We develop an economic policy uncertainty (EPU) index for Pakistan in accordance with Baker, Bloom and Davis (2016) by extracting newspaper articles from Websites (i.e., Web-scraping) and we divided this into two indices. The main index, is based on four leading English-language Pakistan...

Economic Policy Uncertainty is defined as a state wherein the policymakers, or institutions are uncertain about the future course of economic policies owing to a myriad of factors ranging from economic conditions and political tensions to geo-politics. The pioneering work of Baker, Bloom and...

We empirically examine some listed Chinese firms’ political connection, ownership, and financing constraints. Politically-connected firms display no financing constraints whereas firms without connection experience significant constraints. Non-connected family-controlled firms bear greater...

This paper examines the impact of recent financial liberalization in China on the financing constraints of publicly-listed Chinese firms with and without politically-connected CEO/Chairman. Two continuous indices are used to measure the evolution and intensity of financial reforms: a financial...

This paper examines the impact of recent financial liberalization in China on the financing constraints and investment of publicly-listed Chinese firms. Two continuous indices are constructed to measure the evolution and intensity of financial reforms: a financial liberalization index and a...

This paper examines the impact of recent financial liberalization in China on the financing constraints of publicly-listed Chinese firms with and without politically-connected CEO/Chairman. Two continuous indices are used to measure the evolution and intensity of financial reforms: a financial...

Estimation of portfolio expected credit loss is required for IFRS9 regulatory purposes. It starts with the estimation of scenario loss at loan level, and then aggregated and summed up by scenario probability weights to obtain portfolio expected loss. This estimated loss can vary significantly,...

The aim of this paper is to investigate the impact of public sentiment on tail risk forecasting. In this framework, we extend the Realized Exponential GARCH model to directly incorporate information from realized volatility measures and exogenous variables. Several indices related to social...

The aim of this paper is to investigate the impact of public sentiment on tail risk forecasting. In this framework, we extend the Realized Exponential GARCH model to directly incorporate information from realized volatility measures and exogenous variables, thus resulting in a novel dynamically...

We develop a news-media textual measure of aggregate economic uncertainty, defined as the fraction of Financial Times articles that contain uncertainty-related keyphrases, at frequencies from daily to annual, from January 1982 to April 2014. We improve on existing similar measures in several...