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Regulatory Reform : Integrating Paradigms

de la Torre, Augusto; Ize, Alain
Fonte: Banco Mundial Publicador: Banco Mundial
Português
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The Subprime crisis largely resulted from failures to internalize systemic risk evenly across financial intermediaries and recognize the implications of Knightian uncertainty and mood swings. A successful reform of prudential regulation will need to integrate more harmoniously the three paradigms of moral hazard, externalities, and uncertainty. This is a tall order because each paradigm leads to different and often inconsistent regulatory implications. Moreover, efforts to address the central problem under one paradigm can make the problems under the others worse. To avoid regulatory arbitrage and ensure that externalities are uniformly internalized, all prudentially regulated intermediaries should be subjected to the same capital adequacy requirements, and unregulated intermediaries should be financed only by regulated intermediaries. Reflecting the importance of uncertainty, the new regulatory architecture will also need to rely less on markets and more on "holistic" supervision, and incorporate countercyclical norms that can be adjusted in light of changing circumstances.

Infrastructure and Growth in Developing Countries : Recent Advances and Research Challenges

Straub, Stéphane
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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This paper presents a survey of recent research on the economics of infrastructure in developing countries. Energy, transport, telecommunications, water and sanitation are considered. The survey covers two main set of issues: the linkages between infrastructure and economic growth (at the economy-wide, regional and sectoral level) and the composition, sequencing and efficiency of alternative infrastructure investments, including the arbitrage between new investments and maintenance expenditures; OPEX and CAPEX, and public versus private investment. Following the introduction, section 2 discusses the theoretical foundations (growth theory and new economic geography). Section 3 assesses the analysis of 140 specifications from 64 recent empirical papers-examining type of data used, level of aggregation, econometric techniques and nature of the sample-and discusses both the macro-econometric and micro-econometric contributions of these papers. Finally section 4 discusses directions for future research and suggests priorities in data development.

Taxation of Financial Intermediation : Theory and Practice for Emerging Economines

Honohan, Patrick
Fonte: Washington, DC: World Bank and Oxford University Press Publicador: Washington, DC: World Bank and Oxford University Press
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This volume examines the possibilities and pitfalls to successful financial sector tax reform from theoretical, empirical and practical perspectives. It explores the possibilities and limitations of "big ideas" such as removal of all capital income taxation, the application of VAT to financial services or heavy reliance on financial transactions taxes. The risks of attempting to use financial sector taxes as corrective instruments are stressed. Two defensive criteria are advanced as key: making the financial tax system as arbitrage- and inflation-proof as is practicable. Each commissioned essay develops a distinct aspect of the area. Theoretical chapters model the impact of taxes on intermediaries, the design of optimal tax schemes, the role of imperfect information and the relationship with saving. Current practice in the industrial world and case studies of distorted national systems provide an empirical underpinning. Finally, experience with several of the main practical issues is discussed in chapters ranging from the income tax treatment of intermediary loan-loss reserves...

India - Report on the Observance of Standards and Codes (ROSC) : Corporate Governance Country Assessment

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Português
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The report identifies several areas for reform: 1) sanctions and enforcement should be credible deterrents to help align business practices with the legal and regulatory framework, in particular with respect to related party transactions and insider trading; 2) the current institutional framework places the oversight of listed companies partly with the Department of Company Affairs (DCA), partly with the Securities and Exchange Bard of India (SEBI), and partly with the stock exchanges. This fragmented structure gives rise to regulatory arbitrage and weakens enforcement; 3) Board practices need to be strengthened; 4) institutional investors acting in a fiduciary capacity should be encouraged to formulate a comprehensive corporate governance policy, including voting and Board representation. Together with the detailed policy recommendations, these measures will help implement reforms, and provide opportunities for issuers to signal good practices to investors and the market.

The Mechanics of Job Creation : Seizing the New Dividends of Globalization

Monga, Célestin
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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This paper assesses some of the main strands of the theoretical literature on unemployment and employment and shows that their interesting conclusions may not be transferable to low-income countries whose endowment and production structures are profoundly different from that of high-income economies. It then tackles the knowledge deficit on employment creation by shedding light on the new economic opportunities that latecomers may derive from the dynamics of globalization -- especially the economic success of large emerging economies such as China and Brazil. It offers a simple analytical framework for identifying opportunities for labor arbitrage in the global economy and suggests a practical policy framework for exploiting them.

