145 research outputs found
It's the market power, stupid! Stock return patterns in international bank M&A
No full textThis paper analyzes capital market reactions to international bank M&A. We investigate combined stock return patterns of targets, bidders, and their peers upon takeover announcement, and closing or withdrawal. We distinguish five common M&A hypotheses and relate characteristic and mutually exclusive abnormal stock return patterns to each hypothesis. We find that investors believe in gains through the exploitation of market power by the post-merger entity. In a multinomial logistic model we show that patterns related to market power significantly concur with large relative target size, intra-industry mergers, and increasing market concentration, suggesting a substantial lessening of competition through M&A. --M&A,Banks,Event Study,Peer Returns,Market Power
A case for money in the ECB monetary policy strategy
No full textOne major outcome of the review of the ECBs two pillar monetary policy strategy, which was published on 8 May 2003, has been the de facto downgrading of the hitherto prominent role assigned to the stock of money. According to the authors judgement, however, there is a strong theoretical and empirical rationale for the ECB monetary policy to pay close attention to the information content of money in the form of M3. However, the authors argue the ECB should make use of the so-called price gap or real money gap concept rather than the reference value as the latter runs the risk of giving misleading policy recommendations and compromising the indicator quality of the stock of money. Making use of M3 seems all the more rational as currently no better inflation indicator appears to exist in providing inflation forecasts in the euro area. --P-star,real money gap,excess liquidity,ECB
On the cost of delayed currency fixing announcements
No full textIn Foreign Exchange Markets vanilla and barrier options are traded frequently. The market standard is a cutoff time of 10:00 a.m. in New York for the strike of vanillas and a knock-out event based on a continuously observed barrier in the inter bank market. However, many clients, particularly from Italy, prefer the cutoff and knock-out event to be based on the fixing published by the European Central Bank on the Reuters Page ECB37. These barrier options are called discretely monitored barrier options. While these options can be priced in several models by various techniques, the ECB source of the fixing causes two problems. First of all, it is not tradable, and secondly it is published with a delay of about 10 - 20 minutes. We examine here the effect of these problems on the hedge of those options and consequently suggest a cost based on the additional uncertainty encountered. --exotic options,currency fixings
Causality of small and large intestinal microbiota in weight regulation and insulin resistance
No full textObjective<br/><br/>The twin pandemics of obesity and Type 2 diabetes (T2D) are a global challenge for health care systems. Changes in the environment, behavior, diet, and lifestyle during the last decades are considered the major causes. A Western diet, which is rich in saturated fat and simple sugars, may lead to changes in gut microbial composition and physiology, which have recently been linked to the development of metabolic diseases.<br/><br/>Methods<br/><br/>We will discuss evidence that demonstrates the influence of the small and large intestinal microbiota on weight regulation and the development of insulin resistance, based on literature search.<br/><br/>Results<br/><br/>Altered large intestinal microbial composition may promote obesity by increasing energy harvest through specialized gut microbes. In both large and small intestine, microbial alterations may increase gut permeability that facilitates the translocation of whole bacteria or endotoxic bacterial components into metabolic active tissues. Moreover, changed microbial communities may affect the production of satiety-inducing signals. Finally, bacterial metabolic products, such as short chain fatty acids (SCFAs) and their relative ratios, may be causal in disturbed immune and metabolic signaling, notably in the small intestine where the surface is large. The function of these organs (adipose tissue, brain, liver, muscle, pancreas) may be disturbed by the induction of low-grade inflammation, contributing to insulin resistance.<br/><br/>Conclusions<br/><br/>Interventions aimed to restoring gut microbial homeostasis, such as ingestion of specific fibers or therapeutic microbes, are promising strategies to reduce insulin resistance and the related metabolic abnormalities in obesity, metabolic syndrome, and type 2 diabetes. This article is part of a special issue on microbiota.<br/><p>Objective The twin pandemics of obesity and Type 2 diabetes (T2D) are a global challenge for health care systems. Changes in the environment, behavior, diet, and lifestyle during the last decades are considered the major causes. A Western diet, which is rich in saturated fat and simple sugars, may lead to changes in gut microbial composition and physiology, which have recently been linked to the development of metabolic diseases. Methods We will discuss evidence that demonstrates the influence of the small and large intestinal microbiota on weight regulation and the development of insulin resistance, based on literature search. Results Altered large intestinal microbial composition may promote obesity by increasing energy harvest through specialized gut microbes. In both large and small intestine, microbial alterations may increase gut permeability that facilitates the translocation of whole bacteria or endotoxic bacterial components into metabolic active tissues. Moreover, changed microbial communities may affect the production of satiety-inducing signals. Finally, bacterial metabolic products, such as short chain fatty acids (SCFAs) and their relative ratios, may be causal in disturbed immune and metabolic signaling, notably in the small intestine where the surface is large. The function of these organs (adipose tissue, brain, liver, muscle, pancreas) may be disturbed by the induction of low-grade inflammation, contributing to insulin resistance. Conclusions Interventions aimed to restoring gut microbial homeostasis, such as ingestion of specific fibers or therapeutic microbes, are promising strategies to reduce insulin resistance and the related metabolic abnormalities in obesity, metabolic syndrome, and type 2 diabetes. This article is part of a special issue on microbiota.</p
Measures of excess liquidity
No full textThe aim of this note is to provide an overview of various measures of excess liquidity, which can be defined as the deviation of the actual stock of money from an estimated equilibrium level. Given their dynamic nature, the excess liquidity measures under review are - in the light of long and variable lags of monetary policy - very useful tools to quantify future price pressures. In addition, excess liquidity measures consider inflation as a purely monetary phenomenon: neither the output gap nor liquidity gap - although both form an integral part of the concepts - an be held responsible for inducing a persistent rise in the price level. Despite strong theoretical support, the usefulness of excess liquidity measures depends on the stability of money demand, a question which has of course to be answered in the realm of empirical research. --P-star,excess liquidity,monetary policy,ECB
