the heterogeneous dependence between global crude oil and chinese commodity futures markets evidence from quantile regression this paper explores the dependence between global crude oil and chinese commodity futures markets across different quantiles of the return distributions based on weekly data from 11 june 2004 to 7

income inequality in france 1901 1998 this paper uses data from income tax returns 1915 98 wage tax returns 1919 98 and inheritance tax returns 1902 94 in order to compute homogeneous yearly estimates of income wage and wealth inequality for twentieth century france the main conclusion is that the decline in income inequality that took place during the first half of the century was mostly accidental in france and possibly in a number of other countries as well wage inequality has been extremely stable in the long run and the secular decline in income inequality is for the most part a capital income phenomenon holders of large fortunes were badly hurt by major shocks during the 1914 45 period and they were never able to fully recover from these shocks probably because of the dynamic effects of progressive taxation on capital accumulation and pretax income inequality

comovements in national stock market returns evidence of predictability but not cointegration abstract this paper is a response to the literature that tests for cointegration between national stock market indices it argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic rather than small sample critical values in fact economic theory suggests that cointegration is unlikely to be observed in efficient markets however this paper finds evidence for the predictability of relative returns and the existence of a winner loser effect across 16 national equity markets a conclusion is that national stock market indices include a common world component and two country specific components one permanent and one transitory

the evolution of high incomes in northern america lessons from canadian evidence this paper uses tax statistics to construct new series on canadian top income shares from 1920 to 2000 and provides a systematic comparison with the u s experience as in the united states top income shares in canada display a ushaped pattern over the century with a precipitous drop during world war ii followed by a slower decline until 1970 since the late 1970s top income shares have been increasing dramatically and the very top shares are now as high as in the pre war era as in the united states the recent increase in top income shares is the consequence of a surge in top wages and salaries the canadian experience since the late 1970s does not appear to be well explained by tax changes suggesting that the upward trend in canada derives from the united states perhaps because many high income canadians have an emigration option this in turn suggests that the recent increase in u s personal income top shares is not merely a change in tax reporting behavior the recent sharp increase in top income shares in canada is of the same magnitude at the individual and family level and is not due to an increase in income mobility

comovement in international equity markets a sectoral view abstract we investigate shifts in correlation patterns among international equity returns at the market level as well as the industry level we develop a novel bivariate garch model for equity returns with a smoothly time varying correlation and then derive a lagrange multiplier statistic to test the constant correlation hypothesis directly applying the test to weekly data from germany japan the uk and the us in the period 1980 2000 we find that correlations among the german uk and us stock markets have doubled whereas japanese correlations have remained the same both dates of change and speeds of adjustment vary widely across countries and sectors

magnitude and persistence of extreme risk spillovers in the global energy market a high dimensional left tail interdependence perspective abstract this paper studies the magnitude and persistence of extreme risk spillovers among stock returns of 124 energy companies worldwide between january 2006 and june 2019 as well as the corresponding firm specific determinants of firms extreme risk spillovers the high dimensional nonparametric method the coefficient of tail interdependence cti enables us to make better use of available information and to evaluate risk spillovers more precisely moreover we use spatial panel models that consider spatial heterogeneity among firms to explore the determinants of the risk spillovers the empirical findings from a study of energy firms risk spillover effects verify the necessity of persistence measurement also the most systemically risky energy companies are not necessarily the largest and some small firms can also generate large risk spillovers when they are in distress which indicates that determinants other than firm size could also affect the spillover effect such as business complexity and geographic location our regression results suggest that the extreme risk spillover of the energy companies exhibits significant heterogeneity in terms of business and region which deserves more attention for energy risk management the estimates can be used for making portfolio decisions and designing regulatory policies

measuring international capital mobility a review many barriers to the international movement of capital across national boundaries have been dismantled over the course of the last 20 years financial integration was greatly enhanced by the removal of capital controls on the part of the united states germany canada switzerland and the netherlands after 1973 the recycling of surpluses to developing countries through the euromarkets in the 1970 s the removal of capital controls in the united kingdom and japan beginning in 1979 financial integration among european community countries including france and italy in preparation for 1992 recent moves toward financial liberalization in smaller countries in the pacific and the steady process of technical and institutional innovation that has proceeded around the world some popular tests of international capital mobility however appear to show anomalous results martin feldstein and charles horioka upset conventional wisdom in 1980 when they concluded that changes in countries rates of national saving had very large effects on their rates of investment and interpreted this finding as evidence of low capital mobility the argument

