arXiv · arXiv q-fin · 2023
Public finances are one of the fundamental mechanisms of economic governance that refer to the financial activities and decisions made by government entities to fund public services, projects, and operations through assets. In today's globalized landscape, even subtle shifts in one nation's public debt landscape can have significant impacts on that of international finances, necessitating a nuanced understanding of t…
Kapil Panda
arXiv · arXiv q-fin · 2020
This chapter presents a history of international trade finance - the oldest domain of international finance - from its emergence in the Middle Ages up to today. We describe how the structure and governance of the global trade finance market changed over time and how trade credit instruments evolved. Trade finance products initially consisted of idiosyncratic assets issued by local merchants and bankers. The financing…
Olivier Accominotti, Stefano Ugolini
arXiv · arXiv · 2024
This study investigates quantile-based connectedness among BRICS and international grain futures around the Russia-Ukraine conflict and milestones of the Black Sea Grain Initiative. Using a dynamic quantile VAR combined with a frequency-domain decomposition, we trace spillovers across market states and horizons. Spillovers are heterogeneous across quantiles, as the time-varying total connectedness index hovers near 9…
Yan-Hong Yang, Ying-Hui Shao, Wei-Xing Zhou
arXiv · arXiv · 2024
This paper presents a novel methodology for predicting international bilateral trade flows, emphasizing the growing importance of Preferential Trade Agreements (PTAs) in the global trade landscape. Acknowledging the limitations of traditional models like the Gravity Model of Trade, this study introduces a two-stage approach combining explainable machine learning and factorization models. The first stage employs SHAP …
Zijie Pan, Stepan Gordeev, Jiahui Zhao, Ziyi Meng, Caiwen Ding
arXiv · arXiv · 2023
In this work, we study statistical arbitrage strategies in international crude oil futures markets. We analyse strategies that extend classical pairs trading strategies, considering the two benchmark crude oil futures (Brent and WTI) together with the newly introduced Shanghai crude oil futures. We document that the time series of these three futures prices are cointegrated and we model the resulting cointegration sp…
Viviana Fanelli, Claudio Fontana, Francesco Rotondi
arXiv · arXiv · 2021
Mining companies to properly manage their operations and be ready to make business decisions, are required to analyze potential scenarios for main market risk factors. The most important risk factors for KGHM, one of the biggest companies active in the metals and mining industry, are the price of copper (Cu), traded in US dollars, and the Polish zloty (PLN) exchange rate (USDPLN). The main scope of the paper is to un…
Łukasz Bielak, Aleksandra Grzesiek, Joanna Janczura, Agnieszka Wyłomańska
arXiv · arXiv · 2020
Using data on 17 listed public banks from Russia over the period 2008 to 2016, we analyze whether international oil prices affect the bank stability in an oil-dependent country. We posit that a decrease in international oil prices has a negative long-run macroeconomic impact for an oil-exporting country, which further deteriorates the bank financial stability. More specifically, a decrease in international oil prices…
Claudiu Albulescu
arXiv · arXiv · 2019
In today's increasingly international economy, return and volatility spillover effects across international equity markets are major macroeconomic drivers of stock dynamics. Thus, information regarding foreign markets is one of the most important factors in forecasting domestic stock prices. However, the cross-correlation between domestic and foreign markets is highly complex. Hence, it is extremely difficult to expl…
Sang Il Lee, Seong Joon Yoo
arXiv · arXiv · 2017
International trade fluxes evolve as countries revise their portfolios of trade products towards economic development. Accordingly products' shares in international trade vary with time, reflecting the transfer of capital between distinct industrial sectors. Here we analyze the share of hundreds of product categories in world trade for four decades and find a scaling law obeyed by the annual variation of product shar…
Matthieu Barbier, D. -S. Lee
arXiv · arXiv · 2017
In this paper, we present a two-stage stochastic international portfolio optimisation model to find an optimal allocation for the combination of both assets and currency hedging positions. Our optimisation model allows a "currency overlay", or a deviation of currency exposure from asset exposure, to provide flexibility in hedging against, or in speculation using, currency exposure. The transaction costs associated wi…
Nonthachote Chatsanga, Andrew J. Parkes
arXiv · arXiv · 2016
Portfolio optimisation typically aims to provide an optimal allocation that minimises risk, at a given return target, by diversifying over different investments. However, the potential scope of such risk diversification can be limited if investments are concentrated in only one country, or more specifically one currency. Multi-currency portfolio is an alternative to achieve higher returns and more diversified portfol…
Nonthachote Chatsanga, Andrew J. Parkes
arXiv · arXiv · 2015
The International Trade Network (ITN) is the network formed by trade relationships between world countries. The complex structure of the ITN impacts important economic processes such as globalization, competitiveness, and the propagation of instabilities. Modeling the structure of the ITN in terms of simple macroeconomic quantities is therefore of paramount importance. While traditional macroeconomics has mainly used…
Assaf Almog, Tiziano Squartini, Diego Garlaschelli
arXiv · arXiv · 2015
Here, we present the World Trade Atlas 1870-2013, a collection of annual world trade maps in which distance combines economic size and the different dimensions that affect international trade beyond mere geography. Trade distances, which are based on a gravity model predicting the existence of significant trade channels, are such that the closer countries are in trade space, the greater their chance of becoming conne…
Guillermo García-Pérez, Marián Boguñá, Antoine Allard, M. Ángeles Serrano
arXiv · arXiv · 2015
Based on the approach of flow distances, the international trade flow system is studied from the perspective of multi-layer flow network. A model of multi-layer flow network is proposed for modelling and analyzing multiple types of flows in flow systems. Then, flow distances are introduced, and symmetric minimum flow distance is presented. Subsequently, we discuss the establishment of the multi-layer flow networks of…
Bin Shen, Jiang Zhang, Qiuhua Zheng
arXiv · arXiv · 2014
Recent events such as the global financial crisis have renewed the interest in the topic of economic networks. One of the main channels of shock propagation among countries is the International Trade Network (ITN). Two important models for the ITN structure, the classical gravity model of trade (more popular among economists) and the fitness model (more popular among networks scientists), are both limited to the char…
Assaf Almog, Tiziano Squartini, Diego Garlaschelli
arXiv · arXiv · 2014
There is considerable debate whether the domestic political institutions (specifically, the country s level of democracy) of the host developing country toward foreign investors are effective in establishing the credibility of commitments are still underway, researchers have also analyzed the effect of international institutions such as (GATT-WTO) membership and Bilateral Investment treaties (BIT) in their role of es…
Arslan Tariq Rana, Mazen Kebewar
arXiv · arXiv · 2012
It is common wisdom that no nation is an isolated economic island. All nations participate in the global economy and are linked together through trade and finance. Here we analyze international trade network (ITN), being the network of import-export relationships between countries. We show that in each year over the analyzed period of 50 years (since 1950) the network is a typical representative of the ensemble of ma…
Agata Fronczak
arXiv · arXiv · 2012
This paper develops a non-Bayesian methodology to analyze the time-varying structure of international linkages and market efficiency in G7 countries. We consider a non-Bayesian time-varying vector autoregressive (TV-VAR) model, and apply it to estimate the joint degree of market efficiency in the sense of Fama (1970, 1991). Our empirical results provide a new perspective that the international linkages and market eff…
Mikio Ito, Akihiko Noda, Tatsuma Wada