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The Behavior of Turkish Exchange Rates : A Panel Data Perspective

Adıgüzel, Uğur - 2016

-section dependency supports that PPP hypothesis holds for Eurozone and European countries (Denmark, Norway, Sweden, Switzerland, and …

Persistent link: https://www.econbiz.de/10013000926

The Feldstein-Horioka Puzzle : A Panel Smooth Transition Regression Approach

Fouquau, Julien - 2016

This paper proposes a panel threshold specification of the Feldstein Horioka puzzle. Based on a panel of 24 OECD countries (1960-2000), we test the influence of various threshold variables (degree of openness, size, demography) on the saving-retention coefficient. Given this objective, we...

Persistent link: https://www.econbiz.de/10012985178

Measuring systemic risk in the global banking sector: A cross-quantilogram network approach

Baumöhl, Eduard; Bouri, Elie; Hoang, Thi-Hong-Van; … - In: Economic Modelling (2022)

identification of the specific contribution of each individual bank. Using this design, the proposed systemic risk index is not only …

Persistent link: https://www.econbiz.de/10012804603

Novel three-bank model for measuring the systemic importance of commercial banks

Lu, Jing; Hu, Xiaohong - In: Economic Modelling 43 (2014) C, pp. 238-246

Relaxing the hypothesis on the scale level of a bank, the present paper develops an improved three-bank model for … analyzing the relationship between the size and the systemic importance of a bank. The proposed model is more general and more … systemically important index, the effect of the size on the systemic importance of a bank is analyzed. The size is found to be a …

Persistent link: https://www.econbiz.de/10010939694

Translating financial integration into correlation risk: A weekly reporting's viewpoint for the volatility behavior of stock markets

Gatfaoui, Hayette - In: Economic Modelling 30 (2013) C, pp. 776-791

We apply the multivariate extension of GARCH-type models in order to assess the systematic and systemic risks as well as the joint volatility behaviors of the U.S. and three European financial markets (Andersen et al., 2010). Therefore, we can appraise the co-movements of the four previous...

Persistent link: https://www.econbiz.de/10010608300

Capital account openness and early warning system for banking crises in G20 countries

Qin, Xiao; Luo, Chengying - In: Economic Modelling 39 (2014) C, pp. 190-194

This paper develops an early warning system for banking crises in the G20 countries, with the inclusion of capital account openness indicators. Results suggest that the capital account openness demonstrates a significant predictive power on systemic banking crises, and the impact is related with...

Persistent link: https://www.econbiz.de/10010781978

Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market

Su, Jung-Bin - In: Economic Modelling 46 (2015) C, pp. 204-224

This study derives the quantiles of the standardized generalized t (GT) in terms of a nonlinear equation which contains a regularized incomplete beta function. Then the quantiles are evaluated by utilizing Secant numerical approach to solve this nonlinear equation. Subsequently, the exponential...

Persistent link: https://www.econbiz.de/10011208969

Modelling industrial new orders

Bondt, Gabe J. de; Dieden, Heinz C.; Muzikarova, Sona; … - In: Economic Modelling 41 (2014) C, pp. 46-54

alternative estimation method, different model specifications and out-of-sample and real-time forecasting all show that the model … results are robust. We present real-time outcomes of a European Central Bank (ECB) indicator on industrial new orders at an …

Persistent link: https://www.econbiz.de/10010933310

Assessing the effects of financial heterogeneity in a monetary union a DSGE approach

Badarau, Cristina; Levieuge, Grégory - In: Economic Modelling 28 (2011) 6, pp. 2451-2461

-country Dynamic Stochastic General Equilibrium model, where the two countries are supposed to be differently sensitive to the bank …

Persistent link: https://www.econbiz.de/10010577108

A general to specific approach for constructing composite business cycle indicators

Cubadda, Gianluca; Guardabascio, Barbara; Hecq, Alain - In: Economic Modelling 33 (2013) C, pp. 367-374

Combining economic time series with the aim to obtain an indicator for business cycle analyses is an important issue for policy makers. In this area, econometric techniques usually rely on systems with either a small number of series, N, or, at the other extreme, a very large N. In this paper we...

Persistent link: https://www.econbiz.de/10011048718