Latin hypercube sampling with dependence and applications in finance
No full textIn Monte Carlo simulation, Latin hypercube sampling (LHS) [McKay et al. (1979)] is a well-known variance reduction technique for vectors of independent random variables. The method presented here, Latin hypercube sampling with dependence (LHSD), extends LHS to vectors of dependent random variables. The resulting estimator is shown to be consistent and asymptotically unbiased. For the bivariate case and under some conditions on the joint distribution, a central limit theorem together with a closed formula for the limit variance are derived. It is shown that for a class of estimators satisfying some monotonicity condition, the LHSD limit variance is never greater than the corresponding Monte Carlo limit variance. In some valuation examples of financial payoffs, when compared to standard Monte Carlo simulation, a variance reduction of factors up to 200 is achieved. LHSD is suited for problems with rare events and for high-dimensional problems, and it may be combined with Quasi-Monte Carlo methods. --Monte Carlo simulation,variance reduction,Latin hypercube sampling,stratified sampling
Central bank independence : a critical view
No full textWhile expansive literature on central bank independence contains some criticisms to the independent central bank quasi-paradigm, few critical analyses have been undertaken in the years between Friedman (1962) and Posen (1994). The author extends Posen's analysis to developing countries, discussing more broadly and systematically the reasons why merely instituting an independent central bank may not bring about its professed benefits, especially in developing countries. The author argues that widely reported empirical tests that are purported to support the central bank independence proposition are plagued by potential problems of simultaneity, reverse causality, missing variables, and measurement errors. Yet one can not make positive recommendations about institutional arrangements for central banks if causality relations are not well established. Institutions are shaped by a country's record of and preferences for inflation and may have little influence on them. The author also argues that the purported benefits of an independent central bank may be eroded by conflicts between fiscal and monetary policy and by inherent problems of central bank institutional design (especially mechanisms for board appointments, public accountability, and budgetary control). If these institutional problems are not solved, problems of dynamic inconsistency traditionally associated with monetary policy are not eliminated,but merely transformed. The author suggests that the benefits of central bank independence are less likely obtained in less developed countries with shallow financial markets. Accordingly, central bank independence should be granted at a later stage in a country's financial sector development. If a less developed country seeks to establish a low-inflation path, it should concentrate on instituting financial policy reforms (such as liberalization and privatization) that bolster opposition to inflation rather than easily reversible and practically meaningless changes in legal and institutional structures. This will better ensure the sustainability -- and hence the credibility -- of the government's anti-inflation stance. Fiscal policy is often at the root of macroeconomic disturbances in developing countries. Fiscal policy is more deserving of special protection from politics because of fiscal dominance over monetary policy and its greater vulnerability to private interests. The author suggests that the solution might be to make fiscal policy less susceptible to political pressures by creating an independent fiscal board. Tying the fiscal hands of government may seem a far-fetched idea. But would it not make more sense to force discipline on fiscal policy directly rather than indirectly through monetary policy?Economic Theory&Research,National Governance,Banks&Banking Reform,Economic Stabilization,Macroeconomic Management
The strategic value of investments in Chinese banks by foreign financial institutions
No full textChina's banking market is one of the most attractive investment targets for financial institutions worldwide especially since the opening up of the market in December 2006. Based on interviews with experts this paper analyses the question of benefits and risks of foreign direct investments into Chinese banks. As a result it can be shown that there is no unique answer. Rather it depends on the strategic goals of the foreign institute itself. The paper recommends certain strategies based on the answers of the experts. --China's banking market,FDI,M&A
Monetary analysis: a VAR perspective
No full textThe purpose of this study is to investigate the dynamic relationships between some key variables for the euro area by means of a systems approach (i.e. so-called Vector Autoregression) and to simulate their responses with respect to monetary policy shocks. The main result is that rather simple models can provide plausible reactions to changes in monetary policy. In particular, a positive shock in the short-term nominal interest rate is followed by a transitory decline in real income as well as a negative and permanent effect on the price level and nominal M3, leaving real M3 broadly unchanged. --Monetary analysis,VAR models,generalized impulse response functions
Perceptual relational attributes: Navigating and discovering shared perspectives from user-generated reviews
No full textEffectively modelling and querying experience items like movies, books, or games in databases is challenging because these items are better described by their resulting user experience or perceived properties than by factual attributes. However, such information is often subjective, disputed, or unclear. Thus, social judgments like comments, reviews, discussions, or ratings have become a ubiquitous component of most Web applications dealing with such items, especially in the e-commerce domain. However, they usually do not play major role in the query process, and are typically just shown to the user. In this paper, we will discuss how to use unstructured user reviews to build a structured semantic representation of database items such that these perceptual attributes are (at least implicitly) represented and usable for navigational queries. Especially, we argue that a central challenge when extracting perceptual attributes from social judgments is respecting the subjectivity of expressed opinions. We claim that no representation consisting of only a single tuple will be sufficient. Instead, such systems should aim at discovering shared perspectives, representing dominant perceptions and opinions, and exploiting those perspectives for query processing.Web Information System
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