Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies [0.03%]
加密货币的风险依赖性建模和投资组合VaR预测
Jie Cheng
Jie Cheng
In this paper, we investigate the co-dependence and portfolio value-at-risk of cryptocurrencies, with the Bitcoin, Ethereum, Litecoin and Ripple price series from January 2016 to December 2021, covering the crypto crash and pandemic period,...
The economic impact of the first wave of the pandemic on 50+ Europeans [0.03%]
疫情第一波对50岁以上欧洲人经济影响的研究
Andrea Bonfatti,Greta Pesaresi,Guglielmo Weber et al.
Andrea Bonfatti et al.
We analyse the effects of the first wave of the COVID-19 crisis on the economic situation of 50+ Europeans. We construct a financial distress indicator that captures experiencing an income loss, difficulties to make ends meet and the need t...
Forecasting GDP with many predictors in a small open economy: forecast or information pooling? [0.03%]
众多预测变量下的小开放经济体的GDP预测：预测或信息融合？
Hwee Kwan Chow,Yijie Fei,Daniel Han
Hwee Kwan Chow
This study compares two distinct approaches, pooling forecasts from single indicator MIDAS models versus pooling information from indicators into factor MIDAS models, for short-term Singapore GDP growth forecasting with a large ragged-edge ...
Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework [0.03%]
基于TVP-VAR框架度量金融机构的关联性及其中介性排序
Hai-Chuan Xu,Fredj Jawadi,Jie Zhou et al.
Hai-Chuan Xu et al.
Financial risk is spread and amplified through the interconnectedness among financial institutions. We apply a time-varying parameter vector autoregression model to analyze the dynamic spillover effects in the Chinese financial system. We f...
Observed and expected interest rate pass-through under remarkably high market rates [0.03%]
市场利率异常高时的观测与预期利息率传递效应
Jose Angelo Divino,Carlos Haraguchi
Jose Angelo Divino
This paper investigates the pass-through from observed and expected policy interest rates to the remarkably high lending rates in the Brazilian economy, accounting for financial-institution specific characteristics, borrower types, asymmetr...
The effect of infrastructure investment on tourism demand: a synthetic control approach for the case of Kuelap, Peru [0.03%]
基础设施投资对旅游需求的影响——以秘鲁库埃拉普为例的合成控制法分析
Erick Lahura,Rosario Sabrera
Erick Lahura
In this paper we estimate the effect of infrastructure investment on tourism demand. For this purpose, we analyse the case of the Kuelap Archaeological Complex (Peru), which became more attractive and accessible following the construction o...
Joan Calzada,Xavier Fageda,Fernando Martínez-Santos
Joan Calzada
In recent decades, the US bank market has been exposed to several waves of mergers, resulting in concerns about branch presence and consumer access to financial services. This paper examines the effects of bank mergers on branch density in ...
The response of household debt to COVID-19 using a neural networks VAR in OECD [0.03%]
使用神经网络VAR分析OECD国家家庭债务对COVID-19的反应
Emmanuel C Mamatzakis,Steven Ongena,Mike G Tsionas
Emmanuel C Mamatzakis
This paper investigates responses of household debt to COVID-19-related data like confirmed cases and confirmed deaths within a neural networks panel VAR for OECD countries. Our model also includes a plethora of non-pharmaceutical and pharm...
Byron Botha,Rulof Burger,Kevin Kotzé et al.
Byron Botha et al.
We investigate whether the use of statistical learning techniques and big data can enhance the accuracy of inflation forecasts. We make use of a large dataset for the disaggregated prices of consumption goods and services, which we partiall...
Moses Kangogo,Mardi Dungey,Vladimir Volkov
Moses Kangogo
An increasing involvement of the Asian market in the global context plays a fundamental role in spreading shocks across the financial system. This paper examines the extent of vulnerability across Asian equity markets and the United States ...