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  1. Essays on European agricultural and trade policies, and their effects on agricultural mrkets
    Autor*in: Berger, Jurij
    Erschienen: 2021

    The Common Agricultural Policy of the European Union (CAP) has a long tradition. After World War II, agricultural and food production in Europe was substantially weakened and unable to provide sufficient food for the domestic population. The CAP... mehr

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    Universitätsbibliothek Braunschweig
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    Universitätsbibliothek Clausthal
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Universität Hamburg, Universitätsbibliothek
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    Bibliothek der Hochschule Hannover
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    Bibliothek im Kurt-Schwitters-Forum
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    Stiftung Tierärztliche Hochschule Hannover, Bibliothek
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    The Common Agricultural Policy of the European Union (CAP) has a long tradition. After World War II, agricultural and food production in Europe was substantially weakened and unable to provide sufficient food for the domestic population. The CAP emerged from this situation, with the objectives of increasing agricultural productivity and thereby ensuring the standard of living of the population engaged in agriculture, as well as stabilizing markets and ensuring a supply of food for the population at reasonable prices. With substantial market interventions, effective external protection as we...

     

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    Quelle: Verbundkataloge
    Beteiligt: Brümmer, Bernhard (AkademischeR BetreuerIn); Cramon-Taubadel, Stephan von (AkademischeR BetreuerIn); Kopp, Thomas (AkademischeR BetreuerIn)
    Sprache: Englisch
    Medientyp: Dissertation
    Format: Online
    Weitere Identifier:
    hdl: 21.11130/00-1735-0000-0008-58E4-4
    Schlagworte: Common Agricultural Policy; CAP; European Union; Trade Policy; Volatility; GARCH; Price Transmission; Sugar Market; Food Prices
    Umfang: 1 Online-Ressource (circa 77 Seiten), Illustrationen, Diagramme
    Bemerkung(en):

    Dissertation, Georg-August-Universität Göttingen, 2021

  2. The impact of the ECB banking supervision announcements on the EU stock market
    Erschienen: [2021]
    Verlag:  Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore, Milano, Italy

    We study the impact of ECB's supervisory announcements on the Bank Stock index, from 2013 through 2017. Our evidence shows that the news, related to supervisory actions, do have highly significant effects on the market price of banks, contributing to... mehr

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    We study the impact of ECB's supervisory announcements on the Bank Stock index, from 2013 through 2017. Our evidence shows that the news, related to supervisory actions, do have highly significant effects on the market price of banks, contributing to the volatility of the Bank Stock Index for Europe and Italy. Most announcements signal the need to raise more regulatory capital and lead to negative returns in the stock market, thus increasing the cost of raising new capital. Our study is related to previous ones (by Bernanke and Kuttner) focusing on the impact of monetary policy announcements on the stock exchange.

     

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    Sprache: Englisch
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    Weitere Identifier:
    hdl: 10419/264300
    Schriftenreihe: Working paper / Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore ; n. 112 (November 2021)
    Schlagworte: Banking Supervision; ECB; GARCH; Stock Market
    Umfang: 1 Online-Ressource (circa 22 Seiten)
  3. An empirical characterization of volatility dynamics in the DAX
    Erschienen: September 2021
    Verlag:  Berlin School of Economics and Law, Institute for International Political Economy Berlin, Berlin

    This paper addresses stock market volatility in Germany between 1991 and 2018. Through a GARCH model with leverage term, an estimation of volatility in the DAX is provided. Such estimation is then plugged into a quantile regression model where... mehr

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    This paper addresses stock market volatility in Germany between 1991 and 2018. Through a GARCH model with leverage term, an estimation of volatility in the DAX is provided. Such estimation is then plugged into a quantile regression model where potential economic determinants are analyzed. The results suggest that stock market volatility in Germany reached its historical peak between 2000 and 2004. Moreover, animal spirits play an important role across different quantiles of the volatility distribution, whereas the relevance of established risk factors proposed in the literature is limited to specific cases. Overall, the findings stress the importance of appropriate distributional assumptions when analyzing extreme financial events.