Avoiding the Pitfalls in Taxing Financial Intermediation

Honohan, Patrick
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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Enthusiasts for financial sector tax reform typically come either with some form of "flat tax" (including value added tax on financial services, zero taxation on capital income, or a universal transactions tax) or advocating corrective taxes designed to offset market failures or achieve other targeted objectives. As a result the tax systems in most countries often end up with a complex mixture. Honohan argues that practical policy for taxation of the financial sector needs to take into account two key features of the sector: its capacity for arbitrage and its sensitivity to inflation and thus to nonindexed taxes. Where these aspects have been neglected, poorly constructed tax systems-whether the consequence of a drive for revenue or of misdirected sophistication-often have sizable unexpected side effects. A defensive stance making the minimization of such distortions as its cornerstone is the best policy.

Myanmar : Rice Price Reduction and Poverty Reduction

World Bank Group
Fonte: Washington, DC Publicador: Washington, DC
Português
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Myanmar is a low-income agrarian country with a high poverty rate. The livelihood of many poor people depends on the performance of agriculture, especially the rice sector. Rice accounts for 70 percent of Myanmar s total cultivated area and 30 percent of the value of its agricultural production. Increasing returns to rice production will be the key to increasing farm wages and incomes in the short to medium run. Higher rice production will also help maintain low food prices, improve food security, and reduce poverty, as an average household spends 61 percent of total household income on food, and rice is a major component of the food basket. Price fluctuations are a common feature of well-functioning agricultural markets. Price fluctuation should be expected in such markets, since output varies from period to period due to factors such as weather, pests and disease, and because demand and supply are inelastic in the short run. Moreover, some amount of seasonal and spatial price movements should be tolerated, since these usefully signal scarcity in the market and facilitate a supply response...

Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions

Cohen, S.; Elliott, R.
Fonte: Inst Mathematical Statistics Publicador: Inst Mathematical Statistics
Tipo: Artigo de Revista Científica
Publicado em //2010 Português
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Most previous contributions to BSDEs, and the related theories of nonlinear expectation and dynamic risk measures, have been in the framework of continuous time diffusions or jump diffusions. Using solutions of BSDEs on spaces related to finite state, continuous time Markov chains, we develop a theory of nonlinear expectations in the spirit of [Dynamically consistent nonlinear evaluations and expectations (2005) Shandong Univ.]. We prove basic properties of these expectations and show their applications to dynamic risk measures on such spaces. In particular, we prove comparison theorems for scalar and vector valued solutions to BSDEs, and discuss arbitrage and risk measures in the scalar case.; Samuel N. Cohen and Robert J. Elliott

Essays on the arbitrage pricing theory and wavelet analysis

KIERMEIER, Michaela
Fonte: Instituto Universitário Europeu Publicador: Instituto Universitário Europeu
Tipo: Tese de Doutorado Formato: Paper
Português
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Defence date: 13 July 1998; Examining board: Prof. Anindya Banerjee, Oxford University ; Prof. Søren Johansen, EUI ; Prof. Grayham Mizon, EUI, Supervisor ; Prof. Klaus Sandmann, University of Mainz

What do we know about banks securitisation? the spanish experience

Cardone Riportella, Clara; Samaniego Medina, Reyes; Trujillo Ponce, Antonio
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /06/2009 Português
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The present work analyses the reasons why Spanish financial entities have carried out securitisation programs in the period 2000-2007 on such a scale that Spain has become the European country with the largest issue volumes, second only to the U.K. The results obtained after the application of a logistic regression model to a sample of 408 observations indicate that liquidity and the search for improved performance are the decisive factors in securitisation. The hypotheses of transfer of credit risk and arbitrage in regulatory capital are not confirmed; therefore the normative development of Basel II cannot be expected to affect the volumes issued in future years. The study is complemented with a more detailed analysis, differentiating between programs of asset and liability securitisation

On the efectiveness of several market integration measures: an empirical analysis

Pardo, Ángel; Balbás, Alejandro; Meneu, Vicente
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /05/1999 Português
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Many market integration measures are operationalized to compute their numerical values during a period characterized by the lack of stability ad market turmoil. The results of the tests give their degree of effectiveness, and reveal that the measures based on the principles of asset valuation, versus statistical measures, more clearly yield the level of integration of financial markets. Besides, cross market arbitrage-linked measures and equilibrium models-linked measures provide complementary information and reflect different properties, and consequently, both types of measures may be useful in practice.

Competing bimetallic ratios: Amsterdam, London and bullion arbitrage in the 18th century

Nogues-Marco, Pilar
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /04/2011 Português
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This article analyses the stability of bimetallism in the mid-18th century for the case of two large centres that had different legal ratios and only one international market ratio. A new theoretical framework is articulated for the situation of international independence to set legal bimetallic ratios by monetary authorities in different countries. Then, using new data handcollected from archival sources and relevant to the two main bullion markets in the 18th century, Amsterdam and London, this theoretical framework is utilised to identify the regimes that actually prevailed during that period, in which Amsterdam was effectively on the bimetallic standard while London was on the gold standard de facto.

