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1
Lenzer, James Hans. "Globalization of financial risk a case study of the US sub-prime mortgage crisis /." Click to view the E-thesis via HKUTO, 2008. http://sunzi.lib.hku.hk/hkuto/record/B41548516.
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Lenzer, James Hans. "Globalization of financial risk: a case studyof the US sub-prime mortgage crisis." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B41548516.
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3
Danielsen, Aarik J. Davis Charles N. "Examining media coverage of the subprime mouurtgage [sic] phenomenon." Diss., Columbia, Mo. : University of Missouri-Columbia, 2009. http://hdl.handle.net/10355/6724.
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The entire thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file; a non-technical public abstract, appears in the public.pdf file. Title from PDF of title page (University of Missouri--Columbia, viewed on March 19, 2010). Thesis advisor: Dr. Charles Davis. Includes bibliographical references.
4
Tibbetts, Evan. "Fannie Mae and Freddie Mac's march into subprime mortgages." Diss., Connect to the thesis, 2009. http://hdl.handle.net/10066/3646.
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Allen, Vonetta. "Relationship Between Loan Product, Loan Amount, and Foreclosure After the Subprime Lending Crisis." ScholarWorks, 2017. https://scholarworks.waldenu.edu/dissertations/4414.
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Following the collapse of property values and an increasing rate of default on high-risk mortgages, the United States experienced a subprime lending crisis that led to massive financial losses for holders of mortgage-backed securities. The purpose of this correlational study was to examine if loan product and loan amount predict the likelihood of loan foreclosure. The theoretical framework grounding the study was Minsky's financial instability hypothesis, which describes the basis of capitalism as economic expansionism followed by financial crises. The population consisted of 473 loan cases from archival data of the Atlanta Sixth Federal Reserve District in Georgia. The method used to collect the data was a probabilistic simple random sample taken from the archival data. The use of binary logistic regression resulted in a finding that the variables of loan product and loan amount significantly predicted the likelihood of loan foreclosure, Ï?2(4) = 10.65, p = .031, Nagelkerke R2 = .09. The Nagelkerke R2 value indicated that the model explained 9% of the variability in foreclosure. The findings specifically showed that Federal Housing Authority and Veterans Administration loan products were significantly more likely than conventional loans to cause losses for mortgage lenders. The implications for positive social change include increased stakeholder knowledge of various factors that can contribute to foreclosure and sustainment of community value with fewer homeowners losing their home in foreclosure.
6
Laing, Fredl. "How well did leading indicators forecast the South African house price deflation caused by the recent global sub-prime crisis." Thesis, Stellenbosch : Stellenbosch University, 2012. http://hdl.handle.net/10019.1/95617.
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Thesis (MBA)--Stellenbosch University, 2012.The use of leading indicators provides a valuable method to predict changes in macro-economic variables. However, the accuracy of the various models using leading indicators is a topic of constant debate. This study aimed to identify whether leading indicator models predicting residential house price changes performed as well during the recent global financial crisis (fourth quarter 2007 to second quarter 2012) as during the period directly before the crisis. Several potential drivers of the South African property market were identified with the help of previous studies on this topic. Following that, a quantitative analysis was done and single leading indicator models were built using regression analysis to evaluate the importance of each independent variable. This information was used to create a composite leading index for the South African housing market. The accuracy of these models were then compared to predict the changes in house prices during the period preceding the recent global economic crisis.It was found that the ability of these leading indicator models to predict house price changes during the recent global economic crisis decreased significantly.
7
Dimova, Dilyana. "The role of consumer leverage in financial crises." Thesis, University of Oxford, 2015. http://ora.ox.ac.uk/objects/uuid:cdc19fb0-183e-414e-90a6-ddac394e2ed1.
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This thesis demonstrates that consumer leverage can contribute to financial crises such as the subprime mortgage crisis characterised by increased bankruptcy prospects and tightened credit access. A recession may follow even when the leveraged sector is not a production sector and can be triggered by seeming positive events such as a technological innovation and a relaxation of borrowing conditions. The first preliminary chapter updates the Bernanke, Gertler and Gilchrist (1999) approach with financial frictions in the production sector to a two-sector model with consumption and housing. It shows that credit frictions in the capital financing decisions of housing firms are not sufficient to capture the negative consumer experience with falling housing prices and relaxed credit access during the recession. The second chapter brings the model closer to the subprime mortgage crisis by shifting credit constraints to the consumer mortgage market. Increased supply of houses lowers asset prices and reduces the value of the real estate collateral used in the mortgage which in turn worsens the leverage of indebted consumers. A relaxation of borrowing conditions turns credit-constrained households into a potential source of disturbances themselves when market optimism allows them to raise their leverage with little downpayment. Both cases demonstrate that although households are not production agents, their worsening debt levels can trigger a lasting financial downturn. The third chapter develops a chained mortgage contracts model where both homeowner consumers and the financial institutions that securitize their mortgage loan are credit-constrained. Adding credit constraints to the financial sector that provides housing mortgages creates opportunities for risk sharing where banks shift some of the downturn onto indebted consumers in order to hasten their own recovery. This consequence is especially evident in the case of relaxed credit access for banks. Financial institutions repair their debt position relatively fast at the expense of consumers whose borrowing ability is squeezed for a long period despite the fact that they may not be the source of the disturbance. The result mirrors the recent subprime mortgage crisis characterised by a sharp but brief decline for banks and a protracted recovery for mortgaged households.
8
Mothorpe, Christopher A. "Impact of the subprime mortgage crisis on community health." Thesis, Atlanta, Ga. : Georgia Institute of Technology, 2008. http://hdl.handle.net/1853/22546.
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Thomas, Soby. "Residential mortgage loan securitization and the subprime crisis / S. Thomas." Thesis, North-West University, 2010. http://hdl.handle.net/10394/4591.
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Many analysts believe that problems in the U.S. housing market initiated the 2008–2010 global
financial crisis. In this regard, the subprime mortgage crisis (SMC) shook the foundations of the
financial industry by causing the failure of many iconic Wall Street investment banks and prominent
depository institutions. This crisis stymied credit extension to households and businesses
thus creating credit crunches and, ultimately, a global recession. This thesis specifically discusses
the SMC and its components, causes, consequences and cures in relation to subprime mortgages,
securitization, as well as data. In particular, the SMC has highlighted the fact that risk, credit ratings,
profit and valuation as well as capital regulation are important banking considerations. With
regard to risk, the thesis discusses credit (including counterparty), market (including interest rate,
basis, prepayment, liquidity and price), tranching (including maturity mismatch and synthetic),
operational (including house appraisal, valuation and compensation) and systemic (including maturity
transformation) risks. The thesis introduces the IDIOM hypothesis that postulates that the
SMC was largely caused by the intricacy and design of subprime agents, mortgage origination and
securitization that led to information problems (loss, asymmetry and contagion), valuation opaqueness
and ineffective risk mitigation. It also contains appropriate examples, discussions, timelines
as well as appendices about the main results on the aforementioned topics. Numerous references
point to the material not covered in the thesis, and indicate some avenues for further research.
