return predictabilityThis paper proposes a predictive approach to estimate macroeconomic tail risk dynamics over the long run (1876-2015). Our approach circumvents the scarcity of lMarfè, RobertoPenasse, JulienSocial Science Electronic Publishing
4DeterminantsofCreditRiskinTransitionEurope85 4.1Introduction...85 4.2LiteratureReview...92 4.2.1MacroeconomicFactors...92 4.2.2Bank-specificFactors... . . . . . . . . . . . . . . . 95 4.3 Data . . . . . . . . . . . ....
This study measures the risk of the emerging Fintech industry in China and identifies its influencing risk factors by calculating the tail risk of Fintech stock index. The expectile regression model that includes the lagged returns and macroeconomic risk factors is used to calculate the Expectile Va...
2022) but its volatility is mostly due to investor sentiments rather than changes in fundamentals (Chuen et al.,2017). Furthermore, cryptocurrencies (particularly, Bitcoin), react quickly to announcements of macroeconomic news announcements within the same day. However, unlike other assets, the tradi...
identify 31 quantitative measures of systemic risk in the economics and finance literature, which can be classified in six homogeneous groups as macroeconomic measures like credit-gap indicators; cross-sectional measures, including the delta conditional value-at-risk (CoVaR) of Adrian and Brunnermeier ...
Mork K, Olsen Ø, Mysen H (1994) Macroeconomic responses to oil price increases and decreases in seven OECD countries. Energy J 15(4):19–35 Google Scholar Mu X (2007) Weather, storage, and natural gas price dynamics: fundamentals and volatility. Energy Econ 29(1):46–63 Article Goog...
Comments posted toMeasuringWorth(see the appendix) indicate there is considerable current public interest -- and public confusion -- in regard to such questions. Our intention is to present, for the first time, macroeconomic and microeconomic dimensions of slavery in values measured by today's doll...
This study measures the risk of the emerging Fintech industry in China and identifies its influencing risk factors by calculating the tail risk of Fintech stock index. The expectile regression model that includes the lagged returns and macroeconomic risk factors is used to calculate the Expectile ...
This concept of happiness, compared to the traditional macroeconomic measurements, such as GDP, inflation and national income (see, e.g., Alesina et al. [263]) can capture the variations of people’s perceived well-being [11,12]. It is also worth mentioning the controversy surrounding the ...
This concept of happiness, compared to the traditional macroeconomic measurements, such as GDP, inflation and national income (see, e.g., Alesina et al. [263]) can capture the variations of people’s perceived well-being [11,12]. It is also worth mentioning the controversy surrounding the ...