Publisher: Redfame Publishing   (Total: 7 journals)   [Sort by number of followers]

Showing 1 - 7 of 7 Journals sorted alphabetically
Applied Economics and Finance     Open Access   (Followers: 14)
Applied Finance and Accounting     Open Access   (Followers: 9)
Business and Management Studies     Open Access   (Followers: 20)
Intl. J. of Social Science Studies     Open Access   (Followers: 16)
J. of Education and Training Studies     Open Access   (Followers: 4)
Studies in Engineering and Technology     Open Access  
Studies in Media and Communication     Open Access   (Followers: 15, SJR: 0.401, CiteScore: 1)
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Applied Economics and Finance
Number of Followers: 14  

  This is an Open Access Journal Open Access journal
ISSN (Print) 2332-7294 - ISSN (Online) 2332-7308
Published by Redfame Publishing Homepage  [7 journals]
  • The Shape of Eurozone’s Uncertainty: Its Impact and Predictive Value
           on GDP

    • Authors: Ralf Fendel, Nicola Mai, Oliver Mohr
      Pages: 1 - 18
      Abstract: This paper examines the role of uncertainty in the context of the business cycle in the euro area. To gain a more granular perspective on uncertainty, the paper decomposes uncertainty along two dimensions: First, we construct the four different moments of uncertainty, including the point estimate, the standard deviation, the skewness and the kurtosis. The second dimension of uncertainty spans along three distinct groups of economic agents, including consumers, corporates and financial markets. Based on this taxonomy, we construct uncertainty indices and assess the impact on real GDP via impulse response functions and further investigate their informational value in rolling out-of-sample GDP forecasts. The analysis lends evidence to the hypothesis that higher uncertainty expressed through the point estimate, a larger standard deviation among confidence estimates, positive skewness and a higher kurtosis are all negatively correlated with the business cycle. The impulse response functions reveal that in particular the first and the second moment of uncertainty cause a permanent effect on GDP with an initial decline and a subsequent overshoot. We find uncertainty in the corporate sector to be the main driver behind this observation, followed by financial markets’ uncertainty whose initial effect on GDP is comparable but receding much faster. While the first two moments of uncertainty improve GDP forecasts significantly, both the skewness and the kurtosis do not augment the forecast quality any further.
      PubDate: 2020-09-30
      DOI: 10.11114/aef.v7i6.5033
      Issue No: Vol. 7, No. 6 (2020)
       
  • Value at Risk and Market Risk: Case of the Regional Securities Exchange

    • Authors: Mouhamadou Saliou Diallo
      Pages: 19 - 35
      Abstract: The study of the BRVM market risk using the VaR method is a determining factor in assessing the performance of our equity portfolio composed of the BRVM composite index and the BRVM10 index. It has enabled us, with the help of Basel regulations, to use backtesting to determine the minimum amount of capital that an investor must hold per day to protect against risk. The kupiec test enables us to determine the reliability of VaR calculated at different confidence levels. The result of our study confirms, using the extreme VaR method, the robustness of our threshold-based portfolio risk management approach. It also confirms the problem of market attractiveness during times of financial crisis.
      PubDate: 2020-09-30
      DOI: 10.11114/aef.v7i6.4987
      Issue No: Vol. 7, No. 6 (2020)
       