In the thesis, the primary subprime agents that we consider are house appraisers (HAs), mortgage
brokers (MBs), mortgagors (MRs), servicers (SRs), SOR mortgage insurers (SOMIs), trustees,
underwriters, credit rating agencies (CRAs), credit enhancement providers (CEPs) and monoline
insurers (MLIs). Furthermore, the banks that we study are subprime interbank lenders (SILs),
subprime originators (SORs), subprime dealer banks (SDBs) and their special purpose vehicles
(SPVs) such as Wall Street investment banks and their special structures as well as subprime investing
banks (SIBs). The main components of the SMC are MRs, the housing market, SDBs/hedge
funds/money market funds/SIBs, the economy as well as the government (G) and central banks.
Here, G either plays a regulatory or policymaking role. Most of the aforementioned agents and
banks are assumed to be risk neutral with SOR being the exception since it can be risk (and regret)
averse on occasion. The main aspects of the SMC - subprime mortgages, securitization, as well as
data - that we cover in this thesis and the chapters in which they are found are outlined below.
In Chapter 2, we discuss the dynamics of subprime SORs' risk and profit as well as their valuation
under mortgage origination. In particular, we model subprime mortgages that are able to fully
amortize, voluntarily prepay or default and construct a discrete–time model for SOR risk and profit
incorporating costs of funds and mortgage insurance as well as mortgage losses. In addition, we
show how high loan–to–value ratios due to declining housing prices curtailed the refinancing of
subprime mortgages, while low ratios imply favorable house equity for subprime MRs.
Chapter 3 investigates the securitization of subprime mortgages into structured mortgage products
such as subprime residential mortgage–backed securities (RMBSs) and collateralized debt obligations
(CDOs). In this regard, our discussions focus on information, risk and valuation as well as
the role of capital under RMBSs and RMBS CDOs. Our research supports the view that incentives
to monitor mortgages has been all but removed when changing from a traditional mortgage model to a subprime mortgage model. In the latter context, we provide formulas for IB's profit
and valuation under RMBSs and RMBS CDOs. This is illustrated via several examples. Chapter 3
also explores the relationship between mortgage securitization and capital under Basel regulation
and the SMC. This involves studying bank credit and capital under the Basel II paradigm where
risk–weights vary. Further issues dealt with are the quantity and pricing of RMBSs, RMBS CDOs
as well as capital under Basel regulation. Furthermore, we investigate subprime RMBSs and their
rates with slack and holding constraints. Also, we examine the effect of SMC–induced credit rating
shocks in future periods on subprime RMBSs and RMBS payout rates. A key problem is whether
Basel capital regulation exacerbated the SMC. Very importantly, the thesis answers this question
in the affirmative.
Chapter 4 explores issues related to subprime data. In particular, we present mortgage and securitization
level data and forge connections with the results presented in Chapters 2 and 3.
The work presented in this thesis is based on 2 peer–reviewed chapters in books (see [99] and [104]),
2 peer–reviewed international journal articles (see [48] and [101]), and 2 peer–reviewed conference
proceeding papers (see [102] and [103]).Thesis (Ph.D. (Applied Mathematics))--North-West University, Potchefstroom Campus, 2011.
10
Senosi, Mmamontsho Charlotte. "Discrete time modeling of subprime mortgage credit / M.C. Senosi." Thesis, North-West University, 2010. http://hdl.handle.net/10394/4383.
Full textAbstract:
Many analysts believe that problems in the United States housing market initiated the 2007-2009
global financial crisis. In this regard, the subprime mortgage crisis (SMC) shook the foundations
of the financial industry by causing the failure of many iconic Wall Street investment banks and
prominent depository institutions. This crisis stymied credit extension to households and businesses
thus creating credit crunches and, ultimately, a global recession. This thesis specifically
discusses the SMC and its components, causes, consequences and cures in relation to subprime
mortgage origination, data as well as bank bailouts. In particular, the SMC has highlighted the
fact that risk, credit ratings, profit and valuation as well as capital regulation are important banking
considerations. With regard to risk, the thesis discusses credit (including counterparty), market
(including interest rate, basis, prepayment, liquidity and price), tranching (including maturity mismatch
and synthetic), operational (including house appraisal, valuation and compensation) and
systemic (including maturity transformation) risks. The thesis introduces the IDIOM hypothesis
that postulates that the SMC was largely caused by the intricacy and design of subprime agents,
mortgage origination that led to information problems (loss, asymmetry and contagion), valuation
opaqueness and ineffective risk mitigation. It also contains appropriate examples, discussions,
timelines as well as appendices about the main results on the aforementioned topics. Numerous
references point to the material not covered in the thesis, and indicate some avenues for further
research.
In the sequel, the banks that we study are subprime interbank lenders (SILs), subprime originators
(SORs), subprime dealer banks (SDBs) and their special purpose vehicles (SPVs) such as Wall
Street investment banks and their special structures as well as subprime investing banks (SIBs).
Furthermore, the primary subprime agents that we consider are house appraisers (HAs), mortgage
brokers (MBs), mortgagors (MRs), servicers (SRs), trustees, underwriters and credit enhancement
providers (CEPs). Also, the insurers involved in the subprime market are originator mortgage
insurers (OMIs) and monoline insurers (MLIs). The main components of the SMC are MRs,
the housing market, SDBs/hedge funds/money market funds/SIBs, the economy as well as the
government (G) and central banks. Here, G either plays a regulatory, bailout or policymaking role.
Most of the aforementioned banks and agents are assumed to be risk neutral with SOR being the
exception since it can be risk (and regret) averse on occasion. The three main aspects of the SMC
- subprime mortgage origination, data and bailouts - that we cover in this thesis and the chapters
in which they are found are outlined below.
In Chapter 2, we discuss the dynamics of SORs' capital, information, ratings, risk and valuation
under mortgage origination. In particular, we model subprime mortgages that are able to fully
amortize, voluntarily prepay or default and construct a discrete-time model for SOR risk and profit
incorporating costs of funds and mortgage insurance as well as loan losses. Furthermore, a constrained
optimal valuation problem for SORs under mortgage origination is solved. In addition, we
show how high loan-to-value ratios curtailed the refinancing of subprime mortgages, while low ratios
imply favorable house equity for subprime MRs. Chapter 2 also explores the relationship between
Basel capital regulation and the SMC. This involves studying bank credit and capital under Basel
regulation. Further issues dealt with are the quantity and pricing of subprime mortgages as well as credit ratings under Basel capital regulation. A key problem is whether Basel capital regulation
exacerbated the SMC. Very importantly, the thesis answers this question in the affirmative.
