2,425 research outputs found
Financial ``Anti-Bubbles'': Log-Periodicity in Gold and Nikkei collapses
We propose that imitation between traders and their herding behaviour not
only lead to speculative bubbles with accelerating over-valuations of financial
markets possibly followed by crashes, but also to ``anti-bubbles'' with
decelerating market devaluations following all-time highs. For this, we propose
a simple market dynamics model in which the demand decreases slowly with
barriers that progressively quench in, leading to a power law decay of the
market price decorated by decelerating log-periodic oscillations. We document
this behaviour on the Japanese Nikkei stock index from 1990 to present and on
the Gold future prices after 1980, both after their all-time highs. We perform
simultaneously a parametric and non-parametric analysis that are fully
consistent with each other. We extend the parametric approach to the next order
of perturbation, comparing the log-periodic fits with one, two and three
log-frequencies, the latter one providing a prediction for the general trend in
the coming years. The non-parametric power spectrum analysis shows the
existence of log-periodicity with high statistical significance, with a
prefered scale ratio of for the Nikkei index for the Gold future prices, comparable to the values obtained for
speculative bubbles leading to crashes.Comment: 14 pages with 4 figure
Noise-induced volatility of collective dynamics
"Noise-induced volatility" refers to a phenomenon of increased level of
fluctuations in the collective dynamics of bistable units in the presence of a
rapidly varying external signal, and intermediate noise levels. The
archetypical signature of this phenomenon is that --beyond the increase in the
level of fluctuations-- the response of the system becomes uncorrelated with
the external driving force, making it different from stochastic resonance.
Numerical simulations and an analytical theory of a stochastic dynamical
version of the Ising model on regular and random networks demonstrate the
ubiquity and robustness of this phenomenon, which is argued to be a possible
cause of excess volatility in financial markets, of enhanced effective
temperatures in a variety of out-of-equilibrium systems and of strong selective
responses of immune systems of complex biological organisms. Extensive
numerical simulations are compared with a mean-field theory for different
network topologies
Testing for rational speculative bubbles in the Brazilian residential real-estate market
Speculative bubbles have been occurring periodically in local or global real
estate markets and are considered a potential cause of economic crises. In this
context, the detection of explosive behaviors in the financial market and the
implementation of early warning diagnosis tests are of critical importance. The
recent increase in Brazilian housing prices has risen concerns that the
Brazilian economy may have a speculative housing bubble. In the present paper,
we employ a recently proposed recursive unit root test in order to identify
possible speculative bubbles in data from the Brazilian residential real-estate
market. The empirical results show evidence for speculative price bubbles both
in Rio de Janeiro and Sao Paulo, the two main Brazilian cities
Constituting monetary conservatives via the 'savings habit': New Labour and the British housing market bubble
The ongoing world credit crunch might well kill off the most recent bubble dynamics in the British housing market by driving prices systematically downwards from their 2007 peak. Nonetheless, the experience of that bubble still warrants analytical attention. The Labour Government might not have been responsible for consciously creating it, but it has certainly grasped the opportunities the bubble has provided in an attempt to enforce a process of agential change at the heart of the British economy. The key issue in this respect is the way in which the Government has challenged the legitimacy of passive welfare receipts in favour of establishing a welfare system based on incorporating the individual into an active asset-holding society. The housing market has taken on new political significance as a means for individuals first to acquire assets and then to accumulate wealth on the back of asset ownership. The ensuing integration of the housing market into an increasingly reconfigured welfare system has permeated into the politics of everyday life. It has been consistent with individuals remaking their political subjectivities in line with preferences for the type of conservative monetary policies that typically keep house price bubbles inflated
Value at Risk models with long memory features and their economic performance
We study alternative dynamics for Value at Risk (VaR) that incorporate a slow moving component and information on recent aggregate returns in established quantile (auto) regression models. These models are compared on their economic performance, and also on metrics of first-order importance such as violation ratios. By better economic performance, we mean that changes in the VaR forecasts should have a lower variance to reduce transaction costs and should lead to lower exceedance sizes without raising the average level of the VaR. We find that, in combination with a targeted estimation strategy, our proposed models lead to improved performance in both statistical and economic terms
Sand in the wheels, or oiling the wheels, of international finance? : New Labour's appeal to a 'new Bretton Woods'
Tony Blairâs political instinct typically is to associate himself only with the future. As such, his explicit appeal to âthe pastâ in his references to New Labourâs desire to establish a ânew Bretton Woodsâ is sufficient in itself to arouse some degree of analytical curiosity (see Blair 1998a). The fact that this appeal was made specifically in relation to Bretton Woods is even more interesting. The resonant image of the international economic context established by the original Bretton Woods agreements invokes a style and content of policy-making which Tony Blair typically dismisses as neither economically nor politically consistent with his preferred vision of the future (see Blair 2000c, 2001b)
