2019 September - 48 articles
The great divide between official analyses and economists’ views of optimal bank equity capital is not as wide as appears at first sight if the economics of risk is properly addressed. Adapting the BoE’s analysis to take account of abnormal risk cond...
Financial econometrics has developed into a very fruitful and vibrant research area in the last two decades [...]
This paper examines the effect of the Global Financial Crisis on manufacturing firms in Sweden by analyzing the effect of trade exposure on firm performance. This study examines the decline in international trade during the global financial crisis by...
This paper studies the forecasting ability of cryptocurrency time series. This study is about the four most capitalised cryptocurrencies: Bitcoin, Ethereum, Litecoin and Ripple. Different Bayesian models are compared, including models with constant a...
Previous studies have shown that investor preference for positive skewness creates a potential premium on negatively skewed assets. In this paper, we attempt to explore the connection between investors’ skewness preferences and corresponding de...
Fiscal decentralisation has attracted great attention from governments, practitioners, and international institutions with the aims of enhancing economic growth in the last 5 decades. However, satisfactorily measuring the degree of fiscal decentralis...
The study attempted to fill a gap in the research on international business by providing fresh evidence of the effect of the degree of internationalization on firm performance and the influence of organizational slack on this relationship. By applyin...
The members of the Association of Southeast Asian Nations (ASEAN) have made several attempts to adopt renewable energy targets given the economic, energy-related, environmental challenges faced by the governments, policy makers, and stakeholders. How...
This paper explores the impact of urbanization on income inequality in Vietnam, using the regression estimation method with panel data including Driscoll and Kraay, and Pooled Mean Group. The research data cover 63 provinces in Vietnam from 2006 to 2...
The current literature has generally considered prices of the agricultural commodity as an endogenous factor to crude oil price. As such, the role of the agricultural market in the energy sector has been largely ignored. We argue that the expansion o...
Raising capital efficiently for the operations is considered a fundamental decision for any firms. Since the 1960s, various theories on capital structure have been developed. Various empirical studies had also been conducted to examine the appropriat...
This study examines the impact of regulatory capital requirements and ownership structure on bank lending in Emerging Asian Markets. The findings of the study imply that banks with excess capital are less affected by capital constraints and enjoy opp...
In this paper, we disentangle public spending components in order analyse their effects on the U.S. economy. Our Dynamic Stochastic General Equilibrium Model (DSGE) model includes both civilian and military expenditures. We take into account the chan...
This paper introduces a parsimonious and yet flexible semiparametric model to forecast financial volatility. The new model extends a related linear nonnegative autoregressive model previously used in the volatility literature by way of a power transf...
This empirical study estimates 18 single and 18 three-factor models and then tests for structural change. Break dates are identified where possible. In general, there is some empirical evidence for parameter instabilities of the estimated beta coeffi...
In the future, when the process of economic integration in the banking sector is more powerful, and competitive, diversifying revenue is an inevitable and objective trend to help the banks increase profits, minimize risks and improve their competitiv...
This is book review of “The Belt and Road Strategy in International Business and Administration”, edited by Wei Liu, Zhe Zhang, Jinxiong Chen and Sang-Bing Tsai. This book review focuses on discussing how “The Belt and Road Strategy...
The paper aims to assess the level of competition in the Indian banking sector overall as well as within the three groups of banks: foreign owned, state owned (public sector), and privately owned. We use panel data for the period from 2005–2018...
Capital regulation has been among the most important tools for regulators to maintain the credibility and stability of the financial systems. However, the question whether higher capital induce banks to take lower risk remains unanswered. This paper...
This paper investigates the level of liquidity of digital currencies during the very intense bearish phase in their markets. The data employed span the period from April 2018 until January 2019, which is the second phase of bearish times with almost...
Monetary policy is forward looking and, in its pursuit of transparency, it communicates its economic projections to the public at large. As a result, there is interest in whether these projections are credible. We argue that central to that credibili...
Exploring dependence structures between financial time series has been important within a wide range of applications. The main aim of this paper is to examine dependence relationships among five well-known cryptocurrencies—Bitcoin, Ethereum, Li...
Separation of ownership and control plays a significant role in determining the agency cost, and there are many consequences of this agency problem. The control-enhancing mechanisms enhance control of controlling shareholders who expropriate small sh...
The banking industry is an essential financial intermediary, thus the efficient operation of banks is vital for economic development and social welfare. However, the 2008 global financial crisis triggered a reconsideration of the banking systems, as...