Chapter 3 contains subprime data not presented in Chapters 2. We present other mortgage data
that also have connections with the main subprime issues raised.
In Chapter 4, a troubled SOR's recapitalization by G via subprime bank bailouts is discussed. Our
research supports the view that if SOR is about to fail, it will have an incentive not to extend
low risk mortgages but rather high risk mortgages thus shifting risk onto its creditors. Here, for
instance, we analyze the efficiency of purchasing toxic structured mortgage products from troubled
SORs as opposed to buying preferred and common equity. In this regard, we compare the cases
where SORs' on-balance sheet mortgages are fully amortizing, voluntarily prepaying (refinancing
and equity extraction) and involuntarily prepaying (defaulting). If bailing out SORs considered to
be too big to fail involves buying assets at above fair market values, then these SORs are encouraged
ex-ante to invest in high risk mortgages and toxic structured mortgage products. Contrary to the
policy employed by G, purchasing common (preferred) equity is always the most (least) ex-anteand
ex-post-efficient type of capital injection. Our research confirms that this is true irrespective
of whether SOR volunteers for recapitalization or not.
In order to understand the key results in Chapters 2 to 4, a working knowledge of discrete-time
stochastic modeling and optimization is required.
The work presented in this thesis is based on a book (see [103]), 2 peer-reviewed international
journal articles (see [51] and [105]), 2 peer-reviewed chapters in books (see [104] and [110]) and 4
peer-reviewed conference proceedings paper (see [23], [106], [107] and [109]).Thesis (Ph.D. (Applied Mathematics))--North-West University, Potchefstroom Campus, 2011.
11
Baigarin, Nadir. "Analýza vlivu trhu úvěrových derivátů na soudobou globální finanční krizi a kapitálovou přiměřenost amerických bankovních holdingů." Doctoral thesis, Vysoká škola ekonomická v Praze, 2004. http://www.nusl.cz/ntk/nusl-76779.
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This dissertation analyzes key features of credit derivatives market, basic risks of the products and trends the market has experienced for several years since its inception, discusses regulatory issues of the market with regard to the Basel II treatment and key reasons for investors using credit derivatives. Dissertation also examines whether and how credit derivatives affected current financial turmoil, analyzes credit derivatives losses of selected institutions on the financial markets and compares them with total losses of these institutions. The main result of the work is that there was no substantial effect of the credit derivatives market on the current financial crisis. Dissertation also examines whether there is any connection between U.S. banks credit derivatives trades and their capital adequacy ratio. According to the analysis, there is no evidence for credit derivatives to essentially affect capital adequacy ratio of U.S. banks. A potential explanation for the higher values of U.S. banks' capital adequacy ratio may be that there are sophisticated risk management strategies banks have been implicating for many years.
12
Uctug, Cagan. "Regulation Theory And Economic Crises: The Cases Of Greece And Turkey." Master's thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12615177/index.pdf.
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This thesis analyzes the economic crises of recent years through the lens of the Regulation Theory. It focuses on the Greek Crisis of 2009 and the Turkish Financial Crises of 2000 and 2001. Furthermore it also analyzes the crisis in the United States to give a better grounding for the current crises. The thesis tries to answer the questions of whether or not Regulation Theory proves to be a sufficient tool for analyzing these crises and whether or not these fit the definition of crisis that the Regulation Theory puts forward. It is argued that Regulation Theory explains to a great extent both the causes and the structure of the crises.
13
陳美后. "A comparison of financial crisis management between savings and loan crisis and subprime mortgage crisis." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/11757578029385624474.
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碩士國立政治大學
行政管理碩士學程
98
This study considers the two financial crises, the savings and loan crisis in the 1980s and the subprime mortgage crisis of 2007, which both occurred in the United States, with the most comprehensive financial system. Through literature review and analysis and summarization of secondary sources, this study explores the reasons and backgrounds of the two financial crises, and analyzes their similarities and differences. Furthermore, the significant financial acts that passed during the two financial crises are introduced. The central point of exploration in this study is whether the government’s coping measures and financial supervision were appropriate. This study finds that both financial crises began with tightening of currency policy, adjustment of real estate prices, and market focus on inflation. Then, with high financial leveraging of financial institutions and failure to internally manage risk, loose supervisory systems for the financial markets, as well as the inability of governments to deal with the financial crisis immediately after its occurrence, effects of the crises expanded. The two financial crises occurred similarly in different times; the difference was that the spread of the crisis was faster with globalization and liberalization. In terms of the model for dealing with financial crises, as shown by the American government in managing financial crises, often attempts to resolve one crisis would create another. Similarly, in the subprime mortgage crisis, many nations devoted unprecedented resources to saving the markets; without structural and systematic reform, another financial crisis may soon arise, and a second recession would be difficult to avoid. This study suggests that in order to realize financial stability and financial liberalization, governments should improve the coordination mechanisms of existing financial supervisory institutions; different supervisory departments should implement information sharing to achieve seamless supervision and management. Furthermore, there should be a strengthening of internal risk control of financial institutions and guidance for such internal control systems to promote stability of the entire financial system. It is hoped that this can be used as a reference for Taiwan in the future improvement of financial systems.
14
Li, Shan-Nuo, and 李姍諾. "Subprime Mortgage Crisis and America Financial Regulatory System." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/39952436841191736700.
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碩士國立臺北大學
經濟學系
97
Subprime mortgage crisis started from housing bubble in the US and high default ratio on subprime mortgages. The incentives of housing mortgages、a sustained rise in housing price and favorable refinancing condition encouraged housing mortgages borrowers to make a loan. However since mid 2006, housing price in American has started to fall, that made borrowers refinance hardly, moreover, a further increase in adjustable interest rate made default rate and delinquency rate on subprime mortgages rise sharply. First, when borrowers could not repay their debts or they were not willing to repay their debts, mortgage institution could not get their money back so that they confronted the risk of bankruptcy, for instance, New Century Financial declared bankruptcy in March 2007. Then, a lot of financial goods related to subprime mortgage were also afflicted with that. When the value of financial goods decreased, investors such as investment bank、pension fund and so on suffered a great loss, that afflicted stock markets in many countries and credit crunch had spilled into the whole world. Finally, financial storm transformed into economic crisis, that made the economy in many countries such as developed countries and developing countries decline. To stimulate the decline of economy and encourage the faith of the financial market, each government took a series of stimulus packages. But a drop in GDP in the world showed that the stimulus packages did not work effectively and the economy was still affected by subprime mortgage crisis. This paper researches the background of subprime mortgage crisis and try to find the part of the frangible financial system to prevent the financial crisis from happening again.
