The Experts below are selected from a list of 360 Experts worldwide ranked by ideXlab platform
Arnaud Mehl - One of the best experts on this subject based on the ideXlab platform.
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on the global Financial Market integration swoosh and the trilemma
Journal of International Money and Finance, 2019Co-Authors: Geert Bekaert, Arnaud MehlAbstract:Abstract We propose a measure of Financial Market integration based on a factor model of equity returns computed back to the first era of Financial globalization for 17 countries. Global Financial integration follows a “swoosh” shape – high pre-1913, higher post-1990, low in the interwar period – rather than other shapes hypothesized in earlier literature. We find no evidence of Financial globalization reversing since the Great Recession, as claimed in other recent studies. We use our measure to revisit the debate on whether the classic monetary policy trilemma has recently morphed into a dilemma and find no evidence for such change.
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on the global Financial Market integration swoosh and the trilemma
National Bureau of Economic Research, 2017Co-Authors: Geert Bekaert, Arnaud MehlAbstract:We propose a simple measure of de facto Financial Market integration based on a factor model of monthly equity returns, which can be computed back to the first era of Financial globalization for 17 countries. Global Financial Market integration follows a “swoosh” shape – i.e. high pre-1913, still higher post-1990, low in the interwar period – rather than the other shapes hypothesized in earlier literature. We find no evidence of Financial globalization reversing since the Great Recession as claimed in other recent studies. De jure capital account openness and global growth uncertainty are the two main determinants of long-run global Financial Market integration. We use our measure to revisit the debate on the trilemma between Financial openness, the exchange rate regime, and monetary policy autonomy, and on whether the trilemma has recently morphed into a dilemma due to global Financial cycles. We find evidence consistent with the trilemma and inconsistent with the dilemma hypothesis, both throughout history and for the recent decades; non-US central banks still exert more control over domestic interest rates when exchange rates are flexible in economies open to global finance.
Nick S. Jones - One of the best experts on this subject based on the ideXlab platform.
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Temporal evolution of Financial-Market correlations
Physical Review E - Statistical Nonlinear and Soft Matter Physics, 2011Co-Authors: Daniel J. Fenn, Stacy Williams, Mason A Porter, Neil F Johnson, Mark Mcdonald, Nick S. JonesAbstract:We investigate Financial Market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible with uncorrelated random price changes. We then identify the principal components of these correlation matrices and demonstrate that a small number of components accounts for a large proportion of the variability of the Markets that we consider. We characterize the time-evolving relationships between the different assets by investigating the correlations between the asset price time series and principal components. Using this approach, we uncover notable changes that occurred in Financial Markets and identify the assets that were significantly affected by these changes. We show in particular that there was an increase in the strength of the relationships between several different Markets following the 2007-2008 credit and liquidity crisis.
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temporal evolution of Financial Market correlations
2010Co-Authors: Stacy Williams, Daniel J. Fenn, Mason A Porter, Neil F Johnson, Mark Mcdonald, Nick S. JonesAbstract:We investigate Financial Market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible with uncorrelated random price changes. We then identify the principal components of these correlation matrices and demonstrate that a small number of components accounts for a large proportion of the variability of the Markets that we consider. We then characterize the time-evolving relationships between the different assets by investigating the correlations between the asset price time series and principal components. Using this approach, we uncover notable changes that occurred in Financial Markets and identify the assets that were significantly affected by these changes. We show in particular that there was an increase in the strength of the relationships between several different Markets following the 2007--2008 credit and liquidity crisis.
Jinwu Gao - One of the best experts on this subject based on the ideXlab platform.
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valuing currency swap contracts in uncertain Financial Market
Fuzzy Optimization and Decision Making, 2019Co-Authors: Yi Zhang, Jinwu GaoAbstract:Abstract Swap is a Financial contract between two counterparties who agree to exchange one cash flow stream with the other according to some predetermined rules. When the cash flows are interest payments of different currencies, the swap is called a currency swap. In this paper, it is assumed that the exchange rate follows some uncertain differential equations, and the currency swap contracts in uncertain Financial Market are discussed. For dealing with long-term, short-term and super-short circumstances, three currency swap models are proposed, respectively. Their explicit solutions are developed through Yao–Chen formula. Moreover, a numerical method is designed for simplifying calculation. Finally, examples are given to show the effectiveness of the theory developed in this paper.
