Quantitative Finance and Economics最新文献_第5页

Innovation and economic performance: The role of financial development 创新与经济绩效:金融发展的作用

IF 5.3

Quantitative Finance and Economics Pub Date : 2022-01-01 DOI: 10.3934/qfe.2022031

Gigamon Joseph Prah

{"title":"Innovation and economic performance: The role of financial development","authors":"Gigamon Joseph Prah","doi":"10.3934/qfe.2022031","DOIUrl":"https://doi.org/10.3934/qfe.2022031","url":null,"abstract":"This study empirically explores the influence of financial development (FD) in an innovation-growth nexus. Specifically, the study considers how, through FD, innovation impacts countries' export products, export values and national incomes. The system Generalized Method of Moments technique and the dynamic common correlated effect estimator are used on data of 57 economies covering the period 2000 to 2019. First, the findings reveal that, on the full sample, FD and its interaction with R&D expenditure have both short- and long-run effects on economic performance, as they both cause increases in export product, export value and national income. However, within the full sample study, the direct impact of FD is more favorable than the indirect effect. Second, within the developed and the developing economies, the study reveals that FD indirectly influences economic performance by improving the relationship between R&D expenditures and export products, export values and the national incomes of these groups of economies, both in the short- and the long-run. However, considering the developing economies, the findings show that the indirect influence of FD is more favorable than the direct effect. As a result, this study argues that FD is relevant for improving the relationship between innovation and economic performance, for both developed and developing economies. Policymakers should, therefore, ensure efficiency and stability in their financial sector as they engage in R&D activities in order to be able to harness the export-growth benefits of innovation fully. Moreover, policies that ensure sustainable money supply should be encouraged, especially within the developing economies.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70230858","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 5

VaR as a mitigating risk tool in the maritime sector: An empirical approach on freight rates 风险价值作为海事部门降低风险的工具:运费的实证方法

IF 5.3

Quantitative Finance and Economics Pub Date : 2022-01-01 DOI: 10.3934/qfe.2022007

Basdekis Charalampos, Katsampoxakis Ioannis, Gkolfinopoulos Alexandros

{"title":"VaR as a mitigating risk tool in the maritime sector: An empirical approach on freight rates","authors":"Basdekis Charalampos, Katsampoxakis Ioannis, Gkolfinopoulos Alexandros","doi":"10.3934/qfe.2022007","DOIUrl":"https://doi.org/10.3934/qfe.2022007","url":null,"abstract":"Shipping freight rates fluctuation is considered as one of the most important risk factors that participants face in the tanker shipping market (ship-owners, charterers, traders, hedge funds, banks and other financial institutions) in order to watch its evolution. This study examines freight rates for two of the most popular clean and dirty tanker routes; TC2 and TD3 from 22 May 2007 to 21 September 2015, using daily spot and future prices. The full data sample is divided into two sub periods, from 22 May 2007 to 13 August 2013 (in sample period) on which the model estimation section is based and from 14 August 2013 to 21 September 2015 (out of sample period) over which the Value at Risk is measured and backtesting process was performed. In all cases tested, there are observed high peaks and fat tails in all distributions. We apply a range of VaR models (parametric and non-parametric) in order to estimate the risk of the returns of TC2 route and TD3 route for spot, one month and three months future market. Backtesting tools are implemented in order to find the best fit model in terms of economic and statistical accuracy. Our empirical analysis concludes that the best fit models used for mitigating risk are simple GARCH model and non-parametric model. The above outcome seems to be valid a) for spot returns as well as for future returns and b) for short and long positions. In addition to the aforementioned conclusions, it is observed high freight rate risk at all routes. Our results are useful for risk management purposes for all the tanker shipping market participants and derivatives' counterparties.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70230087","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

An innovative extended Bayesian analysis of the relationship between returns and different risk measures in South Africa 一个创新的扩展贝叶斯分析之间的关系回报和不同的风险措施在南非

IF 5.3

Quantitative Finance and Economics Pub Date : 2022-01-01 DOI: 10.3934/qfe.2022025

Nitesha Dwarika

{"title":"An innovative extended Bayesian analysis of the relationship between returns and different risk measures in South Africa","authors":"Nitesha Dwarika","doi":"10.3934/qfe.2022025","DOIUrl":"https://doi.org/10.3934/qfe.2022025","url":null,"abstract":"This study investigated the All Share Index (ALSI) returns and six different risk measures of the South African market for the sample period from 17 March 2000 to 17 March 2022. The risk measures analyzed were standard deviation (SD), absolute deviation (AD), lower semi absolute deviation (LSAD), lower semivariance (LSV), realized variance (RV) and the bias-adjusted realized variance (ARV). This study made an innovative contribution on a methodological and practical level, by being the first study to extend from the novel Bayesian approach by Jensen and Maheu (2018) to methods by Karabatsos (2017)—density regression, quantile regression and survival analysis. The extensions provided a full representation of the return distribution in relation to risk, through graphical analysis, producing novel insight into the risk-return topic. The most novel and innovative contribution of this study was the application of survival analysis which analyzed the \"life\" and \"death\" of the risk-return relationship. From the density regression, this study found that the chance of investors earning a superior return was substantial and that the probability of excess returns increased over time. From quantile regression, results revealed that returns have a negative relationship with the majority of the risk measures—SD, AD, LSAD and RV. However, a positive risk-return relationship was found by LSV and the ARV, with the latter having the steepest slope. Results were the most pronounced for the ARV, especially for the survival analysis. While ARV earned the highest returns, it had the shortest lifespan, which can be attributed to the volatile nature of the South African market. Thus, investors that seek short-term high-earning returns would examine ARV followed by LSV, whereas the remaining risk measures can be used for other purposes, such as diversification purposes or short selling.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70230164","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The meaning of structural breaks for risk management: new evidence, mechanisms, and innovative views for the post-COVID-19 era 结构性断裂对风险管理的意义:后covid -19时代的新证据、新机制和创新观点

