http://repub.eur.nl/res/concept/jel-E44/ Recent publications classified by JEL Code E44 en http://repub.eur.nl/static-eur/img/logo.png http://repub.eur.nl http://repub.eur.nl/res/pub/38199/ 2012-11-12T00:00:00Z This paper documents that speed is crucially important for high frequency trading strategies based on U.S. macroeconomic news releases. Using order level data of the highly liquid S&P500 ETF traded on NASDAQ from January 6, 2009, to December 12, 2011, we find that a delay of 300 milliseconds (1 second) significantly reduces returns by 3.08% (7.33%) compared to instantaneous execution over all announcements in the sample. This reduction is stronger in case of high impact news and on days with high volatility. In addition, we assess the effect of algorithmic trading on market quality around macroeconomic news. Increases in algorithmic trading activity have a positive (mixed) effect on market quality measures when we use algorithmic trading proxies that capture the top of the orderbook (full orderbook). Scholtus, M.L. Dijk, D.J.C. van Frijns, B.P.M. http://repub.eur.nl/res/pub/17699/ 2012-10-29T00:00:00Z The promotion and support of small and medium-sized enterprises (SMEs) forms an essential ingredient of the policies designed to help improve Europe’s economic performance. A key issue is whether SMEs face difficulty obtaining bank loans. Using pre-crisis survey data from 2005 and 2006 for nearly 3,500 SMEs (firms with fewer than 250 employees) in the European Union (EU), we investigate the determinants of perceived bank loan accessibility at the firm level and at the country level. Based on hierarchical (multi-level) binomial logit regressions, our findings show that the youngest and smallest SMEs have the worst perceptions regarding access to bank loans. The SMEs in nations with concentrated banking sectors are more positive about loan accessibility. In addition, a high fraction of foreign-owned banks is associated with improved perceptions regarding loan accessibility in the EU 15 but not in the EU 10. Canton, E.J.F. Grilo, I. Monteagudo, J. Zwan, P.W. van der http://repub.eur.nl/res/pub/37871/ 2012-10-25T00:00:00Z The promotion and support of small and medium-sized enterprises (SMEs) is an essential component of policies designed to help improve Europe's economic performance. A crucial issue is whether SMEs face difficulty obtaining bank loans. Using pre-crisis survey data from 2005 and 2006 for nearly 3,500 SMEs (firms with fewer than 250 employees) in the European Union (EU), we investigate the determinants of perceived bank loan accessibility at the firm level and at the country level. Based on hierarchical (multi-level) binomial logit regressions, our findings show that the youngest and smallest SMEs have the worst perception of access to bank loans. The SMEs in nations with concentrated banking sectors are more positive about loan accessibility. In addition, a high fraction of foreign-owned banks is associated with improved perception of loan accessibility in the EU 15 but not in the EU 10. Canton, E.J.F. Grilo, I. Monteagudo, J. Zwan, P.W. van der http://repub.eur.nl/res/pub/38197/ 2012-10-24T00:00:00Z This paper develops a general-equilibrium model of skill-biased technological change that approximates the observed shifts in the shares of wage and non-wage income going to the top decile of U.S. households since 1980. Under realistic assumptions, we find that all agents can benefit from the technology change, provided that the observed rise in redistributive transfers over this period is taken into account. We show that the increase in capital’s share of total income and the presence of capital-entrepreneurial skill complementarity are two key features that help support the wages of ordinary workers as the new technology diffuses Lansing, K.J. Markiewicz, A. http://repub.eur.nl/res/pub/38741/ 2012-03-01T00:00:00Z This article explores the consequences of financial liberalization policy on the banking sector in Bangladesh. Following a motivating portfolio selection theor-etical model on the impact of liberalization, it applies time series techniques with annual banking sector data for the period 1981-2008. The study suggests that the main objective of financial liberalization to promote domestic private savings by raising real interest rates has not worked. No significant positive correlation is observed between domestic private savings and the real deposit interest rate. Murshed, S.M. Robin, I.A. http://repub.eur.nl/res/pub/19732/ 2010-12-01T00:00:00Z This paper examines the relation between the Canadian dollar/US dollar (CAD) exchange rate and foreign exchange order flow employing a novel data set on CAD order flow over the period 1994–2005. We investigate empirically the predictive information content and the determinants of order flow. The results suggest that order flow has strong out-of-sample predictive power for CAD returns, yielding significant market timing ability and tangible economic gains in a stylized dynamic asset allocation context. In terms of its determinants, order flow appears to reflect not only the menu of macroeconomic variables typically suggested in the literature but is also closely related to commodity price fluctuations, as expected from a ‘commodity currency’. King, M. Sarno, L. Sojli, E. http://repub.eur.nl/res/pub/23936/ 2010-08-01T00:00:00Z We show that dispersion-based uncertainty about the future course of monetary policy is the single most important determinant of Treasury bond volatility across all maturities. The link between Treasury bond volatility and uncertainty about macroeconomic variables is much stronger than for the more traditional time series measures of macroeconomic volatility and adds beyond the information contained in lagged bond market volatility. Uncertainty about monetary policy subsumes the uncertainty about future inflation (consumer price index and the deflator) and economic activity (unemployment, real and nominal gross domestic product and industrial production). In addition, causality clearly runs one way: from monetary policy uncertainty to Treasury bond volatility. Vrugt, E.B. Arnold, I.J.M. http://repub.eur.nl/res/pub/18568/ 2010-04-01T00:00:00Z We study the effects of FOMC announcements of federal funds target rate decisions on