Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration

We investigate the integration of the European peripheral financial markets with Germany, France, and the UK using a combination of tests for structural breaks and return correlations derived from several multivariate stochastic volatility models. Our findings suggest that financial integration intensified in anticipation of the Euro, further strengthened by the EMU inception, and amplified in response to the 2007/2008 financial crisis. Hence, no evidence is found of decoupling of the equity markets in more troubled European countries from the core. Interestingly, the UK, despite staying outside the EMU, is not worse integrated with the GIPSI than Germany or France. © 2013 Elsevier B.V.

Germany at a crossroads:the gathering crisis sharpens

In our book, The Gathering Crisis: The 2005 Federal Election and the Grand Coalition (Miskimmon et al, 2009), we argued that the German political and economic systems faced a number of serious challenges. The resource crunch in public finances has been particularly problematic in a country used to consensus politics- money had previously been used to oil the wheels of German federalism (and European integration). In the light of recent events- the global financial crisis, the Eurozone crisis, the 2009 federal election- we claim that the crisis in the German political economy has sharpened. The task of Angela Merkel and subsequent chancellors will be to navigate the new era, ensuring that Germany remains a leading political and economic power in the European Union and beyond. © 2010 Macmillan Publishers Ltd.

Modelling stock volatilities during financial crises:a time varying coefficient approach

We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two decades in the volatility dynamics, including the underlying volatility persistence and volatility spillover structure. Using daily data from several key stock market indices, the results of our bivariate GARCH models show the existence of time varying correlations as well as time varying shock and volatility spillovers between the returns of FTSE and DAX, and those of NIKKEI and Hang Seng, which became more prominent during the recent financial crisis. Our theoretical considerations on the time varying model which provides the platform upon which we integrate our multifaceted empirical approaches are also of independent interest. In particular, we provide the general solution for time varying asymmetric GARCH specifications, which is a long standing research topic. This enables us to characterize these models by deriving, first, their multistep ahead predictors, second, the first two time varying unconditional moments, and third, their covariance structure.

Delegation in hard times:the financial management of arm's length bodies in the UK

This paper explores the effectiveness of financial management tools in regulating the use of resources by arm’s length bodies (ALBs) in a period of fiscal stress. The paper presents research undertaken into the implementation of a new financial management tool for ALBs in the UK since the 2008 financial crisis. Drawing on conflict ambiguity theory, the paper shows how the effectiveness of such tools is affected by deep-rooted tensions implicit within arm’s length governance. This gives rise to micro-level conflict over the means of achieving fiscal regulation, underpinned by macro-level ambiguity over the logic of governance pursued by the government.

Válság és hitelderivatívák. A szintetikus fedezett adósságkötelezettségek (CDO-k) árazása és kockázataik (Crisis and loan derivatives. The pricing and risks of synthetic collateralized debt obligations)

A dolgozat első részében röviden áttekintjük a 2007-ben kezdődött pénzügyi válság lefolyását és a válsághoz vezető okokat. A bemutatás során igyekszünk végig a mögöttes folyamatokra és azok mozgatórugóira koncentrálni, ezzel megragadva a válság egyfajta "elméletét". A bemutatásból láthatóvá válik a hitelderivatívák kiemelt szerepe a válság során. A dolgozat második részében az egyik legnépszerűbb hitelderivatív termék, a szintetikus fedezett adósságkötelezettségek (CDO-k) matematikai modellezését és annak problémáit mutatjuk be. Sokak szerint ezek a matematikai modellek okozták - vagy legalábbis felerősítették - a válságot. Az elemzés során megmutatjuk, hogy nemcsak a modellezési eszközök nem voltak megfelelők, hanem az árazás elve sem állta meg a helyét a kockázatsemleges árazási keretben. Ez az eredmény élesen rámutat a mögöttes elméletek válságára. / === / The first part of the paper examines briefly the financial crisis of 2007 and its causes, focusing on its driving processes and key motifs. This shows clearly the importance and centrality of credit derivatives in the crisis. The second part presents a mathematical modelling of one of the most popular credit derivative products: synthetic collateralized debt obligations, along with the drawbacks and problems of the modelling process. It is widely claimed that these products caused or at least precipitated the crises. The authors show not only that the modelling tools were inappropriate, but that the principle for pricing did not match adequately the risk-neutral valuation framework.