IF 5.3

Quantitative Finance and Economics Pub Date : 2022-01-01 DOI: 10.3934/qfe.2022012

Chikashi Tsuji

{"title":"The meaning of structural breaks for risk management: new evidence, mechanisms, and innovative views for the post-COVID-19 era","authors":"Chikashi Tsuji","doi":"10.3934/qfe.2022012","DOIUrl":"https://doi.org/10.3934/qfe.2022012","url":null,"abstract":"This paper quantitatively reveals the meaning of structural breaks for risk management by analyzing US and major European banking sector stocks. Applying newly extended Glosten-Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity models, we supply the following new evidence. First, we find that incorporating structural breaks is always effective in estimating banking stock volatilities. Second, we clarify that structural breaks partially explain the tail fatness of banking stock returns. Third, we find that when incorporating structural breaks, the estimated volatilities more accurately capture their downside risk, proving that structural breaks matter for risk management. Fourth, our news impact curve and model parameter analyses also uncover that when incorporating structural breaks, the asymmetry in volatility responses to return shocks is more accurately captured. This proves why the estimated volatilities by incorporating structural breaks better explain downside risk. In addition, we further reveal that the estimated volatilities obtained through incorporating structural breaks increase sharply during momentous events such as the Lehman crisis, the European debt crisis, Brexit, and the recent COVID-19 crisis. Moreover, we also clarify that the volatility spreads between models with and without structural breaks rise during the Lehman and COVID-19 crises. Finally, based on our findings, we derive many significant and beneficial interpretations, implications, and innovative views for risk management using artificial intelligence in the post-COVID-19 era.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70230486","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Machine learning and artificial neural networks to construct P2P lending credit-scoring model: A case using Lending Club data 机器学习和人工神经网络构建P2P借贷信用评分模型——以lending Club数据为例

IF 5.3

Quantitative Finance and Economics Pub Date : 2022-01-01 DOI: 10.3934/qfe.2022013

An-Hsing Chang, Li-Kai Yang, R. Tsaih, Shih-Kuei Lin

引用次数: 5

Efficacy of monetary policy in a currency union? Evidence from Southern Africa's Common Monetary Area 货币联盟中货币政策的有效性?来自南部非洲共同货币区的证据

IF 5.3

Quantitative Finance and Economics Pub Date : 2022-01-01 DOI: 10.3934/qfe.2022002

Bonang N. Seoela

引用次数: 1

Modeling exchange rate volatility: application of GARCH models with a Normal Tempered Stable distribution 汇率波动建模:具有正态回火稳定分布的GARCH模型的应用

IF 5.3

Quantitative Finance and Economics Pub Date : 2022-01-01 DOI: 10.3934/qfe.2022009

Sahar Charfi, Farouk Mselmi

引用次数: 3

Role of the dynamics of political stability in firm performance: Evidence from Bangladesh 政治稳定动态在企业绩效中的作用:来自孟加拉国的证据

IF 5.3

Quantitative Finance and Economics Pub Date : 2022-01-01 DOI: 10.3934/qfe.2022022

Mohammad Abdullah, M. A. H. Chowdhury, Uttam Karmaker, Md. Habibur Rahman Fuszder, Md. Asif Shahriar

引用次数: 1

Nexus among foreign direct investment, financial development, and sustainable economic growth: Empirical aspects from Sudan 外国直接投资、金融发展和可持续经济增长之间的关系:来自苏丹的经验方面

IF 5.3

Quantitative Finance and Economics Pub Date : 2022-01-01 DOI: 10.3934/qfe.2022028

Mustafa Hassan Mohammad Adam

{"title":"Nexus among foreign direct investment, financial development, and sustainable economic growth: Empirical aspects from Sudan","authors":"Mustafa Hassan Mohammad Adam","doi":"10.3934/qfe.2022028","DOIUrl":"https://doi.org/10.3934/qfe.2022028","url":null,"abstract":"This study examined the nexus between foreign direct investment (FDI), financial development, and sustainable economic growth in Sudan during the period of the structural adjustment program and the full Islamization of the banking and financial system that took place in the 1980s. The research provides a comprehensive analysis using the most recent time series secondary data from 1990 to 2020 and the study employed co-integration, Granger causality, and VAR error correction technique to estimate the models, to clarify the claimed relationship between FDI and its effect on the financial sector and subsequently attending a sustainable economic development in Sudan. In this research, Augmented Dickey-Fuller (ADF) unit root tests are applied to test the stationarity of data and the data was found stationary at first difference. The results of the ARDL bounds showed the existence of a long-term relationship between the FDI and other independent variables but the short-term showed otherwise. The Granger causality test implies that the past values of FDI don't significantly contribute to the prediction of sustainable economic growth. Also, results show that there's evidence of observed causality running from the country's trade openness and the financial sector's development. The implication of these results shows there is a complementary relationship between sustainable economic growth and both financial development and trade openness in the short run. Interestingly, the findings of the study show that the effect of financial development on economic growth is further enhanced by the inflows of FDI.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70230659","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Longevity risk analysis: applications to the Italian regional data 长寿风险分析:在意大利区域数据中的应用

IF 5.3

Quantitative Finance and Economics Pub Date : 2022-01-01 DOI: 10.3934/qfe.2022006

Salvatore Scognamiglio

引用次数: 2