In this study, we developed multivariate model for the study of the impact of treasury single account (TSA) on the performance of banks in Nigeria. From the study, we discovered that there was no significant differenc...In this study, we developed multivariate model for the study of the impact of treasury single account (TSA) on the performance of banks in Nigeria. From the study, we discovered that there was no significant difference between the period before and after the introduction of the TSA policy on the performance of banks in Nigeria. In Diamond Bank Nigeria Plc, we observed that there were negative relationships between liquidity ratio and capital adequacy with correlation coefficient of -0.093;liquidity ratio and credit to customers with correlation coefficient of -0.312;capital adequacy and credit to customers with correlation coefficient of -0.176. On the other hand, from the analysis on first bank, we observed that there were both positive and fairly strong relationships between the liquidity ratio and capital adequacy with correlation coefficient of 0.626;negative relationship between liquidity ratio and credit to customers with correlation coefficient of -0.880 and finally, negative relationship between capital adequacy and credit to customers with correlation coefficient of -0.165.展开更多
The college textbooks Treasury management is an important part of the whole teaching management. It is not only to thousands of materials properly stored reserves, but also in the warehouse operation planning, strengt...The college textbooks Treasury management is an important part of the whole teaching management. It is not only to thousands of materials properly stored reserves, but also in the warehouse operation planning, strengthen treasury management is important to ensure the stability of school teaching order.展开更多
China should be cautious when buying U.S. Treasury bonds, experts say Despite the global credit crunch,China increased its U.S.Treasury bonds holdings to$541 billion by the end
The yield on the 10-year U.S.Treasury Note is among the most cited interest rates by investors,policymakers,and financial institutions.We show that the 10-year Treasury yield’s forward-looking volatility,a VIX-style ...The yield on the 10-year U.S.Treasury Note is among the most cited interest rates by investors,policymakers,and financial institutions.We show that the 10-year Treasury yield’s forward-looking volatility,a VIX-style measure that is a proxy for uncertainty about future interest rates,is a useful state variable capable of predicting the returns and volatility of crude oil prices over the near term.Using monthly data from 2003 to 2020,we document that higher implied volatility in the 10-year U.S.Treasury derivatives market predicts declining oil prices and higher forward-looking volatility in those prices.Our results are robust to different subsamples and various empirical designs.展开更多
After the decoupling of the US dollar from gold in 1971,US Treasuries replaced gold as the value benchmark of the international monetary system and acquired an exorbitant privilege.Subsequently,the total amount of US ...After the decoupling of the US dollar from gold in 1971,US Treasuries replaced gold as the value benchmark of the international monetary system and acquired an exorbitant privilege.Subsequently,the total amount of US debt exhibited an exponential expansion trend,unbound by any substantial constraints.The so-called debt ceiling is a partisan game rather than a rigid fiscal constraint on the United States.As long as there are no fundamental changes in the global monetary system,the international credit of US Treasuries will stay stable,and their trend of infinite expansion will be sustained.Massive quantitative easing policies have failed to significantly shake this stability,and the notion of global investors offloading US Treasuries is more an illusion than a fact.The exorbitant privilege of US Treasuries grants its federal government the“freedom to borrow,”shielding the American financial sector from due penalties during global financial crises and securing excessive returns in global capital cycles.In the old days when running“twin surpluses”on capital and current accounts,China kept the value of Renminbi low to support its export manufacturing sector along the southeast coast.As a result,China accumulated huge foreign exchange reserves,mainly US Treasuries.Nowadays,this practice is no longer necessary,yielding low returns and posing significant security risks.展开更多
We provide empirical evidence supporting the economic reasoning behind the impossibility of diversification benefits and the hedge attributes of cryptocurrencies remaining in force during the downside trends observed ...We provide empirical evidence supporting the economic reasoning behind the impossibility of diversification benefits and the hedge attributes of cryptocurrencies remaining in force during the downside trends observed in bearish financial markets.We employ a spillover connectedness model driven by time-varying parameter vector autoregressions on daily data covering January 2018 to November 2022 to analyze spillover transmissions between conventional and digital markets,focusing on the role of stablecoin issuances.We study the stock,bond,cryptocurrency,and stablecoin markets and find very high connectedness,which varies over time in response to up/down trends in financial markets.The results show that during financial turmoil,cryptocurrencies amplify downside risks rather than serve as diversifiers.In addition to risky assets from conventional financial markets,cryptocurrencies champion the transmission of spillovers to digital and conventional markets.In contrast,changes in stablecoin issuances produce few shocks because of their pegged prices,but they facilitate investors’switch from volatile cryptos to more stable digital instruments;that is,we observe a phenomenon designated by us as the“flight-to-cryptosafety.”We draw insightful conclusions,provoking new thinking regarding portfolio hedge strategies that could potentially benefit investors when searching for less volatile investment performance.展开更多