What drives bank securitisation? The Spanish experience

Cardone Riportella, Clara; Samaniego Medina, Reyes; Trujillo Ponce, Antonio
Fonte: Elsevier Publicador: Elsevier
Tipo: info:eu-repo/semantics/draft; info:eu-repo/semantics/article Formato: application/pdf
Publicado em /11/2010 Português
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This paper analyses the reasons why Spanish banks securitised in the period 2000–2007 on such a large scale that Spain has become the European country with the second-largest issuance volume after the UK. The results obtained by applying a logistic regression model to a sample of 408 observations indicate that liquidity and the search for improved performance are the decisive factors in securitisation. We find no evidence to support hypotheses regarding credit risk transfer and regulatory capital arbitrage. Our study also presents a more detailed analysis that differentiates between asset and liability securitisation programmes.

Good deals in markets with friction

Balbás, Alejandro; Balbás, Beatriz; Balbás, Raquel
Fonte: Taylor & Francis Publicador: Taylor & Francis
Tipo: info:eu-repo/semantics/acceptedVersion; info:eu-repo/semantics/article
Publicado em /06/2013 Português
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This paper studies an optimization problem involving pay-offs of (perhaps dynamic) investment strategies. The pay-off is the decision variable, the expected pay-off is maximized and its risk is minimized. The pricing rule may incorporate transaction costs and the risk measure is continuous, coherent and expectation bounded.We will prove the necessity of dealing with pricing rules such that there exists an essentially bounded stochastic discount factor that must also be bounded from below by a strictly positive value. Otherwise, good deals will be available to traders, i.e. depending on the selected risk measure, investors can choose pay-offs whose (risk, return) will be as close as desired to (−1,1) or (−1,1). This pathological property still holds for vector risk measures (i.e. if we minimize a vector-valued function whose components are risk measures). It is worth pointing out that, essentially, bounded stochastic discount factors are not usual in the financial literature. In particular, the most famous frictionless, complete and arbitrage-free pricing models imply the existence of good deals for every continuous, coherent and expectation bounded (scalar or vector) measure of risk, and the incorporation of transaction costs will not guarantee the solution of this caveat; This research was partially supported by RD_Sistemas SA...

Aplicação da Arbitrage Pricing Theory aos títulos do PSI-20

Tomé, Francisco José Sanches
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Artigo de Revista Científica
Publicado em //2000 Português
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Este trabalho procurou averiguar a existência de factores económicos que afectam, de forma sistemática, a cotação das acções, socorrendo-nos para tal do modelo desenvolvido por Stephen Ross, em 1976: a Arbitrage Pricing Theory. Para este modelo de avaliação de activos o rendimento de equilíbrio esperado dos activos é aproximadamente uma função linear dos prémios de risco de diversos factores económicos. No período compreendido entre Janeiro de 1994 e Novembro de 1997, as análises realizadas puseram em evidência a existência de factores económicos que afectam as cotações das acções portuguesas e que os diferentes títulos reagem de forma diferenciada à divulgação da informação relativa aos factores de risco.

Spatial arbitrage value of transmission upgrade investments. An economic and environmental assessment

SPISTO AMANDA; SCHMIDT Johannes
Fonte: International Association of Energy Economists (IAEE) Publicador: International Association of Energy Economists (IAEE)
Tipo: Articles in periodicals and books Formato: Online
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This study contributes to the current discussion on the economic viability of new investments in transmission line upgrade and the associated environmental impact in terms of changes in CO2 emissions and renewable power integration. The line upgrade investment increases the power capacity between two interconnected zones, thus alleviating intra-zonal congestion. Its operation maximizes spatial arbitrage value by shifting power from the cost-efficient zone (with low marginal generation costs) to the neighbouring zone (with higher marginal costs), up to the interconnection capacity. The investment analysis focuses on the case of Sicily. In the first part of the study we assess the profitability of the line upgrade project. We assume 2013 as the reference year for the NPV analysis, so that profits and costs flow are the same as in 2013 during the entire investment period. In the second part of the study we assess the environmental impact of the project's operation in terms of CO2 emissions and changes in the share of renewable generation in the system. The environmental impact is determined by considering the carbon content/share of renewable of the power transferred from the lower price zone to the neighbouring zone. Both private and system values of investments in line upgrade result to be positive for the considered project. Power flows from one zone to the other as long as marginal costs of the first zone are lower than the marginal costs of the second zone. Power trade allows for economies of scale and improvement in environmental quality...

