Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk, which is concerned with stocks and bonds, and related financial derivatives, as well as exchange rates and interest rates. This paper is concerned with market risk management and...

This paper compares the impacts of SARS and human deaths arising from Avian Flu on international tourist arrivals to Asia. The effects of SARS and human deaths from Avian Flu will be compared directly according to human deaths. The nature of the short run and long run relationship is examined...

Expert opinion is an opinion given by an expert, and it can have significant value in forecasting key policy variables in economics and finance. Expert forecasts can either be expert opinions, or forecasts based on an econometric model. An expert forecast that is based on an econometric model is...

The primary purpose of the paper is to answer the following two questions regarding the performance of the influential Federal Open Market Committee (FOMC) of the Federal Reserve System, in comparison with the forecasts contained in the “Greenbooks†of the professional staff of the...

In 1993, the Chicago Board Options Exchange (CBOE) introduced the Volatility Index, VIX, based on S&P100 options (OEX), which quickly became the benchmark for stock volatility. As VIX is based on real-time option prices, it reflects investors’ consensual view of future expected stock...

Upon examining own volatility dependency for the three major sectors, namely Service, Industrial and Banking, in four GCC economies (Kuwait, Qatar, Saudi Arabia and UAE), the empirical findings suggest that Banking seems to be the least sensitive among the sectors to past own volatility, while...

Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of Value-at-Risk (VaR) models to measure risk. Sometimes the risk estimates...

The Amazon rainforest is one of the world’s greatest natural wonders and holds great importance and significance for the world’s environmental balance. Around 60% of the Amazon rainforest is located in the Brazilian territory. The two biggest states of the Amazon region are...

A government’s ability to forecast key economic fundamentals accurately can affect business confidence, consumer sentiment, and foreign direct investment, among others. A government forecast based on an econometric model is replicable, whereas one that is not fully based on an econometric...

Nonlinear regression models have been widely used in practice for a variety of time series and cross-section datasets. For purposes of analyzing univariate and multivariate time series data, in particular, Smooth Transition Regression (STR) models have been shown to be very useful for...