Törlesztés válság idején a diákhitel törlesztésében bekövetkezett változások vizsgálata (Changes in Hungarian student loan repayments due to the crisis)

A 2008–2009-es pénzügyi válság hatására a magyarországi felsőoktatási hallgatók tanulmányait hitelekkel segítő Diákhitel Központ visszafizetési könnyítés lehetőségét ajánlotta fel a már törlesztési szakaszban lévő ügyfelei számára. Tanulmányunkban azt vizsgáljuk, hogy kik és hányan éltek a törlesztési mérséklés lehetőségével, és az emiatt elmaradó bevételek mennyire befolyásolhatják a Diákhitel Központ rövid és hosszú távú működését. Az derült ki, hogy az előírt törlesztéseikkel elmaradók nagyobb arányban kérték a mérséklést, mint a teljes törlesztői populáció. A törlesztési viselkedések változásának elemzése a válság hatásának érezhető visszahúzódását mutatja a 2010-es évben. Figyelmet érdemel az a tény, hogy a felsőfokú végzettséget szerző adósok törlesztési fegyelme nem elég erős. / === / After the world wide financial crisis in 2008/2009, the Student Loan Center in Hungary offered the following opportunity to its customers who were in the repayment period: they can pay a reduced amount of the installments for at most two years. In the present paper we study the group of customers who chose the opportunity of reduced installments. The effect of the delayed repayments on the short-term and long-term operations of the Center is also investigated. It turned out that the customers who already got into arrears asked for the reduction in a larger proportion than the whole population. The study of the customers in the repayment period shows that the impact of the financial crisis has decreased significantly. The disciplined repayment of the customers after graduation is not strong enough.

Előszó egy pénzügyi matematika tankönyvhöz = Preface to a textbook on financial mathematics

A szerző a pénzügyi válság kapcsán a pénzügyi matematikát ért kritikai észrevételekre próbál válaszolni. Megítélése szerint a pénzügyi matematika negatív hatása a magyarországi pénzügyi problémák esetében nem mutatható ki, ugyanis Magyarországon a pénzügyi döntések mindenfajta kvantitatív megalapozás nélkül, nagyrészt politikai alapon történtek, így a felelősséget is a politikát körülvevő gazdaságpolitikusoknak kell viselniük. A matematikai modellek legfőbb felhasználási területe nem a konkrét pénzügyi döntések megalapozásában, hanem sokkal inkább az oktatásban található. _____ The author discusses some critical observations about financial mathematics in connection with the financial crisis. In his view no negative effect of financial mathematics on Hungary's financial problems can be observed, since the financial decisions in Hungary were made without any kind of serious quantitative basis. The decisions were made mainly on political ground, so that the blame must go to economic politicians involved in that policy. The main area of application of mathematical models is not its application in specific financial decisions, but far more in the field of education.

Mudanças na relação entre estado e mercado na produção de habitação de interesse social em Parnamirim-RN

The formulation of public policies, particularly those relating to social housing – SH -, follow a dialectical process of construction, which are involved in the figures of the State and tha Market.The combination of the State and Market remains in constant tension and struggle for power, which provides beyond products (policies, programs and projects), periods of crises and disruptions that can give rise to new institutional arrangements. It is possible to verify a change in the relationship between the State and the Market in the formulation of public policies of SH financing, justified by the context of the Brazilian economy growth, especially after 2003, year that began the first Lula Federal Government , and through the international financial crisis (in 2008). Thus, the State and the Real Estate Market has been undergoing a process of redefinition of their interrelations, articulating new arrangements, new scales of action and new logics of financial valorization of urban space. This peculiarity demanded the rapid thinning of speech and the proposals in the reformulation of housing policies, with the primary result within the pre-existing Growth Acceleration Program – PAC -, the release of My House , My Life – PMCMV -, established by Law 1.977 of the year 2009. Given the above, this research has as study object the relationship between financing public policies of SH, promoted by the State, and behavior of Formal Housing Market. It is believed that the established roles for each agent in the new housing finance model introduced with the PMCMV, have been adapted according to the needs of each location to make this a workable policy. It remains to identify the nature of these adaptations, in other words, what has changed in the performance of each agent involved in this process. Knowing that private capital remains where there is more chance of profit, we tend to believe that most of the adjustments were made on scale of State action. The recommendation of easing urban legislation taken by PMCMV points to how the State has been making these changes in activity to implement the production of social housing by this program. We conclude that in the change for PMCMV, the direct relationship for construction and housing projects financing began to be made between the Caixa Econômica Federal bank and the builders. The city was liberated from the direct interlocutor role between all actors involved in the production of SH and could concentrate on negotiating with the parties, focused on the effectiveness of SH public policies proposed by PMCMV. This ability and willingness for dialogue and negotiation of municipal government (represented by their managers), undoubtedly, represents a key factor for rapprochement between State and Real Estate Market in the City of Parnamirim.

Crisis and Welfare Society in Spain

Some arguments are briefly presented about the negative consequences of the deep global economic and financial crisis of 2008 on the economic activity and the social situation in Spain. Reformulation, sustainability and financial viability of social welfare in Spain require a new management through resource efficiency, increasing market presence and initiative of stakeholders as a whole. In this sense, the main credible argument of the welfare social in Spain depends on a new perspective on socialization and generosity of social protection system. Specifically, the solution to the crisis must come through economic growth, increased productivity, employment and competitiveness and not by the way of increasing levels of social protection.

