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This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. We formalize the test as a sequential procedure in the context of an intersection union test in multiple testing and introduce a new bivariate jump test for pre-averaged intra-day returns. In an empirical application involving high-frequency data of U.S. government bonds, we contrast response patterns of term spreads and break-even in ation across monetary policy announcements, in ation, and employment news releases.

Katharine Cleland's Irregular Unions provides the first sustained literary history of clandestine marriage in early modern England and reveals its controversial nature in the wake of the Elizabethan Religious Settlement, which standardized the marriage ritual for the first time. Cleland examines many examples of clandestine marriage across genres. Discussing such classic works as The Faerie Queene, Othello, and The Merchant of Venice, she argues that early modern authors used clandestine marriage to explore the intersection between the self and the marriage ritual in post-Reformation England. The ways in which authors grappled with the political and social complexities of clandestine marriage, Cleland finds, suggest that these narratives were far more than interesting plot devices or scandalous stories ripped from the headlines. Instead, after the Reformation, fictions of clandestine marriage allowed early modern authors to explore topics of identity formation in new and different ways. ; Publication of this book was supported by Virginia Tech through the TOME Open Monograph Initiative.

This paper proposes a new measure for the evaluation of financial market efficiency, the so-called intermittency coefficient. This is a multifractality measure that can quantify the deviation from a random walk within the framework of the multifractal random walk model by Bacry et al. (2001b). While the random walk corresponds to the most genuine form of market efficiency, the larger the value of the intermittency coefficient is, the more inefficient a market would be. In contrast to commonly used methods based on Hurst exponents, the intermittency coefficient is a more powerful tool due to its well-established inference apparatus based on the generalised method of moments estimation technique. In an empirical application using data from the largest currently existing market for tradable pollution permits, the European Union Emissions Trading Scheme, we show that this market becomes more efficient over time. In addition, the degree of market efficiency is overall similar to that for the US stock market; for one sub-period, the market efficiency is found to be higher. While the first finding is anticipated, the second finding is noteworthy, as various observers expressed concerns with regard to the information efficiency of this newly established artificial market.

Policy impact studies often suffer from endogeneity problems. Consider the case of the ECB Securities Markets Programme: If Eurosystem interventions were triggered by sudden and strong price deteriorations, looking at daily price changes may bias downwards the correlation between yields and the amounts of bonds purchased. Simple regression of daily changes in yields on quantities often give insignificant or even positive coefficients and therefore suggest that SMP interventions have been ineffective, or worse counterproductive. We use high frequency data on purchases of the ECB Securities Markets Programme and sovereign bond quotes to address the endogeneity issues. We propose an econometric model that considers, simultaneously, first and second conditional moments of market price returns at daily and intradaily frequency. We find that SMP interventions succeeded in reducing yields and volatility of government bond segments of the countries under the programme. Finally, the new econometric model is broadly applicable to market intervention studies.

In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal distributions. The parameters of the distributions are estimated by minimizing the sum of squares of pricing errors. Obtained results are then compared with the model based on a single lognormal distribution. As an example we consider changes in risk neutral distribution at the beginning of March 2014, after the outbreak of political crisis in the Crimea.

Hajj fund must be managed effectively with a diligent approach of standard risk management. This study examines the level of risk management The Hajj Fund Management Agency (BPKH) performs in optimizing its investments: fund and fixed asset portfolios. The measurement data was initially and purposively retrieved. It was later run and processed through linear programming for further analyses. The results indicate that Sharia banking deposits and gold are riskless assets. As far as other asset portfolios, investments are placed strictly based on direct and indirect participation according to the government's regulations to avoid the pressures of market volatility. This study serves as a reference for regulators in formulating appropriate strategic asset allocation to applied related optimized management of hajj fund investment.JEL Classification: C44, C51, C58, C61, D81, E22, E47How to Cite:Witjaksono, B., & Hamzah. (2021). Optimum Strategic of Asset Allocation for Indonesian Hajj Fund. Signifikan: Jurnal Ilmu Ekonomi, 10(2), 195-208. https://doi.org/10.15408/sjie.v10i2.20020.

The present paper examines the trends of fiscal deficit and economic growth in India from 1980-81 to 2017-18 and also analyses the impact of fiscal deficit on Indian economic growth by using regression model. The impact of fiscal deficit has always been a subject of intense debate. Some academician emphasized that fiscal deficit as a growth promoting tool due to increase in government expenditure, while others emphasize that the fiscal disciple as the most important for strengthening macroeconomic fundamentals of the economy. The regression result of the paper indicates that there is negative and significant impact of fiscal deficit on the economic growth of India. The research paper suggested that fiscal deficit within limit is good for economic growth and the government fund should be spent on beneficial projects. It is also suggested that sustainable economic growth and steady reduction in fiscal deficit can be achieved through fiscal policy reforms in India.Classification-JEL : C58

This study examines the structure and formula for revenue allocation in Nigeria which has been fraught with challenges, proffers solution, and highlights its implications for sustainable national development. The work uses the methodology of Group Unit Root Test, auto regressive distributed lag (ARDL) Bounds Testing and Cointegrating Long Run tests for robust policy recommendations. Using the Gross Domestic Product as the dependent variable and revenue allocation to the three levels of government, and oil revenue as the independent variables, the results from the study show that revenue allocations and the other variables have significant relationship with economic growth in Nigeria. Based on our findings, the study recommends among others that the current revenue allocation formula should be reviewed to embrace autonomy in its entirety to achieve national goals and objectives. Various levels of government should be adequately funded to enable it carry out its expenditure responsibilities to accelerate grass root development. JEL classification: C22, C32, C58

