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.

Shifting borders of European Union internal security:technology, externalisation and accountability

This edited volume analyzes recent key developments in EU border management. In light of the refugee crises in the Mediterranean and the responses on the part of EU member states, this volume presents an in-depth reflection on European border practices and their political, social and economic consequences. Approaching borders as concepts in flux, the authors identify three main trends: the rise of security technologies such as the EUROSUR system, the continued externalization of EU security governance such as border mission training in third states, and the unfolding dynamics of accountability. The contributions show that internal security cooperation in Europe is far from consolidated, since both political oversight mechanisms and the definition of borders remain in flux. This edited volume makes a timely and interdisciplinary contribution to the ongoing academic and political debate on the future of open borders and legitimate security governance in Europe. It offers a valuable resource for scholars in the fields of international security and migration studies, as well as for practitioners dealing with border management mechanisms.

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.

A Tale of Three Countries: Recovery after Banking Crises

Highlights: • Iceland, Ireland and Latvia experienced similar developments before the crisis, such as sharp increases in banks’ balance sheets and the expansion of the construction sector. However the impact of the crisis was different: Latvia was hit harder than any other country in the world. Ireland also suffered heavily, while Iceland came out from the crisis with the smallest fall in employment, despite the greatest shock to the financial system. • There were marked differences in policy mix: currency collapse in Iceland but not in Latvia, letting banks fail in Iceland but not in Ireland, and the introduction of strict capital controls only in Iceland. The speed of fiscal consolidation was fastest in Latvia and slowest in Ireland. • Economic recovery has started in all three countries and there are several encouraging signals. The programme targets in terms of fiscal adjustment, structural reforms and financial reform are on track in all three countries. • Iceland seems to have the right policy mix. • Internal devaluation in Ireland and Latvia through wage cuts did not work, because privatesector wages hardly changed. The productivity increase was significant in Ireland and moderate in Latvia, yet was the result of a greater fall in employment than the fall in output, with harmful social consequences. • The experience with the collapse of the gigantic Icelandic banking system suggests that letting banks fail when they had a faulty business model is the right choice. • There is a strong case for a European banking federation.

A gazdasági válság hatása a vállalati stratégiákra – Magyar és szlovák tapasztalatok (Influence of the economic crisis on corporate strategy – Experiences in Hungary and Slovakia)

A tanulmány a jelenlegi gazdasági válság jellemzőit a vállalatok szintjén elemzi, továbbá vizsgálja annak következményeit a válság utáni lehetséges növekedésre. A tanulmány támaszkodik a nemzetközi szakirodalomban tárgyalt tapasztalatokra a válságokból való kilábalás példái alapján, amelyek a korábbi – 1980 és 2002 közötti – válságok során jelentkeztek. Magyarországi és szlovákiai empirikus vizsgálati tapasztalatok ismertetésére kerül sor arra vonatkozóan, hogy miként reagáltak a vállalatok a jelenlegi gazdasági recesszióra. A tanulmány elemzi a magyar és a szlovák vállalatok által a válság alatt követett stratégiák hatását a kereslet megélénkülése esetén adódó növekedési lehetőségek kihasználása szempontjából. A tanulmány illusztrációként bemutatja egy innovatív szlovákiai internetszolgáltató vállalat példáját. _______ The paper analyses the characteristics of the economic crisis at the level of companies, and the consequences for possibilities of growth after the crisis. The authors build on the experiences discussed in international literature concerning recovery after the previous crises between 1980 and 2002. The paper summarizes the empirical research findings on enterprise level reactions to the present economic recession. The focus of analysis is connected to the question of inluence of strategies on capabilities for realizing the growth options after the crisis. The paper – as an illustrative example – describes the strategic behaviour of an innovativ internet service company in Slovakia.

Global crises: Is the Keynesian recipe relevant if applied under a global governance?