15
Liu, Tzu-chiang, and 劉自強. "The Contagion Effects of Subprime Mortgage Crisis on the U.S. Financial Industry." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/16969805612753587169.
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碩士國立交通大學
管理學院碩士在職專班財務金融組
97
Abstract In this study, study events analysis of 2007 U.S. subprime mortgage crisis in the U.S. stock market impact of the financial industry, and test its abnormal return to the United States financial institutions in 474 listed companies and industries in accordance with different sub-categories seven major types of samples for the study, select the U.S. subprime mortgage crisis events 18 days, by category is divided into 4 different categories, the following four hypothetical test. 1, To explore the U.S. financial industry to the subprime mortgage turmoil was declared the stock price reaction. 2, To explore the U.S. financial industry affected by different types of company and industry events declared subprime mortgage stock reaction. 3, To explore the U.S. subprime mortgage classified declaration the effect of the incident. 4, Comparing the financial sector shares of different types of company and industry on the U.S. subprime mortgage incident different class declaration declaring the existence of differences in the response. The empirical results show that the U.S. subprime mortgage turmoil was indeed on the U.S. financial stocks have a significant abnormal returns, with industry categories Major Group 60（Depository Institutions）, Major Group 61（Non-depository Credit Institutions） are the most strongly affected, event category in order to declare an investment loss, lowered credit ratings declared the most significant events, and different industries for different types of categories of events declared by the impact of different. Key words: Financial Tsunami, Subprime Mortgage, Event Study, Abnormal Return
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Chen, Paokuo, and 陳保國. "Systems thinking to explore the U.S. subprime mortgage lead to financial crisis." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/95715152451081447161.
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碩士東海大學
企業管理學系碩士班
100
This thesis is based on systems thinking approach to study the dynamic process of the U.S. sub-prime mortgages triggered a global financial tsunami, mainly in derivatives, globalization and the financial supervisory system in three dimensions to investigate the impact of process, this research through extensivecollection and reading of literature and articles of related issues, and then finishing the analysis of causal feedback map drawn into looking forward to find out the causes and solution of the financial turmoil, as handling of the financial issues related to the future reference. First found in the literature review study related to the subprime mortgage crisis of causes, the most fundamental factor for asset securitization and derivatives. And innovative of these goods can be attributed to committed to the pursuit of the results of financial liberalization, while an original regional, single country's financial problems, why will cause the global financial crisis can be clearly found that the Department recently strongly advocated globalization among countries, resulting in interdependence increase among countries, any country the economic problems may affect other countries, not to mention the source of the financial turmoil is a global economic power, the extent of its impact is spared. Finally, this study for the financial turmoil, solve the problems of the financial turmoil should focus on the national financial supervisory system, but without any kind of supervision model can one apply to all countries, is therefore important that countries set deposit management supervision system must be considered the world's financial consumer financial derivatives cognitive maturity, industry self-regulatory requirements and market discipline different to set the depth and breadth of involvement by the national financial regulatory authorities.
17
Chiang, Woan-Ling, and 江宛陵. "A Study of Taiwan’s Financial Regulation Reform after the Subprime Mortgage Crisis." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/89618237978812488853.
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碩士嶺東科技大學
國際企業研究所
100
This study seeks to explore the positive reform measures adopted by the governments of nations since the outbreak of the sub-prime mortgage crisis. This includes bill amendments, the establishment of special agencies and systematic policies, plus a series of other policies intended to help financial institutions and financial markets. These are also meant to avoid the global economic community from falling into a recession due to the sub-prime mortgage crisis. Hence, the purpose of this study is to conduct an in-depth analysis through insights gained from the intrinsic relationship between the evolution of financial regulations and the sub-prime mortgage crisis. This will be done in order to understand the impact of the reforms on international financial regulations as well as the impact of the sub-prime-mortgage crisis on Taiwan’s financial regulations’ related reforms following the sub-prime mortgage crisis. Finally, the revelation of the international regulations’ related forms on Taiwan’s own financial regulations following the subprime mortgage crisis are proposed. Keywords: sub-prime mortgage crisis, financial regulations, financial crisis
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Chen, Bill, and 陳明輝. "The subprime mortgage crisis impacts on Financial Assets Securitizations：The case of C Company." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/26009699581522586274.
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碩士國立清華大學
高階經營管理碩士在職專班
97
This study is focusing on the changing financial environment globally with the launch of continuous new financial products. Especially, financial assets securitization is most beneficial for initial organizations. It can not only improve the management of asset and debts, dispersing the risk of equity capital rate, and lowering capital cost, but also provide the canal for financial loan. For investors, it’s also a new way to make investments and provide a protection for revenue and investors. For finical market, the financial securitization also enlarge the market scales and increase the capital fluency and allocation efficiency. However, due to the benefit and facility of the financial assets securitization, it also caused some problems. Many financial institutions have been developing various financial operating and linking diverse investments to extend credit. The crisis of structured note and subprime mortgage finally occurs. It caused invaluable loss and global financial crisis. The study is to introduce the development of the financial asset securitization and demonstrate subprime mortgage impact on securitization market also research the related problems on leasing creditor’s rights securitization. In the case of study, C-com, a leading leasing company in Taiwan, will be the example. With the growing transactions on leasing contract, leasing companies should well apply to leasing creditor’s rights securitization to consolidate financial structure, to extend operation scale and to upgrade competitiveness. Finally, three suggestions will be proposed for further study in breaking the inadequacy of suitable cases and the limitation of taxable laws.
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Chang, Kao-Ying, and 張高瑩. "Forecasting Volatility and Capturing Downside Risk in Financial Markets under the Subprime Mortgage Crisis." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/90258638164185318968.
