAMELS model to comprehensively evaluate the risks. After analyzing the risks, this thesis put forward the coping strategies of risk problems and risk transfer measures based on pricing strategies. Among them, the coping strategies include diversified business income, innovative business models for new energy vehicle financing leasing, and improvement of the company’s risk management system.O leasing financeiro, é um produto financeiro inovador que combina negociação, financiamento e leasing, e que ultimamente tornou-se um dos cinco pilares da indústria do mercado financeiro global. Depois de mais de 30 anos de desenvolvimento na China, o leasing financeiro melhorou em termos de número de empresas a adotar este negócio, o valor do negócio, as políticas legais, o ambiente de mercado. No entanto, devido à complexidade da indústria de leasing financeiro, as operações irregulares e os mercados imaturos são geralmente acompanhados por certos riscos. Tendo em consideração as questões ambientais e a tendência “verde”, os veículos movidos por novas energias, têm despertado a atenção dos clientes em todo o mundo. Na China, o governo emitiu uma série de medidas e subsídios para promover a indústria de veículos baseados em novas energias. Como resultado, a produção e as vendas de veículos de novas energias aumentaram bastante e o negócio de leasing financeiro dos mesmos teve um desenvolvimento rápido. Atualmente, a taxa de inserção geral do financiamento de automóveis da China é de cerca de 38%, entre os quais o leasing financeiro constitui apenas 2%. Assim, o negócio de leasing financeiro de veículos de novas energias ainda está em sua infância, sendo o mercado disponível neste sector bastante amplo. No entanto, existem riscos no negócio de leasing financeiro de veículos de novas energias, incluindo os riscos financeiros e ambientais. Esta tese considera o negócio de leasing financeiro de veículos de novas energias, da SQ Company, como um caso de estudo. Com base na leitura e na análise da literatura científica, esta tese dividiu os riscos do leasing financeiro de veículos de novas energias em risco financeiro e risco ambiental, e usou o modelo CAMELS para avaliar de forma abrangente os riscos. Depois de analisar os riscos, esta tese apresentou as estratégias para encarar os problemas de risco e as medidas de transferência de risco com base em estratégias de preços. Entre elas, as estratégias de combate ao risco incluem receitas de negócios diversificadas, modelos de negócios inovadores para o leasing de financiamento de veículos de novas energias e melhoria do sistema de gestão de risco da empresa

Firm level governance and institutional determinants of liquidity: evidence from Sub Saharan Africa

This study contrasts well established liquidity measures, namely volume-based turnover ratio, related price-impact Amihud (2002) construct and the multidimensional Liu (2006) indicator alongside the Lesmond, Ogden and Trzcinka (1999) proportion of zero daily returns metric in explaining bid-ask spread plus commissions costs. We control for six critical firm governance characteristics that impact liquidity alongside the market-based controls that are conventionally solely included in the literature. Using a unique sample of 12 Sub Saharan African (SSA) equity markets, namely Kenya, Mauritius, Zambia, Zimbabwe, Botswana, Malawi, Namibia, Nigeria, Ghana, BRVM (Cote d’Ivoire), and then South Africa’s ALT-x and Main boards we find evidence that state and foreign venture capitalist involvement in firms enhances liquidity while involvement of foreign partners, entrepreneurial founders, domestic venture capital and inclusion within an extended business or family network has opposite effect. The evidence supports the use of the proportion of daily zero returns measure in preference to other measures in capturing illiquidity. Furthermore we find that liquidity is closely associated with three of six World Bank Governance measures of institutional quality with these being government effectiveness, regulatory quality and rule of la

Misperceived quality: fertilizer in Tanzania

Fertilizer use remains below recommended rates in most of Sub-Saharan Africa, contributing to low crop yields and poverty. We explore the role of fertilizer quality. We interviewed fertilizer sellers in an important agricultural region in Tanzania and sampled their fertilizer to establish that the nutrient content of fertilizers is good, meeting industry standards. However, we find farmers’ beliefs to be inconsistent with this reality. Beliefs about adulteration push down farmer willingness-to-pay for fertilizer; with farmers willing to pay more if quality is verified. In addition, we find some evidence of a quality inference problem: many fertilizers have degraded appearance, and farmers appear to rely on these observable attributes to (incorrectly) assess unobservable nutrient content. Market prices reflect neither nutrient content nor degradation in appearance, even in competitive markets. Our results suggest the existence of an equilibrium where farmer beliefs about fertilizer are inconsistent with the truth, and seller incentives to invest to alter beliefs are limited, motivating future research into the origins and persistence of such an equilibrium