the role of the media in fiscal consolidation programmes the case of ireland a number of european countries have implemented austerity programmes since the onset of the current economic crisis this paper focuses on fiscal consolidation a central aspect of such programmes using the case of ireland it investigates the significant role of the mass media in presenting such policies to the public a role which has so far remained unexamined conceiving of the irish experience over the past few decades as a case of neoliberalisation it uses a critical political economic conceptualisation of news organisations to consider 431 editorials and opinion articles discussing fiscal consolidation in three leading irish newspapers between 2008 and 2012 it finds that the majority of articles present viewpoints in favour of fiscal consolidation and display a preference for spending cuts over tax hikes which substantiates the claim that ireland has adopted neoliberal policies to address the crisis only a minority of articles oppose fiscal consolidation these mostly contest specific spending cuts but usually fail to criticise fiscal consolidation itself by calling for economic alternatives such as keynesian stimulus differences between newspapers are also discussed highlighting their ideological cleavages

contagion as a wealth effect financial contagion is described as a wealth effect in a continuous time model with two risky assets and three types of traders noise traders trade randomly in one market long term investors provide liquidity using a linear rule based on fundamentals convergence traders with logarithmic utility trade optimally in both markets asset price dynamics are endogenously determined numerically as functions of endogenous wealth and exogenous noise when convergence traders lose money they liquidate positions in both markets this creates contagion in that returns become more volatile and more correlated contagion reduces benefits from portfolio diversification and raises issues for risk management during the f inancial panic associated with the default of the russian government in august 1998 and the subsequent collapse of the hedge fund long term capital management numerous hedge funds banks and securities firms tried simultaneously to reduce exposures to a variety of financial instruments such as russian bonds brazilian stocks u s mortgages spreads between on therun and off the run government securities and spreads between swaps and u s treasuries although the fundamental values of these positions would appear to have little correlation during this financial crisis the asset prices in these markets exhibited the following common empirical pattern 1 financial intermediaries suffered losses as prices moved against their positions 2 market depth and liquidity decreased simultaneously in several markets 3 the volatility of prices increased simultaneously in several markets and

contagion volatility persistence and volatility spill overs the case of energy markets during the european financial crisis the aim of this paper is to investigate if and to what extent events in financially troubled eu markets greece ireland and portugal affected energy prices during the eu financial crisis more specifically i we test for contagion effects of bond prices on energy commodity prices ii we examine whether the nature of energy price volatility is affected and iii we investigate whether bond volatility from the financially distressed eu markets spills over to energy commodity return volatility our results indicate the existence of significant contagion effects notable changes in the nature of energy commodity volatility during the eu financial crisis and spill over effects the results are robust to the use of short term yields instead of long term bond price changes and to the inclusion of spain and italy in the sample

index investment and financialization of commodities the authors found that concurrent with the rapidly growing index investment in commodity markets since the early 2000s prices of non energy commodity futures in the united states have become incr

insuring banks against liquidity shocks the role of deposit insurance and lending of last resort it has long been recognized that banks simultaneous provision of monitoring and liquidity services is advantageous but leaves them susceptible to liquidity shocks that may culminate in a system failure because a system failure is costly this provides a rationale for adopting arrangements including a lender of last resort and deposit insurance di to insure banks against liquidity shocks these arrangements have proven themselves very successful but they have also been the source of problems researchers have identified some of the main sources of these problems and have suggested ways to improve the design of these arrangements but there are still many issues that remain unaddressed this paper reviews the literature on the two arrangements that most countries have adopted to insure banks against liquidity shocks a lender of last resort and di and compares the design of these arrangements across countries the paper ends with a brief summary of the key lessons learned about the design of these arrangements and the issues related to them that remain unaddressed copyright blackwell publishers ltd 2006

common dynamics of nonenergy commodity prices and their relation to uncertainty the purpose of this article is to improve the empirical evidence on commodity prices in various dimensions first we attempt to identify the extent of comovements in 44 monthly nonenergy commodity price series in order to ascertain whether the increase in comovement is a recent term phenomenon second we attempt to determine the role of uncertainty in determining comovements among nonenergy prices in the short run we diagnose the overall comovement using a dynamic factor model estimated by principal components a factor augmented vector autoregressive approach is used to assess the relationship of fundamentals financial and uncertainty variables with the comovement in commodity prices we find a greater synchronization among raw materials since december 2003 since that date uncertainty has played an important role in determining short run fluctuations in nonenergy raw material prices

on endogenous competitive business cycles the belief that the long run equilibrium of a competitive monetary economy that does not experience any exogeneous shocks whether originating from the external environment or from policy should be modelled as a state that is stationary or perhaps growing at a constant rate seems to be deeply rooted in the mind of some economists