linear time varying regression with copula dcc garch models for volatility abstractthis article provides a new linear state space model with time varying parameters for forecasting financial volatility the volatility estimates obtained from the model by using the us stock market data almost exactly match the realized volatility we further compare our model with traditional volatility models in the ex post volatility forecast evaluations in particular we use the superior predictive ability and the reality check for data snooping evidence can be found supporting that our simple but powerful regression model provides superior forecasts for volatility

dependence structure between nominal and index linked bond returns a bivariate copula and dcc garch approach this article investigates the dependence structure related to four french nominal and index linked bonds with various maturities and reference indices to achieve this aim we estimate various copulas to select the appropriate one for our data we also compare results obtained using the copula method with multivariate dynamic conditional correlation garch dcc garch modelling the major issue in this study is that the best copulas used to model the dependence among bond returns are the plackett and student models we also find a dynamic correlation between bond returns in particular the relationship between nominal and indexed bonds is characterized by an asymmetric dependence moreover the results obtained by the copula approach are confirmed by those obtained by multivariate garch modelling our empirical study provides a useful method that may be employed by decision makers to quantitatively introduce dependence and spillover effects in their bond issuance policy for investors we propose optimal

the extreme value in crude oil and us dollar markets abstract this study constructs a flexible range based volatility model by considering extreme value information to explore the volatility and dependence structures between the oil price and the us dollar exchange rate an asset allocation strategy is implemented to evaluate the economic value and confirm the efficiency of this model the empirical results indicate that the use of extreme value information can not only enhance the explanatory power of volatility structures but also sort out the asymmetric volatility effect in the oil market besides investors can obtain extra benefits of between 72 and 713 annualized basis points by incorporating extreme value information into their asset allocation strategies less risk averse investors can generate higher benefits the empirical results have potentially important implications for asset allocation and risk management

returns synchronization and daily correlation dynamics between international stock markets the use of close to close returns underestimates returns correlation because international stock markets have different trading hours with the availability of 16 00 london time stock market series we find dynamics of daily correlation and covariance estimated using two non synchroneity adjustment procedures to be substantially different from their synchronous counterparts conditional correlation may have different signs depending on the model and data type used other findings include volatility spillover from the us to the uk and france and a reverse spillover which is not documented before also unlike previous findings we found the increase in daily correlation is prominent only under extremely adverse conditions when a large negative return has been registered

common stochastic trends in international stock markets abstract this paper presents evidence concerning the number of common stochastic trends in the equity markets of the u s japan england germany and canada monthly and quarterly data from january 1974 through august 1990 on morgan stanley s capital international indices are used to compute johansen 1990 tests for common trends the results indicate the presence of a single common trend driving these countries stock markets estimates of the factor loadings suggest that this trend is most important in the japanese market and least important in the canadian market to interpret this evidence the paper demonstrates that under weak conditions the unit root and cointegration structure of stock prices should mirror the unit root and cointegration structure of their dividend payments the paper tests this prediction by constructing national dividend series from capital international s dividend yield data as well as by using gnp data as with stock prices the evidence points to a single common trend although the stochastic properties and relative importance of this trend differs somewhat from the trend in stock prices

top incomes in germany and switzerland over the twentieth century this paper presents new homogeneous series on top income shares in germany 1891 1998 and switzerland 1933 1995 using data from income tax returns the general pattern is consistent with recent results for france the secular decline in income inequality is for the most part an accidental capital income phenomenon very top incomes were badly hurt by the major shocks of the 1914 1945 period and never fully recovered afterwards since 1945 top income shares have been relatively stable with no rise during recent years unlike in the u s the striking episode before wwii is how nazi power brought top income shares to almost double within five years the striking result after wwii is that german top incomes are more concentrated within the top decile than in other industrialized countries thus the german super rich were richer than their american counterparts until the 1990s this puzzle is related to the much lower inheritance tax rates observed in germany since wwii jel n33 n34 h23 h24 h23 h24 h23 h24 h23 h24

