scholarly journals The Effects of the COVID-19 Crisis on Risk Factors and Option-Implied Expected Market Risk Premia: An International Perspective

2022 ◽  
Vol 15 (1) ◽  
pp. 13
Author(s):  
Belén Nieto ◽  
Gonzalo Rubio
Keyword(s):  
Risk Factors ◽  
Great Recession ◽  
Poor Performance ◽  
Risk Premia ◽  
Market Risk ◽  
International Perspective ◽  
International Business Cycles ◽  
Quality Factors ◽  
Health Crisis ◽  
The Great Recession

Institutional investors often have to decide which strategy to use across international business cycles. This is especially important during economic and financial crises. The exogenous nature of the outbreak of the dramatic COVID-19 crisis represents a unique opportunity to understand the performance of risk factors during severe economic times across international stock markets. Even more important is to analyze how these factors behave across very different economic crises, such as the COVID-19 pandemic and the Great Recession. Although, the overall results show that the momentum and quality factors are the winners, with the value factor as the loser, this research also reports different responses of factors across crises and countries. The size, value, and defensive factors tend to perform worse during the health crisis relative to the Great Recession, while the momentum factor shows a poor performance during the financial crisis, but a positive one during the outbreak of COVID-19. The quality factor is an extraordinary defensive factor in both crises. Similarly, this paper reports heterogeneous responses of option-implied expected market risk premia across alternative stock market indices, and between the Great Recession and the COVID-19 crisis.

The Role of Policy in the Great Recession and the Weak Recovery

2014 ◽  
Vol 104 (5) ◽  
pp. 61-66 ◽  
Author(s):  
John B. Taylor
Keyword(s):  
Economic Performance ◽  
Great Recession ◽  
Regulatory Policy ◽  
Poor Performance ◽  
Economic Policies ◽  
Slow Recovery ◽  
The Great Recession ◽  
The Past ◽  
Severe Recession

This paper reports on recent research showing that the severe recession of 2007-2009 and the weak recovery have been due to poor economic policies and the failure to implement good policies during the past decade. Monetary policy, fiscal policy, and regulatory policy became more discretionary, more interventionist, and less predictable in comparison with the previous two decades of better economic performance. At best these policies led to growth spurts, but were followed by retrenchments, averaging to poor performance. The paper also considers alternative views-that the equilibrium interest rate declined during the decade and that the seriousness of financial crisis caused the slow recovery.

Social class and mental health

2018 ◽  
pp. 159-172
Author(s):  
M. Harvey Brenner
Keyword(s):  
Mental Health ◽  
Social Class ◽  
Great Recession ◽  
Psychological Disorder ◽  
Mental Health Crisis ◽  
Economic Crises ◽  
Income Loss ◽  
Health Crisis ◽  
The Great Recession ◽  
The Great Depression

The Great Depression saw increasingly higher rates of mental disorder at successively lower social class levels. These findings have been repeated over the twentieth and twenty-first centuries. Dynamic interpretations of these relations have concentrated on vulnerability to economic crises, resulting in major increases in mental hospitalization and suicide. These studies have shown psychological morbidity and suicide to be strongly influenced by employment and income loss. Did the Great Recession re-enact the Great Depression’s mental health crisis for world societies? Recent literature shows substantially elevated psychological disorder in the Great Recession across industrialized societies. New multivariate analyses, using gross domestic product declines and unemployment increases as the main recessional indicators, find that world suicide and industrialized country overall mortality rates increased owing to the Great Recession and government austerity. A paradigm is presented of the circular relations linking economic crises, social class, and the interactive relations of mental and physical health.

Unconventional monetary policy in a nonlinear quadratic model

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Timm Faulwasser ◽  
Marco Gross ◽  
Willi Semmler ◽  
Prakash Loungani
Keyword(s):  
Monetary Policy ◽  
Financial Market ◽  
Great Recession ◽  
Central Banks ◽  
Risk Premia ◽  
Credit Spreads ◽  
Dynamic State ◽  
Quadratic Model ◽  
Unconventional Monetary Policy ◽  
The Great Recession

AbstractAfter the financial market meltdown and the Great Recession of the years 2007–9, the financial market-macro link has become an important issue in monetary policy modeling. We develop a dynamic model that contains a nonlinear Phillips curve, a dynamic output equation, and a nonlinear credit flow equation – capturing the importance of credit cycles, risk premia, and credit spreads. Our Nonlinear Quadratic Model (NLQ) model has three dynamic state equations and a quadratic objective function. It can be used to evaluate the response of central banks to the Great Recession in moving from conventional to unconventional monetary policy. We solve the model with a new numerical procedure using estimated parameters for the euro area. We conduct simulations to explore the (de)stabilizing effects of the nonlinearities in the model. We demonstrate that credit flows, risk premia, and credit spreads play an important role as an amplification mechanism and in affecting the transmission of monetary policy. We thereby highlight the importance of the natural rate of interest as an anchor for a central bank target and the weight it places on the credit flows for the effectiveness of unconventional monetary policy. Our model is similar in structure compared to larger scale macro-econometric models which many central banks employ.

scholarly journals Pandession: Corona Virus Pandemic Leading To The Biggest Economic Crises Since The Great Recession.

2021 ◽  
Vol 58 (2) ◽  
pp. 803-812
Author(s):  
Yashashvi Chouhan
Keyword(s):  
Great Recession ◽  
The Other ◽  
Low Back ◽  
State Of Health ◽  
Health Crisis ◽  
The Great Recession ◽  
The Great Depression ◽  
The World ◽  
Almost All ◽  
Monitoring Facility

This COVID-19 pandemic has led to a state of health shock in almost all the affected countries. The strain on the health facilities all over the world has increased drastically in the last few months leading to inability of health ministries all over the world to fulfil the demands of the country.The Coronavirus pandemic didn’t just influence the wellbeing status of different nations but on the other hand is strongly affecting the worldwide economy. Perhaps the greatest inquiry is about the conceivable monetary and monetary aftermath of requesting a third from the total populace to remain in an exacting lockdown.Some are contrasting the present-day monetary emergencies with the monetary emergency of 2008 yet the 2008 cries managed the interest side of the economy while the present-day emergency is a stock stun. It is a wellbeing stun.Countries around the world now face a major challenge to balance the load of decelerating economy and to deal with a health crisis, while not holding it too low back so that the recovery would become difficult.So, to deal with the health crises with lockdown and practice social distancing we have to hold the economy down cause if we don’t do that then we won’t be able to practice social distancing.Authorities worldwide have responded to stop the spread of the virus by initiating lockdowns, strict border monitoring, facility closures and workplace hazard controls. Most of the nation have responded by increasing their testing capacity and also tracing the contacts of infected persons so that effective self-isolation by contacts can be followed.The pandemic has caused overall social and financial interruption, which is second to the popular economic disruption of the Great Depression but India was not much affected due to respected Prime ministerManmohan Singh. Because of this the legislatures worldwide have been compelled to delay or drop donning, strict, social, and political occasions, most and majority of stock clearance skyrocketed by over purchasing, over stocking and diminished emission of poisonous and global warming substances. The instruction of youngsters has been influenced overall reason the education system from primary to top of colleges have been shut either on a from one side of the country to the other or local basis in 172 nations.

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