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Monetary policy shocks in open economies and the inflation unemployment trade-off : the case of the Euro Area
Ribba, Antonio - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-12
In this paper, we show that in order to obtain a sound identification of Euro Area monetary policy shocks, one needs to deal with the interaction of the European Central Bank and the US Federal Reserve. In other words, a proper identification of monetary policy shocks for an open economy like...
Persistent link: https://www.econbiz.de/10013168711
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Does the misery index influence a U.S. president's political re-election prospects?
Adrangi, Bahram; Macri, Joseph - In: Journal of risk and financial management : JRFM 12 (2019) 1/22, pp. 1-11
We seek to determine whether a United States President's job approval rating is influenced by the Misery Index. This hypothesis is examined in two ways. First, we employ a nonlinear model that includes several macroeconomic variables: the current account deficit, exchange rate, unemployment,...
Persistent link: https://www.econbiz.de/10012022350
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Unconventional U.S. monetary policy : new tools, same channels?
Feldkircher, Martin; Huber, Florian - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-31
volatility, our results are two-fold: First, the spread shock works mainly through a boost to consumer wealth growth, while a …
Persistent link: https://www.econbiz.de/10011961266
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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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Policy and business cycle shocks : a structural factor model representation of the US economy
Forni, Mario; Gambetti, Luca - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-21
We use a dynamic factor model to provide a semi-structural representation for 101 quarterly US macroeconomic series. We find that (i) the US economy is well described by a number of structural shocks between two and five. Focusing on the four-shock specification, we identify, using sign...
Persistent link: https://www.econbiz.de/10012626760
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The fundamental equation in tourism finance
McAleer, Michael - In: Journal of risk and financial management : JRFM 8 (2015) 4, pp. 369-374
The purpose of the paper is to present the fundamental equation in tourism finance that connects tourism research to empirical finance and financial econometrics. The energy industry, which includes, oil, gas and bio-energy fuels, together with the tourism industry, are two of the most important...
Persistent link: https://www.econbiz.de/10011545065
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Volatility integration in spot, futures and options markets : a regulatory perspective
Rastogi, Shailesh; Athaley, Chaitaly - In: Journal of risk and financial management : JRFM 12 (2019) 2/98, pp. 1-15
The aim of this paper is to study the integration of volatility in the three markets, viz. spot, futures and options … moments (GMM) is used to capture the simultaneous equation modelling of volatility in the three markets. The integration of … the volatility in the three markets is also tested for structural breaks. The main finding of the paper is that the …
Persistent link: https://www.econbiz.de/10012022005
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A survey on empirical findings about spillovers in cryptocurrency markets
Kyriazis, Nikolaos A. - In: Journal of risk and financial management : JRFM 12 (2019) 4/170, pp. 1-17
This paper provides a systematic survey on return and volatility spillovers of cryptocurrencies based on the empirical … but volatility spillovers often present a bi-directional character. Volatility shock transmission is detected among …
Persistent link: https://www.econbiz.de/10012171411
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Dynamic responses of major equity markets to the US fear index
Adrangi, Bahram; Chatrath, Arjun; Macri, Joseph; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/156, pp. 1-23
.e., the Chicago Board of Trade Volatility Index (VIX). The VIX is designed to perform as a leading indicator of the volatility … estimation show that, in the first and second subperiods that cover from 6/2013 through 5/2016, equity market volatility in the …
Persistent link: https://www.econbiz.de/10012173007
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Does the assumption on innovation process play an important role for filtered historical simulation model?
Altun, Emrah; Tatlidil, Huseyin; Ozel, Gamze; … - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-13
Most of the financial institutions compute the Value-at-Risk (VaR) of their trading portfolios using historical simulation-based methods. In this paper, we examine the Filtered Historical Simulation (FHS) model introduced by Barone-Adesi et al. (1999) theoretically and empirically. The main goal...
Persistent link: https://www.econbiz.de/10011855007