RESEARCH CONFERENCE ON SAFETY AND EFFICIENCY OF THE FINANCIAL SYSTEM 27th AUGUST 2007 ASIA-LINK PROGRAMME Euro-Philippines Network in Banking & Finance.

Slides:

Advertisements

Similar presentations

Center for Emerging Market Enterprises

Advertisements

Questions addressed in the paper Why these questions Outward FDI from Asean Conclusions and implications.

ADB & its Strategy in Bangladesh: Md Shamsuddoha Equity and Justice Working Group EQUITYBD.

Sharing experiences between Asia and the Pacific and Western and Central Africa Achieving the Millennium Development Goal of Halving Poverty by 2015 Sharing.

Ministry of Finance Taiwan Financial Services Conference Investor Presentation March 2005.

“INTERNATIONAL LIQUIDITY, MONETARY SPILLOVERS AND ASSET PRICES” Daniel Borja & Daniel Goyeau.

Economic growth in developing Asian countries

Debt, dollars and the IFIs Eduardo Levy-Yeyati 1 Dollar, Debts and the IFIs: Dedollarizing Multilateral Credit Eduardo Levy-Yeyati Business School Universidad.

Euro-Philippine Network in Banking and Finance Markov-Switching Market Risk Carlos Bautista Daniel Goyeau Joel Yu 27 August 2007 International Conference.

Financial Crises East Asia 1997, Russia 1998, Brazil ?

EAST AND SOUTHEAST ASIAN NIEs:4 Late 1990s financial crisis.

Developing Asian Bond Market: From Investor’s Perspective Shanghai, November 4-6 Asset Securitisation in East Asia: Sharing Experience Ismail Dalla Views.

Stodder: Financial Transition, July 1 Finance in Transitional and Developing Economies: China and Others Topics: Growth and Inequality in a ‘Dualistic’

ASEAN Diversity, Business Cycle Synchronization, and Monetary Coordination: Insights from a VAR/VECM Model of Three ASEAN Member States Dr. Ruperto Majuca.

Foreign Exchange Risks International Investment. Exchange Risk Exposure Accounting exposure = (foreign-currency denominated assets) – (foreign-currency.

FIMA Research Center, University of Hawai'i 1 The Structure and Characteristics of East Asian Bond Markets S. Ghon Rhee University of Hawai ‘ i 2 nd Annual.

A Case Study: Citi-bank Asia- Pacific. Agenda Background Problems Strategies Implementation Conclusion.

Globalisation Effects on Singapore’s Trade

The Asian Crisis: A Perspective after Ten Years W. Max Corden Department of Economics University of Melbourne Yueqin Yang presents:

A N EW A PPROACH T O E DF V ALIDATION ISDA VALIDATION BACKGROUND What is meant by Validation? Checking the impact of Methodology Assumptions on.

Session 7. The Analysis of BRICS Business in Southeast Asia FDI from the BRICS This collection was collated by Yuriy Zaytsev as teaching material on the.

Up From Sin: A Portfolio Approach to Financial Salvation Randall Dodd, Financial Policy Forum Shari Spiegel, Initiative for Policy Dialogue (IPD), Columbia.

How volatile are East Asian stocks during high volatility periods? A workshop paper by Carlos C. Bautista College of Business Administration University.

Prepared by Nguyen Minh Duc DOES TRADE BENEFIT GROWTH? – EVIDENCE FROM THAILAND Duc Minh Nguyen Dept. of Economics, Auburn University, USA.

East Asian Crisis of Prior to mid-1997, the economies of Thailand, Indonesia, Malaysia, the Philippines, Hong Kong, Singapore and South Korea were.

Reinert/Windows on the World Economy, 2005 Intra-Industry Trade CHAPTER 4.

Globalized Banking, Shock Transmission, and Implications on Domestic and International Monetary Policy Stances of the Local Economy Masaru Tanaka Deputy.

Private Banking in Asia and the Philippines 5 October 2012 InterContinental Manila.

J. K. Dietrich – Asia-Link Program -- Research Conference on Safety and Efficiency of Financial System -- August 2007 Financial Integration, Portfolio.

Shared Services: A Strategic Initiative. March 14, 2009 Wayne Andrews Vice President, Finance JAPAC.

Comments on: “External Financing, Access to Debt Markets and Stock Returns” by F.Y. Eric C. Lam and K.C. John Wei Santiago Bazdresch University of Minnesota.

