This paper identifies a precautionary banking liquidity shock via a set of sign, zero and forecast variance restrictions imposed. The shock proxies the reluctance of the banking sector to "lend" to the real economy induced by an exogenous change in financial intermediaries' preference for "high"...

This paper identifies a precautionary banking liquidity shock via a set of sign, zero and forecast variance restrictions imposed. The shock proxies the banking sector's reluctance to lend to the real economy induced by an exogenous preference change for liquid assets. Through the lens of a DSGE...

In der Literatur wird zunehmend untersucht, inwieweit Enthüllungsrisiken durch multivariate Analysemethoden beim indirekten Mikrodatenzugang über die kontrollierte Datenfernverarbeitung (Remote Access) bestehen. Daran anschließend zeigt der Beitrag, wie die Schwerpunkteigenschaft der...

In der Literatur wird zunehmend untersucht, inwieweit Enthüllungsrisiken durch multivariate Analysemethoden beim indirekten Mikrodatenzugang über die kontrollierte Datenfernverarbeitung (Remote Access) bestehen. Daran anschließend zeigt der Beitrag, wie die Schwerpunkteigenschaft der...

In this paper we perform a meta-analysis on empirical estimates of the impact between investment and uncertainty. Since the outcomes of primary studies are largely incomparable with respect to the magnitude of the effect, our analysis focuses on the direction and statistical significance of the...

Electricity retailers face increasing uncertainty due to the ongoing expansion of unpredictable, distributed generation in the residential sector. We analyze how increasing levels of households' solar PV self-generation affect the short-term decisionmaking and associated risk exposure of...

CAPM with all its controversies is still valid, popular and most used asset pricing model in world. Three major perspectives run among the researchers. The first rejects CAPM completely and the rest two advocates changes but differently. A scrupulous analysis yields that investors care more for...

This paper extends the classic Samuelson (1970) and Merton (1973) model of optimal portfolio allocation with one risky asset and a riskless one to include the effect of the skewness. Using an extended version of Stein's Lemma, we provide the explicit solution for optimal demand that holds for...

The paper is an empirical research work wherein the principle of Modern Portfolio Theory along with aspects of geographical diversification have been subjected to test. The validation of the said theory has been made via hypothesis testing in light of the financial market data. The paper has...

This paper investigates and developed credit risk models. Specifically, it focuses on the Merton model, its extensions model and the way to survey new structural approach. First, this paper describes Merton model. Second, reviews the first-passage model along with more focus on default point....