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Do global factors impact BRICS stock markets? A quantile regression approach

Mensi, Walid; Hammoudeh, Shawkat; Reboredo, Juan Carlos; … - Institut de Préparation à l'Administration et à la … - 2014

This paper examines the dependence structure between the emerging stock markets of the BRICS countries (Brazil, Russia … period from September 1997 to September 2013 show that the BRICS stock markets exhibit asymmetric dependence with the global … stock market and this dependence has not changed since the onset of the recent global financial crisis. Moreover, oil prices …

Persistent link: https://www.econbiz.de/10010754739

Conditional density forecast of China's energy demand via QRNN model

Cao, Shubo; Xu, Qifa; Jiang, Cuixia; He, Yaoyao - In: Applied economics letters 25 (2018) 12, pp. 867-875

Persistent link: https://www.econbiz.de/10012130465

Financial, Institutional, and Macroeconomic Determinants of Cross-Country Portfolio Equity Flows

Afonso, António; Alves, José; Beck, Krzysztof; … - 2022

We consider a new dataset that provides a description of the population of financial equity flows between developed countries from 2001 to 2018. We follow the standard practice of controlling for pull and push factors as well as gravity-style variables, while also accounting for the business...

Persistent link: https://www.econbiz.de/10013353484

Quantile debt fan charts

Dagli, Suzette; Mariano, Paul; Salvanera, Arjan Paulo - 2022

The paper applies quantile regression technique, specifically, quantile vector autoregression to stochastic debt sustainability analysis (DSA) and the construction of public debt fan charts. Stochastic approach to DSA typically uses standard ordinary least squares vector autoregression (OLS VAR)...

Persistent link: https://www.econbiz.de/10013365409

Ownership structure and bank risk-taking in ASEAN countries: A quantile regression approach

In: Cogent Economics & Finance 8 (2020) 1, pp. 1-19

This study examines the effect of ownership structure on the risk-taking behavior of banks in ASEAN countries. Using a sample of 96 commercial banks in ASEAN countries from 2002 to 2018, the study demonstrates that the relationship between ownership structure and bank risk-taking behavior is...

Persistent link: https://www.econbiz.de/10014001441

Abnormal loan growth and bank risk-taking in Vietnam: A quantile regression approach

Ho, Tin H.; Le, Tu D. Q.; Nguyen, Dat T. - In: Cogent Business & Management 8 (2021) 1, pp. 1-11

We empirically investigate and present evidence of nonlinearity and heterogeneity in the impact of abnormal loan growth on risk-taking in the Vietnamese banking system between 2007 and 2019, using a quantile regression method. Our results showed that abnormal loan growth initially helped banks...

Persistent link: https://www.econbiz.de/10014001712

Contagion from market price impact: A price-at-risk perspective

Fukker, Gábor; Kaijser, Michiel; Mingarelli, Luca; … - 2022

Overlapping portfolios constitute a well-recognised source of risk, providing a channel for financial contagion induced by the market price impact of asset deleveraging. We introduce a novel method to assess the market price impact on a security-by-security basis from historical daily traded...

Persistent link: https://www.econbiz.de/10014278196

Pay and Unemployment Determinants of Migration Flows in the European Union

Afonso, António; Alves, José; Beck, Krzysztof - 2022

We analyze the migration drivers within the European Union countries. For a set of 23 EU countries over the 1995-2019 period, we use Bayesian Model Averaging and quantile regression to assess notably the relevance of unemployment and earnings. We find that the existence of a common border...

Persistent link: https://www.econbiz.de/10014290041

Using macro-financial models to simulate macroeconomic developments during the Covid-19 pandemic: The case of Albania

Skufi, Lorena; Gersl, Adam - 2022

The recent Covid-19 pandemic has increased the importance of properly forecasting macro-financial developments in turbulent times. Only a limited number of studies focus on how to employ macro-financial models to project key real and financial sector variables under large shocks and unusual...

Persistent link: https://www.econbiz.de/10014301796

The effects of taxation on income inequality in sub-Saharan Africa

Ouedraogo, Idrissa Mohamed; Dianda, Issa; Ouedraogo, … - 2022

This paper investigates the effects of taxation on income inequality in an unbalanced panel of 45 countries in sub-Saharan Africa over the period 1980-2018. We use instrumentalvariable two-stage least squares and instrumental-variable quantile regression estimates. We find that taxation widens...

Persistent link: https://www.econbiz.de/10014322620