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Guardians of Finance: Making Regulators Work for Us
Barth, James R.; Caprio, Gerard Jr.; Levine, Ross - The MIT Press
luminaries that includes Timothy Geithner, Henry Paulson, Robert Rubin, Ben Bernanke, and Alan Greenspan. In Guardians of Finance …
Persistent link: https://www.econbiz.de/10010535228
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A Short-run Schumpeterian Trip to Embryonic African Monetary Zones
Asongu, Simplice A - In: Economics Bulletin 33 (2013) 1, pp. 859-873
With the spectre of the Euro crisis looming substantially large and scaring potential monetary unions, this study is a short-run trip to embryonic African monetary zones to assess the Schumpeterian thesis for positive spillovers of financial services on growth. Causality analysis is performed...
Persistent link: https://www.econbiz.de/10010835849
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Uncertainty of Multiple Period Risk Measures
Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2009
In general, the properties of the conditional distribution of multiple period returns do not follow easily from the one-period data generating process. This renders computation of Value-at-Risk and Expected Shortfall for multiple period returns a non-trivial task. In this paper we consider some...
Persistent link: https://www.econbiz.de/10005198007
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Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges
Brännäs, Kurt; G De Gooijer, Jan; Lönnbark, Carl; … - Institutionen för Nationalekonomi, Umeå Universitet - 2007
The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks and an outside stock exchange. Using daily data 2000-2006 for the Baltic state stock exchanges and...
Persistent link: https://www.econbiz.de/10005198022
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On risk prediction
Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2009
This thesis comprises four papers concerning risk prediction. Paper [I] suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks. Using daily data 2000-2006 for the...
Persistent link: https://www.econbiz.de/10005012478
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A Corrected Value-at-Risk Predictor
Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2008
In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and find in an empirical illustration that it is economically relevant.
Persistent link: https://www.econbiz.de/10005651967
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On the substitution of institutions and finance in investment
Asongu, Simplice A - In: Economics Bulletin 34 (2014) 3, pp. 1557-1574
The Ali (2013, EB) findings on the nexuses among institutions, finance and investment could have an important influence … finance and institutions because they are less realistic to developing countries to which the resulting policy implications … substitution of institutions and finance in investment. Results under many baseline and augmented scenarios are not consistent with …
Persistent link: https://www.econbiz.de/10010800841
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On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl - In: Journal of Banking & Finance 37 (2013) 3, pp. 847-853
In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results for the Value at Risk and discuss how the...
Persistent link: https://www.econbiz.de/10011065737
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On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2012
In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results for the Value at Risk and discuss how the...
Persistent link: https://www.econbiz.de/10010564003
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Finance and growth: New evidence from Meta-analysis
Asongu, Simplice A - Volkswirtschaftliche Fakultät, … - 2013
Purpose – In a meta-study, we have bridged the gap between the pros and cons of a questionable finance-growth nexus … genuine effect exists between financial development and economic growth. A finance-growth nexus might not be appealing in our … consistent with the mainstream positive finance-growth nexus should provide new scholarly insights into the relationship …
Persistent link: https://www.econbiz.de/10011258243