The subprime crisis was quite damaging for hedge funds.Using the local projection method(Jordà2004,2005,2009),we forecast the dynamic responses of the betas of hedge fund strategies to macroeconomic and financial...The subprime crisis was quite damaging for hedge funds.Using the local projection method(Jordà2004,2005,2009),we forecast the dynamic responses of the betas of hedge fund strategies to macroeconomic and financial shocks—especially volatility and illiquidity shocks—over the subprime crisis in order to investigate their market timing activities.In a robustness check,using TVAR(Balke 2000),we simulate the reaction of hedge fund strategies’betas in extreme scenarios allowing moderate and strong adverse shocks.Our results show that the behavior of hedge fund strategies regarding the monitoring of systematic risk is highly nonlinear in extreme scenarios—especially during the subprime crisis.We find that countercyclical strategies have an investment technology which differs from procyclical ones.During crises,the former seek to capture non-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk.Our results suggest that the hedge fund strategies’betas respond more to illiquidity uncertainty than to illiquidity risk during crises.We find that illiquidity and VIX shocks are the major drivers of systemic risk in the hedge fund industry.展开更多
Providing high-quality economic forecasts is an important responsibility of the International Monetary Fund(IMF) in maintaining world financial and economic stability. However, errors are inevitable in IMF economic fo...Providing high-quality economic forecasts is an important responsibility of the International Monetary Fund(IMF) in maintaining world financial and economic stability. However, errors are inevitable in IMF economic forecasts for its member countries. Based on forecast method and information, and political factor, this paper creates a political economics framework for analyzing the IMF's forecast errors, and tests the effects of various factors on the IMF's forecasts using the panel data analysis method. According to our findings, if a country receives IMF loans and shares a similar vote with the United States at the UN General Assembly, it will more likely receive an optimistic forecast by the IMF. Meanwhile, member countries' data availability and IMF forecast errors for major economies may also affect forecast on a country. Therefore, this paper proposes recommendations on further improving the IMF's forecast quality by creating more independent forecast procedures and enhancing forecast data quality and forecast accuracy.展开更多
基金support from the IPAG Business School and from the Social Sciences and Humanities Research Council of Canada(SSHRC)—Grant No.435-2019-0078.
文摘The subprime crisis was quite damaging for hedge funds.Using the local projection method(Jordà2004,2005,2009),we forecast the dynamic responses of the betas of hedge fund strategies to macroeconomic and financial shocks—especially volatility and illiquidity shocks—over the subprime crisis in order to investigate their market timing activities.In a robustness check,using TVAR(Balke 2000),we simulate the reaction of hedge fund strategies’betas in extreme scenarios allowing moderate and strong adverse shocks.Our results show that the behavior of hedge fund strategies regarding the monitoring of systematic risk is highly nonlinear in extreme scenarios—especially during the subprime crisis.We find that countercyclical strategies have an investment technology which differs from procyclical ones.During crises,the former seek to capture non-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk.Our results suggest that the hedge fund strategies’betas respond more to illiquidity uncertainty than to illiquidity risk during crises.We find that illiquidity and VIX shocks are the major drivers of systemic risk in the hedge fund industry.
文摘Providing high-quality economic forecasts is an important responsibility of the International Monetary Fund(IMF) in maintaining world financial and economic stability. However, errors are inevitable in IMF economic forecasts for its member countries. Based on forecast method and information, and political factor, this paper creates a political economics framework for analyzing the IMF's forecast errors, and tests the effects of various factors on the IMF's forecasts using the panel data analysis method. According to our findings, if a country receives IMF loans and shares a similar vote with the United States at the UN General Assembly, it will more likely receive an optimistic forecast by the IMF. Meanwhile, member countries' data availability and IMF forecast errors for major economies may also affect forecast on a country. Therefore, this paper proposes recommendations on further improving the IMF's forecast quality by creating more independent forecast procedures and enhancing forecast data quality and forecast accuracy.
