Global Financial Crisis
A signal from the Fed?
Posted on 18-08-2011 by Harry Hibbert | 0 comments
In the midst of global financial market turmoil and following the downgrade of its government’s credit rating in the previous week, the US Federal Reserve Bank announced on August 9th that it anticipated that the dismal state of the domestic economy and developed world growth prospects would “warrant exceptionally low levels for the federal funds rate at least through…
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The collapse of commodity prices - is anybody listening?
Posted on 23-06-2009 by Craig Turnbull | 0 comments
In March 2007 the Financial Services Authority published a report entitled ‘Growth in commodity investment’ in which they state:
‘...this [commodity] boom has mainly been caused by dramatic growth in demand (particularly from the rapidly developing economies of China and India); i.e. it is underpinned by what seem to be long-lasting fundamentals. It is widely…
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The impact of Quantitative Easing on longer-term government bond yields
Posted on 19-05-2009 by John Hibbert | 0 comments
Central banks have found it necessary to use non-conventional monetary policy methods in an attempt to stimulate the real macro economy. By purchasing assets, the central banks are now in a position where they can increase the wider supply of money directly.
Many had expected that quantitative easing policies would lead to lower yields on long-term nominal government bonds, as quantitative…
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Back to the Future - The past is not always indicative of the future
Posted on 18-05-2009 by Craig Turnbull | 0 comments
The science of predicting changes in near-term levels of risk and the persistence of those changes has developed a great deal over the last 30 years or so. This has generally focused on predicting short-term asset volatility and using these changes to make inferences about tails, rather than being directly focused on predicting the tails. This is natural as it is a more tractable mathematical problem,…
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What just happened? Some perspectives and their implications.
Posted on 03-05-2009 by Craig Turnbull | 0 comments
Perspective 1 (ex-post rationalist)
In recent years, risk, capital and leverage have been globalized and securitized in unprecedented ways. This has occurred at all levels of the economy. For example, at government level, foreign ownership of US government debt is at an all-time high, as is the overall level of the debt as a percentage of GDP. At the corporate financial services…Read More »
Misplaced reliance on sophisticated maths?
Posted on 31-03-2009 by John Hibbert | 0 comments
The UK regulator’s Turner report and comment in the financial press (Financial Times “Maths and markets” editorial, March 21) succeed in highlighting the important role of financial models to the financial services industry.…
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Did the equity tail just get fatter?
Posted on 31-03-2009 by John Hibbert | 0 comments
In Alan Greenspan's words: "We are in the midst of a once-in-a century credit tsunami". So, how are this year's equity price falls likely to look relative to the very long-term experience? This has clearly been an exceptional year for equity investors but where exactly does it sit relative to other really tough years for equity investors in the 1930s and 1970s?
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