Finance past, finance future: a brief exploration of the evolution of financial practices

As we work our way through the latest financial crisis, politicians seem both powerless to act convincingly and unable to craft from the welter of diverse and antagonistic narratives a coherent and convincing vision of the future. In this article, we argue that a temporal lens brings clarity to such confusion, and that thinking in terms of time and reflecting on privileged temporal structures helps to highlight underlying assumptions and distinguish different narratives from one another. We begin by articulating our understanding of temporality, and we proceed to apply this to the evolution of financial practice during different historical epochs as recently delineated by Gordon (2012). We argue that the principles of finance were effectively in place by the eighteenth century and that consequent developments are best conceptualized as phases in which one particular aspect is intensified. We find that in different historical periods, the temporal intensification associated with specific models of finance shifts, over history, from the past to the present to the future. We argue that a quite idiosyncratic understanding of the future has been intensified in the present phase, what we refer to as proximal future, and we explain how this has come to be. We then consider the ethical consequences of privileging an intensification of proximal future before mapping an alternative model centred on intensifying distal future, highlighting early signs of its potential emergence in the shadows of our present.

Temporary contracts and non-protected employment in Argentina, Chile and Perú: incidence and determinants

The diverse kinds of legal temporary contracts and the employment forms that do not comply with legal requirements both facilitate employment adjustment to firms´ requirements and entail labour cost reductions. Their employment incidence depends not only on the economic and labour market evolutions but also on other factors, in particular the historical trajectories followed by labour legislation, state enforcement, and the degree of compliance. To contribute to the understanding of the determinants of the degree of utilization of different employment practices, the study reported in this article explores the use made of the various legal temporary contracts and of precarious employment relationships by private enterprises in three Latin American countries (Argentina, Chile and Peru) during 2003-2012, a period of economic growth, and the explanatory role of diverse factors.

Economic crisis and national health system

The text analyzes the impact of the economic crisis in some critical aspects of the National Health System: outcomes, health expenditure, remuneration policy and privatization through Private Public Partnership models. Some health outcomes related to social inequalities are worrying. Reducing public health spending has increased the fragility of the health system, reduced wage income of workers in the sector and increased heterogeneity between regions. Finally, the evidence indicates that privatization does not mean more efficiency and better governance. Deep reforms are needed to strengthen the National Health System.

Commodification of health care systems: The Catalan case

Commodification of the public healthcare system has been a growing process in recent decades, especially in universal healthcare systems and in high-income countries like Spain.  There are substantial differences in the healthcare systems of each autonomous region of Spain, among which Catalonia is characterized by having a mixed healthcare system with complex partnerships and interactions between the public and private healthcare sectors.  Using a narrative review approach, this article addresses various aspects of the Catalan healthcare system, characterizing the privatization and commodification of health processes in Catalonia from a historical perspective with particular attention to recent legislative changes and austerity measures.  The article approximates, the eventual effects that commodification and austerity measures will have on the health of the population and on the structure, accessibility, effectiveness, equity and quality of healthcare services.

El impacto de la crisis en la industria cinematográfica en Europa

Este trabajo analiza el impacto que ha generado la crisis económica y financiera más reciente en las industrias cinematográficas de siete países miembros de la Unión Europea. Las conclusiones señalan que, en efecto, la crisis ha impactado negativamente en las industrias de España e Italia, y muy gravemente en la de Portugal, pero en el lado contrario, la del Reino Unido ha experimentado un crecimiento apreciable y las de Francia y Alemania también lo han hecho, aunque en menor medida. Y en segundo lugar, es muy notable la escasa colaboración alcanzada entre los agentes europeos.

Post-Crisis Belarus: Marxism and the Lender of Last Resort

Existing literature has examined the predictions and proscriptions of Karl Marx in response to the 2008 global financial crisis. However, the suggestions put forth by the Marxist-leaning literature never took hold and state-level banking and finance policies have remained largely unchanged. While many criticisms of Marxism exist, this paper examines Belarus, a ‘neo-communist’ or ‘market-socialist’ state, to provide a new perspective on the continuation of capitalism in the United States and Europe. In the case of Belarus, the International Monetary Fund and the Eurasian Economic Community's Anti-Crisis Fund provided both the critical liquidity needed to temporarily quell the effects of the financial crisis. Their demands meant that Belarus agreed to speed its move away from the Soviet-era finance and banking policies and more towards its western capitalist neighbors. Its failure to implement these policies further hurt its recovery. Examining Belarus' path to and out of its financial crisis makes apparent that the role of the international lender of last resort (LOLR). The LOLR acts as a key element in protecting states embroiled in the financial crisis from facing the possibility of making the difficult policy changes put forth by the Marxist literature. By ignoring its promises under the loan conditions from its LOLRs, Belarus moved further from the recovery promised by the Marxist suggestions.