An interview with Pablo M. Coronado over his publication of A Time To Remember. This book is a collection of correspondence from Pablo M. Coronado, a resident of Brownsville, Texas, sent to his fiancée, then wife Gloria Coronado while Coronado served in the U.S. Army during the early 1960's with Co. A, 1st Battle Group, 30th Infantry, 3rd Division in Germany during a time of tense relations between the United States and the U.S.S.R. over communist controlled East Germany and the building of the Berlin Wall in the period known as "The Berlin Crisis". This collection of letters from a young soldier to his wife far away during his military service in Germany serves to illustrate the love and commitment of a husband for his wife and is a story which will seem familiar to many past and current members of the armed forces. Mr. Pablo Coronado passed away on February 25, 2022. Accompanying book can be found in the Library. F394.B88 C58 2013 ; https://scholarworks.utrgv.edu/utbmedia/1000/thumbnail.jpg

Long-range dependency of the volatility of exchange-rate time series plays a crucial role in the evaluation of exchange-rate risks, in particular for the commodity currencies. The Australian dollar is currently holding the fifth rank in the global top 10 most frequently traded currencies. The popularity of the Aussie dollar among currency traders belongs to the so-called three G's-Geology, Geography and Government policy. The Australian economy is largely driven by commodities. The strength of the Australian dollar is counter-cyclical relative to other currencies and ties proximately to the geographical, commercial linkage with Asia and the commodity cycle. As such, we consider that the Australian dollar presents strong characteristics of the commodity currency. In this study, we provide an examination of the Australian dollar-US dollar rates. For the period from 18:05, 7th August 2019 to 9:25, 16th September 2019 with a total of 8481 observations, a wavelet-based approach that allows for modelling long-memory characteristics of this currency pair at different trading horizons is used in our analysis. Findings from our analysis indicate that long-range dependence in volatility is observed and it is persistent across horizons. However, this long-range dependence in volatility is most prominent at the horizon longer than daily. Policy implications have emerged based on the findings of this paper in relation to the important determinant of volatility dynamics, which can be incorporated in optimal trading strategies and policy implications.

This paper analyzes market integration among long term government bonds in the Eurozone since the inception of the Euro in 1999. While it is commonly assumed that markets for EMU government bonds were closely integrated prior to the EMU debt crisis, we find that there is significant time variation in their relationship. There are periods of integration and disintegration, and differences between core and periphery countries can be observed long before the EMU debt crisis. To obtain insights into the sources of the observed time variation, we analyze the dependence on variables related to market sentiment, risk and risk aversion. The drivers of market integration are found to be similar to those for the well documented flight-to-quality effects from stocks to bonds, suggesting that in times of crisis investors do not only shift their portfolios from stocks to bonds, but there is also a stronger differentiation between more and less risky bonds. The persistence of these differentials leads to the conclusion that (at least in times of crisis) the pricing of EMU government bonds implied the possibility of macroeconomic and fiscal divergence between the EMU countries.

Defence date: 4 April 2016 ; Examining Board: Prof. Evi Pappa, EUI, Supervisor; Prof. Agustín Bénétrix, Trinity College Dublin; Prof. Christian Brownlees, Universitat Pompeu Fabra; Prof. Peter Hansen, EUI. ; The thesis consists of three essays in the fields of international finance and applied econometrics. The first chapter analyzes the co-movement of market premia for rare adverse events, addressing the important issue of contagion. The second chapter studies the impact of rare adverse events on the estimates of the risk-aversion coefficient and on household's portfolio composition. This chapter shows that the threat of a rare disaster justifies household's positive bond holdings. Finally, the last chapter studies if the information not contained in the domestic yield curve, but contained in the foreign yield curve helps to predict future dynamics of domestic yields. The first chapter proposes a novel approach to assessing volatility contagion across equity markets. More specifically I decompose the variance risk premia of three major stock indices into: crash and non-crash risk components and analyse their cross-market correlations. I find that crash-risk premia exhibit higher correlations than non-crash risk premia, implying the existence of volatility contagion. This suggests that investors believe that equity returns will be more highly correlated across countries during market crashes than during more normal times. The main result of the analysis holds when I apply other measures of co-movement as well as when I allow correlation to be time varying. Moreover I document that crash-premia constitute a large portion of the overall variance risk premia, highlighting the importance of crash-risks. Unlike the existing literature, my approach to testing the existence of volatility contagion does not rely on short periods of financial distress, but allows for crash-risk premia to be computed in tranquil times. The second chapter assesses the impact of the Peso problem on the econometric estimates of the risk aversion coefficient. Rietz (1988) and subsequently Barro (2006) showed that the introduction of the crash risk allows the canonical general equilibrium framework to generate data consistent equity premia even under low risk aversion of the representative agents. They argue that the original data used to calibrate these models suffer from a Peso problem (i.e. does not encounter a crash state). To the best of my knowledge the impact of their Peso problem on the estimation of the risk aversion coefficient has not to date been evaluated. This chapter seeks to remedy this. I find that crash states that are internalized by economic agents, but are not realized in the sample, generate only a small bias in the estimates of the risk aversion coefficient. I also show that the introduction of the crash state has a strong bearing on the household's portfolio composition. In fact, under the internalized crash state scenario, households exhibit positive bond holdings even in a frictionless environment. In the third chapter, co-authored with Andrew Meldrum and Peter Spencer, we show, using data on government bonds in Germany and the US, that 'overseas unspanned factors' - constructed from the components of overseas yields that are uncorrelated with domestic yields - have significant explanatory power for subsequent domestic bond returns. This result is remarkably robust, holding for different sample periods, as well as out of sample. By adding our overseas unspanned factors to simple dynamic term structure models, we show that shocks to those factors have large and persistent effects on domestic yield curves. Dynamic term structure models that omit information about foreign bond yields are therefore likely to be mis-specified.