Narrow search
Showing 1 - 10 of 2,714
Cover Image
Uncertainty and Monetary Policy During Extreme Events
Pellegrino, Giovanni - 2020
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
Cover Image
Pricing Poseidon : extreme weather uncertainty and firm return dynamics
Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2019
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
Cover Image
How does Climate Risk Spillover and Uncertainty Affect US Stock Markets?
Khalfaoui, Rabeh; Mefteh-Wali, Salma; viviani, jean-laurent - 2022
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
Cover Image
Risk Management of Daily Tourist Tax Revenues for the Maldives
McAleer, Michael; Shareef, Riaz; da Veiga, Bernardo - 2005
magnitude of tax revenue receipts. A framework is presented for risk management of daily tourist tax revenues for the Maldives … tourist arrivals and their growth rate is analogous to the volatility (or dynamic risk) in financial returns. In this paper …
Persistent link: https://www.econbiz.de/10010312482
Cover Image
Explosive oil prices
Gronwald, Marc - 2013
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
Cover Image
Heterogeneous Beliefs, Regret, and Uncertainty : The Role of Speculation in Energy Price Dynamics
Joëts, Marc - 2014
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
Cover Image
Two New Risk Metrics : Liquidity Asian Put VaR(TM) and Shortfall(TM) to LIQUIDATION Based on Tail Volatilities & Correlations 'The Need for New Valuation, Risk and Policy Making Mo...
Crousillat, Cesar - 2017
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
Cover Image
US Economic Policy Uncertainty Spillover on the Stock Markets of the GCC Countries
Istiak, Khandokar - 2019
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
Cover Image
Identifying Uncertainty Shocks Due to Geopolitical Swings in Korea
Lee, Seohyun - 2019
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
Cover Image
Quantile Hedging in a Semi-Static Market with Model Uncertainty
Bayraktar, Erhan - 2017
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