1 Are East Asian companies benefiting from Western board practices? John Nowland Discussed by Joseph P.H. Fan Centre of Economics & Finance Chinese University.

Foreign banks and financial stability in emerging markets - evidence from the global financial crisis © F r a n k f u r t – S c h o o l. d e 17th Dubrovnik.

Copyright © 2010 Pearson Prentice Hall. All rights reserved. Chapter 17 International Portfolio Theory and Diversification.

Stodder: Financial Transition, July 1 Finance in Transitional and Developing Economies: China and Others Topics: Growth and Inequality in a ‘Dualistic’

International Diversification Gains and Home Bias in Banking

1 Europe’s Monetary Union in practice José Manuel González-Páramo Member of the Executive Board and Governing Council of the European Central Bank 14th.

Credit Fluctuations in Latin America: Stylized Facts and Policy Issues XXV Meeting of the Latin American Network of Central Banks and Finance Ministries.

Real Asset Prepared by : Akram Hamdy El komey Supervision : Dr Emad AbuShaaban.

The use of accounting and stock market data to predict bank rating changes : the case of South East Asia Isabelle DISTINGUIN Jocelyn TRINIDAD Amine TARAZI.

Addressing the Downturn in LAC: Policy Analysis Guillermo Calvo Columbia University XXIX Meeting of the Latin American Network of Central Banks and Finance.

1 FIN 408 International Investment Factors affecting Risk and Return Size and Number of International Open-end Funds Global market Correlations Correlation.

Finance 663 – International Finance Passive / Active Strategy on the Euro Stoxx 50 Index.

1 Asia-Link HIGHER EDUCATION NETWORKING BETWEEN EUROPE AND ASIA 1.

International Financial Linkages K. Geert Rouwenhorst Yale School of Management ECB-CFS workshop on “Capital Markets and Financial Integration in Europe”

1 ENSURING AND SUSTAINING MACRO-ECONOMIC STABILITY 2010 Consultative Group / Annual Partnership Meeting Venue: La Palm Royal Beach Hotel, Accra Date: 23rd.

RESEARCH CONFERENCE ON SAFETY AND EFFICIENCY OF THE FINANCIAL SYSTEM 27 AUGUST 2007 ASIA-LINK PROGRAMME Euro-Philippines Network in Banking & Finance Enhancing.

Asian Century? Pacific Asia’s pre-1997 high growth.

Chung Hwa Middle School

Hosting server for Asian market. There are some countries in mind when choosing server for developing in Asian market It comes to Japan, Singapore, Hong.

FIDES CHILE 2015 Regulatory Trends: Towards a More Solvent Market The Activities of the APFF and Regulatory Issues in the Asia-Pacific Makoto Okubo ( 大久保.

Financial liberalisation, macroeconomic policy and growth in Asia: The good times and the bad times Jayati Ghosh Jawaharlal Nehru University, New Delhi.

DIVERSITY IN THE CONVERGENCE PROCESS OF ACCESSION COUNTRIES Urmas Varblane University of Tartu ASIAN CENTURY? – THE GROWING ROLE OF ASIA Urmas Varblane,

Financial Sector Integrity and Emerging Risks in Banking FDIC Conference 2005 João A.C. Santos Federal Reserve Bank of New York The views expressed here.

Checks and balances of integrated economic accounts for the euro area Richard Walton European Central Bank Berne, 6-8 June 2007.

In Vitro Fertilization Market in Asia Pacific (Clinics, Hospitals, Surgical Centers, Clinical Research Institutes, Banks) Number of Cycles, Revenue, Market.

The Africa Policies of the Southeast Asian Countries in the 21st Century DR. PÉTER KLEMENSITS PHD, SENIOR ANALYST PAGEO GEOPOLITICAL FOUNDATION, SOUTH-

Linyue Li School of International Trade and Economics (SITE)

Was the degree of financial integration in selected East Asian economies influenced by the 1997 Asian crisis? A view through the saving-investment relationship.

Southeast Asia and Global Financial Crises

International Trade, Foreign Capital Flow and Aid in Development

Asian Financial Crisis

An ESRC funded research project at the Manchester Business School

Are East Asian companies benefiting from Western board practices?

China and the WTO: Some Empirical Results

Sven Blank (University of Tübingen)

Underwriting Cycle of Chinese Commercial Property Insurance and the affected factors Kang Jing 2018/12/4.