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碩士淡江大學
財務金融學系碩士班
98
This thesis applies alternative GARCH-type models to daily volatility forecasting with Value-at-Risk (VaR) application to the Taiwanese stock index futures and Standard & Poor’s Depositary Receipts (SPDRs) that suffered the global financial tsunami that occurred during 2008. Instead of using squared returns as a proxy for true volatility, this thesis adopts four volatility proxy measures, the PK-range, GK-range, RS-range, and RV, for use in the empirical exercise. The volatility forecast evaluation is conducted with a variety of volatility proxies according to both symmetric and asymmetric types of loss functions regarding forecasting accuracy. These models are also evaluated in terms of their ability to provide adequate VaR estimates with the inclusion of realized-volatility-based VaR model. Moreover, the predictive performance of the RV-based VaR model is compared with various GARCH-based VaR models according to both unconditional coverage test (Kupiec,1995) and utility-based loss functions with respect to risk management practice. Empirical results indicate that the EGARCH model provides the most accurate daily volatility forecasts, whereas the performances of the standard GARCH model are relatively poor. Such evidence suggests that asymmetry in volatility dynamics should be taken into account for forecasting financial markets volatility. Moreover, I find a consistent result that the forecasting performance of models remains constant across various volatility proxies for both empirical data in most cases. In the area of risk management,the RV-VaR model tends to underestimate VaR and has been rejected for lacking correct unconditional coverage for the TAIFEX returns data, while the GARCH genre of models is capable of providing satisfactory and reliable daily VaR forecasts. In particular, the asymmetric EGARCH model is the most preferred. For SPDRs case, while all models have passed the back-test, the RV-VaR is considered the optimal VaR model both for a regulator and for a firm at alternative confidence levels during the whole year of 2008. The empirical findings presented here provide crucial implications for market practitioners, such as, policy makers, institutional risk managers, and common investors in risk management.
20
Ko, Chen-Chen, and 柯禎禎. "A Study of the Impact of Subprime Mortgage Crisis on the Financial Stock Indices." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/83208470376081675150.
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碩士雲林科技大學
財務金融系碩士班
99
This study is to examine the impact of subprime mortgage crisis on the financial stock indices, including U.S. NYSE, U.K. FTSE, Germany DAX, Taiwan and Shenzhen China. This study uses the measurement methods include the ADF unit root test, Johansen cointegration test, Granger causality test, Impulse Response analysis and Forecast Error Variance Decomposition. According to the empirical results, five financial stock index daily returns all perform stationary. Johansen cointegration test indicates that the long-term steady and balanced relationships among those financial stock indices are not changed by the subprime mortgage crisis. Granger causality test suggests that U.S. NYSE financial stock index causes the vibration of the other stock indices. The impulse response analysis demonstrates that the returns converge quickly and the market is efficient. The Forecast Error Variance Decomposition results show that market itself is the major explanatory power of the returns of the financial stock index.
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Chang, Kuo-shu, and 張國書. "The impacts of the financial crisis on the real sector and the financial sector - the case study of the subprime mortgage crisis." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/6224m6.
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Liu, Chao-Lin, and 劉昭麟. "A Study on the Framework of Financial Asset Securitizationin China and Taiwan after Subprime Mortgage Crisis." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/57052355135260918438.
Full textAbstract:
碩士東吳大學
法律學系
98
As we know, financial asset securitization is a product of financial innovation.Under the structure of securitization, the originator transfers the underlying assets to SPV, whereby the SPV issues beneficial securities or asset-backed securities on the basis of such assets. As a result of its capabilities of assets liquidity upgrade, risk transfer, and better rewards than the bonds with the same credit ratings, it´s well loved by financial institutions and investors. However, the Subprime Crisis has revealed some problems of securitization, such as ineffectiveness of investors protection、lack of financial supervision and faults of credit rating system, and these will be the priority to improve the system of financial asset securitization.The development of related laws and regulations will be important, too. The development of financial asset securitization between the Taiwan Strait is not a long period, and related laws and regulations are not so well, either.The Financial Asset Securitization Act of ROC (2002) is the basic standard of securitization in Taiwan, and related rules have been established as well; but in Mailand China, although Administration of Pilot Projects for Securitization of Credit Assets Procedures was published in 2005, the development of securitization is still going on with the Pilot Projects so far. Even the securitization was blamed as a“accomplice”of the Crisis, however, the problem was because of the misuse and lack of supervision but not itself at all. Therefore, we should take the lessons from the Crisis, review and reform the laws and regulations about financial asset securitization for the better future of development of securitization.
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Chen, Hsiu-Fang Chu, and 朱陳秀芳. "The Effects of the Financial Crisis on the Performance of Ecology Funds：The Case of Subprime Mortgage." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/52379134455697526869.
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碩士清雲科技大學
經營管理研究所
100
This paper aims to discuss nine ecology funds chosen from the database of InfoTimes 2000, and that of Taiwan Economic Journal. The event of subprime mortgage is used to divide the time into two periods: the 1st period represents the time during the subprime mortgage, i.e. from January 1st 2008 to February 27th 2009; the 2nd, post-subprime mortgage period, i.e. from March 2nd 2009 to December 31st 2011, in order to probe into how financial crisis affects ecology funds. Several means including Rate of Return, Standard Deviation, Beta Coefficient of CAPM, and Sharpe Ratio are employed to compare the investment outcome of each fund. Furthermore, others means including Absolute VaR, Relative VaR, Historical Simulation Method, and Monte Carlo Simulation are employed to estimate and determine the VaR of each fund for not only the performance, but also the VaR of a fund are crucial indicators for investors to determine their investing items. There are three objectives this paper intends to achieve: (1) evaluate the performance of ecology funds, then (2) analyze as well as probe into the VaR of each ecology fund, and (3) identify the impact created by the subprime mortgage event upon ecology funds. As far as average return is concerned, the value was between -5.54% and -2.72% during the 1st period. Average of return was -0.19% ~ 1.32% during 2nd period. Secondly, the average VaR during the 1st period is between 0.0335 and 0.0692 indicating bigger fluctuation, i.e. higher risk; the 2nd period, 0.0248 ~ 0.0724. The Beta coefficient is between 0.7922 and 1.5084 during the 1st period; the 2nd period, 0.3270 ~ 0.6249. The Sharpe Ratio is between -0.3641 and -0.62305 during the 1st period; the 2nd period, -0.0352 ~ 0.2169. To conclude, the 1st period shows lower profit with higher risk than the 2nd period, which suggests that the outcome of ecology funds during the subprime mortgage event is indeed affected by the event.
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Huang, Shih-Hao, and 黃士豪. "The impact of the subprime mortgage crisis on financial performances of investment bank and commercial bank." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/y9htdg.
