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This paper develops a bivariate GARCH model that allows for time-varying conditional correlations and simultaneous testing of two Granger-causal linkages: the impact of return volatility in a market on intermarket correlation and the impact of return volatility in one market on the volatility of another. Using daily data from stock, bond, currency, and commodity markets in the United States, the paper finds evidence of each form of linkage. Furthermore, the conditional correlations change over time and exhibit considerable persistence. The estimated time-varying conditional correlations provide insight into the nature of the stock market crash of 1987.
Finance: General --- Macroeconomics --- Public Finance --- Time-Series Models --- Dynamic Quantile Regressions --- Dynamic Treatment Effect Models --- Diffusion Processes --- State Space Models --- Model Construction and Estimation --- Information and Market Efficiency --- Event Studies --- General Financial Markets: General (includes Measurement and Data) --- Taxation, Subsidies, and Revenue: General --- International Financial Markets --- Externalities --- Finance --- Public finance & taxation --- Stock markets --- Securities markets --- Small taxpayer office --- Currency markets --- Spillovers --- Financial markets --- Revenue administration --- Financial sector policy and analysis --- Stock exchanges --- Capital market --- Tax administration and procedure --- Foreign exchange market --- International finance --- United States
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This paper presents case studies of macroprudential policy in five jurisdictions (Hong Kong SAR, the Netherlands, New Zealand, Singapore, and Sweden). The case studies describe the institutional framework, its evolution, the use of macroprudential tools, and the circumstances under which the tools have been used. The paper shows how macroprudential policy is conducted under a heterogeneous set of institutional frameworks. In all cases macroprudential tools have been used to address risks in the housing market. In addition, some of them have moved to enhance the resilience of their banks to more general cyclical and structural risks.
Financial crises -- Government policy -- Case studies. --- Financial crises -- Prevention -- Case studies. --- Financial risk management -- Case studies. --- Mortgages -- Case studies. --- Banks and Banking --- Macroeconomics --- Real Estate --- Industries: Financial Services --- Infrastructure --- Financial Institutions and Services: Government Policy and Regulation --- Financial Markets and the Macroeconomy --- Central Banks and Their Policies --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Housing Supply and Markets --- Economic Development: Urban, Rural, Regional, and Transportation Analysis --- Housing --- Finance --- Property & real estate --- Banking --- Housing prices --- Loans --- Macroprudential policy --- Financial institutions --- Prices --- Financial sector policy and analysis --- National accounts --- Economic policy --- Banks and banking --- Saving and investment --- Hong Kong Special Administrative Region, People's Republic of China
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This paper presents case studies of macroprudential policy in five jurisdictions (Hong Kong SAR, the Netherlands, New Zealand, Singapore, and Sweden). The case studies describe the institutional framework, its evolution, the use of macroprudential tools, and the circumstances under which the tools have been used. The paper shows how macroprudential policy is conducted under a heterogeneous set of institutional frameworks. In all cases macroprudential tools have been used to address risks in the housing market. In addition, some of them have moved to enhance the resilience of their banks to mor
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This paper examines issues in sequencing and pacing capital account liberalization and draws lessons from experience in four countries (Chile, Indonesia, Korea, and Thailand). The paper focuses on the interrelationship between capital account liberalization, domestic financial sector reforms, and the design of monetary and exchange rate policy. It concludes that capital account liberalization should be approached as an integrated part of comprehensive reform strategies and should be paced with the implementation of appropriate macroeconomic and exchange rate policies.
Exports and Imports --- Foreign Exchange --- Monetary Policy --- International Investment --- Long-term Capital Movements --- Financial Institutions and Services: Government Policy and Regulation --- Current Account Adjustment --- Short-term Capital Movements --- International economics --- Currency --- Foreign exchange --- Capital inflows --- Capital account liberalization --- Capital flows --- Exchange rates --- Capital account --- Balance of payments --- Capital movements --- Thailand
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This paper examines the relationship between the quality of banking supervision and governance of the supervisory agency, based on assessments of the Basel Core Principles and the IMF Code on Transparency in Financial Policies, covering 116 and 53 countries, respectively, with 51 common to both. We find a positive correlation between the transparency of the supervisor and the effectiveness of banking supervision; moreover, better accountability and integrity practices of the banking supervisors are associated with higher independence, which in turn is associated with better compliance with the Basel Core Principles. These results are largely robust to different stages of financial development.
Banks and banking -- State supervision. --- Banks and banking, Central. --- Corporate governance. --- Banks and Banking --- Finance: General --- Macroeconomics --- Financial Institutions and Services: Government Policy and Regulation --- General Financial Markets: Government Policy and Regulation --- Financial Markets and the Macroeconomy --- Personal Income, Wealth, and Their Distributions --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Financial services law & regulation --- Finance --- Banking --- Bank supervision --- Basel Core Principles --- Financial sector development --- Personal income --- Banks and banking --- State supervision --- Financial services industry --- Income --- State supervision.
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