inequality leverage and crises theory and evidence revisited rajan points to rising income inequality as a root cause of the recent financial crisis through high household leverage the rajan hypothesis has ignited debate over the relationship between inequality leverage and crises kumhof ranciere and winant prove the validity of this hypothesis with a theoretical formulation but empirical studies provide mixed evidence using different samples and estimators to clarify this controversy we re examine the issue by using the same data as in the literature and provide additional evidence after taking into account the role of asset bubbles and policy interventions our regression is based on a new tractable theoretical model that is supported by key stylised facts and all our analyses confirm the existence of the inequality leverage crisis nexus

diversification and value at risk a pervasive and puzzling feature of banks value at risk var is its abnormally high level which leads to excessive regulatory capital a possible explanation for the tendency of commercial banks to overstate their var is that they incompletely account for the diversification effect among broad risk categories e g equity interest rate commodity credit spread and foreign exchange by underestimating the diversification effect bank s proprietary var models produce overly prudent market risk assessments in this paper we examine empirically the validity of this hypothesis using actual var data from major us commercial banks in contrast to the var diversification hypothesis we find that us banks show no sign of systematic underestimation of the diversification effect in particular diversification effects used by banks is very close to and quite often larger than our empirical diversification estimates a direct implication of this finding is that individual vars for each broad risk category just like aggregate vars are biased risk assessments

on the effects of barriers to international investment a simple model is presented in which it is costly for domestic investors to hold foreign assets the implications of the model for the composition of optimal portfolios at home and abroad are derived it is shown that all foreign assets with a beta larger than some beta plot on either one of two security market lines some foreign assets with a beta smaller than are not held by domestic investors even if their expected return is increased slightly while it is obviously not true that asset markets are completely segmented between countries there is evidence of barriers to international investment although reality seems to lie in that grey area between complete segmentation and no segmentation at all most international asset pricing models are concerned with the extreme case of no barriers to international investment no effort seems to have been made to study the effect on portfolio choice of such barriers which make it costly to hold foreign securities as opposed to domestic securities but which do not in general render international diversification so onerous that investors avoid foreign securities completely casual empiricism suggests that models without barriers to international investment should be suspect those models cannot explain why it appears that in every country investors on average hold more domestic securities than would be required if they held the world market portfolio 2 this paper constructs a model of international asset pricing in which there is a cost associated with holding either long or short risky foreign securities for the sake of simplicity in most of the paper we assume that while domestic investors face barriers to international investment foreign investors face no such barriers it turns out that nothing significant is lost with such an assumption the main conclusions of this paper for the case in which foreign investors face no barriers to international investment are 1 in the presence of barriers to international investment some risky foreign

political vs currency premia in international real interest differentials a study of forward rates for 24 countries abstract different approaches to quantifying the degree of capital mobility for a cross section of currencies particularly saving investment correlations and tests of real interest parity have appeared to show a surprisingly low degree of financial integration we use a new data set forward rate data for 24 countries including many small industrialized countries and seven ldcs to decompose the real interest differential into two parts the covered interest differential or political premium and the real forward discount or currency premium the latter in turn can be decomposed into the exchange risk premium and expected real depreciation we find a high degree of capital mobility across political boundaries for most of the g 11 countries plus hong kong and singapore for our sample period of 1982 to 1987 even for most of the other ldcs and smaller industrialized countries for which covered interest parity clearly fails the political premium is not as big a component of the real interest differential as the currency premium france would appear to have higher capital mobility than most by the criterion of real interest differentials but is seen in fact to have low capital mobility by the criterion of covered interest differentials a clear example of the superiority of the latter criterion

have the gipsi settled down breaks and multivariate stochastic volatility models for and not against the european financial integration we investigate the integration of the european peripheral financial markets with germany france and the uk using a combination of tests for structural breaks and return correlations derived from several multivariate stochastic volatility models our findings suggest that financial integration intensified in anticipation of the euro further strengthened by the emu inception and amplified in response to the 2007 2008 financial crisis hence no evidence is found of decoupling of the equity markets in more troubled european countries from the core interestingly the uk despite staying outside the emu is not worse integrated with the gipsi than germany or france 2013 elsevier b v

price and volatility spillovers in scandinavian stock markets abstract new evidence is provided on price and volatility spillovers among the danish norwegian swedish and finnish stock markets the impact of good news market advances and bad news market retreats is described by a multivariate exponential generalized autoregressive conditionally heteroskedastic egarch model volatility transmission is asymmetric spillovers being more pronounced for bad than good news significant price and volatility spillovers exist but they are few in number

