Catálogo de publicaciones - libros

A strategy that buys past winners and simultaneously sells past losers based on stock performance in the past 3 to 12 months is profitable in the U.S. and the European markets. This survey paper reviews the literature on the momentum strategy and the possible explanations on the momentum profitability.

This paper modifies the well-known Mundell-Fleming model by adding equilibrium credit rationing as well as imperfect asset substitutability between bonds and loans. When the representative bank’s backward-bending loan supply curve peaks at its profit-maximizing loan rate, credit rationing can be an equilibrium phenomenon, which makes credit-dependent capital investment solely dependent upon the availability of customer market credit. With credit rationing, an expansion in money and credit shifts the IS curve as well as the LM curve even in a small open economy under a regime of fixed exchange rates, and the magnitude of offset coefficient between domestic and foreign asset components of high-powered money is less than one. In contrast, if there is no credit rationing, imperfect asset substitutability between bonds and loans per se cannot generate the real effect of money in the same model.

JEL classification: E51 F41

Singapore’s unique experience in macroeconomic management involves the government’s engagement in a tripartite collective bargaining and its influence on the macroeconomic policy game in wages and exchange rates in response to inflation and output volatility. The period from the mid-190 to mid-1990 features the policy game with a Nash equilibrium in the level of wages and exchange rates and a non-Nash equilibrium in wage growth and exchange rate appreciations. Based on the empirical evidence in this period, the models used in this study suggests that wage and exchange-rate policies are a pair of complements both at their levels (Nash equilibrium) and at their percentage changes (non-Nash equilibrium).

This paper purports to provide a theoretical underpinning for the problem of the Investment Company Act. The theory of the Le Chatelier Principle is well-known in thermodynamics: The system tends to adjust itself to a new equilibrium as far as possible. In capital market equilibrium, added constraints on portfolio investment on each stock can lead to inefficiency manifested in the right-shifting efficiency frontier. According to the empirical study, the potential loss can amount to millions of dollars coupled with a higher risk-free rate and greater transaction and information costs.

This paper not only provides a comparison of recent models in the valuation of mortgage-backed securities but also proposes an integrated model that addresses important issues of path-dependence, exogenous prepayment, transaction costs, mortgagors’ heterogeneity, and the housing devaluation effect.

Recent research can be categorized into two frameworks: empirical and theoretical option pricing. Purely empirically derived models often consider estimation of the prepayment model and pricing of the mortgage-backed security as distinct problems, and thus preclude explanation and prediction for the price behavior of the security. Some earlier theoretical models regard mortgage-backed securities as default-free callable bonds, prohibiting the mortgagors from exercising the default (put) option, and therefore induce bias on the pricing of mortgage-backed securities. Other earlier models assume homogeneity of mortgagors and consequently fail to address important issues of premium burnout effect and the path-dependence problem.

The model proposed is a two-factor model in which the housing price process is incorporated to account for the effect of mortgagor’s default and to capture the impact of housing devaluation. Default is correctly modeled in terms of its actual payoff through a guarantee to the investors of the security such that the discrepancy is eliminated by assuming mortgage securities as either default-free or unin-sured. Housing prices have been rising at unsustainable rates nation wide, especially along the coasts, suggesting a possible substantial weakening in house appreciation at some point in the future. The effect of housing devaluation is specifically modeled by considering the possibility that the mortgagor might be restrained from prepayment even if interest rates make it advantageous to refinance.

Mortgagors’ heterogeneity and the separation of exogenous and endogenous prepayments are explicitly handled in the model. Heterogeneity is incorporated by introducing heterogeneous refinancing transaction costs. The inclusion of heterogeneous transaction costs not only captures premium burnout effect but also solves the path-dependence problem. Finally, the model separates exogenous prepayment from endogenous prepayment, and estimates their distinct magnitudes from observed prepayment data. This construction provides a better understanding for these two important components of prepayment behavior. The generalized method of moments is proposed and can be employed to produce appropriate parameter estimates.

The roles played by the IMF in international debt crises have long been considered controversial among both academics and policy makers. This study reviews the role of IMF bailouts in international debt crises. The literature shows that there is a statistically significant positive wealth transfer from the IMF to the international bank creditors during major event announcements. Further, the evidence indicates the existence of market informational efficiency and different pricing behavior of different groups of international bank creditors. A pertinent future research topic would be to examine whether IMF introduces the moral hazard problem into the international financial markets.

In different fields data are presented under the form of Property Systems or Attribute Systems (i. e. Information Systems). In order to collect items linked together by attributes or properties we can use a number of techniques whose results range from exact classifications to different kinds of approximations. This range depends on the collecting operators and the characteristics of the Information System at hand. In this paper we discuss how to transform Information Systems in order to apply a well-funded set of operators and to improve their precision.

In different fields data are presented under the form of Property Systems or Attribute Systems (i. e. Information Systems). In order to collect items linked together by attributes or properties we can use a number of techniques whose results range from exact classifications to different kinds of approximations. This range depends on the collecting operators and the characteristics of the Information System at hand. In this paper we discuss how to transform Information Systems in order to apply a well-funded set of operators and to improve their precision.

In January 1997, the U.S. Treasury began to issue inflation-indexed securities (TIIS). The new Treasury security protects investors from inflation by linking the principal and coupon payments to the Consumer Price Index (CPI). This paper discusses the background of issuing TIIS and reviews their unique characteristics.

The Gramm-Leach-Bliley Act (GLBA) was signed into law on November 12, 1999 and essentially repealed the Glass-Steagall Act (GSA) of 1933 that had mandated the separation of commercial banking activities from securities activities. It also repealed provisions of the Bank Holding Company Act (BHCA) of 1956 that provided for the separation of commercial banking from insurance activities. The major thrust of the new law, therefore, is the establishment of a legal structure that allows for the integration of banking, securities and insurance activities within a single organization. The GLBA will be explained and discussed, with special emphasis on its importance for U.S. banks in a world of ever increasing globalization of financial services.