Template-Type: ReDIF-Article 1.0 Author-Name: José Soares Da Fonseca Author-X-Name-First: José Soares Da Author-X-Name-Last: Fonseca Title: Yield curve changes effect on Euro area bond indexes: a partial durations approach Abstract: The dimension of the interest rate changes impact on bond prices depends on bond duration and convexity. The present paper uses a partial durations approach, combined with convexity measures and maturity segmentation, to estimate the impact of the Euro area yield curve shifts on the values of highest grade European government bond indexes. Journal: Int. J. of Monetary Economics and Finance Pages: 28-39 Issue: 1 Volume: 7 Year: 2014 Keywords: convexity measures; maturity segmentation; partial durations; Euro zone; bond indexes; spot interest rates; yield-to-maturity; yield curve; interest rate changes; bond prices; government bonds. File-URL: http://www.inderscience.com/link.php?id=63833 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:7:y:2014:i:1:p:28-39 Template-Type: ReDIF-Article 1.0 Author-Name: Ricardo Ramalhete Moreira Author-X-Name-First: Ricardo Ramalhete Author-X-Name-Last: Moreira Author-Name: Chukiat Chaiboonsri Author-X-Name-First: Chukiat Author-X-Name-Last: Chaiboonsri Author-Name: Prasert Chaitip Author-X-Name-First: Prasert Author-X-Name-Last: Chaitip Title: Analysing monetary policy's transmission mechanisms through effective and expected interest rates: an application of MS-models, Bayesian VAR and cointegration approaches for Brazil Abstract: This work applies Markov-switching models, a Bayesian vector autoregressive (BVAR) and Cointegration approach to verify the empirical relationships between expected and effective short-term interest rates in Brazil. The main results corroborate the theoretical notion that the Central Bank can smooth adjustments in effective short-term interest rates, as the latter affect expected short-term rates, thereby influencing long-term interest rates, which are fundamental for controlling output activity and price changes. Moreover, the MS-models show that these empirical relationships are more significant under a 'higher response regime'. In turn, the BVAR test yields impulse-response functions showing that shocks in expected rates have more persistent impacts on effective rates than the latter have on the former. Finally, the Cointegration and Vector Error Correction approaches are used as a robustness test and confirm the idea of a co-movement between expected and effective interest rates in Brazil. These results support the notion that Brazilian monetary policy is transparent, predictable and efficient. Journal: Int. J. of Monetary Economics and Finance Pages: 1-12 Issue: 1 Volume: 7 Year: 2014 Keywords: interest rates; MS-models; BVAR; Bayesian VAR; vector autoregressive; cointegration; Brazil; monetary policy; transmission mechanisms; Markov switching models; Central Bank. File-URL: http://www.inderscience.com/link.php?id=63836 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:7:y:2014:i:1:p:1-12 Template-Type: ReDIF-Article 1.0 Author-Name: Debi Prasad Bal Author-X-Name-First: Debi Prasad Author-X-Name-Last: Bal Title: The effects of public debt on capital formation in India: evidence from structural VAR analysis Abstract: This paper provides the empirical evidence of the effects of public debt on interest rate, output and gross fixed capital formation in India during the period between the fourth quarter of 1998 and fourth quarter of 2012. Using the structural VAR model with variance decompositions and impulse response functions, the result shows that public debt has a positive impact on gross fixed capital formation as well as output. The findings of the study described in this paper broadly support the views of Keynesian economists. Journal: Int. J. of Monetary Economics and Finance Pages: 66-80 Issue: 1 Volume: 7 Year: 2014 Keywords: public debt; output; gross fixed capital formation; structural VAR; vector autoregressive; India; interest rates; Keynesian economics. File-URL: http://www.inderscience.com/link.php?id=63838 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:7:y:2014:i:1:p:66-80 Template-Type: ReDIF-Article 1.0 Author-Name: Ghulam Abbas Author-X-Name-First: Ghulam Author-X-Name-Last: Abbas Author-Name: David G. McMillan Author-X-Name-First: David G. Author-X-Name-Last: McMillan Title: Interaction among stock prices and monetary variables in Pakistan Abstract: The interaction between stock market and monetary variables in Pakistan using monthly data for the last 20 years is examined. The Johansen co-integration approach is utilised to examine the equilibrium relationship between the stock price index, money supply, interest rates and a foreign exchange rate. An unrestricted VAR model is also used in order to analyse short-run dynamics and causality within these variables. The results report a long-run and significant relationship between these