individual stock returns, volatilities and correlations at the intraday level. For all three characteristics we find that the stock market responds differently to positive and negative target rate surprises. First, the average response to positive surprises (that is, bad news for stocks) is larger. Second, in case of bad news the mere occurrence of a surprise matters most, whereas for good news its magnitude is more important. These new insights are possible due to the use of high-frequency intraday data. Chulia-Soler, H. Martens, M.P.E. Dijk, D.J.C. van http://repub.eur.nl/res/pub/16300/ 2009-05-01T00:00:00Z We develop a new likelihood-based approach to sign trades in the absence of quotes. It is equally efficient as existing MCMC methods, but more than 10 times faster. It can deal with the occurrence of multiple trades at the same time, and noisily observed trade times. We apply this method to a high-frequency dataset of the 30Y U.S. treasury futures to investigate the role of the market maker. Most theory characterizes him as an uninformed passive liquidity supplier. Our results suggest that some market makers actively demand liquidity for a substantial part of the day and are informed speculators. Wel, M. van der Menkveld, A.J. Sarkar, A. http://repub.eur.nl/res/pub/7994/ 2006-10-06T00:00:00Z Anna Gutkowska obtained Masters Degrees in Quantitative Methods and in Finance and Banking at the Warsaw School of Economics, Poland. In October 1998 she joined the Econometric Institute at the Warsaw School of Economics. In 2001 she started the Ph.D. programme at the Erasmus Research Institute of Management (ERIM). Since February 2005 she has been working as an Assistant Professor in the Econometric Institute at the Warsaw School of Economics. Gutkowska, A.B. http://repub.eur.nl/res/pub/8073/ 2006-10-01T00:00:00Z Exchange rate returns are fat-tailed distributed. We provide evidence that the apparent non-normality derives from the behavior of macroeconomic fundamentals. Economic and probabilistic arguments are offered for such a relationship. Empirical support is given by testing against normality and through investigating the tail shapes of the fundamentals' distributions. The currently available data sets on floating exchange rates permit a clearer picture than the relatively short spans with macroeconomic data available previously. Cumperayot, P. Vries, C.G. de http://repub.eur.nl/res/pub/17273/ 2006-04-01T00:00:00Z We present and estimate a continuous time term structure model that incorporates observable macroeconomic variables and latent variables with a clear macroeconomic interpretation. Our model is able to accurately describe the joint dynamics for US macroeconomic variables and the yield curve. However, the observable variables do not explain the long end of the term structure. Central tendencies of these macroeconomic variables do a much better job in this respect. These unobservable factors also play an important role in the description of the interest rate policy rule. Both observable and non-observable factors determine the risk premia and hence bond excess holding returns. Dewachter, H.D.R. Lyrio, M. Maes, K. http://repub.eur.nl/res/pub/6651/ 2004-04-08T00:00:00Z This paper reviews the theoretical and empirical literature on links between domestic financial development and economic growth. It starts with the pioneers in this field and then classifies two main schools favouring liberal financial regimes. First McKinnon and Shaw advocated financial liberalization in a period of widespread government intervention in credit markets. After that a period of criticism of free market regimes followed, partly based on unsuccessful policies. The literature on financial development and endogenous growth pushed the discussion back into the direction initially advocated by McKinnon and Shaw. We review a huge body of empirical literature, which generally finds positive associations between domestic financial development and economic growth. The evidence suggests, however, enormous heterogeneity across countries, regions, financial factors, and directions of causality. Eschenbach, F.W. http://repub.eur.nl/res/pub/1163/ 2004-01-16T00:00:00Z This short paper addresses the strategic challenges of deposit banks, and payment clearinghouses, posed by the growing role of mobile operators as collectors and payment agents of flow of cash for themselves and third parties. Through analysis and data analysis from selected operators , it is shown that mobile operators achieve as money flow handlers levels of efficiency , profitability ,and risk control comparable with deposit banks – Furthermore , the payment infrastructures deployed by both are found to be quite similar , and are analyzed in relation to strategic challenges and opportunities This paves the way to either mobile operators taking a bigger role ,or for banks to tie up such operators to them even more tightly ,or for alliances/mergers to take place ,all these options being subject to regulatory evolution as analyzed as well . The reader should acknowledge that there is no emphasis on specific Mobile banking (M-Banking) technologies (security, terminals, application software) , nor on related market forces from the user demand point of view. Pau, L-F. http://repub.eur.nl/res/pub/324/ 2003-04-29T00:00:00Z This paper presents an essentially affine model of the term structure of interest rates making use of macroeconomic factors and their long-run expectations. The model extends the approach pioneered by Kozicki and Tinsley (2001) by modeling consistently long-run inflation expectations simultaneously with the term structure. This model thus avoids the standard pre-filtering of long-run expectations, as proposed by Kozicki and Tinsley (2001). Application to the U.S. economy shows the importance of long-run inflation expectations in the modelling of long-term bonds. The paper also provides a macroeconomic interpretation for the factors found in a latent factor model of the term structure. More specifically, we find that the standard "level" factor is highly correlated to long-run inflation expectations, the "slope" factor captures temporary business cycle conditions, while the "curvature" factor represents a clear independent monetary policy factor. Dewachter, H.D.R. Lyrio, M.