Dissertations / Theses on the topic 'Market integration; subprime crisis'

Resulting from the deregulation and prosperity of the economic and financial sectors in Asia during 1980s, a significant increase in cross-bordered financial transactions ultimately accelerated the region of Southeast Asia to be on a process of financial integration and consequently diminished opportunities for portfolio diversification. Financial Integration is a multidimensional process through which allocation of financial assets becomes lastly borderless. This purpose of this paper is to examine a progress thus far in capital market integration or preferentially, the co-movement of the equity markets between the U.S. and the Southeast Asian nations: Thailand, Indonesia, Malaysia, and the Philippines by employing the methodology of Gregory and Hansen Cointegration and Error Correction Analysis (ECM). The consequence of the U.S. market performance on each Southeast Asian national markets are extensively analyzed by decomposing monthly price-index time series into three distinct sub-periods based on an occurrence of the Subprime Mortgage Financial Crisis in 2007. The results indicate that these four emerging markets had been considerable influenced by the U.S. market performance, regardless of crisis or non-crisis periods. Nevertheless, some countries like Indonesia and the Philippines acted differently during the pre-crisis and crisis sub-periods respectively due to their domestic market infrastructure and regulation adjustment. However, these two markets had eventually turned to share an interdependent long-run relationship with the U.S. equity market since the ending of the Subprime financial downturn. Moreover, this finding suggests that ongoing capital market integration in the Southeast Asian region would mitigate portfolio diversification benefits for investors by virtue of increasing in correlation among securities and assets. Therefore, more exhaustive investigation about equity market integration is significantly beneficial in macroeconomic and financial perspective.

nÃo hÃ<br>The study applies unit root and cointegration econometric techniques to investigate the Brazilian financial market behavior in the 2007-2008 biennium according to sector indicators from daily market. The analysis is divided into two periods according to the observation of Subprime Crisisâ effect on national financial market and we find that: i) for both periods the sector Pulp-Paper was cyclical and ii) in periods of high and low the market, Metallurgy and Mining, respectively, cointegrate with IBOVESPA. In addition, Dollar and SELIC confirmed its characteristics of the hedge in periods of instability and stagnation of the financial market.<br>O estudo utiliza tÃcnicas de raiz unitÃria e cointegraÃÃo para, a partir de indicadores setoriais diÃrios de mercado, analisar a evoluÃÃo do mercado financeiro no Brasil no biÃnio 2007-2008. A anÃlise à dividida em dois perÃodos de acordo com a constataÃÃo dos efeitos da Crise do Subprime no mercado financeiro nacional e constata-se: i) em ambos os perÃodos o setor Celulose Papel foi o Ãnico considerado cÃclico; ii) jà nos perÃodos de alta e baixa do mercado, Metalurgia e MineraÃÃo, respectivamente, apresentaram cointegraÃÃo com o IBOVESPA. Ademais, DÃlar e SELIC confirmaram suas caracterÃsticas de Hedge no perÃodo de instabilidade e queda na atividade no mercado financeiro.

Trend and panel data analyses are used to determine the role of financial variables in GDP growth differences during the last global recession. Real variables are implemented in order to absorb real shocks and give a better (less biased) estimation of the effects of those nominal (financial) shocks. Results indicate an important role of Stock Market correlations.<br>B.S.B.A.<br>Bachelors<br>Business Administration<br>Economics

Urban Studies<br>Ph.D.<br>Over the last decade, the United States had experienced a boom and bust in the subprime mortgage market. The ups and downs of the subprime mortgage market became a primary factor triggering the most severe global economic recession since the Great Depression. The dissertation contributes to the literature by inquiring whether the subprime lending has exacerbated social inequity between subprime neighborhoods and other neighborhoods, through analyzing the subprime mortgage market in the Philadelphia MSA from 2000 through 2010, and focusing on two research questions: (1) the spatial distribution of subprime mortgages across census tracts; (2) the relationship between subprime intensities and housing price variations across zip-code areas. As the dissertation's study area expands from an urban to a MSA, spatial heterogeneity merits attention in this relative huge area. As a result, this dissertation not only employs a global, Ordinary Least Squares (OLS) model, but also a local, Geographically Weighted Regression (GWR) model to examine spatial variations across different neighborhoods. For the first research question, the dissertation finds: (1) a higher concentration of higher-priced mortgage for purchase and refinance in tracts with higher proportion of African-American and Hispanic residents, lower median household incomes, higher-unemployment rates, lower self-employment rates, and higher capitalization rates, after controlling for other variables; (2) the association between higher-priced mortgages and explanatory variables varies across census tracts. Because the dynamics of neighborhood subprime originations are heterogamous, the association between subprime mortgage origination and socioeconomic characteristics may be stronger in some neighborhoods than other neighborhoods. For the second research question, the dissertation finds: (1) subprime mortgage shares have a significant negative association with housing price appreciations during the housing boom period (2001-2006); (2) subprime mortgage shares have a significant positive association with housing price depreciations during the housing bust period (2006-2010); and (3) the association between housing price variations and explanatory variables differs across geographic submarkets within the Philadelphia region. The result confirms that areas where more residents obtained subprime mortgages have suffered more severely than other from the housing market's ups and downs over the last decade. The empirical results can draw broad policy implications. The primary implication is that it is time for the federal government to rethink its homeownership policy. Increased homeownership levels arising from the expansion of subprime mortgages are not sustainable, and subprime lending has exacerbated social inequity between subprime neighborhoods and other neighborhoods. The second implication is that the government needs to enforce the fair lending laws, because the cluster of subprime mortgage origination reflects the unequal opportunities of prime mortgage accessibility across different neighborhoods. The third implication is that the government needs to promote place-based policy making. As the GWR demonstrates, the dynamics of the mortgage market and housing market are uneven across different neighborhoods. Therefore, place-based making can increase the efficiency of public policy. These implications based on the dissertation's empirical results are helpful for designing more efficient, effective, and sustainable housing policies of the United States.<br>Temple University--Theses

In any modern economy, mortgage markets rank among the most important business segments for a variety of obvious economic reasons. Not only does mortgage credit for many people pave the way to their own home, which usually represents the lion’s share of an average household’s assets and implicit old-age provisioning.