variables. In particular, the VAR model indicates that fluctuations in the KSE-100 index are significantly affected by the money supply and exchange rate but not the interest rate. Moreover, money supply has a positive relationship with the stock market and a negative relationship with interest rates and exchange rates. Interest rates have a weak and mixed relationship with all other variables. The dynamic relationships should aid policy-makers in understanding the effects of monetary policy changes. Journal: Int. J. of Monetary Economics and Finance Pages: 13-27 Issue: 1 Volume: 7 Year: 2014 Keywords: money supply; interest rates; KSE-100 index; foreign exchange rates; VAR; vector autoregressive; Pakistan; stock prices; monetary variables; stock markets; Johansen co-integration; monetary policy. File-URL: http://www.inderscience.com/link.php?id=63839 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:7:y:2014:i:1:p:13-27 Template-Type: ReDIF-Article 1.0 Author-Name: Agnieszka Gehringer Author-X-Name-First: Agnieszka Author-X-Name-Last: Gehringer Title: Financial liberalisation, financial development and productivity growth: an overview Abstract: The paper focuses on real aspects of financial globalisation and financial depth. It surveys the literature on the effects of finance on productivity growth. Both the theoretical and the empirical analyses reach no clear consensus regarding the direct growth contribution of financial liberalisation and financial development. Both positive and negative effects of finance on direct growth have been found. More clearness emerges when more precise growth channels, and in particular, productivity dynamics is considered, with the estimated effects being positive and mainly strongly significant. All this points to an important conceptual insight suggesting that not any growth channel, but especially productivity-driven impulses are more intensively linked to financial aspects of economic development. Journal: Int. J. of Monetary Economics and Finance Pages: 40-65 Issue: 1 Volume: 7 Year: 2014 Keywords: financial liberalisation; financial development; productivity growth; review; productivity dynamics; economic development. File-URL: http://www.inderscience.com/link.php?id=63841 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:7:y:2014:i:1:p:40-65 Template-Type: ReDIF-Article 1.0 Author-Name: Amit Ghosh Author-X-Name-First: Amit Author-X-Name-Last: Ghosh Title: Does the policy trilemma still hold? Fresh evidence and its implications Abstract: Economic success of any nation intrinsically hinges on the tradeoff between external policy choices and their internal consequences. An enduring challenge that countries confront is the 'trilemma' of choices between three desirable, yet jointly unattainable objectives of maintaining a fixed exchange rate regime, unfettered cross-border capital flows and monetary policy independence. This study examines the extent of monetary autonomy for over 130 nations spanning the period 1999-2011. Using both pooled cross-sectional as well as time series analyses I find more loss of monetary sovereignty for fixed regimes than non-fixed ones, supporting the trilemma's predictions. However, I do note this difference is only marginal and several floaters exhibit 'fear of floating' behaviour allowing sufficient transmission of foreign interest rates. Finally, I examine the macroeconomic consequences of the three tenets of the trilemma. I find higher monetary independence, greater capital openness as well as greater regime flexibility to promote economic stability. Journal: Int. J. of Monetary Economics and Finance Pages: 81-106 Issue: 2 Volume: 7 Year: 2014 Keywords: capital controls; exchange rate regimes; fear of floating; interest rate pass-through; monetary policy independence; policy trilemma; fixed exchange rates; cross-border capital flows; monetary autonomy; macroeconomics; monetary independence; capital openness; flexibility; economic stability. File-URL: http://www.inderscience.com/link.php?id=65079 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:7:y:2014:i:2:p:81-106 Template-Type: ReDIF-Article 1.0 Author-Name: Kwame Osei-Assibey Author-X-Name-First: Kwame Author-X-Name-Last: Osei-Assibey Title: Sign asymmetry and exchange rate market volatility: empirical evidence from two developing countries Abstract: Volatility in financial markets is asymmetric in nature with leverage effect a widely accepted market phenomenon. This paper uses exchange rate series from Ghana and Tanzania to empirically show and argue that the foreign exchange market is a 'special case' of the financial market family; for the period considered, exponential generalised autoregressive conditional heteroscedasticity estimates of daily volatility showed that currency appreciation in the Tanzanian market induces a higher volatility compared to a depreciation of the same magnitude, the opposite holds in the