An empirical note about estimation and forecasting Latin American Forex returns volatility: the role of long memory and random level shifts components

Portuguese Economic Journal - A set of RLS-type models with ARMA and ARFIMA dynamics is estimated and compared in a forecasting exercise with ARFIMA, GARCH and FIGARCH models. It is an extension of...     

The education pillar of the Europe 2020 strategy: a convergence analysis

Empirica - In March 2010, the European Commission launched the Europe 2020 strategy ‘for smart, sustainable and inclusive growth’ in the EU. Education is a major pillar of the Europe...     

供应链金融智慧化创新的内在机理研究——基于扎根理论的探索性分析

文章基于10个智慧供应链金融案例,对供应链金融中信息通信技术的赋能机制、作用机理及所实现的智慧效应进行了梳理,报告了供应链金融进行智慧化创新的内在逻辑.通过采用扎根理论方法,展开实践案例资料调查,反映了供应链金融业务迫切需要新的技术支撑以解决资金供需双方的信息不对称问题,进而构建出"需求—手段—中介—效应"这一供应链金融创新机理模型,揭示了供应链金融智慧化创新的路径方法.     

State‐Dependent Forward Guidance and the Problem of Inconsistent Announcements

Forward guidance can be provided as an unconditional promise, i.e. commitment to a specific low policy rate. Alternatively, the promise may include an escape clause, i.e. a condition defining the state of the economy under which the central bank would not keep such a low rate and, instead, it would revert to setting policy under discretion. The escape clause can be expressed as a threshold in terms of a specific variable. The present paper shows that, when such a threshold is expressed in terms of an endogenous variable (e.g. output, inflation), there are cases where it becomes impossible for the central bank to act in a way that is consistent with its promise. Consistency imposes limits on the policy rate that can be set since reverting immediately to the optimal discretionary rate can be incompatible with exceeding the threshold.     

EMPIRICAL PERFORMANCE OF GARCH MODELS WITH HEAVY‐TAILED INNOVATIONS

We introduce a new type of heavy‐tailed distribution, the normal reciprocal inverse Gaussian distribution (NRIG), to the GARCH and Glosten‐Jagannathan‐Runkle (1993) GARCH models, and compare its empirical performance with two other popular types of heavy‐tailed distribution, the Student's t distribution and the normal inverse Gaussian distribution (NIG), using a variety of asset return series. Our results illustrate that there is no overwhelmingly dominant distribution in fitting the data under the GARCH framework, although the NRIG distribution performs slightly better than the other two types of distribution. For market indexes series, it is important to introduce both GJR‐terms and the NRIG distribution to improve the models’ performance, but it is ambiguous for individual stock prices series. Our results also show the GJR‐GARCH NRIG model has practical advantages in quantitative risk management. Finally, the convergence of numerical solutions in maximum‐likelihood estimation of GARCH and GJR‐GARCH models with the three types of heavy‐tailed distribution is investigated.     

From private label to co-branded credit card: an assessment of the impact of a change in value proposition over customer value perception and company value capture

Journal of Financial Services Marketing - Purpose: The aim of this paper is to evaluate the success of a value proposition over time, considering two aspects: customer’s perceived value and...     

Impact of state-dependent oil price on US stock returns using local projections

In this paper, we investigate the impact of oil prices on both aggregate and industry US real stock returns over the period 1973–2017. The empirical analysis contributes to the related literature introducing a state-dependent oil price (high and low) and the local projections approach. Our main finding is that, depending on the nature of the shock and industry, the negative effects of oil price shocks become exacerbated -and the positive effects get moderated- if oil prices are already high.     

Foreign direct investment subsidy in a dynamic stochastic general equilibrium model with heterogeneous firms

This study analyzes the macroeconomic impacts of subsidies to attract multinational corporations when firms are determining whether to enter or how to serve foreign markets. We show that a small FDI subsidy scheme induces consumption gains and delivers short‐term welfare improvement for the FDI host country if firms differ in productivity. However, the subsidy generates a new problem and results in the wealth reallocation effect, leading to welfare deterioration for the host country in the long run. Moreover, we find that a subsidy program induces a welfare improvement for the host country if it is offered to all domestic producers instead of foreign producers only in the host country.     

Stock market volatility forecasting: Do we need high-frequency data?

The general consensus in the volatility forecasting literature is that high-frequency volatility models outperform low-frequency volatility models. However, such a conclusion is reached when low-frequency volatility models are estimated from daily returns. Instead, we study this question considering daily, low-frequency volatility estimators based on open, high, low, and close daily prices. Our data sample consists of 18 stock market indices. We find that high-frequency volatility models tend to outperform low-frequency volatility models only for short-term forecasts. As the forecast horizon increases (up to one month), the difference in forecast accuracy becomes statistically indistinguishable for most market indices. To evaluate the practical implications of our results, we study a simple asset allocation problem. The results reveal that asset allocation based on high-frequency volatility model forecasts does not outperform asset allocation based on low-frequency volatility model forecasts.     

When Do Qualitative Risk Disclosures Backfire? The Effects of a Mismatch in Hedge Disclosure Formats on Investors' Judgments

Disclosure standards mandate the quantitative disclosure of hedging‐instrument‐related risks but not the disclosure of hedged‐item‐related risks. We examine how a match (mismatch) in formats, caused by making quantitative (qualitative) hedged item disclosures alongside quantitative hedging instrument disclosures, affects investors' integration of information from these two related disclosures. Our first experiment varies the hedged item disclosure format (quantitative or qualitative) and the portion of risk hedged (small or large). We find that when disclosure formats are mismatched, the less comparable nature of the two disclosures caused investors to neglect the offsetting relationship when assessing net risks. As a result, risk and investment judgments were influenced by the more prominent quantitative hedging instrument disclosures. Our second experiment finds that the use of a qualitative debiaser that clarifies the relationship between the two disclosures led to the integration of information and mitigated this effect.