Made available in DSpace on 2014-12-17T13:53:30Z (GMT). No. of bitstreams: 1 RaimundaMLS_DISSERT.pdf: 638002 bytes, checksum: f4c7693a6b7a4b11a332a1d4e60703e4 (MD5) Previous issue date: 2010-09-20<br>The financial crisis that occurred between the years 2007 and 2008, known as the subprime crisis, has highlighted the governance of companies in Brazil and worldwide. To monitor the financial risk, quantitative tools of risk management were created in the 1990s, after several financial disasters. The market turmoil has also led companies to invest in the development and use of information, which are applied as tools to support process control and decision making. Numerous empirical studies on informational efficiency of the market have been made inside and outside Brazil, revealing whether the prices reflect the information available instantly. The creation of different levels of corporate governance on BOVESPA, in 2000, made the firms had greater impairment in relation to its shareholders with greater transparency in their information. The purpose of this study is to analyze how the subprime financial crisis has affected, between January 2007 and December 2009, the volatility of stock returns in the BM&BOVESPA of companies with greater liquidity at different levels of corporate governance. From studies of time series and through the studies of events, econometric tests were performed by the EVIEWS, and through the results obtained it became evident that the adoption of good practices of corporate governance affect the volatility of returns of companies<br>A crise financeira ocorrida entre os anos de 2007 e 2008, conhecida como crise do subprime, colocou em evid?ncia a governan?a das empresas no Brasil e no mundo. Para monitorar o risco financeiro, ferramentas quantitativas de gest?o de risco foram criadas na d?cada de 1990, ap?s v?rios desastres financeiros. A turbul?ncia do mercado tamb?m tem levado as empresas a investirem no desenvolvimento e utiliza??o de informa??es, que s?o aplicadas como ferramentas de apoio aos processos de controle e tomada de decis?o. In?meros estudos emp?ricos sobre efici?ncia informacional do mercado t?m sido efetuados dentro e fora do Brasil, revelando se os pre?os refletem instantaneamente as informa??es dispon?veis. A cria??o de n?veis diferenciados de governan?a corporativa na BOVESPA, em 2000, fez com que empresas tivessem maior comprometimento em rela??o aos seus acionistas, com maior n?vel de transpar?ncia em suas informa??es. A proposta desse trabalho ? analisar como a crise financeira do subprime afetou, entre janeiro de 2007 e dezembro de 2009, a volatilidade do retorno das a??es na BM&FBOVESPA de empresas com maior liquidez em diferentes n?veis de governan?a corporativa. A partir de estudos das s?ries temporais e, atrav?s de estudos de eventos, foram realizados testes econom?tricos, atrav?s do EVIEWS, e pelos resultados apresentados tornou-se evidente que a ado??o de boas pr?ticas de governan?a corporativa influenciam a volatilidade dos retornos das empresas

In the fall of 2008, the U.S. subprime mortgage loans defaults have turned into Wall Street’s biggest crisis since the Great Depression. As hundreds of billions in mortgage-related investments went bad, banks became suspicious of one another’s potential undisclosed credit losses and preferred to reduce their exposure in the interbank markets, thus causing interbank interest rates and credit default swaps increases, a liquidity shortage problem and a worsened credit crunch condition to consumers and businesses.

1. The supreme mortgages market. Main determinants of the borrower's choice to get in a subprime mortgage. The incentive structure of intermediaries: moral hazard and adverse selection. Some responses: how does the policy-maker shape the subprime market. 2. The competition policy dimension of tying and other potentially unfair commercial practices. Tackling tying and other potentially unfair commercial practices in consumer policy. Measuring the impact of tying and other potentially unfair practices in the retail financial services sector: a multi-stage test. 3. Setting the scene. Size and shape of the OTC derivatives market. Legal and economic views of growth and concentration. The nature of OTC derivatives transactions. Shedding lights on the OTC derivatives’ chain value: a costbenefit analysis. OTC derivatives markets and the financial crisis. Legislative actions in EU and US. Perspectives for over-the-counter derivatives market: four scenarios.

Many questions about the behavior of the economy and some specific market emerged after the outbreak of the crisis called subprime crisis. The arrival of the crisis in other countries has increased the range of new questions to be answered by the economic theories. Some markets have excelled in this crisis, such as real estate, birthplace of the crisis in the United States. By observing the market where the crisis emerged and the crisis spreading to other countries, including Brazil, the question arises to purpose of this paper, if it happened and how it happened to contamination of the Brazilian real estate market by the U.S. financial crisis.<br>Muitas dúvidas sobre o comportamento da economia e de alguns mercados específicos surgiram após o deflagrar da crise chamada de crise do subprime. A chegada da crise em outros países aumentou o leque de perguntas novas a serem respondidas pelas teorias econômicas. Alguns mercados se destacaram nessa crise, como o imobiliário, nascedouro da crise nos Estados Unidos. Ao se observar o mercado onde a crise surgiu e o espraiamento da crise para outros países, o Brasil inclusive, surge a pergunta propósito desse trabalho, se aconteceu e como aconteceu a contaminação do mercado imobiliário brasileiro pela crise financeira americana.

The aim of this diploma thesis is an analysis of the contemporary mortgage crisis in the USA. The thesis consists of four sections. The first part describes historical developments of the American mortgage market with the emphasis on securitization. The second chapter deals with the market failures occurring within the securitization process. The third chapter is dedicated to the primary mortgage market, in particular to the causes of the previous credit boom, "running" house prices. Moreover, this chapter analyzes the "subprime" and "Alt-A" mortgage market, their products and practices prevailing on these markets. The last chapter is devoted to the secondary mortgage markets. The aim of this chapter is to describe how "subprime" and "Alt-A" mortgage deals were structured. The case study offers an example and its results are presented.