     

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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/243177
    Schriftenreihe: Working paper / Institute for International Political Economy Berlin ; no. 167 (2021)
    Schlagworte: Asset prices; volatility; GARCH; quantile regression; DAX
    Umfang: 1 Online-Ressource (circa 18 Seiten), Illustrationen
  4. Effect of exchange rate volatility on tax revenue performance in sub-Saharan Africa
    Erschienen: [2021]
    Verlag:  African Governance and Development Institute, [Yaoundé]

    Efforts to spur growth in sub-Sahara Africa have been intensified amid structural and institutional constraints. Tax revenue, the chief source of funding for developmental purposes in SSA remains low and unstable. In fact, the SSA sub-region finds it... mehr

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    Efforts to spur growth in sub-Sahara Africa have been intensified amid structural and institutional constraints. Tax revenue, the chief source of funding for developmental purposes in SSA remains low and unstable. In fact, the SSA sub-region finds it difficult generating tax revenue up to 20 per cent of GDP. One factor that has not caught the attention of policymakers in terms of its impact on tax revenue performance is exchange rate volatility. Using macrodata spanning 1984 to 2017 for 21 countries, we provide empirical evidence from a panel autoregressive distributed lag technique to show that exchange rate volatility is directly harmful to tax revenue performance, and indirectly through trade openness.

     

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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/244206
    Schriftenreihe: AGDI working paper ; WP/21, 031
    Schlagworte: Cointegration; Exchange Rate Volatility; GARCH; Sub-Sahara Africa; Tax Revenue
    Umfang: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  5. Foreign exchange intervention rule for central banks
    risk-based framework
    Erschienen: February 2021
    Verlag:  International Monetary Fund, [Washington, DC]

    This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk... mehr

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico's FXIs data between 2008 and 2016

     

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    Quelle: Staatsbibliothek zu Berlin
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9781513569406
    Weitere Identifier:
    Schriftenreihe: IMF working paper ; WP/21, 32
    Schlagworte: Foreign Exchange Interventions; Value at Risk; GARCH
    Umfang: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  6. GARCH analyses of risk and uncertainty in the theories of the interest rate of Keynes and Kalecki
    Erschienen: January 2021
    Verlag:  Wiener Institut für Internationale Wirtschaftsvergleiche, Wien

    This study attempts to identify uncertainty in the long-term rate of interest based on the controversial interest rate theories of Keynes and Kalecki. While Keynes stated that the future of the rate of interest is uncertain because it is numerically... mehr

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    This study attempts to identify uncertainty in the long-term rate of interest based on the controversial interest rate theories of Keynes and Kalecki. While Keynes stated that the future of the rate of interest is uncertain because it is numerically incalculable, Kalecki was convinced that it could be predicted. The theories are empirically tested using a reduced-form GARCH-in-mean model assigned to six globally leading financial markets. The obtained results support Keynes's theory - the long-term rate of interest is a nonergodic financial phenomenon. Analyses of the relation between the interest rate and macroeconomic variables without interest uncertainty are thus seriously incomplete.

     

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    Weitere Identifier:
    hdl: 10419/240634
    Schriftenreihe: Working paper / wiiw ; 191
    Schlagworte: uncertainty; interest rate; Keynes; Kalecki; GARCH
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  7. The good, the bad, and the asymmetric
    evidence from a new conditional density model
    Erschienen: 2021
    Verlag:  University of Luxemborg, Faculty of Law, Economics and Finance, Luxembourg

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    Weitere Identifier:
    hdl: 10993/47435
    Schriftenreihe: Discussion paper / Department of Economics and Management, University of Luxembourg ; 2021, 09
    Schlagworte: GARCH; conditional density; leverage effect; jumps; bad volatility; good volatility
    Umfang: 1 Online-Ressource (circa 42 Seiten)
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    Zugriff auf den Volltext nur auf Anfrage

  8. On the volatility of cryptocurrencies
    Erschienen: [2022]
    Verlag:  Department of Economics and Finance, Gordon S. Lang School of Business and Economics, University of Guelph, Guelph, Ontario, Canada

