There is a large body of research that indicates that international equity markets co-move over time. This co-movement manifests in various instruments, ranging from equities and bonds to soft commodities. However, this co-movement is more prevalent over crisis periods and can be seen in returns and volatility transmission effects. The recent financial crisis demonstrated that no local market is immune to transmission effects from international markets. South African financial market participants, such as investors and policymakers, have a vested interest in understanding how the equity market in particular and the economy in general react to international financial crises. This study aims to contribute an improved understanding of how the South African equity market interacts with international equity markets, by identifying the degree of price and volatility transmission before, during, and after an international financial crisis. This was done by investigating the possibility of changes in price and volatility transmissions from the Asian financial crisis (1997–1998), the dotcom bubble (2000–2001) and the more recent subprime financial crisis (2007–2009). An Exponential Generalized Autoregressive Conditional Heteroskedasticity (E-GARCH) model was employed within the framework of an Aggregate Shock model. The results indicate that during the international financial crises studied, the JSE All Share Index was directly affected through contagion effects inherent in the returns of the originating crisis country. Volatility transmissions during international financial crises came directly from the originating crisis country. Finally, the FTSE 100 Index was the main exporter of price and volatility transmission to the JSE All Share Index. / Thesis (M.Com. (Risk management))--North-West University, Potchefstroom Campus, 2012