Made available in DSpace on 2016-04-25T16:44:31Z (GMT). No. of bitstreams: 1 Ana Fatima de Brito.pdf: 1019818 bytes, checksum: df8f5c83f763b3f825e75f17c1d377ab (MD5) Previous issue date: 2012-10-23<br>From its beginning in 2007, the U. S. Subprime Crisis can be considered the largest one occurred in the century so far, mainly for its extension, since shortly after the release of the first facts, many countries have shown signs of having been contaminated by its effects. Moreover, other nations such as Brazil sought to say that would not be affected, given the solid basis that its economy has shown. Brazil really showed signs of improvement in the economy a few years before the crisis: Gross Domestic Product - GDP was growing, inflation was under control and the employment level improved. By contrast, the United States had problems in the stock market in 2000 and had suffered the biggest terrorist attack in its history in 2001, which led to an outbreak of wars in other countries. This situation generated a bad effect on the U.S. economy, since the level of employment did not improve and prices rose, mainly on real estate assets. Many signs of problems in the U.S. economy were released, mainly the huge appreciation in real estate prices. In early 2007, companies in the mortgage industry began to have financial problems, however it was in August, when the French bank BNP Paribas announced the suspension of investment funds with roles in applications related to the mortgage that the world turned its look at the U.S. housing market. Throughout the following months, as the situation did not improve, many companies divulged disclosed financial problems and went bankrupt, such as Lehman Brothers, a hundred years old banking institution., which announced its bankruptcy in September 2008. Such a troubled scenario on the U.S. inspired this research to evaluate the effects of the crisis on the stock price of companies in the American an Brazilian Building sector. The industry was chosen due to its importance in generating employment, recent expansion of the real estate sector in Brazil and its link to the U.S. mortgage contracts. Five U.S. construction companies and also 5 Brazilian companies with publicly exchanged stocks were chosen. We selected the event study technique to accomplish the work. We found that the two facts related to Banco BNP Paribas and the bankruptcy of Lehman Brothers generated abnormal returns in stock prices of those 10 companies in the days preceding and following the disclosure of facts,, which contradicts the postulated assumption of the efficient market theory: that given that the market rationality and prices are adjusted to the information disclosed, the expected return is normal,<br>Iniciada nos Estados Unidos em 2007, a chamada Crise Subprime pode ser considerada a maior ocorrida no século até o momento, principalmente pela sua extensão, já que, pouco tempo depois da divulgação dos primeiros fatos, muitos países deram sinais de terem sido contaminados por seus efeitos. Por outro lado, outras nações como o Brasil procuravam afirmar que não seriam afetados, dados os sólidos fundamentos que sua economia apresentava. O Brasil realmente o apresentava sinais de melhoria na economia alguns anos antes, o Produto Interno Bruto PIB crescia, a inflação estava sob controle e o nível de emprego melhorava. Em contrapartida, os Estados Unidos, vinha de problemas no mercado acionário em 2000 e havia sofrido o maior ataque terrorista de sua história em 2001, o qual motivou o início de guerras em outros países. Tal situação produziu efeito ruim na economia norte-americana, uma vez que o nível de emprego não melhorava e os preços subiam, principalmente os dos imóveis. Muitos sinais dos problemas na economia norte-americana eram divulgados, principalmente quanto à valorização gigantesca nos preços dos imóveis. E, no início de 2007, empresas do setor de hipoteca começaram a ter problemas financeiros; no entanto foi em agosto, quando o Banco francês PNB Paribas divulgou a suspensão de fundos de investimentos com aplicações em papéis vinculados à hipoteca, que o mundo voltou seu olhar para o mercado imobiliário norte-americano. No decorrrer dos meses seguintes, a situação não melhorava, pelo contrário, mais empresas divulgavam problemas financeiros e até faliam, como foi o caso do Lehman Brothers, uma instituição bancária centenária, que anunciou falência em setembro de 2008. O cenário tão conturbado nos EUA motivou a realização da pesquisa para avaliar os efeitos da crise no preço das ações de empresas do setor de construção civil norteamericano e brasileiro. O setor de construção civil foi escolhido em função sua importância na geração de emprego, a recente expansão do setor imobiliário no Brasil e seu vínculo com os contratos de hipoteca nos EUA. Foram selecionadas 5 construtoras norte-americanas e 5 brasileiras com ações negociadas em bolsas de valores. Para a realização da pesquisa, foi selecionada a técnica estudo de eventos, e o resultado apurado foi que os dois fatos relacionados ao Banco BNP Paribas e a falência do Lehman Brothers geraram retornos anormais nos preços das ações das 10 empresas, nos dias anteriores e posteriores à divulgação dos fatos. Tal resultado contraria o postulado da teoria de mercado eficiente, visto que o retorno esperado é o normal, dado que o mercado é racional e os preços são ajustados às informações divulgadas