income inequality in the united states 1913 1998 this paper presents new homogeneous series on top shares of income and wages from 1913 to 1998 in the united states using individual tax returns data top income and wages shares display a u shaped pattern over the century our series suggest that the large shocks that capital owners experienced during the great depression and world war ii have had a permanent effect on top capital incomes we argue that steep progressive income and estate taxation may have prevented large fortunes from fully recovering from these shocks top wage shares were flat before world war ii dropped precipitously during the war and did not start to recover before the late 1960s but are now higher than before world war ii as a result the working rich have replaced the rentiers at the top of the income distribution

the politics of inequality voter mobilization and left parties in advanced industrial states why is it that some countries have witnessed significant increases in inequality since the 1960s while at the same time experiencing very little change in the way politics is conducted and why is it that in other countries where inequality has increased much less the left has become substantially more redistributive the answer the authors argue has to do with the interaction between inequality and political mobilization of low income voters the authors make two points in this article first high levels of inequality move left parties to the left second although increasing inequality pushes the core constituencies of left parties to the left it also makes some individuals less likely to be involved in politics the authors argue that left parties will respond to an increase in inequality only when low income voters are politically mobilized they explore these claims through a comparative analysis of left party programs in 10 organisation for economic cooperation and development countries over the period 1966 to 2002

an evaluation of the equilibrium value of the euro and its predecessors based on economic fundamentals abstractthis study presents constructed equilibrium exchange rates eers of the euro and its predecessors the european unit of account and the european currency unit as well as the euro s member states using a relative version of purchasing power parity ppp equilibrium the revealed patterns of over and undervaluation demonstrate how well suited the northern member states in contrast to the southern states were for the monetary union moreover a relative persistent overvaluation for greece and portugal suggests that their ambition to join the euro reduced their competitiveness the constructed eers of the euro suggest the european commission was able to set the initial value of the euro with a high degree of accuracy furthermore the eers indicate a successive strengthening of the fundamental value of the euro versus the u s dollar from 1999 to 2015 the analysis shows a close correlation between the deviations from equilibrium and the events of greece s sovereign debt crisis in addition the p

the euro and capital markets a new era this paper is organised as follows section 2 examines the forces that have changed the financial landscape at the world level over the last two decades section 3 summarises the arguments of how the introduction of the euro should add to these broader economic forces in reshaping euro financial markets section 4 verifies whether the actual experience since january 1999 has been in line with the ex ante expectations most of the analysis will be based on developments of the bond market section 5 offers some conclusions

top indian incomes 1922 2000 this article presents data on the evolution of top incomes and wages for 1922 2000 in india using individual tax return data the data show that the shares of the top 0 01 percent 0 1 percent and 1 percent in total income shrank substantially from the 1950s to the early to mid 1980s but then rose again so that today these shares are only slightly below what they were in the 1920s and 1930s this u shaped pattern is broadly consistent with the evolution of economic policy in india from the 1950s to the early to mid 1980s was a period of socialist policies in india whereas the subsequent period starting with the rise of rajiv gandhi saw a gradual shift toward more pro business policies although the initial share of the top income group was small the fact that the rich were getting richer had a nontrivial impact on the overall income distribution although the impact is not large enough to fully explain the gap observed during the 1990s between average consumption growths shown in national sample survey based data and the national accounts based data it is sufficiently large to explain a non negligible part of it

the copula garch model of conditional dependencies an international stock market application abstract modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics when returns are non normal it is often simply impossible to specify the multivariate distribution relating two or more return series in this context we propose a new methodology based on copula functions which consists in estimating first the univariate distributions and then the joining distribution in such a context the dependency parameter can easily be rendered conditional and time varying we apply this methodology to the daily returns of four major stock markets our results suggest that conditional dependency depends on past realizations for european market pairs only for these markets dependency is found to be more widely affected when returns move in the same direction than when they move in opposite directions modeling the dynamics of the dependency parameter also suggests that dependency is higher and more persistent between european stock markets

emu and european government bond market integration in this study we adopt the capm based model of bekaert and harvey 1995 to compare the differences in the relative importance of two sources of systemic risk world and eurozone on government bond returns in two groups of countries in eu 15 results show that euro markets are less vulnerable to the influence of world risk factors and more vulnerable to emu risk factors however they are only partially integrated for their part the markets of the countries that decided to stay out of the monetary union present a higher vulnerability to external risk factors

