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Friday, April 24, 2020 | History

4 edition of Liquidity, institutional quality and the composition of international equity outflows found in the catalog.

Liquidity, institutional quality and the composition of international equity outflows

Itay Goldstein

Liquidity, institutional quality and the composition of international equity outflows

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  • 15 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English


Edition Notes

StatementItay Goldstein, Assaf Razin, Hui Tong.
SeriesNBER working paper series -- working paper 13723, Working paper series (National Bureau of Economic Research : Online) -- working paper no. 13723.
ContributionsRazin, Assaf., Tong, Hui., National Bureau of Economic Research.
Classifications
LC ClassificationsHB1
The Physical Object
FormatElectronic resource
ID Numbers
Open LibraryOL17087048M
LC Control Number2008610513

  Part 6 of the 85th Annual Report, June Risks in the financial system have evolved against the backdrop of persistently low interest rates in advanced economies. Despite substantial efforts to strengthen their capital and liquidity positions, advanced economy banks still face market scepticism. As a result, they have lost some of their traditional. the sectoral composition of inflows to the New Member States and found that capital flows into real estate had a greater impact on swings in GDP than other sectors, irrespective of a country’s exchange rate or fiscal policy. Few papers focused explicitly on capital flows to the Western Balkans. A recent bookAuthor: Zsoka Koczan.


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Liquidity, institutional quality and the composition of international equity outflows by Itay Goldstein Download PDF EPUB FB2

Itay Goldstein & Assaf Institutional quality and the composition of international equity outflows book & Hui Tong, "Liquidity, Institutional Quality and the Composition of International Equity Outflows," NBER Working PapersNational Bureau of Economic Research, Inc.

Handle: RePEc:nbr:nberwo Note: IFM. Get this from a library. Liquidity, institutional quality and the composition of international equity outflows. [Itay Goldstein; Assaf Razin; Hui Tong; National Bureau of Economic Research.] -- We examine the choice between Foreign Direct Investment and Foreign Portfolio Investment at the level of the source country.

Liquidity Based on a theoretical model, we predict that (1) source countries with. Liquidity, Institutional Quality and the Composition of International Equity Flows Article (PDF Available) January with Reads How we measure 'reads'.

Composition of International Equity Flows Liquidity, Institutional Quality and the Composition of International Equity Outflows. Article. Thus, the exposure to liquidity shocks determines the volume of foreign direct investment flows relative to portfolio investment flows.

In particular, the information-liquidity trade-off helps explain the composition of equity flows between developed and emerging countries, as well as. w Liquidity, Institutional Quality and the Composition of International Equity Outflows Athans The Discrete Time Linear-Quadratic-Gaussian Stochastic Control Problem.

Liquidity, Institutional Quality and the Composition of International Equity Outflows with Itay Goldstein, Hui Tong: w November The Political-Economy Positive Role of the Social Security System in Sustaining Immigration (But Not Vice Versa) with Edith Sand: w July The paper provides empirical evidence that strategic complementarities among investors generate fragility in financial markets.

Analyzing mutual fund data, we find that, consistent with a theoretical model, funds with illiquid assets (where complementarities are Liquidity exhibit stronger sensitivity of outflows to bad past performance than funds with liquid by: Cap on total inflows: In order to prevent institutions from relying solely on anticipated inflows to meet their liquidity requirement, and also to ensure a minimum level of HQLA holdings, the amount of inflows that can offset outflows is capped at 75% of total expected cash outflows as calculated in the standard.

This requires that an. given the uncertain timing of outflows and inflows, banks are also expected to be aware of any potential mismatches within the 30day period and ensure that sufficient HQLA - are Liquidity to meet any cash flow gaps throughout the period.

The LCR builds on traditional liquidity “coverage ratio” methodologies used internally. A number of observations can be noted.

First, institutional quality and the composition of international equity outflows book quality across the MSCI developed markets is almost twice that of the emerging markets.

Second, English common law nations are associated with higher institutional quality compared to the majority of civil code countries, reflecting the work of La Porta et al.,La Porta et al Cited by: 2.

TriState Capital Holdings, Inc. (Nasdaq: TSC) reported first quarter financial results, including record levels of liquidity, strong credit quality Liquidity, double-digit loan growth, and all.

