1,720,965 research outputs found
Quantitative easing (QE) and investing in financial asset markets
No full textThis study is an empirical investigation into the effects of the Quantitative easing (QE)operations implemented in the aftermath of the financial crisis of 2008 by the BoE and the Fedon the broader financial markets in the UK and US. It avoids a major pitfall of earlier studies thatjust focused on the impact of QE on government bond yields. Considering the channels of theQE policy, it assess the effects of QE operations on bond yields and equity market returns in theUS and UK using an event study before using a GARCH specification augmented with QEintensity and period variables to model the returns and volatility dynamics for the US and UKequity markets primarily, as well as others that did not implement the QE policy at the time. Italso examines the effects of QE on the covariance between the inter-financial (i.e. the UK andUS equity markets) and intra-financial (i.e. the equity and bond markets in the UK and US) usingthe DVECH model. An investigation of the long-run relationship of the US, the UK, France andGermany equity markets, following the QE operations using the multivariate cointegration andVECM techniques is made. We report significant effects on equity and bond market yieldsfollowing the QE announcements and the actual bond purchases. Though there is evidence ofincreased (positive) co-variance between the UK and US equity markets following the actual QEpurchases, this appeared to have been induced by the BoE and not the Fed QE operations.Conversely, the intra-financial markets analyses of the effect of QE on the covariance betweenthe equity and bond markets in the UK and US respectively revealed significant (negative) covariance between the bond and equity markets following the QE operations. No evidence is found of an increasing convergence amongst the US and the UK equity markets, following the QE actions. As the toolkit of monetary policy in the aftermath of the recent financial crisis has been expanded to now include a hitherto unconventional tool in the mode of QE, the findings of this study provide the monetary authorities with an understanding of the broader financial market especially the equity market reaction function to the QE policy and thereby fills this gap in the literature. This thesis adds to several existing literatures on equity market volatility, equity-bond market covariation and equity market cointegration from a QE perspective. As well as adding to a growing body of literature that has examined the broader effects of QE
Value-at-Risk estimates
No full textThis thesis consists of three empirical essays on the Value-at-Risk (VaR) estimates. The first empirical study (Chapter 2) evaluates the performance of bank VaRs. The second empirical study (Chapter 3) investigates the predictive power of various VaR models using bank data. The third empirical study (Chapter 4) explores VaR estimates with high-frequency data. The first study examines the performance of VaR estimates at seven international banks from 2001 to 2012. Using statistical tests, we find that bank VaRs were conservatively estimated in pre-crisis and post-crisis periods. During financial crisis, while some banks continued to overstate their VaRs, the others significantly underestimated their risk. The potential causes of the poor performance of bank VaRs are also discussed. The second study investigates the predictive power of various VaR models using bank data. We find that the GARCH-based models are superior in estimating bank VaRs in both normal and crisis periods. We conclude that good VaR estimates at banks can be obtained using simple, accessible models rather than the complicated approach or banks’ internal model. Thus, we argue that VaR should not be blamed for misleading risk estimates during financial crisis. The third study evaluates VaR estimates using 5-minute sampling data of WTI Futures. First, we acknowledge the value of high-frequency data on the measure of volatility to characterize the quantile forecast of asset returns. Second, we find that quantile combination can improve the forecast accuracy. With the VaR implication, we show that VaR combination provides more accurate and robust results than individual VaR estimates
Going Beyond Counting First Authors in Author Co-citation Analysis
No full textThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
No full text“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
No full textWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Empirical Studies on Systemic Risk: Implications and Determinants
No full textThis thesis is composed of three separate empirical studies focusing on financial institutions and systemic risk. The aim of the studies is to investigate the possible implications and determinants of financial institutions’ systemic risk. Study I analyses the role of systemic risk in how US financial sector stocks react to interest rate changes, under different macroeconomic conditions. Using an event study methodology, we document that systemic risk has a significant impact on the reaction of financial stocks to monetary policy announcements. Overall, our findings suggest that financial institutions with high systemic risk tend to benefit from the “Too-Big-To-Fail” advantage whenever interest rates are unexpectedly high, or the yield curve is relatively flat (i.e. the macroeconomic risk is high). Study II investigates the bidirectional relationship between systemic risk and bank liquidity creation in a Bayesian panel vector autoregressive framework. Analysing a sample of US banks, we find that liquidity creation has a significant impact on bank systemic risk. Although different forms of liquidity creation affect systemic risk in opposite directions, the overall effect tends to be positive. Furthermore, we find that shocks to systemic risk also lead to significant rises in liquidity creation, suggesting strong feedback effects between liquidity creation and systemic risk. Study III aims to examine the potential consequences of the COVID-19 crisis for idiosyncratic and systemic risk in the US financial system. We find that both idiosyncratic and systemic risk of the large financial institutions in the US have substantially increased in the wake of the COVID-19 pandemic. Our results show that the rise in financial system risk in this period has been driven by the number of COVID-19 infections as well as the government’s restrictive policies. A more detailed abstract of each study can be found on the first page of each study
Dispelling the Myths Behind First-author Citation Counts
No full textWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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