commodity price fluctuations price dependent delays and nonlinearities as explanatory factors this paper develops a price adjustment model for a single commodity market with state dependent production and storage delays conditions for the equilibrium price to be stable are derived in terms of a variety of economic parameters when stability of the equilibrium price is lost a hopf bifurcation occurs giving rise to an oscillatory commodity price with a period between two and four times the equilibrium production storage delay

do consumers pay for one stop banking evidence from an alternative revenue function abstract in providing financial services jointly banks may reduce costs due to complementarities in production cost economies of scope or raise revenues from complementarities in consumption revenue economies of scope cost economies of scope between bank deposits and loans have been found to be small revenue economies of scope are investigated here for the first time and found to be insignificant over 1978 1990 for both small and large banks and for those on or off the revenue efficient frontier the lack of complementarities between deposits and loans where benefits are most likely to occur suggests that claims of important synergies from an expansion of banking powers be taken with caution

do oil prices respond to real interest rates abstract we show that the robustness of an inverse relationship between the real interest rate and real oil price depends crucially on how the real interest rate is calculated and the time frame of the sample consistent with earlier studies we find that the oil price falls with an unexpected rise in either u s or international ex ante real interest rates when the ex post real interest rate is used the oil price only falls with rises to short term rates 3 months or less additionally the response of the oil price to long term ex ante real interest rates must include the period through the mid 2000s for the inverse relationship to appear in contrast the oil price consistently falls with unexpected rises in short term real interest rates throughout the entire sample we draw two conclusions from the results the first is that the oil price is consistently responsive to short term u s and international real interest rates underlying the importance of storage second oil prices have become more responsive to long term real interest rates over time

fairly priced deposit insurance and bank charter policy the thrust of current deposit insurance reform risk based insurance premiums and capital requirements is an effort to price deposit insurance more fairly fairly pricing deposit insurance eliminates inequitable wealth transfers but it does not lead to an efficient equilibrium this paper shows that an alternative charter policy results in an efflcient separating equilibrium this article analyzes the effect of alternative charter policies when deposit insurance is fairly priced the thrust of current deposit insurance reformrisk based capital requirements 1988 and risk based insurance premiums 1994 is an effort to price deposit insurance more fairly chan greenbaum and thakor s 1992 seminal paper dramatically illustrated that fairly pricing deposit insurance is not enough to solve the deposit insurance problem in their model when banks hold nontraded private information assets no equilibrium exists with fairly priced deposit insurance unless banks earn rent or are subsidized fairly pricing deposit insurance eliminates inequitable transfers of wealth but it does not lead to an efficient equilibrium this paper shows that an alternative charter policy gives an efficient separating equilibrium the separating equilibrium segregates the market for insured transactions deposits from private information financial intermediation the analysis in this article provides support for the deposit insurance reform proposal in the recent 1993 national commission on financial institution reform recovery and enforcement ncfirre report to the president and congress and for merton and bodie s 1993 proposal both proposals impose a separating equilibrium that isolates insured transactions accounts and the public information traded assets that secure them from private information assets in the bank s portfolio the formal model developed here is designed to demonstrate the effect of charter policy on the efficiency of market equilibrium in an uncomplicated setting but the main result that a separating equilibrium is more efficient is extremely robust with respect to the model specification the model has two types of financial intermediaries intermediaries that hold nontraded private

is fairly priced deposit insurance possible we analyze risk sensitive incentive compatible deposit insurance in the presence of private information and moral hazard without deposit linked subsidies it is impossible to implement risk sensitive incentive compatible deposit insurance pricing in a competitive deregulated environment except when the deposit insurer is the least risk averse agent in the economy we establish this formally in the context of an insurance scheme in which privately informed depository institutions are offered deposit insurance premia contingent on reported capital the result holds for alternative sorting instruments as well this suggests a contradiction between deregulation and fairly priced risk sensitive deposit insurance this paper exposes a conflict between a deregulated competitive financial services industry on the one hand and fairly priced risk sensitive deposit insurance on the other we show that if depository institutions dis are perfectly competitive i e each makes zero profits on average then it is impossible to implement incentive compatible risk sensitive deposit insurance pricing recent distress among dis has fueled debate about reform of the existing deposit insurance system many believe that the prevailing risk insensitive premium structure encourages dis to choose excessively risky assets and that it should be replaced by deposit insurance premia linked to the dis choices of risk 2 risk sensitive deposit insurance pricing however imposes greater informational demands on the deposit insurer and runs afoul of both