a new data set measuring income inequality this article presents a new data set on inequality in the distribution of income the authors explain the criteria they applied in selecting data on gini coefficients and on individual quintile groups income shares comparison of the new data set with existing compilations reveals that the data assembled here represent an improvement in quality and a significant expansion in coverage although differences in the definition of the underlying data might still affect inter temporal and international comparability based on this new data set the authors do not find a systematic link between growth and changes in aggregate inequality they do find a strong positive relationship between growth and reduction of poverty

international transmission of stock market movements this paper investigates the international transmission mechanism of stock market movements by estimating a nine market vector autoregression var system using simulated responses of the estimated var system we i locate all the main channels of interactions among national stock markets and ii trace out the dynamic responses of one market to innovations in another generally speaking a substantial amount of multi lateral interaction is detected among national stock markets innovations in the u s are rapidly transmitted to other markets in a clearly recognizable fashion whereas no single foreign market can significantly explain the u s market movements also the dynamic response pattern is found to be generally consistent with the notion of informationally efficient international stock markets

the effect of exchange rate variability on us shareholder wealth we examine the relationship between financial crisis exchange rate variability and equity return volatility for us multinationals empirical analysis of the major financial crises of the last decades reveals that stock return variability increases significantly in the aftermath of a crisis even relative to the increase in stock return volatility for other firms belonging to the same industry and market capitalization class in conjunction with this increase in total volatility there is also an increase in stock market risk for multinational firms moreover trade and service oriented industries appear to be particularly sensitive to these changing exchange rate conditions

long term global market correlations the correlation structure of the world equity markets varied considerably over the past 150 years and was high during periods of economic integration we decompose diversification benefits into two parts one component due to variation in the average correlation across markets and a another component due to the variation in the investment opportunity set from this we infer that periods of globalization have both benefits and drawbacks for international investors globalization expands the opportunity set but as a result the benefits from diversification rely increasingly on investment in emerging markets

on tariff preferences and delegation decisions in customs unions a heckscher ohlin approach this paper studies preferences of customs union cu members over common external tariff cet levels and extends the literature on delegation decisions over trade policy in models with production in a model with similar cu members we prove that most preferred cets can be ranked with the help of compensated price elasticities of import demand functions in the heckscher ohlin trade model we show these elasticities depend on inter country differences in relative factor endowments and inter sectoral differences in technology this helps identify the optimal policy maker in a cu and demonstrates delegation decisions over trade policy can be integrated into mainstream trade theory the proliferation of preferential trade agreements ptas in the 1990s has presented policy analysts with a dual challenge to identify how these arrangements affect policy makers incentives to intervene in trade and to predict their implications for welfare economists responded to this challenge vigorously thanks to their research efforts a substantial body of work is now available addressing these issues under alternative assumptions regarding the theoretical environment considered including the objectives of policy makers the nature of their interactions the gatt rules that might constrain these interactions market structure the process of coalition formation etc 1 still while undeniably valuable the recent literature on regionalism has shed limited light on an important issue how heterogeneity among partners in a pta shapes their national preferences over external tariff levels and how these preferences in turn manifest themselves in the formation of actual trade

the economic value of co movement between oil price and exchange rate using copula based garch models article i nfo the us dollar is used as the primary currency of international crude oil trading as such the recent substantial depreciation in the us dollar has resulted in a corresponding increase in crude oil prices in addition oil price and exchange rate returns have been shown to be skewed and leptokurtic and to exhibit an asymmetric or tail dependence structure therefore this study proposes dynamic copula based garch models to explore the dependence structure between the oil price and the us dollar exchange rate more importantly an asset allocation strategy is implemented to evaluate economic value and confirm the efficiency of the copula based garch models in terms of out of sample forecasting performance a dynamic strategy based on the cgarch model with the student t copula exhibits greater economic benefits than static and other dynamic strategies in addition the positive feedback trading activities are statistically significant within the oil market but this information does not enhance the economic benefits from the perspective of an asset allocation decision finally a more risk averse investor generates a higher fee for switching from a static strategy to a dynamic strategy based on copula based garch models