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The long-run performance of IPOs: the case of the Stock Exchange of Mauritius
This study examines the long-run performance of initial public offerings on the Stock Exchange of Mauritius (SEM). The results show that the 3-year equally weighted cumulative adjusted returns average â16.5%. The magnitude of this underperformance is consistent with most reported studies in different developed and emerging markets. Based on multivariate regression models, firms with small issues and higher ex ante financial strength seem on average to experience greater long-run underperformance, supporting the divergence of opinion and overreaction hypotheses. On the other hand, Mauritian firms do not on average time their offerings to lower cost of capital and as such, there seems to be limited support for the windows of opportunity hypothesis
Printed educational messages fail to increase use of thiazides as first-line medication for hypertension in primary care: a cluster randomized controlled trial [ISRCTN72772651]
BACKGROUND: Evidence on the effectiveness of printed educational messages in contributing to increasing evidence-based clinical practice is contradictory. Nonetheless, these messages flood physician offices, in an attempt to promote treatments that can reduce costs while improving patient outcomes. This study evaluated the ability of printed educational messages to promote the choice of thiazides as the first-line treatment for individuals newly diagnosed with hypertension, a practice supported by good evidence and included in guidelines, and one which could reduce costs to the health care system.
METHODS: The study uses a pragmatic, cluster randomized controlled trial (randomized by physician practice group).
SETTING: The setting involves all Ontario general/family practice physicians. Messages advising the use of thiazides as the first-line treatment of hypertension were mailed to each physician in conjunction with a widely read professional newsletter. Physicians were randomized to receive differing versions of printed educational messages: an "insert" (two-page evidence-based article) and/or one of two different versions of an "outsert" (short, directive message stapled to the outside of the newsletter). One outsert was developed without an explicit theory and one with messages developed targeting factors from the theory of planned behaviour or neither (newsletter only, with no mention of thiazides). The percentage of patients aged over 65 and newly diagnosed with hypertension who were prescribed a thiazide as the sole initial prescription medication. The effect of the intervention was estimated using a logistic regression model estimated using generalized estimating equation methods to account for the clustering of patients within physician practices.
RESULTS: Four thousand five hundred four physicians (with 23,508 patients) were randomized, providing 97Â % power to detect a 5Â % absolute increase in prescription of thiazides. No intervention effect was detected. Thiazides were prescribed to 27.6Â % of the patients who saw control physicians, 27.4Â % for the insert, 26.8Â % for the outsert and 28.3Â % of the patients who saw insertâ+âoutsert physicians, pâ=â0.54.
CONCLUSIONS: The study conclusively failed to demonstrate any impact of the printed educational messages on increasing prescribing of thiazide diuretics for first-line management of hypertension.
TRIAL REGISTRATION: ISRCTN72772651
House price Keynesianism and the contradictions of the modern investor subject
This article conceptualises the marked downturn in UK house prices in the 2007-2009 period in relation to longer-term processes of national economic restructuring centred on a new model of homeownership. The structure of UK house prices has been impacted markedly by the Labour Governmentâs efforts to ingrain a particular notion of financial literacy amid the move towards an increasingly asset-based system of welfare. New model welfare recipients and new model homeowners have thereby been co-constituted in a manner consistent with a new UK growth regime of âhouse price Keynesianismâ. However, the investor subjects who drive such growth are necessarily rendered uncertain as compared with the idealised image of Government policy because of their reliance on the credit-creating decisions of private financial institutions. The recent steep decline in UK house prices is explained here as an epiphenomenon of the disruptive effect on the idealised image caused by the dependence of investor subjects on pricing dynamics not of their making
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Economic Integration and the Currency and Equity Markets Nexus
The paper examines the impact of economic integration on the relationship between the currency and equity markets for a group of Asian emerging economies using both linear and nonlinear frameworks. We first derive the dynamic conditional correlations between the two markets and then examine the impact of economic integration on their relationship. Our main results are: (i) there is a negative correlation between real exchange rate changes and equity return differentials for all countries apart from China, which becomes deeper during the GFC for some of the countries; (ii) economic integration, both real and financial, has an asymmetric impact on the relationship between the two markets both in the short-run and in the long-run; and (iii) applying a linear framework does not bring out the impact of financial integration
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