La mia tesi di dottorato consiste di tre articoli empirici sul mercato interbancario europeo non collateralizzato e il suo funzionamento durante la crisi finanziaria del 2007-2008. Il primo articolo, intitolato “Il funzionamento del mercato interbancario europeo durante la crisi finanziaria del 2007-2008”1 fornisce un’analisi dettagliata del funzionamento del mercato interbancario europeo dei prestiti non collateralizzati con scadenza overnight (O/N) durante la crisi finanziaria del 2007-2008, studiando le serie storiche dei tassi di interesse, del turnover del mercato, e dei costi di indebitamento delle banche. Lo scopo è cercare di distinguere l’impatto degli eventi di mercato – sin dall’inizio delle tensioni nell’estate del 2007 fino alla fine di novembre 2008 – da pattern stagionali, dinamiche regolari determinate dalla cornice istituzionale dell’operatività dell’Eurosistema, dall’impatto degli interventi eccezionali intrapresi dalla Banca Centrale Europea (BCE) durante la crisi. I risultati mostrano il ruolo importante, accanto agli eventi di mercato, della liquidità addizionale fornita dalla BCE e dell’accresciuta tendenza delle istituzioni finanziarie a trattenere la liquidità in eccesso piuttosto che scambiarla sul mercato interbancario. L’aumento del rischio di controparte e fattori stagionali sono importanti determinanti dei tassi d’interesse e dei volumi O/N; la fornitura eccezionale di liquidità da parte dell’Eurosistema e i notevoli cambiamenti alla cornice istituzionale di implementazione della politica monetaria hanno influenzato gli incentivi delle banche a scambiare liquidità nel mercato. L’analisi dei tassi di interesse pagati dalle singole banche per i prestiti non collateralizzati documenta il ruolo chiave della reputazione al fine di ottenere migliori condizioni di funding e, durante la crisi, mostra un ripiegamento verso controparti nazionali e la garanzia implicita goduta dalle banche con i maggiori volumi d’affari di essere “too-big-to-fail”. Il secondo articolo, intitolato “La microstruttura del mercato monetario prima e dopo la crisi finanziaria: una prospettiva di rete”2, fornisce una dettagliata analisi sulla microstruttura del mercato monetario europeo secondo l’approccio della teoria delle reti. Le banche sono i nodi delle reti; i prestiti overnight non collateralizzati formano i link che connettono i nodi. L’analisi statica degli indicatori di rete conferma molti fatti stilizzati verificati per altri sistemi complessi: le reti interbancarie sono molto sparse – lungi dall’essere complete – esibiscono la proprietà “small world” e una distribuzione del grado (il numero di controparti con cui ogni banca stabilisce dei link) che segue una legge esponenziale. D’altra parte la tendenza della banche al clustering, cioè a formare gruppi dove i link sono relativamente più densi, è molto più bassa rispetto ad altri sistemi reali. L’analisi della topologia delle reti prima versus dopo l’inizio della crisi fornisce intuizioni interessanti sul potenziale per il contagio finanziario; la partizione delle reti in diverse sotto-reti più piccole e internamente connesse documenta un movimento contro l’integrazione del mercato; pattern eterogenei degli indicatori per banche che hanno dimensioni diverse offrono intuizioni sul loro comportamento. Infine, 1 CEIS Working Paper No. 158 (December 2009). Submitted to the International Journal of Central Banking. 2 CEIS Working Paper No. 181 (January 2011). l’analisi degli indicatori di centralità di rete indica chiaramente che le banche più grandi sono anche le più centrali/influenti nel sistema prima della crisi. Questo cambia dopo Agosto 2007, quando le banche di medie dimensioni e quelle molto piccolo gradualmente aumentano la loro influenza nel mercato come prestatori di liquidità. Il terzo articolo, intitolato “Too-connected versus too-big-to-fail: la centralità di rete delle banche e i tassi di interesse overnight”3 studia cosa determina i costi di indebitamento delle banche nel mercato monetario non collateralizzato. L’obiettivo è testare se misure di centralità, che quantificano gli effetti di rete dovuti alle interazioni tra le banche nel mercato, possono aiutare a spiegare i pattern eterogenei nei tassi di interesse pagati per prendere a prestito fondi non collateralizzati una volta che si controlla per la dimensione della banca e per altri fattori specifici di ogni banca e del mercato. Evidenza preliminare mostra che le banche grandi si indebitano in media a tassi migliori rispetto alle istituzioni più piccole, sia prima che dopo l’inizio della crisi finanziaria. Tuttavia, controllando per la dimensione, le misure di centralità riescono a catturare parte della variazione cross-section nei tassi overnight. Più in particolare: (1) Prima dell’inizio della crisi tutte le banche, indipendentemente dalla loro dimensione, beneficiano di forme diverse di interconnessione, ma l’effetto è piccolo in termini economici. La reputazione della banca e il rischio di controparte sono i fattori più rilevanti per ridurre i tassi d’interesse medi giornalieri. Le banche straniere prendono a prestito a sconto rispetto a quelle italiane. (2) Dopo Agosto 2007 l’impatto della centralità delle banche diventa più forte ma assume segno opposto: la “ricompensa” derivante da una maggiore interconnessione diventa una “punizione”, segnale questo forse di disciplina di mercato. La reputazione della banca diventa ancora più importante. (3) Dopo la bancarotta di Lehman l’effetto della centralità sullo spread mantiene lo stesso segno che aveva dopo Agosto 2007, ma la sua dimensione economica è notevolmente più grande. Le banche straniere pagano un premio significativo rispetto a quelle Italiane; la reputazione diventa estremamente più importante rispetto a prima della crisi.<br>My doctoral thesis consists of three empirical papers on the unsecured euro money market and its functioning during the 2007-2008 financial crisis. The first paper, titled “The functioning of the European interbank market during the 2007-2008 financial crisis”1 provides a detailed analysis of the functioning of the overnight (O/N) unsecured euro money market during the 2007-2008 financial crisis by looking at the time patterns of interest rates, market turnover and banks’ borrowing costs. The aim is to disentangle the impact of market events – since the outbreak of tensions in the summer of 2007 until the end of November 2008 – from seasonal patterns of market activity, movements determined by the Eurosystem’s operational framework, the impact of the ECB’s exceptional crisis-related interventions. The results show the important role, alongside market events, of the additional refinancing provided by the ECB and of credit institutions’ increased tendency to hoard surplus reserves rather than trading them in the secondary market. Higher counterparty credit risk and seasonal factors are important determinants of O/N rates and volumes; the exceptional provision of liquidity by the Eurosystem and the relevant changes to the operational framework have influenced banks’ incentives to trade liquidity in the market. The analysis of banks’ costs for uncollateralised loans provides evidence of the major role of bank reputation to obtain better funding and, during the crisis, of a retreat towards national counterparties and of a too-big-to-fail guarantee implicitly granted to the banks with the highest volumes of business. The second paper, titled “The microstructure of the money market before and after the financial crisis: a network perspective”2, provides a detailed microstructure analysis of the euro money market by taking a network perspective. Banks are the nodes of the networks; overnight unsecured loans form the links connecting the nodes. The static analysis of network indicators confirms a number of stylised facts verified for other real complex systems: interbank networks are highly sparse, far from being complete, exhibit the small world property and a power-law distribution of degree (the number of counterparties each bank establishes links with). On the other hand the tendency of banks to cluster, i.e. to form groups where links are relatively denser, is much lower than in other real systems. The analysis of the topology before versus after the start of the crisis provides interesting insights into the potential for financial contagion; the partition of the network into several smaller sub-networks documents a move against market integration; heterogeneous patterns of indicators across banks of different size offer insights into banks’ behaviour. Finally, the analysis of network centrality indicates unambiguously that the biggest banks are also the most central/influent in the system before the onset of the crisis. Things change after August 2007 since medium-sized and very small banks progressively increase their influence in the market as liquidity providers. 1 CEIS Working Paper No. 158 (December 2009). Submitted to the International Journal of Central Banking. 2 CEIS Working Paper No. 181 (January 2011). The last paper, titled “Too-connected versus too-big-to-fail: banks’ network centrality and overnight interest rates”3 aims at studying what influences banks’ borrowing costs in the unsecured euro money market. The objective is to test whether measures of centrality, quantifying network effects due to interactions among banks in the market, can help explain heterogeneous patterns in the interest rates paid to borrow unsecured funds once bank size and other bank and market factors that affect the overnight segment are controlled for. Preliminary evidence shows that large banks borrow on average at better rates compared to smaller institutions, both before and after the start of the financial crisis. Nonetheless, controlling for size, centrality measures can capture part of the cross-sectional variation in overnight rates. More specifically: (1) Before the start of the crisis all the banks, independently of their size, profit from different forms of interconnectedness, but the economic size of the effect is small. Bank reputation and perceived credit riskiness are the most relevant factors to reduce average daily interest rates. Foreign banks borrow at a discount over Italian ones. (2) After August 2007 the impact of banks’ interconnectedness becomes larger but changes sign: the “reward” stemming from a higher centrality becomes a “punishment”, which possibly reflects market discipline. Bank reputation becomes even more important. (3) After Lehman’s bankruptcy the effect of centrality on the spread maintains the same sign as after August 2007, but the magnitude increases remarkably. Foreign banks borrow at a relevant premium over Italian ones; reputation becomes outstandingly more important than in normal times.

From recent research on optimum currency areas it is clear that the European Monetary Union does not represent an optimum currency area. Since 2008 the countries of southern part of the eurozone have found themselves in a financial, economic and debt crisis. Therefore a question about the economic importance of splitting the European Monetary Union arises. The aim of this thesis is to give answer to the question of how to divide the eurozone so that the newly formed monetary unions could be considered optimum currency unions, alternatively, so that the newly formed monetary unions are more optimal than currently the eurozone is. Using the method of analysis and synthesis we have reached a decision to divide the eurozone into two parts. One part comprising the southern countries -- Portugal, Spain, Italy, Greece, Malta and Cyprus and the other part comprising the rest of the eurozone.

Pour le superviseur, une approche historique de la banque permet de mieux assimiler ses modes de fonctionnement. Elle sert aussi à mieux comprendre pourquoi ses acteurs, toujours dotés, à raison, de la confiance indispensable au développement des affaires, font preuve parfois d’un sur-optimisme conduisant à leur ruine. La mobilisation du droit : telle est ce qui guide l’action du contrôleur de banque. La dernière crise financière a provoqué une prise de conscience en Europe : l’impossibilité pour chaque pays membre de l’Union d’exercer individuellement une surveillance efficace sans une harmonisation totale. Ainsi est née l’idée puis la construction du MSU. Centralisée à Francfort, la supervision unique est en place depuis le 4 novembre 2014. Mais sa feuille de route porte sur un champ plus diversifiable encore. Par construction, le MSU possède les qualités d’efficacité et de pérennité requises. Mais aura-t-il la volonté de contribuer à la transformation de toute l’Union européenne en zone de supervision optimale ?<br>For the supervisor, an historical approach of banks allows to better assimilate its ways of functioning. She also serves to better understand why her actors, always endowed of the confidence to develop business, sometimes, show an over-optimism leading to their ruin. The mobilization of the law guides the action of the banking control. The 2007-2008 crisis has provoked awareness in Europe: the impossibility for every member state of the Union to exercise individually an effective supervision without a total harmonization. So was born the construction of the MSU. Located in Frankfurt, the “supervision unique” has been working since November 4th, 2014. But the road map assigned to the supervision a new and more diversifiable field. For sure, the MSU is skilled enough, but is there a will to change the European Union into a “zone de supervision optimale”?