Keynesian policy was quite successful in the post-war decades in Western Europe, but by the late 1960s lost its efficiency due to changes in conditions rather than its mistaken logic. The lesson from the first global crisis erupting in early 1970s and also from the subsequent several crises since then is that the increasing crisis propensity of the world economy is rooted in its inherent disequilibria stemming from deep inequalities, asymmetrical interdependencies and disintegrated socio-economic structures. In view of the failure of the prevailing methods of crisis management, particularly those undifferentiated, antisocial austerity measures corresponding to a neo-liberal monetarist concept which neglects this lesson, many economists prefer the Keynesian recipe. However, since global crises need global solution, and the spread of conspicuous consumption modify the demand constraint, its application must be adjusted to reality, and requires some global governance which may pave the way for a global oeco-social market economy.

Szisztematikus optimizmus a válság idején = Overoptimism during the financial crises

Számos publikáció bizonyította, hogy az elemzők a tőzsdei vállalatokra készült egy részvényre jutó nyereség- (EPS-earnings per share) előrejelzéseikben szisztematikusabban kedvezőbb tervértéket adnak meg, mint a tényérték. A cikkben az EPS-előrejelzéseket vizsgálta meg a szerző a válság első másfél évében, melyek ezen időszakban is optimistának bizonyultak a vizsgált adatbázison. Az elmúlt húsz évben számos magyarázat látott napvilágot a pénzügyi előrejelzésekben tapasztalható „túltervezésre”. A viselkedéstani magyarázatok jelentős része az elemzők túlzott önbizalmát, jövőbe vetett túlzott optimizmusát jelölték meg okként. Jelen cikk – az empirikus kutatáson túl – nagy hangsúlyt fektet a két fogalom részletes bemutatására, mivel a válság éveit is optimista EPS-előrejelzések jellemezték. _____ There are numerous evidences from the 1980s that analysts give systematically more favorable forecasts for the earnings per share of listed companies than the fact, i.e. they are generally optimistic. In the current article the author investigated the EPS forecasting error in the first two and a half years of the crisis (2008-2010), which was also proved to be an era of the optimistic forecasting error. During the last 20 years reasons of so called “overplanning” have been explained in several ways. Many of these cognitive thinking patterns explanations relied on the phenomenon of overconfidence, and overoptimism without giving detailed description of these concepts. Beside the empirical part of the research current article puts more emphasis on the analysis of these theoretical concepts.

Essays on financial crises

This dissertation analyzes recent financial crises in developed and developing countries. The research emphasizes the effects of institutional factors on the international banking and currency crises and their output losses. ^ Chapter two examines the roles of regulation, supervision, and countries' institutional environment in determining the probability of banking crises for a panel of fifteen developed countries from 1975 to 1998. The results from a multivariate logit model indicated that countries with greater government involvement, less capital standard requirements, and lower lending limits on a single borrower are associated with a higher probability of banking crises. ^ Chapter three studies whether output loss in banking crisis differs in market-based or bank-based financial systems. Using existing banking crisis data for sixty-nine countries during 1970–1999, we investigate whether the underlying financial system affects the output loss. The results show that output losses are more serious in market-based economies than those in bank-based economies. Longer crisis duration tends to increase the output losses in banking crises. Finally, countries with deposit insurance and strict law enforcement have less output losses. ^ Chapter four uses macroeconomic and institutional measures to explain the extent of exchange rate depreciation and the decline in stock prices for emerging countries affected by the Mexican currency crisis of 1994–95. The results show that countries with more government budget deficits, and worse reserve adequacies tend to experience large exchange rate depreciation. The institutional measures do not explain much the extent of both the exchange rate depreciation and the decline in stock prices. ^

Two Decades Out of the Whirlpool: Past (and Possible Future) United States Interventions in Latin America [Student's Paper Series]

This paper examines the history of U.S. interventions in Latin America and attempts to explain their frequency by highlighting two factors – besides security and economic interests – that have made American interventions in Latin America so common. First, immense differences in size and influence between the United States and the States of Latin America have made interventions appear to be a low risk solution to crises that threaten American interests in the region. Second, when U.S government concerns and aspirations for Latin America converge with the general fears and aspirations of American foreign policy, interventions become much more likely. Such a convergence pushes Latin American issues high up the U.S. foreign policy agenda because of the region’s proximity to the United States and the perception that costs of intervening are low. The leads proponents of intervention to begin asking questions like “if we cannot stop communism/revolutions/drug-trafficking in Latin America, where can we stop it?” This article traces how these factors influenced the decision to intervene in Latin America during the era of Dollar Diplomacy and during the Cold War. It concludes with three possible scenarios that could lead to a reemergence of an American interventionist policy in Latin America. It makes the argument that even though the United Sates has not intervened in Latin America during the twenty-two years, it is far from clear that American interventions in Latin America will be consigned to the past.