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碩士銘傳大學
財務金融學系碩士在職專班
97
This study aims to examine the differences and changes in the business performance of investment banks and commercial banks worldwide in markets at varying stages of development. We use five major financial variables associated with the financial operations of banks – equity ratio, operating cost ratio, return on equity, return on asset, and Tobin Q to take into account the bank’s capital adequacy, management capability and profitability. This study explores the changes in the performance of representative investment banks and commercial banks worldwide after the financial tsunami. Our empirical results show that before the subprime credit crisis, the capital adequacy of investment banks were markedly inferior to those of commercial banks, whereas their management capability and return on equity were markedly superior to those of commercial banks and their risk levels were not significantly higher than those of commercial banks. We also find that after the occurrence of subprime credit crisis, the capital adequacy of investment banks were still markedly inferior to those of commercial banks, and although their management capability, profitability and going-concern value were not significantly inferior to those of commercial banks, their risk levels were significantly higher than those of commercial banks. In addition, after the occurrence of subprime credit crisis, the management ability, profitability and going-concern value of both investment banks and commercial banks turned for the worse, while their management ability and profitability risks rose. Our study finds that the sizes of capital and total assets do not have a bearing on the relative financial performance of investment banks and commercial banks or their respective financial performance both before and after the subprime credit crisis. However, after the subprime credit crisis, the management capability, return on equity and going-concern value of investment banks in developed markets were significantly inferior to those of commercial banks in the same markets. On the other hand, the financial performance of commercial banks in the emerging markets was not significantly worse and their risk levels did not rise after the subprime credit crisis. With respect to the implied meaning of changes in financial performance, we can tell from the sample cohorts in developed markets that after the subprime credit crisis, the operating cost ratios of investment banks and commercial banks escalated significantly, while their profitability tumbled markedly. Meanwhile, the capital adequacy and profitability of investment banks were significantly inferior to those of commercial banks and their operating cost was significantly higher than that of commercial banks, indicating that investment banks have in general sustained huge investment loss and asset impairment during the subprime credit crisis that led to sharp drop in profits. The significantly inferior capital adequacy, higher operating costs and profit decline of investment banks after the subprime credit crisis imply that investment banks that used to run their business with high degree of financial leverage, non-transparent pay structure, high bonus, and less investment restrictions were far more seriously impacted by the subprime credit crisis than commercial banks.
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Kuo, Yu-Te, and 郭育德. "Effects of The Policy of Asia During The Financial Crisis –Focus on Subprime Mortgage of America." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/54538464704372031880.
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碩士國立臺灣大學
國際企業學研究所
102
In 2007, the subprime mortgage of the United State caused an extraordinary impact on global international financial markets. It not only damaged the prosperity of Europe and America but also affected Southeast Asian countries seriously. This thesis mainly discusses how the economies of the five countries of Southeast Asian (South Korea,Taiwan, Hong Kong, Malaysia, and Singapore) varies under the financial crisis and thegovernment policy, and then proposes a recommendation after giving a conclusion. In the beginning, the thesis introduces the causes of the subprime mortgage of the United State, and shows the effects of the government policy by applying IS-LM-BP(Mundell-Fleming) Model. Then, according to literatures, this thesis uses GovernmentExpenditures (GE) and Government Incomes (GI) as variables correspondent to the government policy, and utilizes Money (M) and Exchange rate (E) as variables to represent the currency policy to analysis the influence on the gross domestic product(GDP). Before being used to constructing the model for analyzing, the data needs to be examined by the unit root test. Once the data or the first difference of the data has stationarity, one can apply Akaike information criterion (AIC) to determine the optimal lag order selection, which is plugged into the vector autoregression (VAR) to build the impulse response. The main analysis of this thesis is based on the impulse response (separated into three parts: before, during, and after the crisis). Finally, according to the analysis, this thesis gives a conclusion and some recommendations.
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Lu, Meng Yin, and 盧孟吟. "Constructing the Regression Model of the Financial Crises : The Impact of the Subprime Mortgage Crisis in U.S." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/64818121218516680744.
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碩士國立政治大學
國際經營與貿易研究所
96
We find that the frequencies of the financial crises are higher for the past forty years in the world. It is due to the financial liberalization and international financial markets which grow rapidly. Besides, financial crises usually company with some common characteristics such as capital outflow, the depreciation of the foreign exchange, the shock of the stock market, the decreasing of the production and so on. Therefore, in order to understand this financial crisis of the subprime mortgage, this thesis surveys the economic data of developed countries and developing countries from 1970s and figures out the performances of these countries under balance-of -payments crises or banking crisis. We use the logistic regression model and transform the data to construct a regression model. After understanding the relationship between the explaining variables, we use this model to predict the probability of possible financial crisis in U.S. under the subprime mortgage crisis and then discuss the rationality of those predicted values.
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Paula, Marta Rodrigues da Silva Martins de. "Impacto da crise subprime no sector bancário português." Master's thesis, 2009. http://hdl.handle.net/10071/1699.
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Relatório de Projecto / Classificação JEL: G01, G21O objectivo deste documento é explicar a origem da crise subprime e o seu impacto no sector bancário português. Procura-se sinteticamente enquadrar o aumento da procura por produtos financeiros de estrutura complexa, determinantes na propagação dos riscos de crédito pelo sistema financeiro, que conduziram à corrente crise, com reflexo no mercado financeiro. Foca-se a ausência de liquidez no mercado monetário interbancário, que dificultou aos bancos o financiamento via equity ou debt. Evocam se os principais motivos que originaram a acumulação de recursos por parte das instituições financeiras neste quadro de elevada incerteza e instabilidade. Procede-se a uma análise do sector bancário português, começando-se por apresentar o actual enquadramento macroeconómico adverso, enquanto principal desafio, e a ausência de uma bolha especulativa no mercado imobiliário, enquanto vantagem comparativamente com os E.U.A., Espanha, Reino Unido e Irlanda. Contudo, a economia portuguesa, tal como os restantes parceiros da União Europeia, vê-se envolvida na recessão. A contracção do ritmo de crescimento económico e o aumento da taxa de desemprego envolvem duas preocupações: o aumento das taxas de incumprimento e o abrandamento do ritmo de crescimento dos empréstimos, ambos percepcionados na análise dos dados disponíveis relativos ao sector bancário português. Numa tentativa de escalonar as cinco maiores instituições financeiras portuguesas, comparando-as com a média do sector bancário europeu, analisam-se os respectivos rácios de capital, níveis de alavancagem e gap de liquidez, concluindo-se acerca das suas necessidades de funding, risco de solvência e necessidades de aumento de capital. Finalmente, referem-se as medidas tomadas pelos Governos para conter e resolver as crises financeiras, dando particular enfoque às medidas adoptadas em Portugal.
The purpose of this paper is to explain subprime mortgage credit crisis and its impact on the Portuguese banking system. We look at the underlying determinants of the mortgage credit crisis, discuss the roots of the market meltdown and its repercussions on financial markets. We also analyse the decrease of market liquidity, which makes it harder for banks to finance via equity or debt. We explain the reasons why financial institutions tried to accumulate financial resources due to the great deal of uncertainty. Focusing the analysis on the Portuguese banking sector, we start to discuss the weak global economic prospects as the main challenge and the absence of a real estate bubble in the Portuguese market in the past few years as an advantage comparing to other countries like U.S.A., Spain, U.K and Ireland. The Portuguese economy is caught up in a deep slowdown, as is every European Union country. Lower economic growth and higher unemployment bring two major concerns: higher default rates and slower loan growth, which are clearly showed through the analysis of available Portuguese banking system data. In an attempt to screen the five major financial institutions and compare them to the European banking sector, we show each company capital ratio, gearing ratio and liquidity gap and conclude the funding and solvency risk and the need to raise fresh capital. Finally, we cover the crisis containment and resolution policies, focusing on the Portuguese response to restore the banking system.