碩士<br>國立成功大學<br>經濟學系碩博士班<br>101<br>This paper applies “extreme value theory” to examine if risk indices of 23 sectoral indices based on the firms which composes the S＆P 500 index in U.S. stock market change due to subprime mortgage crisis. We respectively test if tail risk and tail quantile index significantly change due to subprime mortage crisis. That is, we concern if downside risk and upward potential risk before subprime mortgage crisis on each sectoral index are consistent with those after subprime mortgage crisis. 　　This is called “Structural Change test.” On the other side, we analyze if left risk index (downside risk) is the same before subprime mortgage crisis with the right risk index after subprime mortgage crisis, respectively. This is called “Asymmetric test.” Besides, this paper implements the tests on the asymmetric and structural change on co-movements for pairs of sectoral indices. 　　The empirical results find that down side risk is significantly larger than upward risk for most industries after subprime mortgage crisis. Both downside risk and upward potential risk also significantly increase after the subprime mortgage crisis. Our results provide the evidences that Subprime Mortgage Crisis cause the structural and asymmetric change on indices for most industries. After Subprime Mortgage Crisis, the asymmetry of risk indices is more significant.

碩士<br>淡江大學<br>國際貿易學系國際企業學碩士在職專班<br>97<br>The present paper studies the American loan crisis to have the essential basic reason, summarizes this crisis thoroughly implication which brings to us, inquired into that the mainland real estate financial system''s internal market malfunction, summarizes the financial profession in the management and operation aspect obtained experience, all outlines have the very significant feasible significance to nowadays''s finance and the real estate steady management. The present paper goal begins from the real estate finance risk''s formation mechanism, obtains the real estate finance risk because of the theoretical analysis gradually to accumulate the process which erupts until the crisis, the revelation prevents the financial crisis in accordance to the measure lies in the guard. Continues the Chinese and foreign the comparison to carry on the analysis to the American loan crisis''s example is the foundation, the American real estate finance risk accumulates the process which and the reason gradually occurs until the crisis. The present paper research discusses from the loan crisis to the global economic with the caution which reveals to the mainland real estate financial system, has the anteroom real estate money market the present mainland real estate financial system and the American loan crisis to do compares, the guard financial crisis has its necessity, and this matter is approved. Continues to carry on the analysis judgment to the mainland overall real estate money market system, for present paper key point. Looking from the control real estate finance risk''s viewpoint, proposed that the guard financial crisis''s solution is, with analyzes the mainland real estate finance development the process and the present question and the development strategy. In what the mainland real estate finance organization system lacks unites organization of the management by supervision, but this organization should be has the overseas real estate financial system''s experience and understands the mainland real estate financial system characteristic organization. By provides the direct investment, the credit by the real estate financial organ to supplement that help and so on creditor''s rights circulation, introduce the specialized commercial character real estate finance organization, as well as encourages and permitted that the more financial organ participation real estate finance service, then forms the perfect real estate financial system gradually, All policies are do for discusses the mainland real estate finance after the American loan crisis the transformation subject.

In this thesis, we aim to find the effect of economic crisis announcements arising from the US subprime mortgage crisis and European sovereign debt crisis on the market volatility in theBRIC countries. We implement a GARCH model in order to compare the effect of individual news announcements and find that the US crisis had a bigger impact on BRIC market volatility than the European crisis. Of particular note, we find the US bailout had a higher impact than the failure of Lehman Brothers or any European crisis dates that were considered. We then examine the volatility transmission mechanism by implementing a VAR model to create a spillover index. Following, we apply a rolling window approach, creating spillover plots which show that both return and volatility spillovers are affected by crisis announcements. The importance of our results are related to investor decision making, particularly the relationship between market return and risk in developing country markets. Far to our knowledge, no recent literature has compared the two crises in the way we have nor with the datasets we have used.

碩士<br>國立臺北大學<br>經濟學系<br>106<br>This study investigates how the macro factors which include investor sentiment indices influence Taiwan's Stock Market before and after the subprime crisis. After deleting the data during the subprime crisis from January 2008 to December 2009, a total of 180 monthly data from January 2001 to December 2017 are employed. Based on Granger's causality tests, and the impulse response and the variance decomposition analyses after fitting many vector autoregressive (VAR) models, this study obtains the following results. Before the subprime crisis, return rates of the NASDAQ index lead return rates of the Taiwan weighed stock price index (TAIEX), a feedback relationship exists between TAIEX’s return rates and turnover rates of Taiwan’s stock market, and return rates of the TAIEX lead Taiwan’s consumer confidence index (CCI); and return rates of the TAIEX are mainly affected by return rates of the NASDAQ index and turnover rates of Taiwan’s stock market. After the subprime crisis, return rates of the TAIEX lead return rates of the Philadelphia semiconductor index (PSI), turnover rates of Taiwan’s stock market as well as Taiwan’s CCI, and a feedback relationship exists between return rates of the NASDAQ index and the TAIEX; and return rates of the TAIEX are mainly affected by Taiwan’s real exports and return rates of the NASDAQ index. The impact of turnover rates of Taiwan’s stock market on return rates of TAIEX is less significant after the subprime crisis.

碩士<br>銘傳大學<br>財務金融學系碩士班<br>97<br>This study establishes a STVAR-GJR-GARCH model to test the impact, volatility spillover and contagion effects of U.S. - and Europe- (Emerging-) bond market after subprime crisis. The empirical results show that the subprime crisis had a significant impact (non-significant impact) on the expected returns of U.S. and Emerging- (Europe-) bonds. Moreover, this study explores whether the volatility spillover effects of Europe- and Emerging market-bond occur by transmission of the volatility of U.S. bond market. This study explores the causal direction between U.S. - and Europe- bond (U.S.- and Emerging- bond) indexes in the pre- and post- periods of subprime crisis. Furthermore, this study analyzes whether the lead/lag relationship between U.S.- and Europe- bond (U.S. - and Emerging- bond) indexes changes after this crisis. After the subprime crisis, the causal relation between U.S.- and Europe- bond markets is confused due to the synchronous risk contagion. Moreover, the crisis would increase the reciprocal effect from Emerging-bond market to U.S.- (Europe-) bond market. Conclusively, the research proves that contagion effects existed in U.S.- and Europe- (Emerging-) bond markets.