Ghanaian market. Vectorauto regression estimations show that feedback effects (the widely accepted explanation to asymmetry in volatility) exist between asymmetric shocks and volatility that ensues for both countries. The bidirectional Granger Causal relationships between exchange rate changes and the volatility that ensues together with the estimated impulse response functions offer further insight on how both countries 'exchange rate markets asymmetrically respond to shocks of either sign. Journal: Int. J. of Monetary Economics and Finance Pages: 107-121 Issue: 2 Volume: 7 Year: 2014 Keywords: volatility asymmetry; feedback effects; EGARCH; exponential generalised ARCH; VAR; vector auto regression; flexible exchange rates; market volatility; developing countries; Ghana; Tanzania. File-URL: http://www.inderscience.com/link.php?id=65087 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:7:y:2014:i:2:p:107-121 Template-Type: ReDIF-Article 1.0 Author-Name: Mats Landström Author-X-Name-First: Mats Author-X-Name-Last: Landström Title: Central bank independence and the price-output-variability trade-off Abstract: Data on central bank independence (CBI) and implementation dates of CBI-reforms were used to investigate the relationship between CBI and a possible trade-off between inflation variability and output variability. No such trade-off was found, but there might still be stabilisation gains from CBI-reform. Journal: Int. J. of Monetary Economics and Finance Pages: 122-134 Issue: 2 Volume: 7 Year: 2014 Keywords: price stability; output stability; monetary policy; Taylor curve; inflation variability; output variability; central bank independence; central banks; banking reform. File-URL: http://www.inderscience.com/link.php?id=65089 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:7:y:2014:i:2:p:122-134 Template-Type: ReDIF-Article 1.0 Author-Name: Thanh Nguyen Author-X-Name-First: Thanh Author-X-Name-Last: Nguyen Title: Selection of the right risk measures for portfolio allocation Abstract: An optimisation framework is proposed to enable investors to select the right risk measures in portfolio selection. Verification is deployed by performing experiments in developed markets (e.g., the US stock market), emerging markets (e.g., the South Korean stock market) and global investments. A preselection procedure dealing with large datasets is also introduced to eliminate stocks that have low diversification potential before running the portfolio optimisation model. Portfolios are evaluated by four performance indices, i.e., the Sortino ratio, the Sharpe ratio, the Stutzer performance index, and the Omega measure. Experimental results demonstrate that high performance and also well-diversified portfolios are obtained if modified value-at-risk, variance, or semi-variance is concerned whereas emphasising only skewness, kurtosis or higher moments in general produces low performance and poorly diversified portfolios. In addition, the preselection applied to large datasets results in portfolios that have not only high performance but also high diversification degree. Journal: Int. J. of Monetary Economics and Finance Pages: 135-156 Issue: 2 Volume: 7 Year: 2014 Keywords: portfolio selection; stock preselection; global investment; portfolio performance; higher moment risk; downside risk; value-at-risk; VAR; risk measures; portfolio allocation; optimisation; skewness; kurtosis; diversification. File-URL: http://www.inderscience.com/link.php?id=65099 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:7:y:2014:i:2:p:135-156 Template-Type: ReDIF-Article 1.0 Author-Name: Naoyuki Yoshino Author-X-Name-First: Naoyuki Author-X-Name-Last: Yoshino Author-Name: Farhad Taghizadeh-Hesary Author-X-Name-First: Farhad Author-X-Name-Last: Taghizadeh-Hesary Title: Monetary policy and oil price fluctuations following the subprime mortgage crisis Abstract: This study examines how monetary policy affected crude oil prices after the subprime mortgage crisis. Our earlier research found that easy monetary policy had a significant impact on energy prices during the period of 1980-2011. This paper finds that after the subprime mortgage crisis, the weaker exchange rate of the US dollar caused by the country's quantitative easing pushed oil prices in US dollars upward over the period of 2009-2012, by causing investors to invest in the oil market and other commodity markets while the world economy was in recession in this period. This trend had the effect of imposing a longer recovery time on the global economy, as oil has been shown to be one of the most important production inputs. Journal: Int. J. of Monetary Economics and Finance Pages: 157-174 Issue: 3 Volume: 7 Year: 2014 Keywords: crude oil prices; monetary policy; subprime mortgage crisis; exchange rates; oil price fluctuations. File-URL: http://www.inderscience.com/link.php?id=66482 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:7:y:2014:i:3:p:157-174 