The Military-Industrial Complex and US Military Spending After 9/11

This article examines the economic, political and institutional power of the military-industrial complex (MIC) by examining its influence on military spending before and after the events of 9/11. The reasons for the continuity of MIC influence in US foreign policy is explored. This includes the role of military contractors in financing policy planning organizations, the relationship between military contractors and the Defense Department, and the centralization of executive branch authority in foreign policy decision-making, especially during critical junctures or foreign policy crises.

Crises do cotidiano em Machado de Assis e Luigi Pirandello: um estudo comparado

This thesis proposes to identify possible similarities and differences between the novels Memórias Póstumas de Brás Cubas (1981), by the Brazilian writer Machado de Assis, and Uno, Nessuno and Centomila (1926), by the Italian writer Luigi Pirandello. The two authors have prominent respective places in Brazilian and Italian literature, and both observed and experienced remarkable changes in their societies Brazil's imperial period, and Italy’s post-risorgimentale period. We will verify how each author composes a piece o literary art in which it is possible to achieve the authors’social and moral conscience. We will also attempt to achieve thefeelings of restlessness, anxiety, fear, doubt, interest, vanity, ambition: in summary, the desire of the characters to exist, which represents man at the end of the nineteenth century and commencement of thetwentieth century. The characters’ features point to fragmented identity, in search of a place in the world, even if he needs to renounce his essence and to adopt a corresponding appearance to all images that society assigns to him in order to achieve such a place. The protagonists, Brás Cubas and Vitangelo Moscarda, will lead us along the paths of consciousness of each, which demarcate the border between essence and appearance. Critics such as Roberto Schwarz, Alfredo Bosi, Leone Castris, among others, will give us the theoretical support necessary for a comparative study between the two authors, whom, like few others, knew how to express, through their characters, the difficult relationship of man with himself and with the universe at large.

Origin of scale-free intermittency in structural first-order phase transitions

16 pages, 22 figures

The Relationship Between Support Systems and Disease Burden for Families Coping with Sickle Cell Disease in South Africa and Cameroon

Background: Sickle cell disease (SCD) is a debilitating genetic blood disorder that seriously impacts the quality of life of affected individuals and their families. With 85% of cases occurring in sub-Saharan Africa, it is essential to identify the barriers and facilitators of optimal outcomes for people with SCD in this setting. This study focuses on understanding the relationship between support systems and disease outcomes for SCD patients and their families in Cameroon and South Africa.

Methods: This mixed-methods study utilizes surveys and semi-structured interviews to assess the experiences of 29 SCD patients and 28 caregivers of people with SCD across three cities in two African countries: Cape Town, South Africa; Yaoundé, Cameroon; and Limbe, Cameroon.

Results: Patients in Cameroon had less treatment options, a higher frequency of pain crises, and a higher incidence of malaria than patients in South Africa. Social support networks in Cameroon consisted of both family and friends and provided emotional, financial, and physical assistance during pain crises and hospital admissions. In South Africa, patients relied on a strong medical support system and social support primarily from close family members; they were also diagnosed later in life than those in Cameroon.

Conclusions: The strength of medical support systems influences the reliance of SCD patients and their caregivers on social support systems. In Cameroon the health care system does not adequately address all factors of SCD treatment and social networks of family and friends are used to complement the care received. In South Africa, strong medical and social support systems positively affect SCD disease burden for patients and their caregivers. SCD awareness campaigns are necessary to reduce the incidence of SCD and create stronger social support networks through increased community understanding and decreased stigma.