promise and pitfalls in the use of secondary data sets income inequality in oecd countries as a case study this paper examines the role of secondary data sets in empirical economic research taking the field of income distribution as a case study we illustrate problems faced by users of secondary statistics showing how both cross country comparisons and time series analysis can depend sensitively on the choice of data after describing the genealogy of secondary data sets on income inequality we consider the main methodological issues and discuss their implications for comparisons of income inequality across oecd countries and over time the lessons to be drawn for the construction and use of secondary data sets are summarized at the end of the paper

interdependence between cash crop and staple food international prices across periods of varying financial market stress abstractthis paper investigates the price dynamics between a selection of international staple food and cash crop futures prices this price interaction is particularly relevant for developing coun

asymmetric volatility transmission in international stock markets abstract the transmission mechanism of price and volatility spillovers across the new york tokyo and london stock markets is investigated the asymmetric impact of good news market advances and bad news market declines on volatility transmission is described by an extended multivariate exponential generalized autoregressive conditionally heteroskedastic egarch model using daily open to close returns we find strong evidence that volatility spillovers in a given market are much more pronounced when the news arriving from the last market to trade is bad a before and after october 1987 crash analysis reveals that the linkages and interactions among the three markets have increased substantially in the post crash era suggesting that national markets have grown more interdependent

partially segmented international capital markets and international capital budgeting abstract evidence suggests that international capital markets are neither fully integrated nor completely segmented there is however currently no general method available for computing the required return on corporate investments in such capital markets this paper uses a model of partially integrated international capital markets to derive optimal international capital budgeting rules we show how capital budgeting rules depend on the level of investor costs to cross border investment both directly and also indirectly through the portfolio specialization they induce we explain how required returns differ for different companies raising capital in such markets and how these costs of capital may be estimated we also explain how these differences in required returns can be consistent with general equilibrium and the effect they have on incentives for foreign direct investment

emu and european stock market integration the launch of the single currency in europe in january 1999 was preceded by a period of regulatory harmonization convergence in bond yields and inflation rates and strict fiscal policy across the eurozone countries we examine whether the 1990s also were characterized by increased stock market integration the results indicate that as forward interest differentials benchmarked against germany and inflation differentials benchmarked against the three best performing states shrank toward zero stock markets converged toward full integration the united kingdom a country that chose not to enter the eurozone shows no such increase in stock market integration

growth and inequality revisited the role of primary distribution of income a new approach for understanding today s economic and social crises this paper presents an innovative interpretative scheme of the relationship between economic growth and income inequality taking the primary distribution of income between profits and wages as the main explanatory variable for that purpose two lines of research are taken as a reference point first the bhaduri marglin model which explains growth in terms of the effect that factor shares have on aggregate demand and second recent empirical analyses that also use the functional distribution to explain the evolution of the top income shares and the gini index after reviewing the literature on the growth inequality relationship the paper identifies several relationships between primary and interpersonal distributions of income in each of the bhaduri marglin model s growth regimes it finds multiple causal relationships between growth and inequality as well as inequality and growth clarifying their implications for economic and social stability the paper offers final reflections on the way the scheme can further the understanding of current economic and social crises

top incomes in the netherlands and the united kingdom over the 20th century a method is developed for using income tax data to investigate the evolution of the highest incomes over virtually the entire 20th century the income shares of the top 10 5 1 0 5 0 1 and 0 05 percent are analysed for the uk and the netherlands for considering the top shares among themselves the pareto lorenz coefficient is proposed between the two countries the top shares appear to undergo a strikingly similar and strong decline up to the mid 1970s since then british top shares have increased significantly while dutch shares remained basically unchanged this outcome parallels similar results for the us and france obtained by piketty and saez and poses interesting questions for research jel n34 d31 o15

how closely do top income shares track other measures of inequality in recent years researchers have used taxation statistics to estimate the share of total income held by the richest groups such as the top 10 or the top 1 compiling a standardised top income shares dataset for 13 developed countries i find that there is a strong and significant relationship between top income shares and broader inequality measures such as the gini coefficient this suggests that panel data on top income shares may be a useful substitute for other measures of inequality over periods when alternative income distribution measures are of low quality or unavailable

does finance alter the relation between inequality and growth this paper introduces a model in which greater inequality reduces growth in economies with low levels of financial development but that this effect is attenuated in economies with more developed systems the model also predicts that individuals in economies with developed financial markets have a higher tolerance to inequality using a panel dataset that covers a large number of countries this paper shows empirical evidence that is consistent with the main predictions of the model overall this paper s major findings highlight that some of the pernicious effects of inequality can be attenuated by improving access to credit jel d3 e6 p1 o4 i2

