Social Capital and Financial Development after Economic Shocks: Evidence from Italy after the Financial Crisis of 2007-2009
By Sujay Rao & Ethan Lampert Like traditional forms of capital, social capital – an intangible measure of an individual’s social networks, trust in institutions, and participation in civic life – has implications for personal and financial behavior. Individuals from educated, well established backgrounds with fruitful family ties may be more amenable to opening new […]
Multi-Horizon Forecast Optimality Based on Related Forecast Errors
By Christopher G. MacGibbon This thesis develops a new Multi-Horizon Moment Conditions test for evaluating multi-horizon forecast optimality. The test is based on the variances, covariances and autocovariances of optimal forecast errors that should have a non-zero relationship for multi-horizon forecasts. A simulation study is conducted to determine the test’s size and power properties. Also, […]
The Investment Cost of Currency Crises in Emerging Markets: An Empirical Treatment from 1994-2015
By Eric Ramoutar Currency crises – large and sudden depreciations in the value of a country’s currency – have been an unfortunate by-product of increased financial openness over the last half century. This study extends the already vast literature on the impact of currency crises by estimating how currency crises affect domestic investment in emerging […]
Word-of-Mouth Effects in the Holdings and Trading Activities among Canadian Mutual Fund Managers
By Chang Liu The study tests the word-of-mouth effects among mutual fund managers in Canada with methodology based on a previous study (Hong et al., 2005), with multiple modifications to it such as the method to locate the mutual fund managers. The results confirm the original findings yet with unexpected outcomes. This study demonstrates smaller […]
Understanding SME Finance: Determinants of Relationship Lending
By Sean Suk Hyun Choi Much of the existing literature in small and medium-sized enterprise (SME) finance surveys the impact of borrower and lender characteristics on firms’ credit availability, and it has already been established that there is a link between strong firm-bank relationship and higher level of credit availability. In this paper, I focus […]
The Hidden Costs of Central Bank Borrowing
By Shane Hunt This paper explores a previously overlooked unintended consequence of a private bank accepting Central Bank loans as a lender of last resort. Applying the basic Markowitz Security Model, I explore the potential effect of a private bank accepting a Central Bank loan as a signal of increased risk of investment in that […]
Crisis Period Forecast Evaluation of the DCC-GARCH Model
By Yang Ding The goal of this paper is to investigate the forecasting ability of the Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH). We estimate the DCC’s forecasting ability relative to unconditional volatility in three equity-based crashes: the S&L Crisis, the Dot-Com Boom/Crash, and the recent Credit Crisis. The assets we use are the […]
Extreme Value Theory with High-Frequency Financial Data
By Abhinay Sawant Extreme Value Theory (EVT) is one of the most commonly applied models in financial risk management for estimating the Value at Risk of a portfolio. However, the EVT model is practical for estimation only when data is independent and identically distributed, which usually does not characterize financial returns data. This paper aims […]
Could the Kaminsky-Reinhart Model Have Predicted the 2002 Uruguayan Currency and Banking Crises?
by Steven R. Vickers Abstract Because currency and banking crises cause substantial and prolonged disruptions to an economy, economists have long sought ways to predict these events in advance. One recent theory advanced is the “leading indicators” approach of Kaminsky (1998) and Kaminsky and Reinhart (1999). Kaminsky (1998) presents four separate composite indicators, and Kaminsky […]