碩士<br>大葉大學<br>管理學院碩士在職專班<br>100<br>This paper empirically tests the impact of subprime crisis on the dependence between stock market and foreign exchange market in Taiwan, China, Hong Kong, Singapore, Japan and South Korea. The results from the comparison among the three sub-periods are as follows: (1) the boundary co-integration test shows that, Taiwan in the post-crisis, China in the pre-crisis and mid-crisis, and Japan in the post-crisis, have the existing of the long-run equilibrium relationship for both markets, the rest are no co-integration relationship exists.(2) the granger causality test shows that, Taiwan in the pre-crisis and post-crisis, Japan in the mid-crisis and post-crisis, have the existing of the short-run causal relationship for both markets. Singapore and South Korea, no matter what period, have the existing of the short-run causal relationship for both markets. China and Hong Kong, no matter what period do not exist in the short-run causal relationship.

碩士<br>實踐大學<br>財務金融與保險研究所<br>97<br>Current literature offers various explanations on the causes of financial crisis. However, most of the related theories are constructed on the hypothesis of efficient market. The main purposes of my thesis are to offer explanations on the subject in the perspectives of herding behavior and instability of debt financing. My study shows interactions among investors and markets will ultimately cause financial crises regardless of the assumptions of rational or irrational individual. The framework of analysis is built on the theories proposed by Kindleberger and Minsky. By examining cases of Japanese asset price bubble and American subprime crisis, my research confirmed similar stages of irrational market dynamics. Results of my research demonstrate over-expanded credits and instability of debt financing are the major syndromes of irrational market dynamics. The internal instability can cause the vicious circles of boom and burst, and the processes will hinder financial market to reach the stable equilibrium as traditional theories predicted.

碩士<br>國立高雄應用科技大學<br>商務經營研究所<br>98<br>This research is to examine the effect of subprime mortgage crisis on the volatilities of the Taiwan stock market using EGARCH model. Sample data are the daily closing prices, from January 1st 2005 to December 30th 2009. The research period is divided into two parts. The first period is from January 1st 2005 to June 30th 2007. The second period is from July 1st 2007 to December 30th 2009. Using the Taiwan Stock Weighted Index, the Electronic Category Weighted Index, and the Financial Category Weighted Index. The empirical results are presented as follows: 1.During these two sample periods, the Taiwan Stock Weighted Index and the Electronic Category Weighted Index showed increased degree of volatility asymmetry. However, the Financial Category Weighted Index was not significant. 2. During the first and second periods, the degree of volatility asymmetry of the Taiwan Stock Weighted Index and the Financial Category Weighted Index was reduced, and the degree of volatility asymmetry of the Electronic Category Weighted Index was increased. By exploring the asymmetric volatility of the Taiwan stock market during the subprime mortgage crisis, the research findings can provide investors an indicator for future similar financial situations.

碩士<br>國立高雄第一科技大學<br>金融所<br>99<br>Abstract The financial crisis that broke out in the United States had caused the global economy panic during 2007. The world’s central banks cut the interest rates in hurry to against the overwhelming economy depression. Under the trend of liberalization of the economy, the linkage between the regional economic partnership and the stock market will become the mainstream in the global economy. Confronting the enormous market of Mainland China, Taiwan can strengthen the industrial division to increase the competitiveness under the peaceful relations across the Taiwan Straits. Besides, it’s worth to discuss the delicate relations across the Taiwan Straits in the global economy system. This thesis mainly focuses on the impulse response of the Taiwan&apos;&apos;s weighted stock index, China Shanghai, Shenzhen AB shares, and the Hong Kong Hang Seng stock index during the financial crisis. According to the results, the lead-lag relationship among the stock markets of China, Taiwan, and Hong Kong can be deduced. This work analyses the stability of the time series and the long-run equilibrium relationship by the unit root test. Then the short-term dynamic analysis of error correction model, the vector autoregressive model, the Granger causality test, and the impulse response analysis are applied to discuss the dynamic relations among the stock markets of China, Taiwan, and Hong Kong. The results draw the following four conclusions. First, the relations among China, Taiwan as well as Hong Kong are closed and achieve steady state though the political and economic conditions of them are distinct and the capital market of China is under strictly control. Second, the influence of Shanghai stock market is more powerful than that of Shenzhen stock market because of Shanghai stock market’s better openness on information transmission and its’ larger market value. Third, the stock market of Hong Kong is independent of the others. Fourth, the capital markets of Taiwan and Hong Kong have better acceptability toward external information. Furthermore, the returns of Taiwan’s stock tend to be influenced by Hong Kong so that Taiwan and Hong Kong are not segmented markets. Key words: Impulse response, Financial crisis, Lead-lag relationship, Subprime mortgage, Vector autoregression

碩士<br>樹德科技大學<br>金融與風險管理系碩士班<br>98<br>This study explores and empirically analyzes the effect of noise trading on various types of shares in Taiwan, using the subprime mortgage crisis as a dividing boundary. The impact of noise trading is analyzed with ‘variance ratio tests’ statistics, derived by Lo and Mackinlay (1989), and the variance rate between different holding periods are compared. 　This study confirms that indices for various industries in Taiwan were deeply influenced by noise trading, and shows that there is no significant effectiveness when forecasting the stock market by examining the degree of influence of noise trading.

碩士<br>銘傳大學<br>經濟學系碩士在職專班<br>98<br>The article discuss the portfolio Value at Risk of emergency market before and after subprime mortgage crisis. In empirical study, the data period contains June 1,2006 to May 31,2009. We apply COV-VAR and Extreme value model to calculate the VaR during this periods. Finally, we compare the performance according to the back testing. Empirical results show that :1. The VaR of COV-VAR increase after crisis 2. The VaR of extreme value model is higher than VAR-COV model no matter before or after subprime mortgage. 3.According to the results of back testing, the VAR-COV model is better than extreme value model before subprime mortgage, whereas extreme value model can outperform than VAR-COV method after crisis.

碩士<br>國立雲林科技大學<br>財務金融系碩士班<br>100<br>In the 21st century, the trade relationship between the countries and countries is getting closer. The development of information strengthens the relationship between them. Therefore, when a country occur major incidents, other countries will be heavily influenced. The United States is the world&apos;&apos;s major power, Taiwan economy and trade relationships are inseparable from the United States. Hence, the United States stock change will affect the Taiwan stock. In 2007 to 2008, the United States was the center for financial tsunami, the Taiwan stock market was also facing a serious impact. This paper explores the domestic stock market overreaction or information uncertainty corresponding to the financial turmoil. The research uses event study, we come to the following conclusions: First, The subprime mortgage crisis resulted in significant abnormal return and cumulative abnormal return on Taiwan stock market. Second, in the subprime mortgage crisis, Taiwan is not an efficient market, and conforms to the information uncertainty hypothesis. Third, if the event was correlated with the Taiwan market, we found there were significant influential even the event day; if the event was not correlated with the Taiwan market, there were less impact or no impact.