the euro and european financial market dependence a time varying copula model is used to investigate the impact of the introduction of the euro on the dependence between 17 european stock markets during the period 1994 2003 the model is implemented with a gjr garch ma t model for the marginal distributions and the gaussian copula for the joint distribution which allows capturing time varying non linear relationships the results show that within the euro area market dependence increased after the introduction of the common currency only for large equity markets such as in france germany italy the netherlands and spain structural break tests indicate that the increase in financial market dependence started around the beginning of 1998 when euro membership was determined and the relevant information was announced the uk and sweden but not other european countries outside the euro area are found to exhibit an increase in equity market co movement which is consistent with the interpretation that these countries may be expected to join the euro in the future

the dark side of global integration increasing tail dependence abstract we measure stock market coexceedances using the methodology of cappiello gerard and manganelli 2005 ecb working paper 501 this method enables us to measure comovement at each point of the return distribution first we construct annual coexceedance probabilities for both lower and upper tail return quantiles using daily data from 1974 2006 next we explain these probabilities in a panel gravity model framework results show that macroeconomic variables asymmetrically impact stock market comovement across the return distribution financial liberalization significantly increases left tail comovement whereas trade integration significantly increases comovement across all quantiles decreasing exchange rate volatility results in increasing lower tail comovement the introduction of the euro increases comovement across the entire return distribution thereby significantly reducing the benefits of portfolio diversification within the euro area

european financial market dependence an industry analysis this paper uses a copula model to investigate the degree and determinants of european market dependence across 10 industries in 12 euro zone and 8 non euro zone stock markets during the period 1992 2011 most of the industries in euro countries show a dependence increase with the euro area after the introduction of the euro the effects are strongest in countries with larger market capitalization and in the financials industrials consumer goods utilities technology and telecommunications industries overall the export intensity interest rate sensitivity and competitiveness of an industry and the financial development and economic openness of a country are the most important determinants of changes in equity market dependence the period around the lehman collapse also shows higher equity market dependence between european countries while the lower dependence increase during the period of the recent european sovereign debt crisis suggests that country specific factors may matter more than before

the risk of financial crises is there a role for income inequality abstract could macroeconomic factors such as income inequality be the real root cause of financial crises we explore a broad variety of financial and macroeconomic variables and employ a general to specific model selection process to find the most reliable predictors of financial crises in developed countries over a period of more than 100 years our in sample results indicate that income inequality has predictive power beyond loan growth and several other financial variables out of sample forecasts for individual predictors show that their predictive power tends to vary considerably over time but income inequality has predictive power in each forecasting period

estimating non linear serial and cross interdependence between financial assets abstract this paper proposes an approach based on copula families to determine shape and magnitude of non linear serial and cross interdependence between returns and volatilities of financial assets it is evident the predominance of the student s t copula in returns relationships association in tails is generally larger than the absolute there is a fast decrease in association along time but even after 5 days there is still dependence between returns for volatilities joe copula predominates in estimated bivariate relationships fit clayton copula rotated 180 survival gumbel bb6 and bb8 copulas also fit some relationships the magnitude of lagged associations is larger for risks than returns persistence in the dependences is very high and decreases very little after the first lag the tail dependence has larger values than the absolute in most relationships we present a practical application of the proposed approach based on optimal investment allocation and risk prediction

features of the euro s role in international financial markets forex markets and the euro comprehensive early evidence three years after the euro s introduction we discuss its role in foreign exchange and international debt securities markets on the basis of a comprehensive set of data sources in spot foreign exchange markets the euro s role resembles that of the deutschemark with a dominant position in the nordic and several central european countries transaction costs in the important dollar euro market are larger than they used to be for dollar mark but the same does not hold for any other major spot market we discuss how this phenomenon may be explained by persistence of bid ask quoting conventions in this market in the face of changed nominal parities we show a notable reduction in euro swap trading and explain it inter alia with the elimination of dollar swaps meant to hedge exchange rate risk between currencies now subsumed in the euro we observe strong growth of euro denominated debt securities while international euro bond investments are stable at the level of the synthetic euro aggregate of legacy currencies carsten detken and philipp hartmann