{"title":"THE UNEXPECTED SHORTFALL: AN ALTERNATIVE RISK MEASURE","authors":"Ekrem KILIÇ","doi":"10.29228/jore.27","DOIUrl":"https://doi.org/10.29228/jore.27","url":null,"abstract":"The international prudential regulation standard – the Basel standards – introduces a substantial change to its market risk framework. The change is part of a comprehensive revision of the standard to address the weaknesses discovered during the global financial crisis (GFC) of 2008. One of the key changes is the replacement of Value-at-Risk (VaR) with Expected Shortfall (ES) as the primary risk measure in the framework. By incorporating the tail events, ES partially answers the concerns raised about the VaR during the GFC. However, ES as well lacks a mechanism to extrapolate the historical shocks. This paper proposes an alternative measure – unexpected shortfall (US) – which aims to serve as a better safety barrier for financial institutions. Based on the evidence from 3 conventional currency pairs (EUR/USD, USD/TRY, EUR/TRY) and 1 cryptocurrency pair (BTC/USD), the new measure displayed violations in a reasonably close range of the expected values and backtest analyses suggested that the incurred excessive losses for US are less than both VaR and ES.","PeriodicalId":493301,"journal":{"name":"Journal of research in economics","volume":"95 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136003120","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}
{"title":"Optimal Size of Türkiye’s Growing City: Tekirdağ","authors":"N. Tuba YILMAZ","doi":"10.29228/jore.30","DOIUrl":"https://doi.org/10.29228/jore.30","url":null,"abstract":"Migration from rural areas to cities is increasing day by day as cities offer more opportunities in terms of education, employment and health. According to 2022 TURKSTAT data, around 68% of the population in Turkiye resides in cities. Total urban population worldwide is expected to reach 4.9 billion by 2030 and 68% of the world population to live in cities by 2050 (PRB, 2007 & UN, 2017). Hence, it is predicted that uncontrolled population growth, especially in cities, will render resources insufficient and necessitates optimal city size measurements for sustainable development. In this study, the optimal city size is examined for Tekirdağ, as one of the cities in Turkiye that is exposed to irregular migration inflows and having the highest population growth rate in the recent years. This study applies the happiness degree model to estimate the optimal city size for Tekirdağ utilizing several resource indicators for the years 2018 and 2021. It is argued that the resources of the city will be depleted and therefore the happiness level of the residents will decline should this trend continues. According to 2022 statistics, it is concluded that the city is observed to be overpopulated for Tekirdağ, which has a population of over one million.","PeriodicalId":493301,"journal":{"name":"Journal of research in economics","volume":"95 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136003124","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}
{"title":"Inflation and Monthly Stock Returns Relationship in the Airline Market","authors":"Olcay ÖLÇEN","doi":"10.29228/jore.29","DOIUrl":"https://doi.org/10.29228/jore.29","url":null,"abstract":"The aim of this manuscript is to make an empirical analysis on the relationship between stock return and inflation in selected airlines from different regions of the world and airline alliances on a monthly selected dataset. The main results show regional, continental, or specific – country-based activities have got more impacts on inflation-stock return relations than airline alliances in the period between March 2014 and May 2022. Especially, inflation rates have got a causal, explanative and cointegrating relation with airline stock returns in Eastern countries or Asia.","PeriodicalId":493301,"journal":{"name":"Journal of research in economics","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136003096","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}
{"title":"The Impact of Information and Communication Technologies on Economic Growth: The Case of Selected European Countries","authors":"Tamerlan MASHADİHASANLİ, Haluk ZÜLFİKAR","doi":"10.29228/jore.28","DOIUrl":"https://doi.org/10.29228/jore.28","url":null,"abstract":"This paper investigates the impact of information and communication technologies on economic growth in 35 selected European countries during 2001-2021. With rapid advancements in information and communication technologies, understanding its influence on economic growth becomes imperative for policymakers and researchers alike. Utilizing a comprehensive dataset, this study employs rigorous econometric techniques to analyze the relationship between information and communication technologies indicators and economic growth indicators by applying system generalized method of moments method. According to the Levin–Lin–Chu unit root test, all variables are stationary at the I (0) level except TEL which is stationary at the I (1) level. According to the results of the two-step system generalized method of moments estimator, lagged GDP, telephone lines, mobile use, and internet usage positively affected GDP, although consumer price index, trade and final consumption expenditure affected negatively. In terms of significance of the effects, the effect of lagged GDP, consumer price index, final consumption expenditure and mobile use was significant, whereas the effect of trade, telephone lines and internet usage were not significant. The Arellano-Bond test showed that there is no autocorrelation, and according to the Sargan and Hansen tests results, the instrumental variables are appropriate and consistent in the model and the model has no speciation errors. From the results it can be concluded that information and communication technologies positively affected economic growth in 35 selected European countries. These findings strongly confirm the theoretical assumption that information and communication technologies are now a critical strategic aspect in assuring economic development and high long-term growth.","PeriodicalId":493301,"journal":{"name":"Journal of research in economics","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136003143","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}
京公网安备 11010802042870号
求助内容：
应助结果提醒方式：