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Wu, Chin-Yu, and 吳晴裕. "The Influence of Subprime Mortgage Crisis on the perationalEfficiency for Full Security Firms under Both FinancialHoldings and Non-Financial Holdings System." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/39532091804300656864.
Full textAbstract:
碩士國立高雄第一科技大學
金融所
98
It has been a great challenge in operation for the Full Security Firms in Taiwan since the harsh competition in financial market along with the constant launch of new financial products & service. Furthermore, the domino effects on the financial institutions bankruptcy caused by the Subprime Mortgage Crisis in the US in 2007 not only shake the investors’ confidence but also make it a bigger challenge for business operation. For this reason, this research is to analyze and study the operation of Financial Holdings and Non-Financial Holdings Full Security Firms in Taiwan based on their financial reports and data such as Profit Rate, EPS, Net Value per Share, and etc. The sample companies in this research rank at top five in terms of market share derived from the annual stock statistics report provided by Taiwan Stock Exchange Corporation, along with the data such as Profit Rate, EPS, Net Value per Share monthly publicized from Jan. 2002 to Sep. 2009 by the Securities Information Integrated Data Bank of Securities & Future Institute. This research is done by the financial reports sampling of Financial Holdings and Non-Financial Holdings Full Security Firms as well as 「T–Test」 to prove and analyze the operating efficiency of both Financial Holdings and Non-Financial Holdings Full Security Firms. After proof and analysis in the research, it shows the financial tsunami caused by Subprime Mortgage Crisis has obvious impact on both, and the impact on Financial Holdings Full Security Firms is even greater.
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Huang, Sheng-Kai, and 黃聖凱. "The Impacts and Estimation of Credit Contagion of Financial Industry on the Other Industries over the Subprime Mortgage Crisis: Evidence from Taiwan." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/74989845413821185093.
Full textAbstract:
碩士世新大學
財務金融學研究所(含碩專班)
99
This dissertation discusses effect of Credit Contagion from Banking Industry to other 5 industries (Car Industry, Plastic Industry, Shipping industry, Metallurgic Industry and Electronic Industry) during Subprime Mortgage Crisis and uses daily data of Distance to Default between Jan 2007 and Oct 2010 to discriminate between prior-, amid-, and post-subprime crisis. It explains whether effect of Credit Contagion exists between banking industry and 5 other industries and the effect causes continuing influence by Granger Causality Test, MGARCH model, Correlation time trend test. The result of this analysis shows that effect of Credit Contagion is not significant between financial holding companies during crisis. It explains that increase of credit risk in financial holding companies is because international economic situation, not effect of Credit Contagion. Besides, other industries have significant Credit Contagion during crisis from banking industry, especially in plastic industry. Effect of Credit Contagion between financial holding companies would not be different from their scale during crisis. Nevertheless, small scale of financial holding company has more obvious Effect of Credit Contagion to other industries than large scale. This dissertation tests correlation of time trend in banking industry and between banking industries and other industries, since causality which only explains lead and lag relationship of credit contagion could not explain that effect of credit contagion will increase by time accumulating. Strength of credit contagion effect is not significant between financial holding companies during crisis. Strength of credit contagion effect from bank industry is most obvious in electronic, shipping, and plastic industries. Comparing with scale of financial holding companies, large financial holding company has weaker effect of credit contagion than small financial holding company in electronic and shipping industries. However, small financial holding company has stronger effect of credit contagion in plastic industry than large financial holding company.
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蕭荃友. "A Study for Tenacious Base on Basis-Maturity GARCH Model for hedging during the subprime mortgage financial crisis - Case in Taiwan Stock Future index." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/59766440444784797584.
Full textAbstract:
碩士東海大學
管理碩士在職專班
98
The main function of "Basis" for its content for hedging with futures, with the spot price and futures price changes in continuous, basis sometimes expand, sometimes narrow, in the end because the spot price and futures price convergence, at th due day,the basis of recent month futures come to zero, it’s reflecting the existence of "basis risk".due to hedging effects as the level of uncertainty depends entirely on the level of uncertainty of basis, however hedging transactions Basis risk may decided by the standard deviation of the spot price and futures price relevance, to determine optimal hedge ratios, basis risk has also come to be, and thus affect the hedging performance; therefore evaluated the performance of hedge is more important in hedging transactions. In 2007, subprime mortgage financial turmoil, Taiwan stock market with those of headline news of the disclosure of international financial turbulence fluctuating up and down,those who engage in futures hedging of basis to the goal of fixed-income investors , which hedging model should be choose as decision-making？the past on research papers, and more emphasis on analysis hedging performance of changes of basis fluctuating , the base is not concern basis-maturity factors also included variables, this paper the base difference,have the basis-maturity factors into the model,refer to the existing literature on the hedging performance index is calculated, analys the data of Taiwan stock futures index during the day near the financial tsunami events, study the Basis-maturity bivariate GARCH correction model with the traditional OLS model to compare the results of hedge ratios and hedge effects, then further explore the bivariate GARCH model adopted the dynamic hedging strategy reduces risk. this paper, propose the Basis-maturity bivariate GARCH correction model for hedging during the mortgage financial crisis, have it’s tenacious on hedge effectiveness, and improve the tenacity of
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Shih, Chih-Hsuan, and 施智軒. "The Comparison of the Impacts of the U.S. Internet Bubble and Subprime Mortgage Crisis on Non-Performing Loans and Subrogated Payments of Credit Guarantee Fund of SMEs in Taiwan." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/26504366644575541649.