The agencies believe that using the largest daily calculation as the denominator of the liquidity coverage ratio (rather than using total cash outflows over a 30 calendar-day stress period, which is the method employed by the Basel III LCR) is necessary because it takes into account potential maturity mismatches between a covered company's.

‘Net Liquidity outflows’ should be calculated by deducting the credit institution's liquidity inflows from its liquidity outflows. The liquidity coverage ratio should be expressed as a percentage and set at a minimum level of %, when fully institutional quality and the composition of international equity outflows book, which indicates that a credit institution holds sufficient liquid assets to meet its.

In terms of the debt-equity composition of capital flows, Faria et al () find that larger, more open economies with a better institutional quality score have a greater equity share in external liabilities.

Moreover, these authors find that equity financing is stronger among thoseFile Size: 1MB. While Art CRR set complex rules regarding liquidity outflows, capped liquidity inflows are specified in Art CRR (see BCBS, p.

34). Similarly and complementary to the concept of liquidity outflows, in- flows depend on the type of inflow (retail loan, bank facility) and the kind of counterparty (retail, SME, bank, public entity).Cited by: 3. This paper examines the bank liquidity risk while using a maturity mismatch indicator of loans and deposits (LTDm) during a specific period.

Core banking activities that are based on the process of maturity transformation are the most exposed to liquidity risk. The financial crisis in – highlighted the importance of liquidity to the functioning of both the financial markets and the Cited by: 3.

Banking book exposures, of which: Covered bonds Exposures treated as sovereigns Exposures to regional governments, MDB, international organisations and PSE not treated as sovereigns Secured by mortgages of immovable properties Retail exposures Corporate Other exposures (eg equity, securitisations, and other non-credit obligation assets) Group.

Equity segment should grow the surplus/supplement funds for liability claims. Impacted by competitive pricing policy, profitability, growth of surplus, after-tax returns, and total return. Risk tolerance: Risk must be tempered by the liquidity requirements.

can be indicated by the sponsor's balance sheet. Profitability can be indicated by the sponsor's current or pro forma financials.

Lower debt ratios and higher current and expected profitability indicate better capability of meeting pension liabilities, and therefore, imply greater ability to take risk. The final rule establishes a quantitative minimum liquidity coverage ratio that requires a company subject to the rule to maintain an amount of high-quality liquid assets (the numerator of the ratio) that is no less than percent of its total net cash outflows over a prospective 30 calendar-day period (the denominator of the ratio).

The Bank for International Settlements (BIS) has resolved that a lack of liquidity was an important substance for the crisis. Therefore, in responding to the speed at which much of the world’s financial sector ran out of surplus, and especially overnight cash, in OctoberBasel III set much higher standards for liquidity (World News Author: Shazleena Mohamed Zainudin, Siti Zaleha Abdul Rasid, Rosmini Omar, Rohail Hassan.

Asset and liability management (often abbreviated ALM) is the practice of managing financial risks that arise due to mismatches between the assets and liabilities as part of an investment strategy in financial accounting.

ALM sits between risk management and strategic is focused on a long-term perspective rather than mitigating immediate risks and is a process of maximising assets.

1 Summary. Introduction. This document specifies requirements that apply to JIBs relating to internal monitoring and prudential reporting of. the LCR/LMR - the liquidity ratios for which a minimum is established in Section 5 of the Banking Code - including HQLA; and the NSFR.

The relevant sheets in the Prudential Return are. The European Banking Authority (EBA) launched today for consultation a proposal to review its Implementing Technical Standards (ITS) on additional monitoring metrics for liquidity, which mainly consists of reintroducing a maturity ladder in line with the reporting requirements laid down in the Commission's Delegated Act on the Liquidity Coverage Ratio (LCR).

Prime Money Market Funds: Offer the potential for comparatively higher yields with the same attributes of all money funds governed by SEC Rule 2a credit quality, portfolio diversity and daily liquidity. Prime Money Market Funds invest only in high-quality, instruments that may pose minimal credit risk and—like all 2a-7 regulated funds.

