1,721,054 research outputs found
Replication data for: Inference with Few Heterogeneous Clusters
No full textIbragimov, Rustam, and Mueller, Ulrich K., (2016) "Inference with Few Heterogeneous Clusters." Review of Economics and Statistics 98:1, 83-96
Replication data for: Inference with Few Heterogeneous Clusters
No full textIbragimov, Rustam, and Mueller, Ulrich K., (2016) "Inference with Few Heterogeneous Clusters." Review of Economics and Statistics 98:1, 83-96
CACIP Handbook: How to submit comment for MoU EN RU
No full textCACIP Handbook: How to submit comment for MoU in EUSurvey platfor
Essays in finance
Full text linkThis thesis contributes to advance the fields of Finance and Financial Risk Management. The first chapter introduces a new risk measurement technique called Capital at Risk (CaR) for the evaluation of economic capital requirements of banks and other financial institutions. CaR does not rely on the choice of a specific quantile and contemplates the entire loss distribution. It has the least number of breaches with respect to 99%-Value at Risk and 97.5%-Expected Shortfall. CaR is subadditive also in the case of extreme heavy-tails. We recommend the adoption of CaR for the evaluation of economic capital requirements as complement to the risk measures currently in use.
The second chapter extends the understanding of the link between Operational Risk (OR) losses and macro-economic factors. Our results confirm the connection with GDP postulated by previous literature. As novelty element, the Governance Indicators are the macro-factors with the largest number of links made with the Event Types losses. The adoption of a jackknife bias correction provides estimates with a lower bias and mean squared error (MSE). The findings of this study greatly re-encourage the adoption of macro-economic factors for the internal risk management processes of risk assessment and mitigation and dispel the myth of operational risk being exclusively a bank specific risk.
In the third chapter, we revisit the ubiquitous practice of creating portfolios by sorting financial returns according to a given variable. The sorting is usually done brute force and ignores the estimation error present in the measurement of the sorting variable. Also the estimation error of the quantile is ignored. We propose a procedure to control for this and show that ignoring this error may produce a substantial classification error. The importance of portfolio sorts is not only acknowledged in Finance but also in Risk Management.Open Acces
Farmers' training on Improved Production Practices of Mungbean in Khorezm, Uzbekistan on June 7, 2022
No full textThe training was performed to make mungbean producers aware of Mungbean production technology, post-harvest care, plant protection measures and seed production on June, 7, 202
Inception workshop report. Leveraging synergies from integrative land-biodiversity-climate action for improving monitoring, reporting, and investments into sustainable agri-food system transformations in Central Asia
No full textThe study builds on interconnectedness among climate change, biodiversity loss, and land degradation by underscoring the urgent need for coordinated action across national and global levels to address challenges, highlighting the significant economic and environmental costs involved. Central Asian countries' participation in international frameworks such as the Rio Conventions and commitments like the Bonn Challenge demonstrate their engagement in sustainable land management and restoration efforts. The study aims to assess the potential synergies among Land Degradation Neutrality (LDN), Nationally Determined Contributions (NDC), and National Biodiversity Strategies and Action Plans (NBSAP), focusing on the five Central Asian countries: Kazakhstan, Kyrgyzstan, Tajikistan, Turkmenistan, and Uzbekistan. By adopting integrated approaches, the study aims to inform decision-makers, enhance regional engagement in global discussions, and contribute to the goals of sustainability and climate resilience in the region through land restoration and sustainable land management
Lifecycle portfolio choice
Full text linkUsing the Panel Study of Income Dynamics, I find that stockholders subject to more negative skewness in earnings growth hold a lower share of their financial wealth in stocks. Moreover, I also find that skewness in earnings growth affects the mean and skewness in consumption growth, and this effect is stronger for stockholders than nonstockholders. Using a life-cycle model incorporating business cycle variation in expected growth and skewness in earnings shocks, I investigate these relationships from an asset allocation perspective. During expansions (recessions), households consume more (less), and also invest a higher (lower) share of their wealth in the stock market, because of a higher (lower) expected future earnings growth rate. Negative skewness in the earnings process during recessions further reduces households' stock market exposure and consumption. The model shows how countercyclical skewness in earnings shocks is extremely important to match quantitatively observed portfolio choice and wealth accumulation over the life cycle, while simultaneously leading to countercyclical skewness in consumption growth. Moreover, the quantitative predictions are consistent with evidence from aggregate Flow of Funds data and match the observed degree of wealth inequality in the U.S..Open Acces
Contagion and tail risk in complex financial networks
Full text linkThe thesis develops a unified approach to the analysis of the propagation of crises as well as economic policy throughout complex financial networks. The approach builds on new copula-based contagion measures introduced in the thesis. The developed contagion measures incorporate dependence and heavy-tailedness structure of financial and economic variables dealt with, as well as the network effect. The thesis consists of three chapters.
The first chapter applies the contagion measures to study international stock market contagion during the Global Financial Crisis 2008. The findings indicate that contagion in the lower tail is stronger than in the upper one. Contagion risk has come down post-crisis, however, it still remains above its pre-crisis level. Furthermore, the chapter sheds light on the analysis of determinants of tail risk and heavy-tailedness and proposes an instrumental variable regression approach to resolve the potential endogeneity problem that arises in this kind of analysis.
The second chapter extends the contagion measures to a multi-layer network setting and applies them to analyse the transmission of monetary policy in the European countries' network. This is the first study, to our knowledge, that addresses policy transmission from a network perspective. The main finding of this analysis is that the policy transmits most efficiently during severe bearish contagion and is least efficient during intense bullish contagion. This finding could be attributed to the level of attention that markets pay to policy announcements during turmoil and calm periods.
The third chapter, which is a joint work with Paul Nahai-Williamson, examines solvency contagion in the interbank networks. The main insight of this chapter is that network structure matters for contagion risk and can impact the total systemic losses resulting from common shocks or individual bank defaults. This chapter further highlights the importance of capturing the network effect in the first two chapters.Open Acces
Measuring the Impact of Microfinance
Full text linkMicrofinance emerged in the 1970's, aiming to help lift people out of poverty and promote economic growth by providing financial services to low-income households. Despite its global popularity, evidence supporting its net benefits is mixed; therefore, more comprehensive empirical testing is called for. This Dissertation aims to contribute to the on-going debate in microfinance in the following three dimensions: In the first chapter, the impact of microfinance on macro economies is analysed. Motivated by limited knowledge of the economy-wide effects of microfinance, we aim to measure its impact on economic growth, financial sector development and reductions in income inequality. Measuring aggregate effects including those on non- recipients of microfinance programs constitutes an important contribution. We identify the "promised" impact of microfinance on economic growth measured by real GDP per capita, financial intermediation captured by broad money per capita and income inequality measured by the Gini coefficient. We also estimate the reverse feedback of macro fundamentals on microfinance itself. To estimate the dynamic equations, we use panel vector autoregressions (VARs) based on Arellano-Bover's (1995)and Blundell-Bond's (1998) instrumental variable system estimator, which enables us to..
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