Template-Type: ReDIF-Article 1.0 Author-Name: Ivana Lolić Author-X-Name-First: Ivana Author-X-Name-Last: Lolić Author-Name: Petar Sorić Author-X-Name-First: Petar Author-X-Name-Last: Sorić Title: Non-linear effects in the Croatian inflation-generating process Abstract: The inflation-generating process in Croatia is extensively covered in the literature. However, two main shortcomings characterise the majority of these studies. First, none of them make the effort to directly measure inflation expectations and include them in the inflation model specification. Second, they completely disregard potential asymmetric effects in the Croatian inflation-generating process. This paper adds to the literature in terms of both mentioned niches. Inflation expectations are obtained directly through the consumer surveys. The smooth transition regression (STR) is applied to inspect for possible non-linearities in the Croatian Hybrid New Keynesian Phillips curve (NKPC). It is found that the pivotal role in the inflation-generating process can be assigned to expected inflation: as the inflation expectations increase, their effect on actual inflation significantly intensifies, while the impact of inflation persistence smoothly fades away. Inflation persistence is, however, also relevant, while the output gap parameters are not significant at all. Journal: Int. J. of Monetary Economics and Finance Pages: 175-191 Issue: 3 Volume: 7 Year: 2014 Keywords: STR; smooth transition regression; new Keynesian Phillips curve; inflation expectations; consumer surveys; nonlinear effects; Croatia; inflation generation; asymmetric effects. File-URL: http://www.inderscience.com/link.php?id=66483 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:7:y:2014:i:3:p:175-191 Template-Type: ReDIF-Article 1.0 Author-Name: Guowen Han Author-X-Name-First: Guowen Author-X-Name-Last: Han Author-Name: Yongjin Wu Author-X-Name-First: Yongjin Author-X-Name-Last: Wu Author-Name: Warren Young Author-X-Name-First: Warren Author-X-Name-Last: Young Title: Asymmetric effects of monetary policy on an emerging stock market Abstract: This paper examines the relationship between monetary policy and the stock market based on data from two stock indices in China - the Shanghai Composite Index and Shenzhen Composite Index. The result shows only unanticipated monetary policy can affect the stock return significantly. Based on anticipated effects, we examine whether monetary policy has asymmetric effects on the stock market by using a linear model with a dummy variable and a modified Markov-switching model respectively. Our empirical results support existing evidence for developed markets, suggesting that monetary policy has a significant impact on stock returns in bear-market periods, whereas the impact is weak and insignificant in bull-market periods. Given this, we surmise that investor sentiments and borrowing constraints are the main causes of the asymmetric effects found. Journal: Int. J. of Monetary Economics and Finance Pages: 192-206 Issue: 3 Volume: 7 Year: 2014 Keywords: monetary policy; Markov switching model; anticipated effects; asymmetric effects; emerging markets; stock markets; China; stock returns; bear markets; bull markets; investor sentiments; borrowing constraints. File-URL: http://www.inderscience.com/link.php?id=66485 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:7:y:2014:i:3:p:192-206 Template-Type: ReDIF-Article 1.0 Author-Name: Alamedin A. Bannaga Author-X-Name-First: Alamedin A. Author-X-Name-Last: Bannaga Author-Name: Ahmed A.A. Badawi Author-X-Name-First: Ahmed A.A. Author-X-Name-Last: Badawi Title: Real exchange rate misalignment and economic growth: empirical evidence from Sudan Abstract: The real exchange rate plays a central role in sustaining macroeconomic stability. Real exchange rate misalignment is crucial to policy makers, as it determines the degree of policy intervention needed to correct deviation and achieve stability. In this paper, we use econometric techniques to compute the level of exchange rate misalignment and identify its determinants in Sudan, a country that suffers enormously from currency crisis. We probe further to assess the impact of real exchange rate misalignment on economic growth. Our vector error correction model results show that long-run movements in the real exchange rate can be explained by net foreign assets, productivity differentials, terms of trade shocks, and government expenditure. The Sudanese pound, with the exception of a few years, has been highly overvalued for the period 1980-2011, and the growth rate has been affected negatively and significantly by the real exchange rate misalignment. Journal: Int. J. of Monetary Economics and Finance Pages: 207-228 Issue: 3 Volume: 7 Year: 2014 Keywords: equilibrium exchange rates; exchange rate misalignment; economic growth; empirical evidence; Sudan; econometrics; vector