Σκοπός της παρούσης διπλωματικής εργασίας είναι η μελέτη της αποδοτικότητας του κεφαλαίου -ως του κατ’ εξοχήν δείκτη που συνδυάζει το περιθώριο (ποσοστό) κέρδους με το επίπεδο της κεφαλαιακής συσσώρευσης- κατά το χρονικό διάστημα των πενήντα χρόνων από το 1960 μέχρι το 2009, και πώς συσχετίζεται η πορεία της αποδοτικότητας (επηρεάζει και διαμορφώνει) με την συσσώρευση κεφαλαίου. Ο δείκτης αφορά το σύνολο της ελληνικής οικονομίας, συμπεριλαμβάνει, δηλαδή, εκτός από τον ιδιωτικό-επιχειρηματικό παραγωγικό τομέα της ελληνικής οικονομίας, το κράτος και το χρηματιστηριακό τομέα. Μεθοδολογικά, το θέμα προσεγγίστηκε με την ιστορική περιγραφή των τάσεων, χωρίς να περιορίζεται όμως μόνο σε αυτή. Επικεντρώνεται, κυρίως, στη διερεύνηση των βασικών δεικτών που αποτυπώνουν την κατάσταση της οικονομίας κατά το παραπάνω διάστημα. Η παρουσίαση είναι περιγραφική και η προσπάθεια ερμηνείας των εξελίξεων που έλαβαν χώρα είναι περιορισμένη, δεδομένου ότι μπορούν να υποστηριχτούν πολλές και διαφορετικές απόψεις για το ίδιο θέμα. Φυσικά, όπου κρίνεται σκόπιμο, δεν αποφεύγουμε να σχολιάσουμε τις διάφορες εξελίξεις. Για την επίτευξη του παραπάνω στόχου ξεκινήσαμε την επεξεργασία από εκείνη των βασικών οικονομικών μεγεθών, όπως είναι το προϊόν, η μεταβολή του προϊόντος, και τις επενδύσεις. Συνδυάζοντας στη συνέχεια τα παραπάνω βασικά μεγέθη, επελέγησαν από την βιβλιογραφία, μέσα από το πλήθος των δεικτών των δυνάμενων να χρησιμοποιηθούν, και κάποιοι επιπλέον που αποσκοπούν στην εμβάθυνση της μελέτης -σχετικά με την αποδοτικότητα και τη συσσώρευση του κεφαλαίου. Για την πραγματοποίηση της εργασίας αυτής χρειάστηκε να συλλεχθούν εκείνα τα στατιστικά στοιχεία που βοηθούν στη διατύπωση των συγκεκριμένων μεγεθών τα οποία, με βάση την σχετική βιβλιογραφία, επελέγησαν. Για να μπορέσουμε να μελετήσουμε την μακροχρόνια πορεία και σχέση που υπάρχει μεταξύ των διαφόρων μεγεθών, καταφύγαμε στην Ελληνική Στατιστική Αρχή (ΕΛ.ΣΤΑΤ.) , στις ετήσιες εκθέσεις της ΙΝΕ/ΓΣΕΕ και στη βάση της AMECO , από όπου αντλήσαμε τα στατιστικά στοιχεία για εμπειρικά μεγέθη της ελληνικής οικονομίας. Η δομή της εργασίας έχει ως εξής: Στο πρώτο κεφάλαιο αναφέρεται σφαιρικά το θεωρητικό υπόβαθρο της μελέτης, δηλαδή γίνεται μια σύντομη ανάλυση της Μαρξικής θεωρίας των κρίσεων, που συνδέεται με την οργανική σύνθεση του κεφαλαίου και την υπερσυσσώρευση του κεφαλαίου. Εδώ, φαίνεται πώς προκύπτει ο δείκτης απόδοσης του κεφαλαίου, που αποτελεί και τον κεντρικό δείκτη της ανάλυσής μας. Στο δεύτερο κεφάλαιο επιχειρείται μια ιστορική αναδρομή, αναφέρονται δηλαδή οι κοινωνικές και οικονομικές προϋποθέσεις της καπιταλιστικής ανάπτυξης στην Ελλάδα κατά τη μεταπολεμική περίοδο, και τα χαρακτηριστικά της ελληνικής οικονομίας κατά τις δύο πρώτες μεταπολεμικές δεκαετίες. Στο τρίτο κεφάλαιο παρουσιάζονται οι δείκτες κεφαλαιακής συσσώρευσης και οικονομικής μεγέθυνσης, στους οποίους βασίζεται η μελέτη του ελληνικού καπιταλισμού κατά την τελευταία πεντηκονταετία. Το τέταρτο κεφάλαιο της παρούσης μελέτης αναφέρει τη μεθοδολογία που ακολουθήθηκε για την έρευνα, τις υποθέσεις που έγιναν και τους περιορισμούς της. Στο πέμπτο, μετά τη διαχρονική εξέλιξη των δεικτών, θα επιχειρήσουμε αφενός την περιοδολόγηση της διαδικασίας κεφαλαιακής συσσώρευσης και οικονομικής μεγέθυνσης της ελληνικής οικονομίας και αφετέρου τον εντοπισμό των παραγόντων που καθόρισαν τις τάσεις εξέλιξής της. Το συγκεκριμένο κεφάλαιο είναι αποτέλεσμα τόσο της στατιστικής επεξεργασίας των αντίστοιχων οικονομικών δεδομένων όσο και της συσχέτισης αυτών, με τελικό στόχο την ανάλυση της εικόνας της συσσώρευσης του κεφαλαίου της ελληνικής οικονομίας. Στο έκτο, παρουσιάζεται η διαχρονική μελέτη του κεντρικού δείκτη της ανάλυσής μας, r και πραγματοποιείται περαιτέρω διερεύνησή του σε συνδυασμό με την ανάλυση των άλλων δεικτών που τον επηρεάζουν. Γίνεται μια προσπάθεια σύνθεσης και συμπύκνωσης όλης της ανάλυσης στο δείκτη απόδοσης κεφαλαίου. Μελετώνται δηλαδή οι επιμέρους μεταβλητές που καθορίζουν το δείκτη. Αυτό βοηθά να γίνει η ανάλυση συστηματική – αξιοποιώντας καλύτερα τα επιμέρους στοιχεία της. Στο τελευταίο κεφάλαιο που περιλαμβάνει τα γενικά συμπεράσματα, διερευνώνται και σχολιάζονται τα αποτελέσματα που προέκυψαν από την παραπάνω επεξεργασία σχετικά με την εικόνα της ελληνικής οικονομίας. Γίνεται ένας γενικότερος σχολιασμός για τον καπιταλισμό σήμερα σε συνδυασμό με το θεωρητικό υπόβαθρο που αναλύθηκε στο πρώτο κεφάλαιο και τίθενται προβληματισμοί αναφορικά με τις πολιτικές που θα εφαρμοστούν παγκοσμίως, παίρνοντας έτσι θέση στον πλούσιο διάλογο που υπάρχει. Επιπλέον, προτείνονται κάποια θέματα για περαιτέρω διερεύνηση, όπως προέκυψαν από την έρευνα. / The aim of the present thesis is the study of net fixed capital return - as the indicator that combines the profit margin (percentage) with the level of the accumulation of capital – during the period of fifty years from 1960 to 2009, and how the course of net fixed capital return (it influences and shapes) is connected with the accumulation of capital. The indicator concerns the total Greek economy; includes, that is to say, apart from the private-enterprising productive sector of Greek economy, the state and the Stock Exchange sector. Methodologically, the issue was approached with the historical description of trends, without being limited however only in this. It focuses, mainly, on the exploration of key indicators that reflect the state of the economy during the above period. The presentation is descriptive and the effort of the interpretation of the development that took place is limited, since a lot of and different opinions for the same subject can be supported. Certainly, where it is judged advisable, we do not avoid commenting the various developments. To achieve the above goal, we began the analysis from that of the basic economic indicators, such as the product, the change of product, and the investments. Combining then these key indicators, through the crowd of indicators that can be used, someones in additon were selected from the literature that aim in the deepening of study - with regard to the efficiency and the accumulation of capital. To carry out this work, those statistical data that helped in the formulation of particular indicators were collected. In order to study the long-lasting course and the relation among various indicators, we resorted in Hellenic Statistical Authority (EL.STAT.) , in the annual reports of National Workers' Union of Greece and in the base of AMECO , from where we drew the statistical elements for empiric indicators of Greek economy. The structure of the study is as follows: The first chapter deals comprehensively the theoretical background of the study, which is a brief analysis of the Marxian theory of crisis associated with the organic composition of capital and the over-accumulation of capital. Here, it appears how the indicator of net fixed capital return, which constitutes the central indicator of our analysis, results. In the second chapter a historical retrospection is attempted, that is to say the social and economic conditions of capitalistic growth in Greece at the postwar period and the characteristics of Greek economy at the two first postwar decades are reported. In the third chapter the indicators of the accumulation of capital and economic growth are presented, on which the study of Greek capitalism at the last fifty-year period is based. The fourth chapter of present study reports the methodology that was followed for the research, the assumptions and its restrictions. In the fifth, after the diachronic course of indicators, we attempted both the periodisation of the process of the accumulation of capital and economic growth of Greek economy and the localisation of factors that determined the development trends. This particular chapter is the result of the statistical analysis of the corresponding economic data and of the correlation of these, with a view to analysing the course of the accumulation of capital of Greek economy. In the sixth, the diachronic study of central indicator of our analysis, r is presented and its further investigation is realised in combination with the analysis of the other indicators that affect it. An attempt of composition and condensation of the whole analysis in the indicator of net fixed capital return is made. That is to say, the individual variables that determine the indicator are studied. That helps to make a systematic analysis through better use of the individual elements. In the last chapter that includes the general conclusions, the results of the above processing on the image of the Greek economy are investigated and discussed. A more general commentary on capitalism today is made in conjunction with the theoretical background explained in the first chapter and we put concerns regarding the policies to be implemented globally, thereby taking place in the rich dialogue that exists. In addition, there are some issues for further investigation, which emerged from the investigation.