Containing Systemic Risk : Are Regulatory Reform Proposals on the Right Track?

de la Torre, Augusto; Ize, Alain
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Brief; Publications & Research
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This note questions two emerging views on ways to tackle systemic risk. As evidenced by the explosive growth of investment banks, which were regulated more lightly because they were assumed to be systemically less important, regulatory unevenness can trigger acutely destabilizing regulatory arbitrage. Hence, unless systemic footprints can be accurately measured and updated, something we think is unlikely, regulating differentially those institutions that are deemed to be the most systemically relevant looks like a perilous return to the past. Similarly, internalizing systemic liquidity risk by taxing maturity mismatches looks like a remnant of idiosyncratic thinking. Matching short liabilities with short assets can protect an individual intermediary's liquidity but at the expense of exacerbating systemic vulnerability.

Economic Integration in the Lower Congo Region : Opening the Kinshasa-Brazzaville Bottleneck

Brulhart, Marius; Hoppe, Mombert
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
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This working paper assesses cross-border economic integration in the Lower Congo region. It focuses on the Kinshasa-Brazzaville conurbation, which is projected to become Africa's largest urban area by 2025, and is already serving as the gateway to large hinterlands. Despite their size and proximity, formal economic exchanges between the two cities are extremely limited. The volume of recorded passenger travel between Kinshasa and Brazzaville corresponds to about one-fifth of the volume of traffic between East and West Berlin during the time of the Berlin Wall, and formal trade volumes are derisorily small. As a consequence, the authors find evidence of statistically significant differences in retail prices, indicating unexploited scope for cross-river arbitrage. Through a survey of firms, they find that local traders perceive substantial scope for increasing cross-border economic activity if cross-river trade costs were reduced. Trade in locally produced goods and by small firms would especially benefit from such reductions. Existing high trade costs mainly result from a lack of competition in cross-river transport services...

Bundling under the Threat of Parallel Trade

CRAMPES, Claude; HOLLANDER, Abraham; MACDISSI, Charbel
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Artigo de Revista Científica Formato: 293336 bytes; application/pdf
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This paper examines the use of bundling by a firm that sells in two national markets and faces entry by parallel traders. The firm can bundle its main product, - a tradable good- with a non-traded service. It chooses between the strategies of pure bundling, mixed bundling and no bundling. The paper shows that in the low-price country the threat of grey trade elicits a move from mixed bundling, or no bundling, towards pure bundling. It encourages a move from pure bundling towards mixes bundling or no bundling in the high-price country. The set of parameter values for which the profit maximizing strategy is not to supply the low price country is smaller than in the absence of bundling. The welfare effects of deterrence of grey trade are not those found in conventional models of price arbitrage. Some consumers in the low-price country may gain from the threat of entry by parallel traders although they pay a higher price. This is due to the fact that the firm responds to the threat of arbitrageurs by increasing the amount of services it puts in the bundle targeted at consumers in that country. Similarly, the threat of parallel trade may affect some consumers in the hight-price country adversely.

Contrat de cyberconsommation et arbitrage : les leçons de l'arrêt Dell

Cohen, Miriam G.
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Thèse ou Mémoire numérique / Electronic Thesis or Dissertation
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En juillet 2007, la Cour suprême du Canada s’est prononcée pour la première fois sur un litige lié au commerce électronique et dont les faits sont nés au Québec. L’affaire est d’une grande banalité : un contrat de consommation conclu par la voie de l’internet donna lieu à un litige car le prix proposé par le commerçant était erroné. Dans ce jugement historique, la Cour suprême a renversé les décisions des cours inférieures et est allée dans la direction contraire d’une modification législative adoptée le lendemain des auditions à la Cour, qui ne s’appliquait pas au cas en l’espèce. Ce jugement a causé des débats non seulement sur ce que la Cour a dit, mais aussi quant à l’opportunité qui lui était offerte de clarifier plusieurs questions d’importance. Ce mémoire utilise l’affaire Dell comme fil conducteur de l’étude du contrat de cyberconsommation et traite aussi de certaines questions incidentes sur ce droit en constant changement. En premier lieu, nous étudions le contrat de cyberconsommation et ensuite nous examinons le fond de l’affaire, une question qui n’a d’ailleurs pas encore reçu une analyse judiciaire. Dans la dernière partie, nous faisons une analyse critique des questions juridiques traitées par la Cour suprême. Nous concluons en remarquant que la Cour a perdu une occasion unique de clarifier certaines incongruïtés du droit de la cyberconsommation.; In July 2007...