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Global spillovers of a Chinese growth slowdown
Ahmed, Shaghil; Correa, Ricardo; Dias, Daniel; … - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-23
This paper analyzes the potential spillovers of a slowdown in Chinese growth to the United States and the rest of the world. Through a combination of structural VAR and DSGE analyses, we find that (1) spillovers from China to the rest of the world have grown significantly in the past decade; (2) the...
Persistent link: https://www.econbiz.de/10014284269
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Do inflation expectations matter for small, open economies? : empirical evidence from the Solomon Islands
Rohoia, Angeline B.; Sharma, Parmendra - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-18
This paper examines the role of inflation expectations in Solomon Islands, a Pacific Island Country, using the Hybrid New Keynesian Phillips Curve model. The study applies the Generalized Method of Moments to estimate the Hybrid New Keynesian Philips Curve model using quarterly time series data...
Persistent link: https://www.econbiz.de/10012628568
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Dynamic spillovers between gulf cooperation council's stocks, VIX, oil and gold volatility indices
Alqahtani, Abdullah; Chevallier, Julien - In: Journal of risk and financial management : JRFM 13 (2020) 4/69, pp. 1-17
Gulf Cooperation Council (GCC). The innovative aspects of the paper consist of focusing on three volatility indices: the … of the volatility measures, and the correlations are stronger during crisis periods; (ii) GCC stock returns are mostly … and Qatar in terms of volatility indices, which should be the foremost concern of policymakers and banking analysts. …
Persistent link: https://www.econbiz.de/10012302563
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Contagion risks in emerging stock markets : new evidence from Asia and Latin America
Thi Bich Ngoc Tran - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-20
The purpose of this study is to investigate whether contagion actually occurred during three well-known financial crises in 1990s and 2000s: Mexican “Tequila” crisis in 1994, Asian “flu” crisis in 1997 and US subprime crisis in 2007. We apply dynamic conditional correlation models...
Persistent link: https://www.econbiz.de/10011960394
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Investigating the co-volatility spillover effects between cryptocurrencies and currencies at different natures of risk events
Hsu, Shu-Han - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-15
This paper examines and confirms the varying volatility of the relationship between cryptocurrency and currency markets …, COVID-19, and the Russian-Ukraine war. We employ the Diagonal BEKK model and find that the co-volatility spillover effects … significantly. Furthermore, the co-volatility spillover effects between cryptocurrencies and EUR have the largest effects and …
Persistent link: https://www.econbiz.de/10013395912
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An assessment of the impact of legal regulation on financial security in OECD countries
Vaitkus, Robertas; Vasiliauskaite, Asta - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-19
The recurrent economic and financial crises expose the state, enterprises, and households to a range of financial risks and negative financial consequences. As a result, governments are seeking the most efficient measures of legal regulation and other measures ensuring financial security in...
Persistent link: https://www.econbiz.de/10012872778
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Book-to-market decomposition, net share issuance, and the cross section of global stock returns
Blackburn, Douglas W.; Cakici, Nusret - In: Journal of risk and financial management : JRFM 12 (2019) 2/90, pp. 1-29
This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...
Persistent link: https://www.econbiz.de/10012022063
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Groups, pricing, and cost of debt : evidence from Turkey
Küllü, A. Melih; Raymar, Steven B. - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-31
The paper examines the impact of business group affiliation on cost of loans in an emerging market setting. It focuses on operational strategy, organizational structure and internationalization policies of business group firms and their impact on borrowing cost of affiliated firms. Bank loans...
Persistent link: https://www.econbiz.de/10011855158
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Constructing divisia monetary aggregates for Singapore
Barnett, William A.; Nguyen, Van H. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-15
Since Barnett derived the user cost price of money, the economic theory of monetary services aggregation has been developed and extended into a field of its own with solid foundations in microeconomic theory. Divisia monetary aggregates have repeatedly been shown to be strictly preferable to...
Persistent link: https://www.econbiz.de/10012626752
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Self-organising (Kohonen) maps for the Vietnam banking industry
Man Ha; Gan, Christopher; Nguyen, Cuong; Anthony, Patricia - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-18
This is the first study to use the self-organisation (Kohonen) map technique, an artificial neural network based on a non-supervised learning algorithm, to categorise Vietnamese banks into super-class groups. Drawing on unbalanced yearly data from 2008 to 2017, this study identifies two...
Persistent link: https://www.econbiz.de/10012792367