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Time-frequency dependency of financial risk and economic risk: Evidence from Greece
No full textThis study aims to shed some light on the one of the most popular phenomena in the economics and finance literature-nexus between economic growth and financial development-for the case of Greece over 1990Q1 to 2018Q4 within the framework of risk. In other words, this study investigates the causal link between financial risk and economic risk in Greece using wavelet coherence tests while answering the following questions: (i) does financial risk lead to economic risk in Greece and/or does economic risk lead to financial risk in Greece, and (ii) if so, why? The wavelet coherence approach allows the study to capture the long-run and short-run causal linkages among the time series variables since the approach combines time and frequency domain causalities. The findings from wavelet coherence supports the Schumpeter hypothesis since the findings proves that there is unidirectional causality from financial risk to economic risk in Greece (i) between 1995 and 1998; (ii) between 2003 and 2013; (iii) between 2013 and 2017 at different frequency levels. The findings clearly reveal how financial risk is important predictor for economic risk in Greece over the period of 1990-2018
Does political risk matter for economic and financial risks in Venezuela?
No full textIn this paper, the time-frequency dependency of political risk as well as economic and financial risks is explored in Venezuela using quarterly data from 1984Q1 to 2018Q4. The present study uses the wavelet coherence technique, which allows the investigation of both the long and short-term causal relationships between political risk and economic and financial risks in Venezuela. The findings of this study indicate that: (i) significant vulnerabilities in political risk, economic risk, and financial risk are observed at different time periods and different frequency levels; (ii) political risk has a strong power for explaining economic risk from 1995 to 2005 in the long run, while between 1984 and 2010, economic risk and political risk are positively correlated at different frequency levels; (iii) in the long run, changes in political risk significantly lead to changes in financial risk in Venezuela
Foreign Direct Investment in the Banking Sector: Empirical Evidence from Turkey
Get PDFMultinational bank activities have gradually risen in developing countries since the beginning of the globalisation process. Rising foreign bank activities in developing countries have motivated researchers to investigate foreign banks, comprehensively. Turkey is a typical example of a developing country that achieved a tremendous growth rate in foreign bank asset, especially throughout the last decade. The aim of this thesis is to examine two-way linkage; (1) between foreign bank penetration (FBP) and banking variables; (2) between FBP and country risk and (3) between FBP, foreign direct investment (FDI) and foreign portfolio investment (FPI) in Turkey. Therefore, this thesis is constructed by three empirical sections. Moreover the pattern of FDI inflow and outflow in the world and in Turkey has been analysed, chronologically. In addition, the theory of FDI is taken into account and existing FDI theories has been criticised.
In the first empirical work – Chapter 3 - the short run and long run relationship, if it exits, between FBP and determinants of bank performance (namely, domestic bank assets, domestic credit and banking profitability) in Turkey was investigated after controlling DGDP and 2001 financial crisis (DUM2001). The outcome of the Granger causality test indicates that there was unilateral causality which runs from DDB to DFBP . Moreover, I also found feedback causality between DFBP and DCREDIT . By employing impulse response functions, I found that there is positive relationship between DFBP and DCREDIT as I expected. Moreover, the response of DFBP to one standard deviation shock in domestic bank assets is initially statistically significant and positive. The reverse effect is statistically significant and positive. In the final model, the response of DFBP to one standard deviation shock in profitability (PRO) is significant and positive at 3rd quarter. The reverse effect is surprisingly positive but not statistically significant.
Specifically, what has not been also investigated deeply in the empirical literature is the two-way linkage between foreign bank penetration and risk such as political, financial and economic. Thus, in chapter 4, linkage between FBP and country risk (namely, political risk, economic risk and financial risk) was examined in Turkey using quarterly data from 1994Q1 to 2009Q4. My finding indicated that I found one error correction term significant and positive in bivariate vector error correction in model 1 and 2, implying that in the long run, foreign bank penetration has contributed to economic and political risk. Moreover, short run causality based on VAR approach between DFBP and financial risk is investigated but I failed to find any significant causality in the VAR model after controlling DGDP and 2001 financial crisis, even at the 10% level. By analysing impulse response functions, I could not detect any significant relationship between DFBP and host country risk variables in the short run. This is because adding control variables (DGDP and DUM2001) make the relationship between host country risk variables and DFBP statistically insignificant.