  • Counting the Costs of COVID-19: Why Future Treatment Option Values Matter

    • Authors: Adrian Kent
      Pages: 36 - 43
      Abstract: I critique a recent analysis (Miles, Stedman & Heald, 2020) of COVID-19 lockdown costs and benefits, focussing on the United Kingdom (UK). Miles et al. (2020) argue that the March-June UK lockdown was more costly than the benefit of lives saved, evaluated using the NICE threshold of £30000 for a quality-adjusted life year (QALY) and that the costs of a lockdown for 13 weeks from mid-June would be vastly greater than any plausible estimate of the benefits, even if easing produced a second infection wave causing over 7000 deaths weekly by mid-September.   I note here two key problems that significantly affect their estimates and cast doubt on their conclusions. Firstly, their calculations arbitrarily cut off after 13 weeks, without costing the epidemic end state. That is, they assume indifference between mid-September states of 13 or 7500 weekly deaths and corresponding infection rates. This seems indefensible unless one assumes that (a) there is little chance of any effective vaccine or improved medical or social interventions for the foreseeable future, (b) notwithstanding temporary lockdowns, COVID-19 will very likely propagate until herd immunity. Even under these assumptions it is very questionable. Secondly, they ignore the costs of serious illness, possible long-term lowering of life quality and expectancy for survivors. These are uncertain, but plausibly at least as large as the costs in deaths.In summary, policy on tackling COVID-19 cannot be rationally made without estimating probabilities of future medical interventions and long-term illness costs. More work on modelling these uncertainties is urgently needed.
      PubDate: 2020-09-30
      DOI: 10.11114/aef.v7i6.5034
      Issue No: Vol. 7, No. 6 (2020)
       
  • Overnight Risk Model: A Unique Capability

    • Authors: Abigail Hsu, Ryan Kaufman, Hyunkyung Lim, James Glimm
      Pages: 44 - 48
      Abstract: We present a novel risk measurement model capable of capturing overnight risk i.e. the risk encountered between the closing time of the previous day and the opening time of the next day. The risk model captures both the overnight risk and also the intraday risk. Statistical models of intraday asset returns must separate the market opening period from the remainder of the day as these follow statistical laws with different properties. Here we present results showing our two models for these two distinct periods.
      PubDate: 2020-09-30
      DOI: 10.11114/aef.v7i6.4981
      Issue No: Vol. 7, No. 6 (2020)
       
  • A Comparative Study on the Herd Behavior of Chinese Equity and Partial
           Equity Hybrid Funds-Empirical Analysis Based on Market Fluctuations

    • Authors: Jingyu Liu, Mingyang Liu
      Pages: 49 - 56
      Abstract: This paper uses the LSV model and the VOL volatility index, as well as the quarterly position data of equity funds and partial equity hybrid funds from the first quarter of 2007 to the fourth quarter of 2019 to conduct an empirical study on the herd behavior of both kinds of funds. Then establish a connection with the volatility of the Shanghai Stock Exchange over the same period. The results show that the overall trend of herd behavior between equity funds and partial equity hybrid funds is almost completely opposite. Equity funds have a stronger herd behavior in buying, while partial equity hybrid funds have a stronger herd behavior in selling. Meanwhile, when the volatility of the Shanghai Composite Index increased significantly, the herd behavior in selling both increased.
      PubDate: 2020-10-22
      DOI: 10.11114/aef.v7i6.5012
      Issue No: Vol. 7, No. 6 (2020)
       
  • The Sustainability of Public Finances in Spain

    • Authors: Manuel Jaen Garcia
      Pages: 57 - 69
      Abstract: Concern regarding deficits in the public accounts in Europe and the United States has led politicians and researchers to consider sustainability of fiscal policy understood as the fulfillment of the intertemporal budget constraint established by the government which indicates the extent to which accumulated and future debt can be paid for by means of current and future taxes, and also cover standard public expenditures.The present article analyzes the sustainability of the national deficit in Spain for the period 1960-2016 by considering public revenue and spending in both real terms and percentages of gross domestic product using data from diverse Spanish sources. It utilizes the equations formulated by Quintos and adapts them when using variables as percentages of gross domestic product. This work concludes that Spanish debt is barely sustainable, which implies the need to instate fiscal reforms or, at least, make an effort towards consolidation.This result is accord with the situation of Spanish debt and deficit in the period after the crisis of 2008.
      PubDate: 2020-10-23
      DOI: 10.11114/aef.v7i6.5054
      Issue No: Vol. 7, No. 6 (2020)
       
 
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