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international investing in uncertain Financial Market
Soft Computing, 2018Co-Authors: Yi Zhang, Jinwu GaoAbstract:International investing is the strategy of selecting globally based investment instruments as a part of an investment portfolio. In order to diversify the portfolios and enhance growth opportunities, more and more firms choose to invest on foreign stocks and derivatives that bring not only stock price risk, but also the exchange rate risk. This paper considers foreign derivatives in an uncertain Financial Market. Under the assumption that both the exchange rate and the stock price follow uncertain differential equations, the domestic prices of foreign European options, American options and Asian options are developed by means of contour process, respectively. Some examples are finally provided to further demonstrate the properties of the pricing formulas.
Daniel J. Fenn - One of the best experts on this subject based on the ideXlab platform.
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Temporal evolution of Financial-Market correlations
Physical Review E - Statistical Nonlinear and Soft Matter Physics, 2011Co-Authors: Daniel J. Fenn, Stacy Williams, Mason A Porter, Neil F Johnson, Mark Mcdonald, Nick S. JonesAbstract:We investigate Financial Market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible with uncorrelated random price changes. We then identify the principal components of these correlation matrices and demonstrate that a small number of components accounts for a large proportion of the variability of the Markets that we consider. We characterize the time-evolving relationships between the different assets by investigating the correlations between the asset price time series and principal components. Using this approach, we uncover notable changes that occurred in Financial Markets and identify the assets that were significantly affected by these changes. We show in particular that there was an increase in the strength of the relationships between several different Markets following the 2007-2008 credit and liquidity crisis.
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temporal evolution of Financial Market correlations
2010Co-Authors: Stacy Williams, Daniel J. Fenn, Mason A Porter, Neil F Johnson, Mark Mcdonald, Nick S. JonesAbstract:We investigate Financial Market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible with uncorrelated random price changes. We then identify the principal components of these correlation matrices and demonstrate that a small number of components accounts for a large proportion of the variability of the Markets that we consider. We then characterize the time-evolving relationships between the different assets by investigating the correlations between the asset price time series and principal components. Using this approach, we uncover notable changes that occurred in Financial Markets and identify the assets that were significantly affected by these changes. We show in particular that there was an increase in the strength of the relationships between several different Markets following the 2007--2008 credit and liquidity crisis.
Geert Bekaert - One of the best experts on this subject based on the ideXlab platform.
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on the global Financial Market integration swoosh and the trilemma
Journal of International Money and Finance, 2019Co-Authors: Geert Bekaert, Arnaud MehlAbstract:Abstract We propose a measure of Financial Market integration based on a factor model of equity returns computed back to the first era of Financial globalization for 17 countries. Global Financial integration follows a “swoosh” shape – high pre-1913, higher post-1990, low in the interwar period – rather than other shapes hypothesized in earlier literature. We find no evidence of Financial globalization reversing since the Great Recession, as claimed in other recent studies. We use our measure to revisit the debate on whether the classic monetary policy trilemma has recently morphed into a dilemma and find no evidence for such change.
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on the global Financial Market integration swoosh and the trilemma
National Bureau of Economic Research, 2017Co-Authors: Geert Bekaert, Arnaud MehlAbstract:We propose a simple measure of de facto Financial Market integration based on a factor model of monthly equity returns, which can be computed back to the first era of Financial globalization for 17 countries. Global Financial Market integration follows a “swoosh” shape – i.e. high pre-1913, still higher post-1990, low in the interwar period – rather than the other shapes hypothesized in earlier literature. We find no evidence of Financial globalization reversing since the Great Recession as claimed in other recent studies. De jure capital account openness and global growth uncertainty are the two main determinants of long-run global Financial Market integration. We use our measure to revisit the debate on the trilemma between Financial openness, the exchange rate regime, and monetary policy autonomy, and on whether the trilemma has recently morphed into a dilemma due to global Financial cycles. We find evidence consistent with the trilemma and inconsistent with the dilemma hypothesis, both throughout history and for the recent decades; non-US central banks still exert more control over domestic interest rates when exchange rates are flexible in economies open to global finance.
