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Financial Econometrics with Panel Data
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Financial Econometrics with Panel Data

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Mathematics and Finance".

Deadline for manuscript submissions: closed (31 December 2024) | Viewed by 2550

Special Issue Editors

Prof. Dr. Mark Harris

E-Mail Website
Guest Editor
School of Accounting, Economics and Finance, Curtin University, Bentley, WA 6102, Australia
Interests: household finances; asset allocation; mis-classification in survey responses; applied econometrics
Special Issues, Collections and Topics in MDPI journals
Prof. Dr. Robert Brooks

E-Mail Website
Guest Editor
Department of Econometrics and Business Statistics, Monash Business School, Monash University, Melbourne, VIC 3145, Australia
Interests: financial econometrics; volatility modelling; credit ratings; asset pricing
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

Examples of empirical finance papers utilizing panel, or longitudinal, data abound. This Special Issue will focus on the use of such data in all areas of empirical finance research, including household finances. It will highlight the empirical applications of such data, as well as theoretical developments of panel data techniques within financial applications. Papers using more complex data structures, such as those with a “multi-dimensional” or “multi-indexed” aspect, are especially welcome, as are papers using machine learning techniques.

Prof. Dr. Mark Harris
Prof. Dr. Robert Brooks
Guest Editors

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • empirical finance research
  • panel data
  • financial econometrics
  • machine learning
  • multi-level data
  • multi-dimensional data

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Published Papers (2 papers)

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Research

15 pages, 757 KiB  
Article
Assessment of Factors Affecting Tax Revenues: The Case of the Simplified Taxation System in the Russian Federation
by Kristina Alekseyevna Zakharova, Danil Anatolyevich Muravyev, Egine Araratovna Karagulian, Natalia Alekseyevna Baburina and Ekaterina Vladimirovna Degtyaryova
J. Risk Financial Manag. 2024, 17(12), 562; https://doi.org/10.3390/jrfm17120562 - 16 Dec 2024
Viewed by 744
Abstract
The simplified tax system is the most common special tax regime in the Russian Federation in terms of the number of taxpayers. Tax revenues from the simplified tax system account for 6% of the structure of tax revenues of the consolidated budgets of [...] Read more.
The simplified tax system is the most common special tax regime in the Russian Federation in terms of the number of taxpayers. Tax revenues from the simplified tax system account for 6% of the structure of tax revenues of the consolidated budgets of the constituent entities of the Russian Federation and more than 93% of the structure of tax revenues from special tax regimes. The purpose of this study is to identify and assess the factors influencing tax revenues from the tax levied in connection with applying the simplified system of taxation (taxable object—income reduced by the amount of expenses). The objective of this study is to determine a set of factors used by economists to model the level of tax revenues and to conduct a corresponding econometric analysis of the influence of the selected factors on the dependent variable to identify characteristics of the simplified taxation system functioning in the Russian Federation. The object of this study is the per capita tax revenue from the tax levied in connection with applying the simplified system of taxation (the object of taxation is income reduced by expenses) in the Russian Federation. The subject of the research is a set of economic relations, which arise because of tax-legal relations between tax authorities and taxpayers in relation to the calculation of the tax levied in connection with the application of the simplified taxation system. This study’s hypothesis is that the amount of tax revenues is influenced by factors characterizing the economic situation and development of small and medium businesses in the constituent territories of the Russian Federation. This study was conducted in 83 constituent territories of the Russian Federation in 2020–2022. The research methods are statistical analysis and econometric modeling on panel data. During this study, six econometric models were constructed. Based on the results of specification tests, the least squares dummy variables model was selected. The results of the modeling show that the tax rate, the number of taxpayers, and the real average per capita monetary income of the population have a statistically significant impact on the per capita tax revenue under the simplified tax system (the object of taxation is income reduced by the number of expenses). As a result, the focus of economic policy at both macro and meso levels should be on the support of small and medium-sized enterprises in the early stages of their life cycle, as well as on the increase of the purchasing power of the population. Based on the results obtained, it is possible to forecast the revenue side of the budgets of the constituent entities of the Russian Federation. Full article
(This article belongs to the Special Issue Financial Econometrics with Panel Data)
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24 pages, 2356 KiB  
Article
Equity Market Pricing and Central Bank Interventions: A Panel Data Approach
by Carlos J. Rincon
J. Risk Financial Manag. 2024, 17(10), 440; https://doi.org/10.3390/jrfm17100440 - 30 Sep 2024
Viewed by 1163
Abstract
This paper analyzes the effects of central bank interventions via large-scale purchases of government debt securities on the pricing of stock market indices. This study examines the effects of changes in the size of the Federal Reserve’s balance sheet in three intervention scenarios: [...] Read more.
This paper analyzes the effects of central bank interventions via large-scale purchases of government debt securities on the pricing of stock market indices. This study examines the effects of changes in the size of the Federal Reserve’s balance sheet in three intervention scenarios: during the 2008–2013 period, the 2020–2022 period, and in the years between by using the instrumental variables three-stage least squares (3SLS) method for a time series approach, and calculates the effects of these interventions on each index in a fund of funds setup using the panel data strategy. This study confirms that large-scale purchases of government debt securities in response to the Great Recession and COVID-19 crises influenced the pricing of equity markets via their effect on the pricing of treasury bonds, with different degrees of sensitivity of each index to the effects on yields. Although the findings apply to the U.S. market, the results indicate that the pricing of small capitalization indices such as the Russell 2000 are less sensitive to changes in treasury yields caused by central bank interventions than large capitalization indices such as the DJIA. This research contributes to the understanding of financial asset pricing, particularly by identifying price distortions within equity market portfolios. Full article
(This article belongs to the Special Issue Financial Econometrics with Panel Data)
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