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    Schriftenreihe: Discussion paper / Department of Economics and Finance, Gordon S. Lang School of Business and Economics, University of Guelph ; 2022, 02
    Schlagworte: Bitcoin; Cryptocurrency; Volatility; GARCH; Markov-switching; Information criteria
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  9. Real-time forecast of DSGE models with time-varying volatility in GARCH form
    Erschienen: [2022]
    Verlag:  Department of Economics, University of Pretoria, Pretoria, South Africa

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    Weitere Identifier:
    hdl: 11159/7080
    Schriftenreihe: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2022, 04 (January 2022)
    Schlagworte: DSGE; forecasting; GARCH; stochastic volatility; conditional correlations
    Umfang: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  10. Financial integration, inclusion and stability during crises
    insights from the MENA region
    Erschienen: [2021]
    Verlag:  Economic Research Forum (ERF), Dokki, Giza, Egypt

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    Schriftenreihe: ERF working papers series ; no. 1518 (December 2021)
    Schlagworte: Financial integration; financial inclusion; financial stability; financial contagion; spillover; GARCH; Dynamic Correlation Coefficients (DCC); Panel VAR (PVAR); MENA
    Umfang: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  11. The effectiveness of Value-at-Risk models in various volatility regimes
    Erschienen: 2021
    Verlag:  University of Warsaw, Faculty of Economic Sciences, Warsaw

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    Schriftenreihe: Working papers / University of Warsaw, Faculty of Economic Sciences ; no. 2021, 28 = 376
    Schlagworte: risk management; market risk; Value-at-risk; GARCH; Historical Simulation; Risk Metrics; risk modelling; benchmark; model quality assessment
    Umfang: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  12. Temporal networks in the analysis of financial contagion
    Erschienen: [2022]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    This paper studies the dynamics of contagion across the banking, insurance and shadow banking sectors of 16 advanced economies in the period 2006-2018. We construct Granger causality-in-risk networks and introduce higher-order aggregate networks and... mehr

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    This paper studies the dynamics of contagion across the banking, insurance and shadow banking sectors of 16 advanced economies in the period 2006-2018. We construct Granger causality-in-risk networks and introduce higher-order aggregate networks and temporal node centralities in an economic setting to capture non-Markovian network features. Our approach uncovers the dynamics of financial contagion as it is transmitted across segments of the financial system and jurisdictions. Temporal centralities identify countries in distress as the nodes through which contagion propagates. Moreover, the banking system emerges as the primary source and transmitter of stress while banks and shadow banks are highly interconnected. The insurance sector is found to contribute less to stress transmission in all periods, except during the global financial crisis. Our approach, as opposed to one that uses memoryless measures of network centrality, is able to identify more clearly the nodes that are critical for the transmission of financial contagion.

     

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    ISBN: 9789289951166
    Weitere Identifier:
    hdl: 10419/264492
    Schriftenreihe: Working paper series / European Central Bank ; no 2667 (June 2022)
    Schlagworte: Financial networks; Granger causality-in-tail; GARCH; non-Markovian; systemicrisk
    Umfang: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  13. Augmented real-time GARCH
    a joint model for returns, volatility and volatility of volatility
    Autor*in: Ding, Dexter
    Erschienen: [2021]
    Verlag:  University of Cambridge, Faculty of Economics, Cambridge

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    Schriftenreihe: Cambridge working paper in economics ; 2112
    Schlagworte: GARCH; diffusion limit; forecasting; volatility of volatility
    Umfang: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  14. Diffusion limits of real-time GARCH
    Autor*in: Ding, Yashuang
    Erschienen: [2020]
    Verlag:  University of Cambridge, Faculty of Economics, Cambridge

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    Schriftenreihe: Cambridge working paper in economics ; 20112
    Schlagworte: GARCH; RT-GARCH; SV; diffusion limit
    Umfang: 1 Online-Ressource (circa 16 Seiten)
  15. Weak diffusion limit of real-time GARCH models
    the role of current return information
    Autor*in: Ding, Yashuang
    Erschienen: [2020]
    Verlag:  University of Cambridge, Faculty of Economics, Cambridge

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    Schriftenreihe: Cambridge working paper in economics ; 20112
    Cambridge-INET working paper series ; 2020, 53
    Schlagworte: GARCH; RT-GARCH; SV; diffusion limit; high frequency data
    Umfang: 1 Online-Ressource (circa 31 Seiten)
  16. Export performance and exchange rate volatility
    evidence from the WAMZ
    Erschienen: December, 2013
    Verlag:  West African Monetary Institute (WAMI), Accra, Ghana

