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Identifying the risk-return tradeoff and exploring the dynamic risk exposure of country portfolio of the FSU's oil economies

Sun, Xiaolei; Li, Jianping; Tang, Ling; Wu, Dengsheng - In: Economic Modelling 29 (2012) 6, pp. 2494-2503

Country risk not only reflects the overall risk of a given economy but also offers other more comprehensive risk information for stakeholders' decision-making. Different from previous studies focusing on oil import portfolio risk, this paper expands the scope of risk exposure from the micro risk...

Persistent link: https://www.econbiz.de/10010588211

Extremes, return level and identification of currency crises

Qin, Xiao; Liu, Liya - In: Economic Modelling 37 (2014) C, pp. 439-450

Recent literature has attempted to apply Extreme Value Theory (EVT) in the identification of currency crises. However, these approaches seem to have confused the thresholds in extreme modeling with the cutoffs of currency crises. Our paper proposes a Return Level Identification Approach, also...

Persistent link: https://www.econbiz.de/10010743996

Currency crisis transmission through international trade

Haidar, Jamal Ibrahim - In: Economic Modelling 29 (2012) 2, pp. 151-157

The Eurozone recent crisis has shown how balance of payments problems in less developed European Monetary Union (EMU) member countries can affect EMU trading partners, spreading the crisis to a larger group of countries. This paper introduces a three-country dynamic general equilibrium model to...

Persistent link: https://www.econbiz.de/10010573397

Exchange rate regime, real misalignment and currency crises

Holtemöller, Oliver; Mallick, Sushanta - In: Economic Modelling 34 (2013) C, pp. 5-14

Based on 69 sample countries, this paper examines the effect of macroeconomic fundamentals on real effective exchange rates (REER) in these sample countries. Using the misalignment of actual REER from its equilibrium level, we have estimated the factors explaining the extent of currency over- or...

Persistent link: https://www.econbiz.de/10011048948

Real convergence in Europe: A cluster analysis

Monfort, Mercedes; Cuestas, Juan Carlos; Ordóñez, Javier - In: Economic Modelling 33 (2013) C, pp. 689-694

turmoil in the euro zone. The results show evidence of different economic growth rates within Europe, which also converge to …, which are not related to the fact that some countries belong to the euro area. Furthermore, Eastern European countries are … also divided in two clubs, with a more direct effect of belonging to the euro zone in the composition of the clubs. …

Persistent link: https://www.econbiz.de/10011048891

Re-examining the Turkish stock market efficiency: Evidence from nonlinear unit root tests

Gozbasi, Onur; Kucukkaplan, Ilhan; Nazlioglu, Saban - In: Economic Modelling 38 (2014) C, pp. 381-384

This paper re-examines the efficient market hypothesis (EMH) in the Turkish stock market by utilizing the recent developments in nonlinear unit root tests. To this end, we first employ the linearity test developed by Harvey et al. (2008) and then carry out the nonlinear ESTAR unit root test...

Persistent link: https://www.econbiz.de/10010753363

Compliance and multidimensional firm performance: Evaluating the efficacy of rule-based code of corporate governance

Tariq, Yasir Bin; Abbas, Zaheer - In: Economic Modelling 35 (2013) C, pp. 565-575

This study seeks to evaluate the efficacy of the Pakistani Code of Corporate Governance by finding out its impact on firm's performance and efficiency. This exploration is done in the context that Securities & Exchange Commission of Pakistan's choice of corporate governance regulations is...

Persistent link: https://www.econbiz.de/10010719416

Real business cycles in emerging economies: Turkish case

Taştan, Hüseyin - In: Economic Modelling 34 (2013) C, pp. 106-113

This paper attempts to answer the following question: Can a small-open-economy real business cycle (RBC) model driven by nonstationary productivity shocks explain business cycles in emerging economies? This question is addressed by estimating a dynamic stochastic general equilibrium model for...

Persistent link: https://www.econbiz.de/10011048916

Return and volatility spillovers between china and world oil markets

Zhang, Bing; Wang, Peijie - In: Economic Modelling 42 (2014) C, pp. 413-420

We examine return and volatility spillovers between China and world oil markets. This topic is of great importance because China is the world's second-largest oil importer and has exhibited substantial growth in oil consumption. Extending Diebold and Yilmaz's (2012) method of catching spillover...

Persistent link: https://www.econbiz.de/10010931012

The impact of the 2008 financial crisis on housing prices in China and Taiwan: A quantile regression analysis

Kang, Hsin-Hong; Liu, Shu-Bing - In: Economic Modelling 42 (2014) C, pp. 356-362

This paper adopts quantile regression to investigate the impact of the 2008 financial crisis on housing prices at difference price levels in China and Taiwan, and employs data from the period July 2005–December 2010. According to the empirical results, the ordinary least squares estimates are...

Persistent link: https://www.econbiz.de/10010931052