Capital Volatility Research Articles

Partial market value accounting, bank capital volatility, and bank risk

This paper presents evidence on the costs and benefits for the U.S. banking system of a partial version of market value accounting in which only securities are marked to market. Because accounting for liabilities is unchanged, this accounting system has the same potential for misvaluing bank capital as historical cost accounting. Evidence from bank failure prediction models indicates the new system will not reduce bank failure rates. Other evidence indicates that net benefits will be small in absolute value, and of uncertain sign.

Capital flows and stock price volatility: Evidence from Hong Kong

This paper investigates both the short-run dynamics and the long-run co-movement of stock prices, capital flows and the real interest rates in Hong Kong. By using the Johansen multivariate cointegration technique, this paper finds that there are two cointegration vectors among the variables. In other words, the results show that the three variables in Hong Kong are moving together. This long-run relationship implies that even the stock market is efficient in the short-run. Its long-run movement can, however, be predicted by the activities of the capital market.