This thesis examines debt maturity and trade credit in public and private firms. It consists of three essays that try to answer the following questions: Does the IPO decision affect the debt maturity structure of a firm? Do private firms use more or less trade credit than public firms? Does the supplier's listing status affect its trade credit provision? The first essay investigates the effect of an initial public offering (IPO) on the evolution of debt maturity structure using a sample of U.S. firms that went public during the period 1998-2011. I find that firms decrease their short-term debt by 19% in the first two years after the IPO and decrease it post-IPO, by about 7% relative to the pre-IPO level. These results continue to hold in a sample of new debt issues, in a difference-in-difference regression of IPO and non-IPO firms, in a treatment regression to account for endogeneity of the IPO decision, and in an instrumental variable regression to control for the joint determination of leverage and debt maturity. Further results show that the decline in short-term debt post-IPO is consistent with the asymmetric information and agency costs of equity theories and inconsistent with the agency costs of debt theory. I also find that the IPO effect on debt maturity was magnified during the recent financial crisis. The second essay explores the use of trade credit by public and private firms using a sample of U.S. firms during the period 1995-2012. Evidence shows that private firms use more trade credit by about 40.4% than public firms. This result is robust to models accounting for sample selection and for the endogeneity associated with a firm's decision to go public. In line with the asymmetric information and credit constraints theories, private firms that are young, have more growth opportunities, and fewer tangible assets rely more on trade credit than their public counterparts. Compared to private firms, public firms are faster in adjusting toward their target trade credit due to their lower adjustment costs. I also find that during the recent financial crisis, public firms increased their reliance on trade credit, while, suppliers granted private firms less trade credit. The third essay examines the supply side of trade credit; more specifically, the impact of a supplier's listing status on its trade credit provision using a sample of U.S. firms during the period 1994-2012. The findings show that public firms provide nearly a quarter more trade credit than their private counterparts. I propose that this is because public firms have higher financial capability, better ability in handling the trade credit process, and in enforcing payments and contract terms, than private firms. I rule out that the endogeneity of the listing decision and the observable differences between public and private firms have driven my earlier results. Additional tests show that firm characteristics, industries types, and level of competition, have a significant impact on the level of trade credit provided by public and private firms. The results also indicate that both types of firms provided less trade credit during the recent financial crisis.

