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Multi-Period Structural Model of Mortgage Portfolio with Cointegrated Factors 具有协整因素的抵押贷款组合多期结构模型
IF 0.5 4区 经济学
Finance a Uver-Czech Journal of Economics and Finance Pub Date : 2015-12-17 DOI: 10.2139/SSRN.2705032
Petr Gapko, M. Šmíd
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引用次数: 0
Consumer Demand System Estimation and Value Added Tax Reforms in the Czech Republic 捷克共和国消费者需求系统估算与增值税改革
IF 0.5 4区 经济学
Finance a Uver-Czech Journal of Economics and Finance Pub Date : 2013-08-13 DOI: 10.1920/WP.IFS.2013.1320
P. Janský
{"title":"Consumer Demand System Estimation and Value Added Tax Reforms in the Czech Republic","authors":"P. Janský","doi":"10.1920/WP.IFS.2013.1320","DOIUrl":"https://doi.org/10.1920/WP.IFS.2013.1320","url":null,"abstract":"The value added tax (VAT) rates have recently changed in the Czech Republic, and in this paper I simulate the impact of these reforms. They are an example of changes in indirect taxes that change the prices of goods and services, to which households can respond by adjusting their expenditures. I first estimate the behavioral response of consumers to price changes in the Czech Republic by applying a consumer demand model of the Quadratic Almost Ideal Demand System (QUAIDS) on the basis of the Czech Statistical Office household expenditure and price data for the period from 2001 to 2011. I derive estimates of own- and cross-price and income elasticities for individual households. I then use these elasticities to estimate the impact of the changes in VAT rates that were proposed or implemented between 2011 and 2013 on households’ quantity demanded and government revenues. One of the main findings is that the estimated increases in govern-ment revenues that take the consumer responses into account are more than a quarter lower than the estimates that use the static simulation.","PeriodicalId":45041,"journal":{"name":"Finance a Uver-Czech Journal of Economics and Finance","volume":"68 1","pages":"246-273"},"PeriodicalIF":0.5,"publicationDate":"2013-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80265455","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 38
Cointegration and Extreme Value Analyses of Bovespa and the Istanbul Stock Exchange Bovespa与伊斯坦布尔证券交易所的协整与极值分析
IF 0.5 4区 经济学
Finance a Uver-Czech Journal of Economics and Finance Pub Date : 2012-01-01 DOI: 10.2139/SSRN.1636183
Ceylan Onay, Gözde Ünal
{"title":"Cointegration and Extreme Value Analyses of Bovespa and the Istanbul Stock Exchange","authors":"Ceylan Onay, Gözde Ünal","doi":"10.2139/SSRN.1636183","DOIUrl":"https://doi.org/10.2139/SSRN.1636183","url":null,"abstract":"This paper investigates the long-term financial integration and bivariate extreme dependence between Bovespa and the Istanbul Stock Exchange. While a static cointegration test presents no evidence of long-term cointegration, the introduction of a structural break into the model shows that Bovespa and the ISE were cointegrated following the local crisis in Turkey in 2000. Dynamic cointegration tests and DCC-GARCH analysis also reveal that Bovespa and the ISE reacted strongly not only to systemic crises as expected, but also unexpectedly to local crises in each other. This shows that equity prices in two emerging markets in distant regions of the world can co-move in the absence of significant trade and financial linkages. This suggests that there are underlying processes that affect equity prices other than trade, financial linkages, macroeconomic ties, and FDI as the prior literature suggests. While episodic cointegration is found for Bovespa and the ISE, the extremes of these markets still possess asymptotic independence, suggesting diversification opportunities.","PeriodicalId":45041,"journal":{"name":"Finance a Uver-Czech Journal of Economics and Finance","volume":"1 1","pages":"66-90"},"PeriodicalIF":0.5,"publicationDate":"2012-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81464769","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 18
Dynamic Multi-Factor Credit Risk Model with Fat-Tailed Factors 具有厚尾因素的动态多因素信用风险模型
IF 0.5 4区 经济学
Finance a Uver-Czech Journal of Economics and Finance Pub Date : 2010-11-18 DOI: 10.2139/SSRN.1711202
M. Šmíd, Petr Gapko
{"title":"Dynamic Multi-Factor Credit Risk Model with Fat-Tailed Factors","authors":"M. Šmíd, Petr Gapko","doi":"10.2139/SSRN.1711202","DOIUrl":"https://doi.org/10.2139/SSRN.1711202","url":null,"abstract":"The authors introduce an improved multi-factor credit risk model describing simultaneously the default rate and the loss given default. Their methodology is based on the KMV model, which they generalize in three ways. First, they add a model for loss given default (LGD), second, they bring dynamics to the model, and third, they allow non-normal distributions of risk factors. Both the defaults and the LGD are driven by a common factor and an individual factor; the individual factors are mutually independent, but the authors allow any form of dependence of the common factors. They test their model on a nationwide portfolio of US mortgage delinquencies, modeling the dependence of the common factor by a VECM model, and compare their results with the current regulatory framework, which is described in the Basel II Accord.","PeriodicalId":45041,"journal":{"name":"Finance a Uver-Czech Journal of Economics and Finance","volume":"206 1","pages":"125-140"},"PeriodicalIF":0.5,"publicationDate":"2010-11-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88657286","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 13
Size and Value Premium in International Portfolios: Evidence from Fifteen European Countries 国际投资组合的规模与价值溢价:来自15个欧洲国家的证据
IF 0.5 4区 经济学
Finance a Uver-Czech Journal of Economics and Finance Pub Date : 2010-01-01 DOI: 10.2139/SSRN.1659936
Nawazish Mirza, Ayesha Afzal
{"title":"Size and Value Premium in International Portfolios: Evidence from Fifteen European Countries","authors":"Nawazish Mirza, Ayesha Afzal","doi":"10.2139/SSRN.1659936","DOIUrl":"https://doi.org/10.2139/SSRN.1659936","url":null,"abstract":"The current study evaluates the performance of the Fama and French three-factor model in a global setting with stocks selected from 15 European countries. We employed the multivariate regression approach after sorting six portfolios according to size and book-to-market. The constituent stocks were selected to represent each country of our sample. In order to homogenize the returns we used the spot exchange rates of non-euro-area countries to convert prices into euros. Since we were analyzing on a global portfolio level we used the MSCI EMU index as the proxy for the market portfolio. Daily returns were employed for a period of five years from January 2002 to December 2006. The results were not very encouraging for the three-factor model. Except for one portfolio, the three-factor model failed to explain the variations in returns, and even in the single portfolio that demonstrated size and value premiums, the market premium was insignificant. Our findings are consistent with Griffin (2002), who suggested that the three-factor model is domestic in nature and performs poorly for global portfolios.","PeriodicalId":45041,"journal":{"name":"Finance a Uver-Czech Journal of Economics and Finance","volume":"29 1","pages":"173-190"},"PeriodicalIF":0.5,"publicationDate":"2010-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82420557","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 18
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