Showing 1 - 10 of 216
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 and Two-stage Least Squares model (2SLS with...
Persistent link: https://www.econbiz.de/10012025290
In this paper, we study the skewness risk and its return predictability in the energy market. Skewness risk is often used to measure the possibility of market crash. We study both physical skewness (market skewness and cross-sectional average realized skewness) estimated from underlying stock...
Persistent link: https://www.econbiz.de/10012801590
The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH, EGARCH, and GJR models, are used to...
Persistent link: https://www.econbiz.de/10011555888
In this paper, we revisit price and volatility transmission among natural gas, fertilizer, and corn markets; an important issue was explored in previous work. An update of the results is urgently needed due to the recent enormous price volatility in the commodities, fertilizer, and energy...
Persistent link: https://www.econbiz.de/10012888238
A considerable number of studies have examined the relationship between global prices and local prices in food-importing nations, but the linkages between international prices and the producer prices of large agricultural exporters have been largely ignored. This paper analyzes the connections...
Persistent link: https://www.econbiz.de/10012302731
This paper analyzes the fiscal performance of Turkey and Argentina during the period 2000-2021, when both countries faced rapid economic growth with the consequent impact on social welfare. This work explored two different systems: Centralization in Turkey and Federalism in Argentina and, in...
Persistent link: https://www.econbiz.de/10014284371
Government policies employ different support programs such as subsidies to reduce risks, increase efficiency in markets, and enhance societal welfare. In markets such as ethanol markets, where multiple agents receive subsidy, it is often difficult to determine whether recipients of these support...
Persistent link: https://www.econbiz.de/10012799896
It is generally held that derivative prices do not contain useful predictive information, that is, information relating to the distribution of future financial variables under the real-world measure. This is because the market’s implicit forecast of the future becomes entangled with market...
Persistent link: https://www.econbiz.de/10011552860
This study examines the price transmission between cotton prices in U.S., Indian, and Chinese futures markets. We focus on studying the long-run price movements using cointegration and alternate causality tests. The empirical results indicate the following: (a) the U.S. cotton futures market...
Persistent link: https://www.econbiz.de/10012628542
Threshold cointegration is introduced as an econometric technique to model the impact of trade disruptions on spatial price transmission in commodity markets so that market participants and policy makers can understand the global impact of trade disruptions on prices. The threshold cointegration...
Persistent link: https://www.econbiz.de/10012628574