We provide a methodology to estimate a global credit risk factor from credit default swap (CDS) spreads that can be very useful for risk management. The global risk factor (GRF) reproduces quite well the different episodes that have affected the cred...
Financial crisis is nothing new in the annals of history of the capitalistic path of economic development; it is a part of the business cycle. The theoretical basis is well entrenched in the concept of ‘Keynesian Cross’. The tale of crisi...
The takaful industry is searching for an optimal model for Islamic insurance operation, which has turned out to be a challenging task. This paper translates the abstract scientific knowledge accumulated in the optimal contracting literature into a si...
Distributed ledger technology, also known as the blockchain, is gaining traction globally. Blockchain offers a secure validation mechanism and decentralized mass collaboration. Cryptocurrencies make use of this technology as a new asset class for inv...
Undoubtedly, it is important to have an empirically effective credit risk rating method for decision-making in the financial industry, business, and even government. In our approach, for each corporate bond (CB) and its issuer, we first propose a cre...
This paper reexamines the role of the Federal Reserve in triggering the recent housing crisis. Specifically, we explore if the relationship between the federal funds rate and the housing variables underwent structural changes in the wake of the housi...
The purpose of this paper is to investigate the dynamics and steady-state properties of threshold autoregressive models with exogenous states that follow Markovian processes. Markovian processes are widely used in applied economics although their sta...
This study aims to investigate the relationship of economic development, measured as economic growth, energy use, trade and foreign direct investment, on the one hand, and environmental degradation (carbon dioxide (hereafter CO2) emissions), on the o...
This study empirically examines how the bank specific factors, macro-economic, and institutional variables impact interest margins in China’s banking sector. A panel data analysis of bank data for the period 1988–2015 was carried out. We...
How has Basel III (Bank for International Settlements), regarding the computation, measurement, and management of the liquidity coverage ratio (LCR), vitalized the Islamic banking sector in emerging economies? Vice versa, what is the Islamic banking...
Interest rates have been very low for several years, which is particularly challenging for life insurers. Since 2001, German life insurers have had to set an additional reserve due to low interest rates to ensure the protection of policyholders. Howe...
This study examines the effects of fiscal decentralization on corruption by analyzing whether the degree of fiscal decentralization facilitates or mitigates the number of corruption cases in Indonesia’s local governments. The research utilizes...
Volatility break robust panel unit root tests (PURTs) recently proposed by Herwartz and Siedenburg (Computational Statistics & Data Analysis 2008, 53, 137–150) and Demetrescu and Hanck (Econometrics Letters 2012, 117, 10–13) have different perfor...
For a financial portfolio, we suggest a realized measure of diversification benefits, which is based on intraday high-frequency returns. Our measure quantifies volatility reduction, which could be achieved by including an additional asset in the port...
The rapid development of cryptocurrencies has drawn attention to this particular market, with investors trying to understand its behaviour and researchers trying to explain it. The evolution of cryptocurrencies’ prices showed a kind of bubble a...
This article investigates the causal factors underlying cornerstone investor (CI) participation in initial public offerings in China’s offshore Hong Kong market. Prospectus-based declarations on such allocations suggest that CI undertakings off...
(1) Background: Cross-border venture capital (VC) investments play an important role in the scaling up of high-growth companies. However, policymakers worry that foreign VC investments transfer the majority of economic activity to the investor countr...
Our work relates to the literature supporting that the VIX also mirrors investor sentiment and, thus, contains useful information regarding future S&P500 returns. The objective of this empirical analysis is to verify if the shape of the volatilit...
Systematic traders employ algorithmic strategies to manage their investments. As a result of the deterministic nature of such strategies, it is possible to determine their exact responses to any conceivable set of market conditions. Consequently, sen...
This unique study examines the interactive role of bank competition and foreign bank entry in explaining the risk-taking of banks over the globe. We used cross-country data for the banking sector from 2000 to 2016. Using the pooled regression model a...
A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a function...
We propose the outperformance probability as a new performance measure, which can be used in order to compare a strategy with a specified benchmark, and develop the basic statistical properties of its maximum-likelihood estimator in a Brownian-motion...
Model selection and model averaging are popular approaches for handling modeling uncertainties. The existing literature offers a unified framework for variable selection via penalized likelihood and the tuning parameter selection is vital for consist...
This study aims to determine whether a firm’s dividends are influenced by the sector to which it belongs. This paper also examines the explanatory factors for dividends across individual sectors in India. This longitudinal study uses balanced d...