Banks as financial institutions play an important role in the lives of people by facilitating the flow of funds and ensuring the stability of the global economy. Recently, the world economy witnessed various financial shocks that escalated into a financial crisis between 2007 and 2009. Moral hazard, scandals, and collapses of financial institutions caused many to lose their trust on the current financial system that emphasizes profit maximization and high risk taking instead of working to keep the economy stable and healthy. This has caused many researchers to search for new alternative ways of managing the financial system, and one such alternative is social banking.   Social banks are financial institutions that differ from conventional banks by emphasizing social responsibility values instead of only focusing on profitability. There are several key differences between social and conventional banks, such as differences in asset allocation, the involvement of stakeholders in decision-making, higher levels of transparency, and additional social screening of loan applicants and investment opportunities. The purpose of social banks is to channel funds from socially-minded investors to borrowers with the right motivations.   The main purpose of this research paper is to investigate whether social banks differ from conventional banks in terms of their financial performance overall and during the financial crisis. In order to achieve this, we have adopted a quantitative strategy and gathered data from ten social and ten conventional banks from various European countries. We have used several financial ratios to measure their profitability, liquidity, and default risk, and performed linear regression to estimate the coefficients to test whether being social or conventional has an effect on these bank performance measures.   The results of our analysis reveal that, while conventional banks were able to achieve higher profitability than social banks both overall and during the financial crisis, social banks managed to maintain better liquidity than conventional banks on both occasions. Our results also reveal that social banks overall had lower risk of default than conventional banks.   Based on our results we cannot conclude that the social banking system is inherently better in all aspects than the conventional banking system. We can, however, note that social banks do have certain advantages such as better liquidity, and this suggests that the overall stability of the financial system could potentially be improved by conventional banks adopting some of the more successful practices of social banks, such as more careful screening of loan applicants and investment opportunities.

The theme of this thesis is the impact of crisis on the market of building society in the Czech Republic. The main aim of thesis is to analyze the impact of crisis on the market of building society. The theoretical part describes the concept of financial crisis, the kinds of financial crises and overview of the history of financial crises. It also describes the contemporaneous crisis and its causes. This section also provides information about the basic concepts, process and legislative conditions of building society. At the end of this part are described history of building society and the development of building society market in the Czech Republic. In the practical part is analyzed the impact of crisis on the market of building society in the Czech Republic. It includes an analysis of the economic environment in the Czech Republic and the analysis of business and financial indicators. In conclusion of the practical part is the summary and evaluation of the impact of crisis on the market of building society. The result of this part confirms that the main impact of crisis on the market of building society in Czech Republic is a decrease of client demand.

[pt] A hipótese de que existe um problema grave de moral hazard no mercado de dívida soberana induzido pelo FMI é uma parte essencial do diagnóstico corrente das deficiências do sistema financeiro internacional. O mesmo pode ser dito em relação ao papel central que essa hipótese ocupa nas propostas de reformulação do sistema. A literatura empírica que avalia essa hipótese, contudo, apresenta suporte ambíguo à tese e os resultados não são definitivos. Aplicamos a metodologia de teste desenvolvida em Dell´Ariccia et al. (2002) à crise da Argentina de 2001 e realizamos dois outros testes da hipótese. Analisamos suas implicações teóricas, realizando, adicionalmente, uma extensão do modelo de Spiegel (2000) para interpretar o problema de moral hazard no mercado dívida soberana. Nossos resultados acrescentam evidência contrária à hipótese de moral hazard, mas estão sujeitos, assim como o restante da literatura, a um problema de interpretação. / [en] The hypothesis that there exists a significant problem of moral hazard induced by the IMF in the international loan market is an essential ingredient of the diagnosis of the deficiencies of the international financial system. The same applies to the current proposals to restructure the system. The literature presents ambiguous support to this thesis and the results are, in our view, not definitive. We apply the methodology developed by Dell Ariccia et al. (2002) to the Argentinean crisis in 2001 and carry out two other tests of the referred hypothesis. We also investigate its theoretical implications, extending Spiegel s (2000) model to interpret the problem of moral hazard in the international loan market. The results of this study provide additional evidence against the moral hazard hypothesis. There is, although, a caveat that we share with the rest of the literature that regards an identification hypothesis. We argue that it is not so important for the results presented in this study.