error correction; net foreign assets; productivity differentials; trade shocks; government expenditure. File-URL: http://www.inderscience.com/link.php?id=66491 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:7:y:2014:i:3:p:207-228 Template-Type: ReDIF-Article 1.0 Author-Name: Louati Salma Author-X-Name-First: Louati Author-X-Name-Last: Salma Author-Name: Boujelbene Younes Author-X-Name-First: Boujelbene Author-X-Name-Last: Younes Title: Market power vs. financial stability: evidence from the MENA region's Islamic and conventional banking industries Abstract: This paper embodies a comparison of competitiveness between Islamic and conventional banks of the Middle East and North Africa (MENA) region. First, a descriptive study analysing the main characteristics of both sectors is introduced. Then, the level of competitiveness is measured in both types of banks using the Lerner index. Finally, the impact of the market power on the financial stability is analysed. The results of these analyses show that Islamic banks do not have a higher degree of market power compared to their conventional peers. As far as the effect of competitiveness is concerned, we can say that Islamic banks are less stable than the conventional ones and the decrease of competitiveness may lead to the improvement of stability. Journal: Int. J. of Monetary Economics and Finance Pages: 229-247 Issue: 3 Volume: 7 Year: 2014 Keywords: market power; financial stability; MENA region; Islamic banks; Islamic finance; banking industry; Middle East; North Africa; conventional banks; competitiveness. File-URL: http://www.inderscience.com/link.php?id=66495 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:7:y:2014:i:3:p:229-247 Template-Type: ReDIF-Article 1.0 Author-Name: Nont Dhiensiri Author-X-Name-First: Nont Author-X-Name-Last: Dhiensiri Author-Name: Xiaohong (Sara) Wang Author-X-Name-First: Xiaohong (Sara) Author-X-Name-Last: Wang Title: Bank debt and financial flexibility Abstract: We empirically examine the impact of the need for financial flexibility on firms' use of bank debt. Using a comprehensive sample from capital IQ (CIQ), we find that firms that are more likely to violate a covenant or incur higher costs from a covenant violation use less bank debt. Our results persist for both bank drawn revolving lines and term loans and for firms with or without access to the public bond market. These findings provide strong support to the survey results of Graham and Harvey (2001) that financial flexibility is an important factor in shaping corporate debt policy. Journal: Int. J. of Monetary Economics and Finance Pages: 249-265 Issue: 4 Volume: 7 Year: 2014 Keywords: bank debt; financial flexibility; covenant violation; debt structure; cash flow; growth opportunities; corporate debt policy. File-URL: http://www.inderscience.com/link.php?id=67718 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:7:y:2014:i:4:p:249-265 Template-Type: ReDIF-Article 1.0 Author-Name: Livia Fraccalvieri Author-X-Name-First: Livia Author-X-Name-Last: Fraccalvieri Author-Name: Mattia Rosada Author-X-Name-First: Mattia Author-X-Name-Last: Rosada Author-Name: Emiliano Sironi Author-X-Name-First: Emiliano Author-X-Name-Last: Sironi Title: A comparison of the dynamics of inflation in the USA and Japan: a VAR-VEC analysis Abstract: This paper examines inflation dynamics in the USA and Japan from 1980Q1 to 2013Q2. Changes in inflation, unemployment, output gap and policy interest rate behaviours during the last Great Recession that hit the US and Japanese economies are considered. According to a vector autoregression and VEC analyses, we found that even if there is evidence that inflation and unemployment are I (1), there is not a long-run inflation-unemployment tradeoff for the USA. Surprisingly, a short-run inflation-unemployment trade-off is very weak in Japan. This study is consistent with the opinion that the relationship between these two variables is not stable in either the short run nor in the long run: unemployment shows Granger causality with inflation but the opposite is not true in the USA. There is no Granger causality for Japan. We also find evidence that monetary policy lost its power in the US and Japanese real economies after the 2008 crisis. Journal: Int. J. of Monetary Economics and Finance Pages: 266-287 Issue: 4 Volume: 7 Year: 2014 Keywords: Phillips curve; VAR models; VEC models; inflation dynamics; USA; United States; Japan; unemployment; output gap; interest rates; vector autoregression; monetary policy; financial crisis. File-URL: http://www.inderscience.com/link.php?id=67719 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:7:y:2014:i:4:p:266-287 Template-Type: ReDIF-Article 1.0 Author-Name: Arundhati Mallick Author-X-Name-First: Arundhati Author-X-Name-Last: Mallick Author-Name: Narayan Sethi Author-X-Name-First: Narayan Author-X-Name-Last: Sethi Title: Comparing the