We forecast realized volatilities by developing a time-varying heterogeneous autoregressive(HAR)latent factor model with dynamic model average(DMA)and dynamic model selection(DMS)approaches.The number of latent factor...We forecast realized volatilities by developing a time-varying heterogeneous autoregressive(HAR)latent factor model with dynamic model average(DMA)and dynamic model selection(DMS)approaches.The number of latent factors is determined using Chan and Grant's(2016)deviation information criteria.The predictors in our model include lagged daily,weekly,and monthly volatility variables,the corresponding volatility factors,and a speculation variable.In addition,the time-varying properties of the best-performing DMA(DMS)-HAR-2FX models,including size,inclusion probabilities,and coefficients,are examined.We find that the proposed DMA(DMS)-HAR-2FX model outperforms the competing models for both in-sample and out-of-sample forecasts.Furthermore,the speculation variable displays strong predictability for forecasting the realized volatility of financial futures in China.展开更多
The question of the amount of the First Sino-Japanese War indemnity involves three main elements： Japan＇s military expenditure on the war, China＇s actual payment, and the actual amount Japan received. On all of the...The question of the amount of the First Sino-Japanese War indemnity involves three main elements： Japan＇s military expenditure on the war, China＇s actual payment, and the actual amount Japan received. On all of these issues, there have always been considerable differences between Chinese and Japanese scholars. In this study, we analyze relevant archives and documents and the main scholarly work in both China and Japan and provide a detailed discussion of several scholarly points of views and their basis, and examine the pre- and postwar exchange rates between the yen, the Chinese treasury standard （Kuping） silver tael, and the pound sterling, taking account of the fluctuating value of the yen before and after the war. On this basis, we calculate that Japan＇s actual military spending on the war was no more than 125 million yen, while the actual payments by the Qing government, converted to pounds sterling and then to yen, totaled 358.36 million yen. Japan extorted 233.36 million yen from China, or three times Japan＇s total annual revenue at the time.展开更多
This study revisits the Fisher effect using a different empirical method that considers a potential nonlinear relationship between interest rates(treasury bond rates)and inflation in China.The rising uncertainty and a...This study revisits the Fisher effect using a different empirical method that considers a potential nonlinear relationship between interest rates(treasury bond rates)and inflation in China.The rising uncertainty and asymmetric information in financial markets between bond holders and bond issuers suggest such a potential nonlinear relationship.To this aim,we apply Shin et al.'s(2014)nonlinear autoregressive distributed lag(NARDL)model with asymmetric dynamic multipliers for the sample period 2002M7-2018M4.The empirical findings reveal symmetric and asymmetric partial Fisher effects for all sample bond rates in China.Furthermore,we find that 20-year bond rates experience the lowest partial Fisher effect.展开更多
文摘In this study, we developed multivariate model for the study of the impact of treasury single account (TSA) on the performance of banks in Nigeria. From the study, we discovered that there was no significant difference between the period before and after the introduction of the TSA policy on the performance of banks in Nigeria. In Diamond Bank Nigeria Plc, we observed that there were negative relationships between liquidity ratio and capital adequacy with correlation coefficient of -0.093;liquidity ratio and credit to customers with correlation coefficient of -0.312;capital adequacy and credit to customers with correlation coefficient of -0.176. On the other hand, from the analysis on first bank, we observed that there were both positive and fairly strong relationships between the liquidity ratio and capital adequacy with correlation coefficient of 0.626;negative relationship between liquidity ratio and credit to customers with correlation coefficient of -0.880 and finally, negative relationship between capital adequacy and credit to customers with correlation coefficient of -0.165.
文摘The college textbooks Treasury management is an important part of the whole teaching management. It is not only to thousands of materials properly stored reserves, but also in the warehouse operation planning, strengthen treasury management is important to ensure the stability of school teaching order.
文摘China should be cautious when buying U.S. Treasury bonds, experts say Despite the global credit crunch,China increased its U.S.Treasury bonds holdings to$541 billion by the end
文摘The yield on the 10-year U.S.Treasury Note is among the most cited interest rates by investors,policymakers,and financial institutions.We show that the 10-year Treasury yield’s forward-looking volatility,a VIX-style measure that is a proxy for uncertainty about future interest rates,is a useful state variable capable of predicting the returns and volatility of crude oil prices over the near term.Using monthly data from 2003 to 2020,we document that higher implied volatility in the 10-year U.S.Treasury derivatives market predicts declining oil prices and higher forward-looking volatility in those prices.Our results are robust to different subsamples and various empirical designs.
