Showing 1 - 10 of 2,718
How damaging are uncertainty shocks during extreme events such as the great recession and the Covid-19 outbreak? Can monetary policy limit output losses in such situations? We use a nonlinear VAR framework to document the large response of real activity to a financial uncertainty shock during...
Persistent link: https://www.econbiz.de/10012822498
We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets by identifying market responses to the uncertainty regarding both potential hurricane landfall and subsequent economic impact. Stock options on firms with establishments...
Persistent link: https://www.econbiz.de/10012181922
In this study, we attempt to revisit how dependent the US stock market returns are on climate change-related risks (CCRR). In this regard, we use a spillover and connectedness network analysis to assess the strength of the causal effect and transmission pathway of CCRR proxies (green index,...
Persistent link: https://www.econbiz.de/10013406460
This paper deals with three aspects of spectacular oil price episodes such as the one witnessed in 2008. First, the concept of temporary explosiveness is proposed as an empirical method for capturing this type of behavior. The application of a recently proposed recursive unit root test shows...
Persistent link: https://www.econbiz.de/10009786017
This paper proposes to investigate the impact of financialization on energy markets (oil, gas, coal and electricity European forward prices) during both normal times and extreme fluctuation periods through an original behavioral and emotional approach. To this aim, we propose a new theoretical...
Persistent link: https://www.econbiz.de/10013064133
This paper derives two new improved risk metrics LAPVaR and LAPSF. Traditional VaRDeltaNormal valuation exaggerates … Shortfall – PSF – uses option theory to solve the problem that, under any circumstance, the risk amount is never greater than … the portfolio value. Risk to LIQUIDATION means every day-t, a portion of portfolio assets-i, for integer i ϵ (1, N) is …
Persistent link: https://www.econbiz.de/10012962743
group of nonconventional economies like the GCC countries, where risk-sharing based financial system is prominent and … foreign investment, risk-free interest, derivatives, etc. are not as widespread as in Western economies. Design … risk-sharing based financial system does not necessarily protect the stock market from US uncertainty shock. However, the …
Persistent link: https://www.econbiz.de/10012894253
Using a novel set of instrumental variables in a structural VAR framework, we investigate the economic impact of uncertainty shocks stemming from geopolitical swings in South Korea. We construct robust instrumental variables for examining the variations in uncertainty due to geopolitical swings...
Persistent link: https://www.econbiz.de/10012898238
With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the investor minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time, semi-static market of stocks and options. Based on duality...
Persistent link: https://www.econbiz.de/10012972859
for overly attractive reward-to-risk ratios are excluded, by restricting instantaneous Sharpe ratios for any market …
Persistent link: https://www.econbiz.de/10012934249