Kostas Tsatsaronis Head of Financial Institutions

Financial Conglomerates: What we know and do not Gianni De Nicoló IMF Research Department 10/20/2019.

Presentation transcript:

RESEARCH CONFERENCE ON SAFETY AND EFFICIENCY OF THE FINANCIAL SYSTEM 27th AUGUST 2007 ASIA-LINK PROGRAMME Euro-Philippines Network in Banking & Finance Enhancing Teaching and Research Asialink/ASIE/B7-3010/2005/

WORLD BUSINESS CYCLE, LOCAL SPECIALIZATION AND ASSET PRICES Noëlle DUPORT Daniel GOYEAU Genelyn Ma. SARTE

Two approaches: -The “country approach”: hypothesis of non perfect integration of the national economies -The “sectoral approach”: hypothesis of non perfect synchronization of the different industries during the worldwide activity cycle. The common hypothesis of these two approaches: the financial cycle depends on the business cycle Aim of this paper: to study what can be the contribution of several south-east and central Asian countries in a logic of international portfolio diversification? Origins of the benefits from international portfolio diversification:

Methodology Used to Address the Objective of the Study  3 steps: -fit a univariate Markov-switching autoregressive (MSAR) model with two regimes to each series MSM(H) MSI(H)

Methodology Used to Address the Objective of the Study -compute the degree of concordance (Harding and Pagan, 2002)between cycles of two series modified degree of concordance

Methodology Used in to Address the Objective of the Study -perform the robust test for strong non- synchronization (Harding and Pagan, 2006) tests for the hypothesis between two regime variables with correction for serial correlation and heteroscedasticity analysis includes cases where h=0, h 0

The concordance between business and financial cycles of each country Reference: Financial Cycle Country h=0highest t-stat (in absolute value) Concordancet-statConcordancet-statlag (h) US Indonesia Korea Malaysia Philippines Singapore Thailand

The concordance between business and financial cycles of each country USEmerging countries Business cycle Financial cycle Business cycle Financial cycle Leading by 3 months No link (except for Singapore) The financial markets of the emerging countries are not driven by their own real conditions. Are they driven by the worldwide cycle (financial and/or business)?

Are they driven by the worldwide financial cycle? The concordance between financial cycles of the US and emerging countries Reference: US Financial Cycle Country h=0highest t-stat (in absolute value) Concordancet-statConcordancet-statlag (h) Indonesia Korea Malaysia Philippines Singapore Thailand & 6

The concordance between financial cycles of the US and emerging countries 3 cases: Indonesia, Philippines and Singapore: These financial markets are leading the worldwide financial cycle Korea and Malaysia: These financial markets have no significant concordance with the worldwide financial cycle Thailand: This financial market is lagging the worldwide financial cycle, and is counter- cyclical Are they driven by the worldwide financial cycle? YES NOYES

Are they driven by the worldwide business cycle? The concordance between financial cycle of emerging countries and the business cycle of the US Reference: US Business Cycle Country h=0highest t-stat (in absolute value) Concordancet-statConcordancet-statlag (h) Indonesia Korea Malaysia Philippines Singapore Thailand

The concordance between financial cycle of emerging countries and the business cycle of the US 3 cases: Indonesia, Philippines: These financial markets are leading the worldwide business cycle Korea, Malaysia and Singapore: These financial markets have no significant concordance with the worldwide business cycle Thailand: This financial market is lagging the worldwide business cycle, and is counter- cyclical Are they driven by the worldwide business cycle? YESNOYES

Conclusion in terms of international portfolio diversification: Indonesia Philippines Singapore -The financial markets do not depend on the local real conditions (or very slightly for Singapore) - but on the other hand depend on the worldwide financial market. - However this dependence does not remove all their interest in diversification term insofar as they present a significant lead compared to the US financial market. In this case, the investor can apply a geographical strategy of rotation

Conclusion in terms of international portfolio diversification: Korea Malaysia - The financial markets do not depend on the local real conditions - and they do not depend on the worldwide financial market. - the investor can use these financial markets to apply a strategy of diversification in purely speculative matter

Conclusion in terms of international portfolio diversification: Thailand -The financial market does not depend on the local real conditions - but on the other hand depends on the worldwide financial market, in a counter-cyclical way. -In this case, the investor can use this market in a simple logic of diversification.

Maraming Salamat!