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Volume 96 of Contemporary studies in economic and financial analysis provides further insights to post-crisis developments in the global economic and financial environment. Risk management post financial crisis : a period of monetary easing includes papers from leading authors from central banks, world-renowned universities and international organisations. Topics and issues addressed by this volume include: an overview of advances in risk management in the post financial crisis environment, the impact that complexity present in financial returns now plays in measuring reporting and risk, the role that sentiment and herding plays in distorting prices in financial markets, the pro-cyclical impact of Basel III including effects on capital requirements and bank balance sheets, central bank monetary policies and bank liquidity in a world without quantitative easing, credit risk assessment and bank lending, and changes in the structure of international financial markets, including the rise and impact of financial markets in China and those financial products denominated in RMB.
Introduction to risk management post financial crisis : a period of monetary easing / Jonathan A. Batten, Niklas F. Wagner -- Complexity analysis and risk management in finance / Charilaos Mertzanis -- The effects of macroeconomic news announcements during the global financial crisis / Pilar Abad, Helena Chuliá -- The pro-cyclical impact of Basel III regulatory capital on bank capital risk / Guoxiang Song -- Nonparametric expectile regression for conditional autoregressive expected shortfall estimation / Marcelo Brutti Righi, Yi Yang, Paulo Sergio Ceretta -- The impact of external shocks on stock prices in the East Asian domestic banking sector / Masahiro Inoguchi -- Measuring financial integration : evidence from ten industries in a "US-emerging world" / Michael Donadelli -- Will quantitative easing enhance or drain the availability of funds to financial markets? / Yasushi Suzuki -- Money demand causality for ten Asian countries : evidence from linear and nonlinear causality tests / Ahdi Noomen Ajmi, Nicholas Apergis -- Product market competition and inflation persistence / Amr Sadek Hosny -- Unlocking credit / Ike Mathur, Isaac Marcelin -- Monetary policy and bank liquidity in China / Nan Shi, Xin Sun, Fan Zhang -- Monetary policy and bank credit risk in Vietnam pre and post global financial crisis / Xuan Vinh Vo, Phuc Canh Nguyen -- Analysis of factors influencing and controlling excess cash and short-term bank loans in Taiwan / Ma-Ju Wang, Yi-Ting Chang -- Bank competition, managerial efficiency and the interest rate pass-through in India / Jugnu Ansari, Ashima Goyal -- Financial architecture and monetary policy transmission mechanism in Kenya / Roseline Nyakerario Misati, Alfred Shem Ouma, Kethi Ngoka-Kisinguh -- The dim sum bond market in Hong Kong / Ike Mathur, Soumen De -- Sentiment and beta herding in the Borsa Istanbul (BIST) / Nazmi Demir, Syed F. Mahmud, M.Nihat Solakoglu -- Testing for rational speculative bubbles in the Brazilian residential real-estate market / Marcelo M. de Oliveira, Alexandre C.L. Almeida -- Challenges in the application of extreme value theory in emerging markets : a case study of Pakistan / Jamshed Y. Uppal, Syeda Rabab Mudakkar.
edited by Niklas F. Wagner, Jonathan A. Batten.
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Contemporary studies in economic and financial analysis ; v. 96