Full textAbstract:
碩士銘傳大學
風險管理與保險學系碩士在職專班
101
In 2000, the Internet bubble burst in the United States. In the following year, the unemployment rate was 4.57% and the economic growth rate was -1.65%, the first negative growth in Taiwan. In 2008, the subprime mortgage crisis in the United States finally evolved into a global financial crisis. The unemployment rate next year reached an all-time high of 5.85 %, while the economic growth rate arrived at -1.81%, the second negative growth since the Internet bubble crisis. After the two major international events mentioned above, the new non-performing loan (NPL) ratio of small and medium enterprise credit guarantee fund (SMEG) was 4.92% in 2000 and reached as high as 7.25% in 2001. The new NPL ratio of SMEG was 3.16% in 2008 and fell to 2.03% in 2009. However, the amount and number of compensation payments raised significantly compared to those of 2008. It is obvious that these two international financial events have major impact on SMEs, banks, Taiwan''s overall economy and the unemployment rate. This study mainly focuses on comparing the impact levels of the U.S. Internet bubble and the subprime mortgage crisis on SMEs and SMEG of Taiwan. This study concluded that when the Internet bubble burst in the United States, the exports to the U.S. continued to slump and SMEG did not take more specific and responsive measures. And because of higher lending rates, relatively higher costs for corporate financing and decreasing ability to repay interests, SMEs and SMEG in Taiwan were hit harder during this period. Comparatively, the government and SMEG launched corresponding policies and projects immediately in response to the subprime mortgage crisis. Exports
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Yu, Hsiu-Ling, and 尤綉綾. "Volatility Comovement and Contagion Effect among Stock Markets of Taiwan, Japan, Hong Kong and Australia: An Application of Multivariate Asymmetric GARCH and Effect from Events of Operation Iraqi Freedom, Subprime Mortgage and Financial Tsunami Crisis." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/17712771675819231465.
Full textAbstract:
碩士國立臺北大學
國際企業研究所
98
The financial system of the Taiwan stock market has integrated fast with other stock markets in recent years. This may also enlarge the high linkages effects between Taiwan and other international financial markets. Since Taiwan, Japan, Hong Kong and Australia are located in Asia-Pacific area, there is an increase in bidirectional investment and trade from these four stock markets, which enhances the interactions among these four international markets. Also, the globalization of financial systems and the acceleration of information transmission have increased the risk of financial crises. Hence, the purpose of this thesis tries to investigate whether contagion effects exist, during the events of Operation Iraqi Freedom, Subprime Mortgage and Financial Tsunami Crisis, among these four stock markets. This thesis tries to establish the VEC-GJR DCC-GARCH model to prove the common volatility and volatility spillover effects among the stock markets of Taiwan, Japan, Hong Kong and Australia. The time for structural breaks in stock return volatility are detected first, based on the iterated cumulative sums of squares (ICSS) algorithm developed by Inclán and Tiao (1994), to identify the crisis period and to add dummies to avoid the overestimation of volatility. Then, time-varying correlation coefficients are estimated by the multivariate GARCH dynamic conditional correlation (DCC) model. In order to recognize the contagion effect, we test whether the DCC coefficients during the crisis period differs from that in the pre-crisis stable period. Empirical findings show that most of the stock markets demonstrate a significant increase of the mean correlation coefficients across countries after the crisis in comparison to periods before the crisis. The dynamic interactions among these stock markets are not just affected by volatility comovement but also by the contagion effect during the events as mentioned above occurred. These evidences suggest that domestic stock market investors need to consider financial impacts in neighborhood countries when making their investment decisions.
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HUANG, KUN-MING, and 黃坤銘. "A Study on the Dynamic Correlations Among US Stock, Treasury Bond andTreasury Bond Futures Markets under the Crisis of Subprime Mortgage and Financial Tsunami：The Application of VEC DCC GJR-GARCH Model andVEC Copula GJR-GARCH-skewed-t Model." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/00285305031586744297.
Full textAbstract:
碩士國立臺北大學
國際企業研究所
98
This study investigates the dynamic correlations among S&P 500 stock index, US 10-year treasury bond index and futures under the crisis of subprime mortgage and financial tsunami by using VEC DCC GJR-GARCH model and VEC Copula GJR-GARCH-skewed-t model. It also discusses the contagion effect of the crisis of subprime mortgage and financial tsunami on the US finance market. The sample period of this study is from January 1, 2004 to February 26, 2010. The empirical results obtainy from the VEC DCC GJR-GARCH model verify that during the crisis of subprime mortgage and financial tsunami period, the correlation coefficients between stock and bond markets and between stock and bond futures markets have increased, mean the correlation coefficients between bond and futures market have decreased. The model results also indicated that the return and volatility correlation of US stock, bond and futures markets are affected by the crisis of subprime mortgage and financial tsunami(contagion effect), rather than simply by cross-market information transmission through the volatility spillovers between any two markets as metioned above. In addition, the of VEC Copula GJR-GARCH-skewed-t model signify the highly tail-dependency structure between stock-bond, stock-bond futures and bond-bond futures markets. We also found that the market dependency between those any two markets have during the period of subprime mortgage crsis and financial tsunami.
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Chauhan, Shobha. "The effects of financial liberalisation in emerging market economies." Diss., 2012. http://hdl.handle.net/10500/5623.
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The aim of this research is to show the effects of financial liberalisation on emerging market economies, how these economies removed restrictions on financial institutions so that they can be globally integrated, and to show the flow of international finance in and out of a country. This research also illustrates how the financial system in these economies moved from being government-led to being market-led. The main finding of this research is that many countries failed to reap the benefits of liberalisation because of weaknesses in the regulatory structure, undercapitalised banks, volatile markets and contagion effects. The research concludes that the long-term gains of liberalisation certainly supersede short-term instability of liberalisation. Thus, for financial liberalisation to have predominantly positive effects, attention should be drawn to the importance of a more prudent regulatory and supervisory environment. Furthermore, financial liberalisation must be accompanied by a sound institutional infrastructure, proper conduct of monetary and fiscal policies, a reduction in corruption, and an increase in transparency. In addition, liberalisation should be a gradual process whereby the right measures are taken in the right sequence.Economics
M. Comm. (Economics)
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Brož, Václav. "Témata v oblasti centrálního bankovnictví." Doctoral thesis, 2020. http://www.nusl.cz/ntk/nusl-436254.
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This dissertation consists of three research papers dealing with selected issues relevant for central banks after the global financial crisis. The post-crisis world has seen a significant strengthening of the role of central banks with regard to the financial system as well as the real economy. Correspondingly, agendas of some central bankers have grown substantially, encompassing among others monetary policy, financial stability (macro- and microprudential policies) as well as resolution mechanisms. This dissertation thesis reflects the broad focus of some contemporary central banks in three original research articles that concern current unexplored issues for monetary policy and financial stability in the European Union, the Czech Republic, and the United States, potentially bringing policy implications for the relevant authorities. The first article analyzes inflation convergence in the whole European Union (EU) over 1999-2017 and provides comprehensive and robust evidence that the process of inflation convergence among the countries of the EU was not permanently disrupted during the global financial crisis, the European sovereign debt crisis, or the period of zero lower bound interest rates. Specifically, the convergence process did not noticeably weaken after the crisis and the occurrence of...