碩士<br>國立成功大學<br>經營管理碩士學位學程<br>96<br>Globalization leads to inseparable relationship between capital markets across countries in the world. This paper explores the impact of subprime crisis, which occurred in the United States in the second half of 2007, on both the macroeconomic variables and stock market of the United States, China, Britain and Germany by using regression model and dummy variables. In this paper, the author using macroeconomic data from Jan. 1999 to Dec.2007 to inspect whether the subprime crisis had a significant impact on stock index as well as economic variables of those four selected countries. The results of the empirical study are as follows: 1. For the United States, subprime crisis does not impact significantly yet on both S&P500 index and macroeconomic variables during the research period。 2. For Germany, subprime crisis causes a shift but not statistically significant in DAX stock index and does not impact significantly yet on the macroeconomic variables during the research period。 3. For China, subprime crisis has impact but is not statistically significant on SHI stock index, both CPI and IP variables and has no effect on FX and MS during the research period。 4. For Britain, subprime crisis has impact but is not statistically significant on FX and has no influence yet on FTSE100 stock index as well as macroeconomic variables during the research period。

碩士<br>淡江大學<br>財務金融學系碩士在職專班<br>98<br>This empirical study conducts nonlinear research method in smooth transition autoregressive model (STAR) to explore the correlation between the influential international stock index and TAIEX , adopting the countries stock indices from US , China and Hong Kong in this study, and taking the average volatility of these three countries stock indices as explanatory variables. The evidence finds that the transitional variable is one period lagged and the exponential smooth transition model is specified for our examination. The result shows there exists one threshold value of the average volatility of these three countries stock indices for the effect of major country’s stock return on Taiwan index return. When the index average volatility is far greater or less than the threshold value, the effect of the explanatory variables influenced on the TAIEX is closely two times the value as index average volatility is equal to the threshold value. Since there is a time difference between Taiwan and US, a one-period (one-day) lagged adjustment of US S&P500 stock index return is necessary. In comparison with previous evidence, the logistic smooth transition model is specified in this lagged adjustment examination and transitional variable is found to be eight period lagged. The result again finds one threshold value in our adjustment model. The final finding is that US, China and Hong Kong’s stock index returns have positive effect on TAIEX return. Furthermore, the influence is much greater as the three countries stock index average volatility is less than threshold value. We conclude that the examination is more precise with one period lagged adjustment, and the three major international stock index returns have positive effect on TAIEX return.

博士<br>淡江大學<br>財務金融學系博士班<br>99<br>In recent years, because of globalized and deregulated financial markets and frequent international trade and financial transactions all over the world, the relatedness among security markets has been steadily on the increase. Therefore, exogenous events, shock transmission, and crisis contagion are the issues that researchers and government officials have been interested in, especially when frequent economic and financial crises took place all over the world in the past twenty years. Every time when a financial crisis occurs, there are significant co-movement effects or common trend effects in crisis transmission or contagion among international stock markets. The co-movement or common trend not only inflicts heavy losses in the international stock markets, but it also weakens the effect of risk diversification for investors who utilize international security portfolios. Past literature about the transmission and contagion effect often employed the co-integration method to examine whether the co-integration relationship around the crises had changed and whether the contagion effect had existed. However, many empirical research pointed out that the assumption of “symmetric adjustments” in the traditional co-integration model ignored that the adjustment speeds were different when the stock market was in an upward status or in a downward status, which demonstrated the “asymmetric” or “nonlinear” features which are often unconsidered in the traditional co-integration method. In early March 2007, “the subprime mortgage crisis,” which occurred in the United States, seriously affected the financial, security, and credit markets in the U.S. and Western Europe, quickly spread to the financial markets in other countries and also hit the real output in the economy in these countries. Corporate bankruptcies accompanied by unemployment import and capital expenditure cuts led to the decline in every country in consumption, investment, import, and export. The scholars thought the chain reactions incurred by the subprime mortgage crisis had never been seen since the Great Depression. Furthermore, the China financial market has been growing fast in recent years, and the influence from China to Asian financial markets has also been steadily on the increase, which is what investors and researchers have been interested in. One of the issues they are concerned with is the influence of China and whether it can keep pace with the U.S., even surpass the U.S., especially after the subprime mortgage crisis. Because past literature about the contagion effect due to the financial crisis mostly emphasized the crisis from emerging markets, the scope of their influence was limited. The subprime mortgage crisis was from the U.S. and Western Europe, which makes it necessary for us to further explore its impact. This article employed the suitable time series model to investigate whether the relatedness between the U.S. stock market and Asian, European, and American stock markets around the subprime mortgage crisis had changed, and whether the relatedness between the U.S. and China’s stock markets and Asian stock markets had also changed. The empirical analysis in this article is classified into three main parts. The topic of the first part is "The Asymmetric Contagion Effect from the U.S. Stock Market to Asian, European and American Stock Markets around the Subprime Mortgage Crisis—An Application of the Threshold Co-integration Model." We employed the Enders and Siklos (2001) asymmetric threshold co-integration model to investigate whether the co-integration relationships between the U.S. stock market and Asian, European, and American stock markets around the subprime mortgage crisis had changed, which analyzed whether the asymmetric contagion effects between the U.S. stock market and these markets around the subprime mortgage had existed. The topic of the second part is "Who has more influence on Asian Stock Markets around the Subprime Mortgage Crisis－the United States or China?." In this part, we also employed the above-mentioned methods to investigate the changes in the asymmetric co-integration relationships between the U.S. and China’s stock markets and Asian stock markets, which analyzed the changes of influence between the U.S. and China’s stock markets and Asian stock markets. The topic of the third part is "The Asymmetric Contagion Effect from the U.S. Stock Market to Asian, European and American Stock Markets around the Subprime Mortgage Crisis－An Application of the Logistic Smooth Transition Co-integration Model." Furthermore, in this part, we employed the Granger and Teräsvirta (1993) and Teräsvirta (1994) logistic smooth transition regressive (LSTR) method, which was the expansion of the Enders-Siklos threshold co-integration model, to investigate whether the asymmetric contagion effects between the U.S. stock market and Asian, European, and American stock markets around the subprime mortgage had existed.

碩士<br>大葉大學<br>國際企業管理學系碩士班<br>98<br>Our study focuses on the United States and Japan, Taiwan, of the U.S. stock market for Japan, Taiwan stocks and REITs markets, and select the January 1, 2006 to 2010 on May 31 during the day in Taiwan and Japan's REITs (J-REITs, T-REITs) and with time, Taiwan and Japan and the market index as market research sample, to explore the U.S. stock market and Taiwan and Japan before and after the stock market and REITs in the event of interaction in order to understand this two financial products, but also help to improve the expectations of investors for investment in the stock market and the market performance of REITs. This study is the use of E-Views6.0 software to analyze the U.S. stock market and Taiwan and Japan the relationship between stock market and REITs. First, the sample data Chow test, data segmentation, analysis of data on the partition, and finally using the causality test and forecast error variance decomposition analysis show the results of regression model, and finally concludes with the U.S. stock market in Taiwan, Japan shares The relationship between the market and REITs. The empirical results show that after the incident, the U.S. stock market does affect Taiwan and Japan stock market and REITs market, and the event itself is on the U.S. stock market, and Taiwan, Japan and the relationship between cause changes in the country, although the extent of this impact is not the same But the incident also shows that the U.S. subprime mortgage market, and Taiwan and Japan stock market and REITs very significant market impact.