estimating stochastic discount factor models with hidden regimes applications to commodity pricing abstract we develop new likelihood based methods to estimate factor based stochastic discount factors sdf that may accommodate hidden markov dynamics in the factor loadings we use these methods to investigate whether it is possible to find a sdf that jointly prices the cross section of eight u s portfolios of stocks treasuries corporate bonds and commodities in particular we test a range of possible different specification of the sdf including single state and hidden markov models and compare their statistical and pricing performances in addition we assess whether and to which extent a selection of these models replicates the observed moments of the return series and especially correlations we report that regime switching models clearly outperform single state ones both in term of statistical and pricing accuracy however while a four state model is selected by the information criteria a two state three factor full vector autoregression model outperforms the others as far as the pricing accuracy is concerned

portfolio speculation and commodity price volatility in a stochastic storage model simulated prices from a stochastic storage model are used to examine the price impacts of speculation by rational investors who diversify their financial portfolios by holding agricultural commodity futures the main result is that rather than destabilizing commodity prices as is commonly believed portfolio speculation actually reduces price volatility portfolio speculation can potentially destabilize a commodity s price because the additional demand for long futures by speculators is expected to drive up the cash price during both periods of low net demand when the cash price is below average and periods of high net demand when the cash price is above average our theoretical analysis demonstrates that the higher level of inventory that is associated with portfolio speculation results in a larger release of stocks during periods of high net demand the price simulations reveal that this stock adjustment effect is strong since overall price volatility is smaller rather than larger with portfolio speculation

asymmetric correlations in gold and other financial markets abstractin this article we implement a recently developed statistical method to test asymmetries in cross asset correlations focusing in particular on the gold market our empirical results provide evidence that gold exhibits asymmetric correlations with stocks and the u s dollar but not with bonds furthermore splitting the sample into three characteristic periods we find that exceedance correlations exhibit substantial time variation even in similar market tensions for same pairs of assets our findings imply that investors and fund managers should take into account the asymmetric dependence structure which depends on the upside or downside of the market

is food financialized yes but only when liquidity is abundant abstract in this paper we investigate whether commodity index trader cit positions help to explain the increase in the correlations between agricultural commodities and equities starting around 2008 some argue institutional investors who invest both in stock and commodity markets demolish the borders between these two seemingly unrelated markets and increase correlations a recent phenomenon known as financialization yet some others argue recently correlations have decreased back to historical levels and the increase between 2008 and 2012 was merely due to a business cycle effect our results do not support one side at the expense of the other but rather shows that both factors are important in explaining the correlations between agricultural commodities and stocks furthermore we find that cits prefer to go back to their circle of competence under scarce liquidity and thus correlations decrease back to levels absent institutions hence low liquidity is a significant obstacle inhibiting financialization to occur

capital regulation and bank risk taking a note abstract this paper examines theoretically the effects of more stringent capital regulation on bank asset portfolio risk the analysis shows that for a value maximizing bank incentives to increase asset risk decline as its capital increases thus as long as regulatory efforts to contain asset risk and size are not reduced more stringent capital regulation unambiguously reduces the expected liability of the deposit insurance system

post deregulation bank deposit rate pricing the multivariate dynamics the relationship between wholesale and retail interest rates since deregulation is of substantial interest to economists and policymakers because the predictability of the monetary aggregates and their relationship to bank reserves depend on adjustment patterns in the wholesale and retail money markets we provide evidence on the nature of wholesale retail interest rate relationships by examining the dynamic interactions among two wholesale interest rates federal funds and six month treasury bills and three retail deposit rates six month consumer certificates of deposit money market deposit accounts and super now s we perform a multivariate time series analysis with particular attention paid to causal patterns and the shapes of impulse response functions a number of stylized facts related to size of adjustment speed of adjustment and pattern of adjustment are established for the response of retail rates to unanticipated shocks in wholesale rates

precious metals oil and the exchange rate contemporaneous spillovers abstractwe investigate the contemporaneous spillovers among precious metals crude oil and the us exchange rate we contend that conventional reduced form vector autoregressive var models based on lead lag relations do not fully capture the interactions among these series as these models ignore the contemporaneous effects using a structural var model we identify these contemporaneous spillovers which are shown to be strong and asymmetric we further show that not taking into consideration the contemporaneous interactions among these assets leads to inaccurate findings and inevitably to inaccurate interpretations of the causal relations among them

the price concentration relationship in banking the commonly observed positive correlation between market concentration and profitability may be explained by noncompetitive pricing behavior as argued by the structure performance hypothesis or by the greater efficiency of firms with dominant market shares as argued by the efficient structure hypothesis by examining the price concentration relationship instead of the profit concentration relationship this paper tests the structure performance hypothesis in a manner that excludes the efficient structure hypothesis as an alternative explanation of the results the results strongly support the structure performance hypothesis and are robust with respect to model specification measurement of concentration and econometric technique copyright 1989 by mit press