measures of core inflation in India: trimmed mean and structural vector auto-regression approach Abstract: This paper estimates core inflation through trimmed mean method and structural vector auto-regression (SVAR) method by using monthly data of wholesale price index (WPI) and index of industrial production (IIP) from April 2005 to March 2014 for India. In this paper, we have compared 25% trimmed mean and SVAR method and it was found that SVAR measure provides better results than trimmed mean method. In SVAR method, we found the exact movements of core and non-core shocks in impulse response functions and variance decomposition. It is based on the definitions of core inflation but trimmed mean method excludes the outliers in the price index, whereas SVAR method is difficult to estimate. Journal: Int. J. of Monetary Economics and Finance Pages: 288-301 Issue: 4 Volume: 7 Year: 2014 Keywords: core inflation; trimmed mean; SVAR; structural vector auto-regression; core shock; non-core shock; wholesale price index; WPI; index of industrial production; IIP; India; impulse response; variance decomposition. File-URL: http://www.inderscience.com/link.php?id=67720 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:7:y:2014:i:4:p:288-301 Template-Type: ReDIF-Article 1.0 Author-Name: Evangelos Drymbetas Author-X-Name-First: Evangelos Author-X-Name-Last: Drymbetas Author-Name: George Kyriazopoulos Author-X-Name-First: George Author-X-Name-Last: Kyriazopoulos Title: Post-acquisition performance of European cross-border bank M%As Abstract: The banking industry has been alleged to be at the epicentre of mergers and acquisitions (M%As) for several decades. Though the short-term wealth effects of M&As have been extensively explored in the last decades, the long-term share price and operating performance is relatively under-researched. The current study attempts to investigate the post-event share price behaviour of a sample of acquiring firms involved in cross-border bank mergers. Using financial ratios, we also probe into the long-term operating performance of acquiring firms up to five years following the acquisition. The results show that acquiring firms experience a gradual positive price reversal up to two years subsequent to mergers. In addition, the financial performance seems to be improved in parallel to the market value. We conclude that cross-border bank mergers seem partially to benefit the acquiring firms in the long-term when synergistic gains from consolidation come to reality. Journal: Int. J. of Monetary Economics and Finance Pages: 328-346 Issue: 4 Volume: 7 Year: 2014 Keywords: cross-border mergers; bidders; targets; post-merger performance; buy-and-hold returns; post-acquisition performance; European banks; bank mergers; mergers and acquisitions; bank M%A; banking industry; long-term share prices; operating performance; share price behaviour; financial performance; bank performance; market value; consolidation. File-URL: http://www.inderscience.com/link.php?id=67721 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:7:y:2014:i:4:p:328-346 Template-Type: ReDIF-Article 1.0 Author-Name: Matteo Falagiarda Author-X-Name-First: Matteo Author-X-Name-Last: Falagiarda Title: Evaluating quantitative easing: a DSGE approach Abstract: This paper develops a simple dynamic stochastic general equilibrium (DSGE) model capable of evaluating the effect of large purchases of treasuries by central banks. The model exhibits imperfect asset substitutability between government bonds of different maturities and a feedback from the term structure to the macroeconomy. Both features are generated through the introduction of portfolio adjustment frictions. As a result, the model is able to isolate the portfolio rebalancing channel of quantitative easing (QE). This theoretical framework is employed to evaluate the impact on bond yields and on the macroeconomy of the large purchases of medium- and long-term treasuries recently carried out in the USA and UK. The results from the calibrated model suggest that large asset purchases of government assets had stimulating effects in terms of lower long-term yields, and higher output and inflation. The size of the effects is nevertheless sensitive to the speed of the exit strategy chosen by monetary authorities. Journal: Int. J. of Monetary Economics and Finance Pages: 302-327 Issue: 4 Volume: 7 Year: 2014 Keywords: unconventional monetary policies; quantitative easing; DSGE; dynamic stochastic general equilibrium; modelling; asset prices; central banks; imperfect asset substitutability; government bonds; term structure; macroeconomy; portfolio adjustment friction; portfolio rebalancing channels; USA; UK; United States; United Kingdom; government assets; long-term yields; output; inflation; exit strategy. File-URL: http://www.inderscience.com/link.php?id=67724 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:7:y:2014:i:4:p:302-327