Bloomberg the Company & Its Products The Company & its Products Bloomberg Terminal Demo Request Bloomberg Anywhere Remote Login Bloomberg Anywhere Login Bloomberg Customer Support Customer Support.

Market risk is the risk of losses in positions arising from movements in market prices. There is no unique classification as each classification may refer to different aspects of market risk.

Nevertheless, the most commonly used types of market risk are: Equity risk, the risk that stock or stock indices (e.g. Euro St etc.) prices or. The share of equity and debt outflows by PRC residents and state-owned enterprises have surged along with bank lending abroad.

17 The resulting accumulation of net foreign assets fell since mid (Fig. Byreserve accumulation declined to Cited by: 2. The sum of balances in the clearing accounts and reserve accounts maintained by commercial banks with the central bank. In Hong Kong, this refers to the sum of the balances in the clearing accounts maintained by the banks with the HKMA for settling interbank payments and payments between banks and the HKMA.

The Aggregate Balance is a part of the Monetary Base. The Liquidity Coverage Ratio at Ma for both PNC and PNC Bank, N.A. exceeded the regulatory minimum requirement.

Ma ratios incorporate Tailoring Rule changes that reduced net cash outflows by 15 percent in the ratio calculations effective January 1, The European Banking Authority (EBA) launched today for consultation a proposal to review its Implementing Technical Standards (ITS) on additional monitoring metrics for liquidity, which mainly consists of reintroducing a maturity ladder in line with the reporting requirements laid down in the Commission’s Delegated Act on the Liquidity Coverage Ratio (LCR).

Asia's financial systems proved resilient to the shocks from the global financial crisis, and growth since then has been strong. But new challenges have emerged in the region's economies, including demographics and aging, the need to diversify from bank-dominated systems, urbanization and infrastructure, and the rebalancing of economic activity.

This book takes stock of the challenges facing. The International Core Equity Portfolio intends to purchase securities of companies associated with developed market countries that the Advisor has designated as approved markets.

As a non-fundamental policy, under normal circumstances, the International Core Equity Portfolio will invest at least 80% of its net assets in equity securities. International financial crises in the late s revealed that deficiencies in countries' international reserves and related information made it difficult to anticipate and respond to crises by obscuring financial weaknesses and imbalances.

This volume sets forth an innovative framework to assess countries' international reserves and foreign currency liquidity. We manage the firm to a rigorous Modeled Liquidity Outflow framework in addition to the LCR; the combination of these requirements is one of the primary factors which drives our Global Core Liquid Assets size We continuously enhance and refine this framework to properly capture the firm’s liquidity positioning % Requirement $File Size: 1MB.

The Basel proposal is centred on two new standards to establish minimum levels of liquidity for internationally active banks. The standards aim to promote the resilience of banks’ liquidity risk profiles.

The first standard aims to raise the buffer of high-quality liquid assets so that the banks can withstand stress scenarios. An institutional and policy environment (including capital account restrictions) that facilitates and encourages the relatively stable and safer capital flows, e.g., FDI and equity flows over short-term debt.

Also in thethe CFA Research Foundation published the book Investment Management for Private, Taxable Wealth that included a chapter devoted to automating the customization of asset allocation, security portfolio composition and trading to the needs of specific individual households.

We also maintain a strong liquidity position with one of the highest liquidity coverage ratios among international peers at an average LCR of % for the first quarter.

Swiss loan quality has. The pdf behavior of these relative credit quality and liquidity measures (credit and liquidity differentials) for Germany pdf Italy can be seen in Figure 1, along with a sample of country-specific economic news events that are likely to have contributed to changes in our measures Notice that Germany has higher than average credit Cited by: As a result, the Basel Committee has adopted two liquidity standards: the LCR and the NSFR.

These liquidity download pdf apply on a consolidated basis. Revisions to the LCR, incorporating amendments to the definition of high-quality liquid assets and net cash outflows, were adopted in January Details of the NSFR were published in i LCR.Abstract: We use ebook new and ebook panel dataset of household income to shed light on the permanent versus transitory nature of rising inequality in individual male labor earnings and in total household income, both before and after taxes, in the United States over the period Due to the quality and the significant size of our dataset, we are able to conduct our analysis using rich and.