    This paper examines the relationship between exchange-rate volatility and export performance in the WAMZ countries using quarterly data for the period 1990-2010. The paper utilizes the Engel-Granger Dynamic OLS (DOLS) estimation technique as well as... mehr

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    This paper examines the relationship between exchange-rate volatility and export performance in the WAMZ countries using quarterly data for the period 1990-2010. The paper utilizes the Engel-Granger Dynamic OLS (DOLS) estimation technique as well as the Generalized Auto Regressive Conditional Heteroskedasticity (GARCH) approach to model the real exchange rate volatility. In conformity with theoretical considerations, the results indicate that increases in the exchange-rate volatility exert a significant negative effect upon export in Liberia, Nigeria and Sierra Leone. While a positive relationship is established in the case of The Gambia, exchange-rate volatility impact on Ghana and Guinea is insignificant. The results also reveal a positive relationship between terms of trade and export performance for all the countries, indicating that improvement in terms of trade trigger increases in export performance in the WAMZ countries. Income from the rest of the world is found to have a positive effect on export performance in the WAMZ countries. The study also finds that real effective exchange rate has a negative impact on export performance in the case of The Gambia, Ghana and Nigeria, while a positive relationship is established in the case of Guinea and Liberia. However, while a positive relationship is revealed for Sierra Leone in the long run, its impact in the short run is negative. A key lesson arising from this study is that trade policy actions aimed at stabilizing the export market are likely to generate uncertain results, at best, if policymakers in the WAMZ countries ignore the stability as well as the level of the real exchange rate. Thus, if policymakers wish to target exports, policies which will ensure stability of the exchange rate should be of outmost importance.

     

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    Weitere Identifier:
    hdl: 10419/264216
    Schriftenreihe: WAMI occasional paper series ; vol. 1, no. 5
    Schlagworte: Exchange rate volatility; Engel-Granger Dynamic OLS; export performance; GARCH; WAMZ
    Umfang: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  17. Measuring Interdependence of Inflation Uncertainty
    Autor*in: Lee, Seohyun
    Erschienen: 2022
    Verlag:  SSRN, [S.l.]

    The unprecedented fiscal and monetary policy responses during the COVID-19 crisis have increased uncertainty about inflation. During crises periods, the strength of the transmission of inflation uncertainty shocks from one country to another tends to... mehr

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    The unprecedented fiscal and monetary policy responses during the COVID-19 crisis have increased uncertainty about inflation. During crises periods, the strength of the transmission of inflation uncertainty shocks from one country to another tends to intensify. This paper examines empirical methodologies to measure the strength of the interdependence of inflation uncertainty between the UK and the euro area. We first estimate inflation uncertainty by expost forecast errors from a bivariate VAR GARCH model. The interdependence of uncertainty is estimated using a probability model. The results imply that the spillover of uncertainty is stronger for uncertainty about distant future than near future. The evidence from quantile regressions shows that such empirical method could suffer from bias if endogeneity is not properly addressed. To identify structural parameters in an endogeneity representation of interdependence, we exploit heteroskedasticity in the data across different regimes determined by the ratio of variances. The results no longer exhibit stronger interdependence at longer horizons. Estimated by different sample periods, the strength of the propagation of inflation uncertainty intensifies during the Global Financial Crisis while the interdependence significantly weakens during the post-crisis period

     

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    Schriftenreihe: KDI School of Pub Policy & Management Paper ; No. 04, 2022
    Schlagworte: inflation uncertainty; interdependence; GARCH; copulas; at-risk; conditional forecasting; identification through heteroskedasticity
    Umfang: 1 Online-Ressource (43 p)
    Bemerkung(en):

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 11, 2022 erstellt

  18. Modeling the volatility of returns on commodities: an application and empirical comparison of GARCH and SV models
    Erschienen: febrero, 2020
    Verlag:  Departamento de Economía, Pontificia Universidad Católica del Perú, Lima, Perú