Finally, I investigated two-way linkage between FBP, FPI and FDI in Turkey after controlling DGDP and 2001 financial crisis. The finding from the VAR based block exogeneity wald test indicated that changes in DFBP significantly lead to changes in DFDI and there is also unilateral causality which runs from FPI to DFBP. Moreover, using the variance decomposition technique I found that DFDI and FPI have little explanatory power for the evolution of DFBP in Turkey. The contribution of DFBP to the variability of DFDI is more than that of FPI. The contribution of DFDI to FPI variability ranges between 0.000% and 9.122% throughout 12 quarter periods whilst the contribution of DFBP to FPI variability ranges between 0.000% and 7.611%
Co-movement of commodity price indexes and energy price index: A wavelet coherence approach
No full textThis research sheds light on the causal link between commodity price indexes, i.e., the Agricultural Raw Materials Price Index, Industry Input Price Index, Metal Price Index, and Energy Price Index, in the global market, using wavelet coherence, Toda-Yamamoto causality, and gradual shift causality tests over the period 1992M1 to 2019M12. Findings from the wavelet power spectrum and partial wavelet coherence reveal that: (1) there was significant volatility in the Agricultural Raw Materials Price Index, Industry Input Price Index, Metal Price Index, and Energy Price Index between 2004 and 2014 at different frequencies; and (2) commodity price indexes significantly caused the energy price index at different time periods and frequencies. It is noteworthy that the outcomes of the Toda-Yamamoto causality and gradual-shift causality tests are in line with the results of wavelet coherence
Does Political Risk Matter for Economic Growth in Cyprus?
No full textThis study aims to capture the co-movement between political risk and economic growth in Cyprus employing quarterly data over the time period between 1995Q1 and 2018Q4, adopting a wavelet coherence technique allowing to investigate both the short and long run causal link between economic growth and political risk in Cyprus. The outcomes obtained expose that (i) economic growth and political risk were significantly vulnerable in 2000 and 2004 at varying frequencies; (ii) political risk was an important factor for predicting economic growth in Cyprus between 2006 and 2018; (iii) economic growth causes political risk in Cyprus in the short term between 2006 and 2009. In addition, it is noteworthy that causality tests of gradual–shift and Toda-Yamamoto are utilized to verify the significance of political risk for predicting economic growth in Cyprus
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe 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
Get PDF“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
Get PDFWe 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
The regime switching evidence of financial-economic-political risk in Turkey
Get PDFIn recent time, Turkey could be said to have experienced different levels of Economic Risk, Financial Risk, and Political Risk from low- to high-level. This study investigates the linkage between country risks, namely Financial Risk, Economic Risk, and Political Risk (FEP risk) in Turkey for the period 1984Q1 to 2019Q1 by using threshold cointegration, Markow-switching regression (given the nonlinearity and structural breaks observed in the time series variables), and frequency domain causality approaches. The empirical findings of this study reveal that (i) nonlinear cointegration between Economic Risk, Financial Risk, and Political Risk in Turkey is statistically significant given the evidence of threshold cointegration test, which determines the structural breaks endogenously; (ii) there is positive linkage among the component of country risk at different volatility periods; (iii) there is a significant Granger causal linkage between Economic Risk, Financial Risk and Political Risk at the different frequency levels. The study is likely to open debate about the literature since the study concludes with a discussion on short-run and long-run implications for economic, political, and financial stabilises, thus offering policy suggestions for the policymakers in Turkey.© The Author(s) 2022. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly
from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.fi=vertaisarvioitu|en=peerReviewed
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