Capacity Investment in Renewable and Conventional Energy Sources

This dissertation studies capacity investments in energy sources, with a focus on renewable technologies, such as solar and wind energy. We develop analytical models to provide insights for policymakers and use real data from the state of Texas to corroborate our findings.

We first take a strategic perspective and focus on electricity pricing policies. Specifically, we investigate the capacity investments of a utility firm in renewable and conventional energy sources under flat and peak pricing policies. We consider generation patterns and intermittency of solar and wind energy in relation to the electricity demand throughout a day. We find that flat pricing leads to a higher investment level for solar energy and it can still lead to more investments in wind energy if considerable amount of wind energy is generated throughout the day.

In the second essay, we complement the first one by focusing on the problem of matching supply with demand in every operating period (e.g., every five minutes) from the perspective of a utility firm. We study the interaction between renewable and conventional sources with different levels of operational flexibility, i.e., the possibility

of quickly ramping energy output up or down. We show that operational flexibility determines these interactions: renewable and inflexible sources (e.g., nuclear energy) are substitutes, whereas renewable and flexible sources (e.g., natural gas) are complements.

In the final essay, rather than the capacity investments of the utility firms, we focus on the capacity investments of households in rooftop solar panels. We investigate whether or not these investments may cause a utility death spiral effect, which is a vicious circle of increased solar adoption and higher electricity prices. We observe that the current rate-of-return regulation may lead to a death spiral for utility firms. We show that one way to reverse the spiral effect is to allow the utility firms to maximize their profits by determining electricity prices.

The Didache and Traditioned Innovation: Shaping Christian Community in the First Century and the Twenty-First Century

Church leaders, both lay and clergy, shape Christian community. Among their central tasks are: building communal identity, nurturing Christian practices, and developing faithful structures. When it comes to understanding the approach of the earliest Christian communities to these tasks, the Didache might well be the most important text most twenty-first century church leaders have never read. The Didache innovated on tradition, shaping the second generation of Christians to meet the crises and challenges of a changing world.

Most likely composed in the second half of the first century, the Didache served as a training manual for gentile converts to Christianity, preparing them for life in Christian community. This brief document, roughly one third the length of Mark’s gospel, developed within early Jewish-Christian communities. It soon found wide usage throughout the Mediterranean region, and its influence endured throughout the patristic and into the medieval period.

The Didache outlines emerging Christian practices that were rooted in both Jewish tradition and early Jesus material, yet were reaching forward in innovative ways. The Didache adopts historical teachings and practices and then adapts them for an evolving context. In this respect, the writers of the Didache, as well as the community shaped by its message, exemplify the pattern of thinking described by Greg Jones as “traditioned innovation.”

The Didache invites reflection on the shape and content of Christian community and Christian leadership in the twenty-first century. As churches and church leaders engage a rapidly changing world, the Didache is an unlikely and yet important conversation partner from two millennia ago. A quick read through its pages – a task accomplished in less than half an hour – brings the reader face to face with a brand of Christianity both very familiar and strikingly dissimilar to modern Christianity. Such dissonance challenges current assumptions about the church and creates a space in which to re-imagine our situation in light of this ancient Christian tradition. The Didache provides a window through which we might re-examine current conceptualizations of Christian life, liturgy, and leadership.

This thesis begins with an exploration of the form and function of the Didache and an examination of a number of important background issues for the informed study of the Didache. The central chapters of this thesis exegete and explore select passages in each of the three primary sections of the Didache – the Two Ways (Didache 1-6), the liturgical section (Didache 7-10), and the church order (Didache 11-15). In each instance, the composers of the Didache reach back into a cherished and life-giving aspect of the community’s heritage and shape it anew into a fresh and faithful approach to living the Christian life in a drastically different context.

The thesis concludes with three suggestions of how the Didache may provide a resource for the way the Church in the present thinks about training disciples, shaping community, and developing leadership structures. These conversation starters offer beginning points for a richer, fuller discussion of traditioned innovation in our current church context. The Didache provides a source of wisdom from our spiritual forebears that modern Christian leaders would do well not to ignore. With a look through the first century window of the Didache, twenty-first century Christians can discover fresh insights for shaping Christian community in the present.