A crypto safe haven against Bitcoin Baur, Dirk G.; Hoang, Lai T.
Finance research letters,
January 2021, 2021-01-00, Letnik:
38
Journal Article
Recenzirano
•Bitcoin’s excess volatility requires a crypto safe haven for investors.•Hypothesize that stablecoins provide stability and a safe haven for Bitcoin investors.•Stablecoins are a safe haven with ...respect to Bitcoin but not stable at all times.
Display omitted
The design of Bitcoin is closely related to gold which has led to the idea that Bitcoin has gold-like features such as being a store of value and a safe haven. However, given Bitcoin’s extreme volatility investors may rather need a safe haven against Bitcoin. We hypothesize that stablecoins provide such a safe haven and analyze high-frequency price changes of the largest stablecoins. We find that they act as safe havens, and Tether showing the strongest effect. The results demonstrate that Bitcoin investors seek out stablecoins when Bitcoin experiences extreme negative prices changes. Since stablecoins react to such price changes they are not stable at all times.
Se analiza el contagio en volatilidad entre los mercados cambiarios y de valores en México y Brasil de enero/2000 a noviembre/2020. La metodología incluye modelos GARCH univariados: GARCH, APARCH, ...EGARCH y TARCH para el análisis de la volatilidad de las series y modelos multivariados GARCH: DCC y ADCC, para medir los co-movimientos de la volatilidad condicional del mercado de capitales y cambiario, permitiendo determinar la existencia de contagio. Se observa que, en el mercado brasileño, la correlación es más fuerte y estable que en el mercado mexicano, confirmando, al menos un periodo de contagio en cada economía. Las recomendaciones que se desprenden es que, durante periodos de inestabilidad se deben realizar estrategias de cobertura cambiaria o, mantener las posiciones hasta que haya recuperación en los mercados. Las limitaciones es que únicamente se incluyen dos economías latinoamericanas, por lo que, no se analiza el efecto regional. La originalidad radica en la propuesta empírica, el estudio de economías emergentes, que han sido escasamente analizadas, así como, en el aporte de información crucial para las estrategias de diversificación y cobertura de riesgos.
The Liquid Hand-to-Mouth Olafsson, Arna; Pagel, Michaela
The Review of financial studies,
11/2018, Letnik:
31, Številka:
11
Journal Article
Recenzirano
Odprti dostop
We use a very accurate panel of all individual spending, income, balances, and credit limits from a personal finance software to document spending responses to the arrival of both regular and ...irregular income. These payday responses are robust and homogeneous for all income and spending categories throughout the income distribution. Moreover, we find that few people hold little or no liquidity. We then analyze whether people hold liquidity cushions to cope with future liquidity constraints. However, we find that peoples’ responses are consistent with standard models without illiquid savings, in which neither present nor future liquidity constraints are frequently binding.
•This study examines the effect of green finance reform on firm innovations.•Using the place-based green finance policy in China as an exogenous shock, we find that the green finance reform promotes ...firm innovations.•Green finance policy mainly enhances corporate innovation through the decreased debt cost, and the increased innovation input and foreign investment.•Results are stronger for local SOEs and firms with lower network attention.
This study explores how a place-based green finance policy in China, pilot zones for green finance reform and innovations, affects corporate innovation. Our difference-in-differences (DID) estimation documents that the green finance reform causally enhances corporate innovation. We contend that the decreased debt cost, and the increased innovation input and foreign investment are the potential mechanisms at work. The promoting effect is more pronounced for local SOEs and firms with lower network attention. Our study provides evidence for the positive consequences of the green finance reform.
Competencia en el mercado de crédito entre los bancos dominantes en México Méndez-Heras, Lizethe Berenice; Venegas-Martínez, Francisco; Linthon-Delgado, Diego Emilio
Revista mexicana de economía y finanzas = Mexican journal of economics and finance : REMEF,
9/2021, Letnik:
16, Številka:
TNEA
Journal Article
Recenzirano
Odprti dostop
Objetivo: Esta investigación mide el grado de competencia de los bancos que dominan el mercado del crédito en México en 2004-2016. Para ello se utiliza el enfoque no-estructural de las medidas de ...competencia con base en la teoría de la Nueva Organización Industrial Empírica (NOIE). Metodología: Se estima un modelo de ecuaciones simultáneas con Mínimos Cuadrados Generalizados en 2 Etapas (MCG2E) en datos panel para obtener el estadístico de variación conjetural, el cual mide el grado de coordinación entre los bancos. Resultados: La evidencia empírica obtenida sugiere que los bancos dominantes tienen un comportamiento oligopólico de Cournot en 2004-2016. Implicaciones: Contrario a lo que se esperaba, la investigación también sugiere que el aumento de las comisiones bancarias ha tenido un efecto positivo en la demanda del crédito. Originalidad: Hasta donde los autores saben no se ha realizado un estudio sobre la competencia en el mercado de crédito entre los bancos dominantes en México con base en la NOIE. Recomendaciones: Debido a lo anterior, se proponen en las conclusiones varias recomendaciones en materia de regulación prudencial para que se promueva una mayor competencia. Conclusiones: En el sector crediticio, los bancos en México tienen un elevado poder de mercado con altos márgenes financieros en un oligopolio de Cournot.
Abstract We study the effect of social connections between divisional managers and CEO on the scale and success of innovation activities in US diversified conglomerates. Divisional managers who ...previously worked or studied with the CEO file a greater number of patents during their tenure at the segment. These patents receive more citations in the future and represent a greater scientific and economic value. To provide causal support for our findings, we exploit plausibly exogenous variation in connections caused by CEO nonperformance‐related retirements. The difference‐in‐differences estimation shows that after the CEO leaves the office, connected segments experience a drop in the quantity and quality of innovation activities. The effect of connections to the CEO on innovation outcomes is stronger in firms with high internal information asymmetry. These findings can imply that social connections help to mitigate adverse selection problems associated with risky R&D investments.
PDF
