15 research outputs found
Sub Prime Crisis: Old and New Lessons
No full textUsing generation approach we examine the genesis and mechanisms in major financial crisis and focus on the recent sub – prime crisis. We believe that in the era of increased financial globalization a reliable approach has to consider besides fundamental factors multiple equilibriums and self – fulfilling character of financial crises. In recent global crisis again financial globalization implemented in periods of high international capital mobility have reputedly produced international banking crises. Progressing integration and increasing sophistication of the product and financial markets brought new forms and more global character of the crises events in the recent sub – prime crisis.financial crisis, sub-prime crisis, financial globalization, international capital, financial market
Emerging Economies Crises: Lessons from the 1990’
No full textThe paper examines the financial crises of the 1990s. They represent a new kind of crises, as they do not seem to conform to the so-called first generation and second generation literature on currency crises. The outburst of the Asian crises brought a new challenge for economic policy. The attention has been placed on the self-fulfilling character of the speculative attacks and microeconomic weaknesses. The first part of the paper reviews the recent theoretical literature on financial crises, the second part addresses some lessons for emerging economies. The authors consider the policies to manage financial crises and reduce the risks associated with them.financial crises, emerging markets, contagion
Efficient Market Hypothesis in the Capital Market of a Small Transition Economy - Does It Hold?
No full textA wavelet analysis of long-range dependence based on the Hurst exponent is presented in this paper. Numerical comparisons are made against traditional estimators of the exponent based on R/S analysis. The estimator is used to perform an analysis of the long-range dependence in the capital market of a small transition economy (Slovenia). Results of the study suggest that the efficient market hypothesis may not hold for the observed capital market. Furthermore, results also suggest that the estimation of the exponent is sensitive to the frequencies of the data employed and to the sample period. Additionally, the format of the time series has an important impact on the results
A NONLINEAR EXTENSION OF THE NBER MODEL FOR SHORT-RUN FORECASTING OF BUSINESS CYCLES
No full textTo avoid the pitfalls of the widely used NBER model, in this paper we have adopted neural networks to forecast business cycles. We find that our model has overcome some of the main deficiencies of the classical leading indicators model: first, the model was able to correctly forecast all reference points in in-sample and out-of-sample data; second, the model can forecast the future value of reference series; and third, the model has a constant forecast horizon. Sensitivity analysis suggests there are some nonlinear relationships between the reference variable and selected leading indicators. This explains why we were able to improve the forecasting performance of the original model. Copyright 2005 Economic Society of South Africa.
Cyclical patterns in aggregate economic activity of Slovene economy
No full textThis paper studies cyclic patterns in the Slovene economy with spectral analysis. It examines if the transition in Slovenia was marked by a statistically significant movement of aggregate economic activity, which corresponds to the definition of business cycle proposed by Mitchell and Burns (1946). It finds that in the period 1992–2000 a statistically significant cyclic component is present. The cyclic component oscillates with the frequency of 33.3 months. The results obtained in this paper suggest, that in the observed period two full-length cycles can be identified.
Behavioural patterns as determinants of market movements: evidence from an emerging market
No full textBehavioural patterns as determinants of market movements: evidence from an emerging market
No full textThis article aims to empirically support the hypothesis that behavioural patterns are key determinants of market movements. We developed a model for predicting market psychology which is based on the application of a self-organizing network algorithm. The estimated model is applied to a mechanical trading system, which independently adopts investment decisions based on the current daily data. The model was tested on the data for daily trading on the Slovenian stock market as an example of an emerging capital market. The performance of the model supports the suggested hypothesis.