碩士<br>銘傳大學<br>風險管理與保險學系碩士在職專班<br>99<br>Early August 2007,The impact of American subprime mortgage crisis, triggering a global stock market is tanking, its effect spread to 2008, March 17, 2008 with 85-year history, the nation&apos;&apos;s fifth-largest investment bank Bear Stearns Group share $ 2 sold to JPMorgan Chase & Co., then in the September 15, 2008 Lehman Brothers declared bankruptcy. Taiwan&apos;&apos;s financial markets in the subprime financial crisis, has not survived, The global stock market crash, triggering hedge demand, making foreign investors have to sell Taiwan stock. Although this financial crisis resulted in Taiwan stocks fell, even the growth rate of -10.13% (first quarter of 2009). In this study, in the event study model to explore the market for foreign investment in Lehman Brothers as an index of whether the domestic stock market. This selected event date September 15, 2008, and estimated period of 130 trading days before the election in the event to the event has 10 trading days, a total of 120 days; event period for the event before and after 10 trading days, a total of 20 trading days. To September 15, 2008, the collapse of investment bank Lehman Brothers as the event date, estimated period of 12 March 2008 to 29 August 2008; event period September 1, 2008 to September 2008 30; a total of 20 trading days. The empirical results show that foreign investors buy the stock over the top twenty, and not necessarily produce positiveCumulative Abnormal Returns, foreign net selling in the top twenty stocks are not necessarily produce negative Cumulative Abnormal Returns, only in the window period [1 , 10] and after 15 September, the sale of foreign capital over return on the more obvious.

Yes<br>The largest influx of refugees since German unification has generated new challenges and opportunities in Germany’s society, culture, politics and economy. Theory advocates the advantages for international business of institutional change, migrations and integration. However, a negative public perception can conceal and inhibit resources and opportunities for German multinational enterprises. How did the attitude of Germany towards refugees change in 2015 and 2016? How did formal and informal German institutions react on the EU refugee crisis? How has this affected decision makers in German MNEs in terms of foreign market entry choices? How do German MNEs evaluate the long-term consequences of this crisis? This paper investigates in which ways the influx of refugees and migrants who arrived in Germany has affected the international business strategy of German MNEs. It is divided into two parts. Part One analyses the impact of this crisis on German culture, society, government, politics and economics and examines how it has been perceived and displayed. Part Two will further investigate how German MNEs are influenced by the migration context in Germany and Europe and how this affects their foreign market entry strategies in emerging economies.

JEL classification: G01, G21, G24, G28, G32, G33<br>The assessment of risk is an important and complex task with which market regulators and financial institutions are faced, especially after the last subprime crisis. It is argued that since market data is endogenous to market behaviour, statistical analysis made in times of stability does not provide much guidance in times of crisis. It is well known that the use of Gaussian models to assess financial risk leads to an underestimation of risk. The reason is because these models are unable to capture some important facts such as heavy tails which indicate the presence of large fluctuations in returns. This thesis provides an overview of the role of extreme value theory in risk management, as a method for modelling and measuring extreme risks. In this empirical study, the performance of different models in estimating value at risk and expected tail loss, using historical data, are compared. Daily returns of nine popular indices (PSI20, CAC40, DAX, Nikkei225, FTSE100, S&P500, Nasdaq, Dow Jones and Sensex) and seven stock market firms (Apple, Microsoft, Lehman Brothers, BES, BCP, General Electric and Goldman Sachs), during the period from 1999 to 2009, are modelled with empirical (or historical), Gaussian and generalized Pareto (peaks over threshold technique of extreme value theory). It is shown that the generalized Pareto distribution fits well to the extreme values using pre-crisis data. The results support the assumption of fat-tailed distributions of asset returns. As expected, the backtesting results show that extreme value theory, in both value at risk and expected tail loss estimation, outperform other models with normality assumption in all tests. Additionally, the results of the generalized Pareto distribution model are not significantly different from the empirical model. Further topics of interest, including software for extreme value theory to compute a tail risk measure, such as Matlab, are also presented.

O objetivo deste trabalho é analisar a evolução do sistema bancário português, assim como o seu papel na economia portuguesa ao longo dos últimos anos, destacando o impacto que a crise do subprime teve sobre as taxas de juro do crédito habitação e ao consumo, dos principais bancos portugueses. Procura-se analisar também, a forma como o setor bancário foi afetado, assim como as empresas e as famílias, como consequência do abrandamento económico. Será abordado também a evolução do endividamento bancário e as consequências desse para o setor bancário.<br>The objective of this work is to analyze the evolution of the Portuguese banking system, as well as its role in the Portuguese economy over the past few years. Highlighting the impact that the subprime crisis has had on the interest rates of mortgage credit and consumption, the main Portuguese banks. Search also analyze, how the banking sector was affected, as well as companies and families as a result of the economic slowdown. It will be also addressed the evolution of bank debt and the consequences of this for the banking industry.

Yes<br>The largest influx of refugees since German unification has generated new challenges and opportunities in Germany’s society, culture, politics and economy. Theory advocates the advantages for international business of institutional change, migrations and integration. However, a negative public perception can conceal and inhibit resources and opportunities for German multinational enterprises. How did the attitude of Germany towards refugees change in 2015 and 2016? How did formal and informal German institutions react on the EU refugee crisis? How has this affected decision makers in German MNEs in terms of foreign market entry choices? How do German MNEs evaluate the long-term consequences of this crisis? This paper investigates in which ways the influx of refugees and migrants who arrived in Germany has affected the international business strategy of German MNEs. It is divided into two parts. Part One analyses the impact of this crisis on German culture, society, government, politics and economics and examines how it has been perceived and displayed. Part Two will further investigate how German MNEs are influenced by the migration context in Germany and Europe and how this affects their foreign market entry strategies in emerging economies.

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.<br>Economics<br>M. Comm. (Economics)

1 Abstract In this thesis, we present an empirical analysis of integration between the Baltic and global stock markets during the period between 2000 and 2018. This research is spurred by the fact that all three Baltic countries displaying similar positive economic developments over the studied horizon. Using the theoretical and empirical findings from similar research papers, we ground our work for the analysis. Our methodology is based on three different models: DCC-GARCH, total and frequency connectedness, and the Engle-Granger cointegration test. Using these methods, we are able to determine both short- or long-term relationship dynamics. Based on the results from our empirical analysis we were not able to reject the null hypotheses, that the Baltic states have become more integrated between themselves and the global market. At best, our results would suggest a weak form of integration given that there were indeed some notable dynamic changes. Following these results, we provide insight on interdependencies between the Baltic states and their relationships with the global stock markets. Most notable dynamics are captured by the total connectedness measure, which indicates that the Baltic stock markets show a significantly increased connectedness with the global indices, during turbulent times in the...