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    Schriftenreihe: Documento de trabajo / Departamento de Economía, PUCP ; no 484
    Schlagworte: Returns; Volatility; GARCH; Stochastic Volatility; Commodities; Bayesian Estimation; Fat Tails; Jumps; Leverage
    Umfang: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  19. Endogenous and exogenous volatility in the foreign exchange market
    Erschienen: [2020]
    Verlag:  DISEI, Università degli Studi di Firenze, Firenze (Italia)

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    Schriftenreihe: Array ; 2020, n. 17
    Schlagworte: heteroskedasticity; asset pricing model; heterogeneous beliefs; market making; foreign exchange market; Markov switching; GARCH; SVAR; high frequency data
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  20. Conditional heteroskedasticity in the volatility of asset returns
    Autor*in: Ding, Yashuang
    Erschienen: [2021]
    Verlag:  University of Cambridge, Faculty of Economics, Cambridge

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    Schriftenreihe: Cambridge working paper in economics ; 2179
    Janeway Institute working paper series ; 2021, 11
    Schlagworte: GARCH; SHARV; volatility; volatility of volatility; forecasting
    Umfang: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  21. GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks
    Erschienen: 2021
    Verlag:  University of Warsaw, Faculty of Economic Sciences, Warsaw

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    Schriftenreihe: Working papers / University of Warsaw, Faculty of Economic Sciences ; no. 2021, 8 = 356
    Schlagworte: Value-at-Risk; GARCH; neural networks; LSTM
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  22. HCR & HCR-GARCH - novel statistical learning models for value at risk estimation
    Erschienen: 2021
    Verlag:  University of Warsaw, Faculty of Economic Sciences, Warsaw

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    Schriftenreihe: Working papers / University of Warsaw, Faculty of Economic Sciences ; no. 2021, 10 = 358
    Schlagworte: Value at Risk; Hierarchical Correlation Reconstruction; GARCH; Standardized Residuals
    Umfang: 1 Online-Ressource (circa 37 Seiten)
  23. Optimal markowitz portfolio using returns forecasted with time series and machine learning models
    Erschienen: 2023
    Verlag:  University of Warsaw, Faculty of Economic Sciences, Warsaw

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    Schriftenreihe: Working papers / University of Warsaw, Faculty of Economic Sciences ; no. 2023, 17 = 424
    Schlagworte: Algorithmic Investment Strategies; Markowitz framework; portfolio optimization; forecasting; ARIMA; GARCH; XGBoost; minimum variance
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  24. Foreign exchange intervention rule for central banks
    risk-based framework
    Erschienen: February 2021
    Verlag:  International Monetary Fund, [Washington, DC]

    This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk... mehr

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    This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico's FXIs data between 2008 and 2016

     

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    Sprache: Englisch
    Medientyp: Ebook
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    ISBN: 9781513569406
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    Schriftenreihe: IMF working paper ; WP/21, 32
    Schlagworte: Foreign Exchange Interventions; Value at Risk; GARCH
    Umfang: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  25. The stock market effects of committing and setting GHG targets
    evidence from the science-based initiative
    Erschienen: November 2023
    Verlag:  [Banco de México], [Ciudad de México, México]

    Many companies are setting ambitious targets to reduce their greenhouse gas emissions (GHG) per the Paris Agreement. However, there is limited evidence on the market effects of setting those targets. Using a GARCH model with a trend developed by the... mehr

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    Many companies are setting ambitious targets to reduce their greenhouse gas emissions (GHG) per the Paris Agreement. However, there is limited evidence on the market effects of setting those targets. Using a GARCH model with a trend developed by the authors and a panel fixed effects model, this paper analyzes the short-run effects of committing and setting GHG targets on public companies' stock price returns and volatility. We find no evidence that committing or setting a target yields higher returns but contributes to a reduction in price volatility, albeit the impact is short-lived. In view of these results, we conclude that there are no visible stock market gains in the short term for companies that commit and set GHG targets and that other factors may explain their motivations to engage in GHG mitigation actions.

     

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    Schriftenreihe: Working papers / Banco de México ; no 2023, 15
    Schlagworte: Stock returns; Volatility; GHG emissions; ESG; GARCH
    Umfang: 1 Online-Ressource (circa 38 Seiten), Illustrationen