文摘After the decoupling of the US dollar from gold in 1971,US Treasuries replaced gold as the value benchmark of the international monetary system and acquired an exorbitant privilege.Subsequently,the total amount of US debt exhibited an exponential expansion trend,unbound by any substantial constraints.The so-called debt ceiling is a partisan game rather than a rigid fiscal constraint on the United States.As long as there are no fundamental changes in the global monetary system,the international credit of US Treasuries will stay stable,and their trend of infinite expansion will be sustained.Massive quantitative easing policies have failed to significantly shake this stability,and the notion of global investors offloading US Treasuries is more an illusion than a fact.The exorbitant privilege of US Treasuries grants its federal government the“freedom to borrow,”shielding the American financial sector from due penalties during global financial crises and securing excessive returns in global capital cycles.In the old days when running“twin surpluses”on capital and current accounts,China kept the value of Renminbi low to support its export manufacturing sector along the southeast coast.As a result,China accumulated huge foreign exchange reserves,mainly US Treasuries.Nowadays,this practice is no longer necessary,yielding low returns and posing significant security risks.
基金Fundacão para a Ciencia e a Tecnologia(Grant No.UIDB/04521/2020).
文摘We provide empirical evidence supporting the economic reasoning behind the impossibility of diversification benefits and the hedge attributes of cryptocurrencies remaining in force during the downside trends observed in bearish financial markets.We employ a spillover connectedness model driven by time-varying parameter vector autoregressions on daily data covering January 2018 to November 2022 to analyze spillover transmissions between conventional and digital markets,focusing on the role of stablecoin issuances.We study the stock,bond,cryptocurrency,and stablecoin markets and find very high connectedness,which varies over time in response to up/down trends in financial markets.The results show that during financial turmoil,cryptocurrencies amplify downside risks rather than serve as diversifiers.In addition to risky assets from conventional financial markets,cryptocurrencies champion the transmission of spillovers to digital and conventional markets.In contrast,changes in stablecoin issuances produce few shocks because of their pegged prices,but they facilitate investors’switch from volatile cryptos to more stable digital instruments;that is,we observe a phenomenon designated by us as the“flight-to-cryptosafety.”We draw insightful conclusions,provoking new thinking regarding portfolio hedge strategies that could potentially benefit investors when searching for less volatile investment performance.
基金supported by grants from the National Natural Science Foundation of China(72171088,71803049,72003205)the Ministry of Education of the People's Republic of China of Humanities and Social Sciences Youth Fundation(20YJC790142)the General Project of Social Science Planning in Guangdong Province,China(GD22CYJ12).
文摘We forecast realized volatilities by developing a time-varying heterogeneous autoregressive(HAR)latent factor model with dynamic model average(DMA)and dynamic model selection(DMS)approaches.The number of latent factors is determined using Chan and Grant's(2016)deviation information criteria.The predictors in our model include lagged daily,weekly,and monthly volatility variables,the corresponding volatility factors,and a speculation variable.In addition,the time-varying properties of the best-performing DMA(DMS)-HAR-2FX models,including size,inclusion probabilities,and coefficients,are examined.We find that the proposed DMA(DMS)-HAR-2FX model outperforms the competing models for both in-sample and out-of-sample forecasts.Furthermore,the speculation variable displays strong predictability for forecasting the realized volatility of financial futures in China.
文摘The question of the amount of the First Sino-Japanese War indemnity involves three main elements： Japan＇s military expenditure on the war, China＇s actual payment, and the actual amount Japan received. On all of these issues, there have always been considerable differences between Chinese and Japanese scholars. In this study, we analyze relevant archives and documents and the main scholarly work in both China and Japan and provide a detailed discussion of several scholarly points of views and their basis, and examine the pre- and postwar exchange rates between the yen, the Chinese treasury standard （Kuping） silver tael, and the pound sterling, taking account of the fluctuating value of the yen before and after the war. On this basis, we calculate that Japan＇s actual military spending on the war was no more than 125 million yen, while the actual payments by the Qing government, converted to pounds sterling and then to yen, totaled 358.36 million yen. Japan extorted 233.36 million yen from China, or three times Japan＇s total annual revenue at the time.
文摘This study revisits the Fisher effect using a different empirical method that considers a potential nonlinear relationship between interest rates(treasury bond rates)and inflation in China.The rising uncertainty and asymmetric information in financial markets between bond holders and bond issuers suggest such a potential nonlinear relationship.To this aim,we apply Shin et al.'s(2014)nonlinear autoregressive distributed lag(NARDL)model with asymmetric dynamic multipliers for the sample period 2002M7-2018M4.The empirical findings reveal symmetric and asymmetric partial Fisher effects for all sample bond rates in China.Furthermore,we find that 20-year bond rates experience the lowest partial Fisher effect.