This paper evaluates the impact of a large macroeconomic shock on poverty. In particular, we use longitudinal data from the European Survey on Income and Living Conditions (EU-SILC) comprising almost two million individuals from 29 European countries in order to quantify changes in poverty transition patterns caused by the 2007 global financial crisis. Because the crisis was largely unforeseeable, it provides an appealing natural experiment allowing us to isolate the causal effect of a substantial macroeconomic shock on poverty. Employing semiparametric mixed discrete time survival analysis, we find that conditional poverty entry hazards increased temporarily by 13.4% during the crisis, while post-crisis they are estimated to be 15.7% lower than before. Not only entry hazards have decreased, also conditional exit hazards are estimated to be 31.4% lower post-crisis compared to before. Ceteris paribus, the crisis therefore has made it more difficult to slip into poverty, yet those who were already poor face substantially lower prospects to escape. Exploring determinants of poverty transitions, we find that being retired, having a permanent job, owning one's dwelling instead of renting it, age, marital status, and household size are the most important protective factors against poverty. Finally, we show that mostly a housing cost overburden seems to be responsible for the persistence of poverty. / Series: INEQ Working Paper Series

Credit rating is an important financial indicator of the debtor's ability to repay the debt duly and on time and it is expressed in a simple form of credit score. It has been talked about the issue of credit rating particularly in context of the financial crisis 2008 because of the failure of credit rating agencies and their contribution to global dimensions of the crisis. This thesis critically assesses the European legal regulation of credit rating in the light of 2008 financial crisis. The evaluation is carried through an economic analysis of law while also using the knowledge of behavioural economics, so that efficiency of both individual provisions and legal regulation as a whole is examined. The fundamental problem of current regulation is its ambiguity, as on the one hand it promotes greater institutionalization of credit rating and on the other hand it promotes greater market discipline of financial market participants. This dichotomy is inefficient because it does not provide for clear incentives neither for investors, nor for issuers or credit rating agencies. Key finding of this thesis is that credit rating regulation would be more efficient if it was aimed exclusively at supporting market discipline. It is important to draw conclusions from analysis of the efficiency of current...

In this paper, we analyse the relation between financial system and financial crises. Our goal is to find how, on the one hand, changes in the financial system affect the prospects for financial crises and, on the other hand, how the occurrence of financial crises shape the core elements of the financial system. We start by defining the financial crisis from three different perspectives. After it, we present the comprehensive history of financial crises that will allow us to continue by drawing some common patterns that are universal. Universal patterns in crises give us the ground for contemplating on some universal policy responses where we again follow different approaches. Taking into account the specifics of modern times and using the young and promising economy based on the blockchain, we are asking the question is this time different?. Analysis of initial development steps in the digital, trustless world gives us the basis for drawing parallels with the reality and the history. Our results suggest that there are many similarities throughout history and between the real and digital world. Instead of providing an exact answer on the question is this time different we conclude that there is a present strong feeling of Deja vu.

This dissertation adresses financialization – the increasing role of financial activities in the overall economy – in Sweden in 1900-2013. The focus is on the long run relationships between private debt, asset markets, inequality and financial crisis during this period. In line with established scholarship, the present study finds that changes in bank debt had a positive impact on the probability of financial crisis in Sweden. Functional income distribution between profits and wages was an underlying factor influencing the formation of bank debt levels through its impact on collateral in stock markets. Expenses related to the Swedish welfare state – the size of the public sector, government investment and housing construction – had a long run relationship with the wage share. The welfare state has been an effective counter-measure not just against a high profit share, but also against financialization. Moreover, the dissertation shows that the recent era of financialization in Swedish capitalism is not unique in kind. Rather, recent financialization is very similar to the macroeconomic situation during the early decades of the 20th Century. These findings are consistent with much of heterodox economic theory, in particular the Neo-Marxist approach. / <p>At the time of the doctoral defense, the following papers were unpublished and had a status as follows: Paper 3: Manuscript. Paper 4: Manuscript.</p>