African University of Science and Technology: Recent submissions

Now showing items 1001-1020 of 4828

  • The new Basel accord and developing countries: problems and alternatives 

    Ward, Jonathan (CFAP, Cambridge Judge Business School, University of Cambridge, 2002)
    The new Basel Accord framework relies on markets and supervisors to discipline banks. Yet both markets and supervisors fail, and more so in developing countries than in high-income countries. Therefore, the new Accord is ...

  • Economic slowdown in the US, rehabilitation of fiscal policy and the case for a co-ordinated global reflation 

    Izurieta, Alex (CFAP, Cambridge Judge Business School, University of Cambridge, 2003)

  • International financial contagion: what do we know? 

    Dungey, Mardi; Tambakis, Demosthenes N (CFAP, Cambridge Judge Business School, University of Cambridge, 2003-07)
    This paper attempts a synthesis of theoretical and empirical work on international financial contagion. Although a professional consensus on the appropriate definitions of contagion has yet to emerge, we document substantial ...

  • Two-country stock-flow-consistent macroeconomics using a closed model within a dollar exchange regime 

    Godley, Wynne; Lavoie, Marc (CFAP, Cambridge Judge Business School, University of Cambridge, 2003)

  • Empirical modelling of contagion: a review of methodologies 

    Dungey, Mardi; Fry, Renee; Gonzalez-Hermosillo, Brenda; Martin, Vance L (CFAP, Cambridge Judge Business School, University of Cambridge, 2003-10)
    The existing literature promotes a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. ...

  • Regulating financial conglomerates 

    Freixas, Xavier; Lóránth, Gyöngyi; Morrison, Alan D (CFAP, Cambridge Judge Business School, University of Cambridge, 2005)
    We investigate the optimal regulation of financial conglomerates which combine a bank and a non-bank financial institution. The conglomerate’s risk-taking incentives depend upon the level of market discipline it faces, ...

  • Testing for changing persistence in US treasury on/off spreads under weighted-symmetric estimation 

    Smith, L Vanessa; Tambakis, Demosthenes N (CFAP, Cambridge Judge Business School, University of Cambridge, 2010)
    We extend the recursive break test procedure of Leybourn et al. by using weighted-symmetric estimation to detect a single change in time series persistence. An application to U.S. Treasury bond on/off spreads finds a ...

  • Features of a realistic banking system within a post-Keynesian stock-flow consistent model 

    Godley, Wynne; Lavoie, Marc (CFAP, Cambridge Judge Business School, University of Cambridge, 2004)

  • Simple open economy macro with comprehensive accounting a radical alternative to the Mundell Fleming model 

    Godley, Wynne; Lavoie, Marc (CFAP, Cambridge Judge Business School, University of Cambridge, 2004-04)
    This paper presents a stock flow model of two economies (together comprising the whole world) which trade goods and financial assets with one another. The accounting framework, though comprehensive in its own terms, is ...

  • Credit risk transfer and financial sector performance 

    Wagner, Wolf; Marsh, Ian (CFAP, Cambridge Judge Business School, University of Cambridge, 2004)
    In this paper we study the impact of credit risk transfer (CRT) on the stability and the efficiency of a financial system in a model with endogenous intermediation and production. Our analysis suggests that with respect ...

  • Aggregate liquidity shortages, idiosyncracic liquidity smoothing and banking regulation 

    Wagner, Wolf (CFAP, Cambridge Judge Business School, University of Cambridge, 2005)
    This paper develops a model of banking fragility driven by aggregate liquidity shortages. Inefficiencies arise because liquidity smoothing across banks breaks down when there is such a shortage, causing unnecessary and ...

  • Finance and technical change: a neo-Schumpeterian perspective 

    Perez, Carlota (CFAP, Cambridge Judge Business School, University of Cambridge, 2004)

  • Corporate governance and banking regulation 

    Alexander, Kern (CFAP, Cambridge Judge Business School, University of Cambridge, 2004-06)
    The globalisation of banking markets has raised important issues regarding corporate governance regulation for banking institutions. This research paper addresses some of the major issues of corporate governance as it ...

  • Towards a reconstruction of macroeconomics using a stock flow consistent (SFC) model 

    Godley, Wynne (CFAP, Cambridge Judge Business School, University of Cambridge, 2004-05)
    This paper aims to rehabilitate “stock flow consistent” (SFC) macroeconomics as a radical alternative to the neo-classical approach which has dominated the subject during the last thirty years. Commercial banks are reckoned ...

  • Simple open economy macro with comprehensive accounting: a two country model 

    Godley, Wynne; Lavoie, Marc (CFAP, Cambridge Judge Business School, University of Cambridge, 2005-02)
    This paper presents a stock flow model of two economies (together comprising the whole world) which trade goods and financial assets with one another. The accounting framework, though comprehensive in its own terms, is ...

  • Synchronisation of financial crises 

    Dungey, Mardi; Jacobs, Jan P A M; Lestano (CFAP, Cambridge Judge Business School, University of Cambridge, 2005-08)
    This paper develops concordance indices for studying the simultaneous occurrence of financial crises. The indices are designed to cope with these typically low incidence events. This leads us to confine attention to ...

  • Credit derivatives, the liquidity of bank assets and banking stability 

    Wagner, Wolf (CFAP, Cambridge Judge Business School, University of Cambridge, 2005)
    The emerging markets for credit derivatives have improved the liquidity of bank assets by providing banks with various new possibilities for selling and hedging their risks. This paper examines the consequences for banking ...

  • Credit derivatives and sovereign debt 

    Goderis, Benedikt; Wagner, Wolf (CFAP, Cambridge Judge Business School, University of Cambridge, 2005-10)
    We study the introduction of credit protection on sovereign debt. We find that such protection reduces debtor moral hazard by allowing a bonghokder to improve his position in negotiations with the sovereign. Moreover, ...

  • Endogenous Market Turbulence 

    Tambakis, Demosthenes N (CFAP, Cambridge Judge Business School, University of Cambridge, 2006-04)
    In this paper I study a nonlinear feedback trading model which can generate stable, unstable, turbulent or chaotic asset returns depending on market conditions. The dynamics are driven by the stochastic price impact of net ...

  • The US treasury market in August 1998: untangling the effects of Hong Kong and Russia with high frequency data 

    Dungey, Mardi; Goodheart, Charles; Tambakis, Demosthenes N (CFAP, Cambridge Judge Business School, University of Cambridge, 2005-09)
    The second half of August 1998 was dominated by two events. From 14 to 28 August, the Hong Kong Monetary Authority (HKMA) intervened in the Hong Kong equity markets to prevent a speculative double play against their ...