Temat: Granger - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Behavioral and Permanent Zloty/Euro Equilibrium
Autorzy:: Bęza-Bojanowska, Joanna
Powiązania:: https://bibliotekanauki.pl/articles/483339.pdf
Data publikacji:: 2009
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:: equilibrium exchange rate
cointegration analysis
Gonzalo- Granger decomposition
ERM II
Opis:: Poland is expected to enter the Exchange Rate Mechanism II (ERM II). The European Central Bank recommends that the ERM II central rate should reflect the best possible assessment of the equilibrium exchange rate. Since the equilibrium rate is changing in time, it is important to identify the pushing and pulling forces of the exchange rate. This knowledge will let the authorities to defend only the exchange rate that is in equilibrium and to assess outcomes of their actions. We use the VEC approach of Johansen to estimate the behavioral equilibrium exchange rate and to identify the pushing forces of the Polish zloty/euro rate. We apply the Gonzalo-Granger decomposition to calculate the permanent equilibrium exchange rate and to identify the pulling forces of the zloty exchange rate. We demonstrate that this approach may be useful for Polish authorities while entering the ERM II as well as within that mechanism.
Źródło:: Central European Journal of Economic Modelling and Econometrics; 2009, 1, 1
2080-0886
2080-119X
Pojawia się w:: Central European Journal of Economic Modelling and Econometrics
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: Detecting Risk Transfer in Financial Markets using Different Risk Measures
Autorzy:: Fałdziński, Marcin
Osińska, Magdalena
Zdanowicz, Tomasz
Powiązania:: https://bibliotekanauki.pl/articles/483251.pdf
Data publikacji:: 2012
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:: extreme value theory
risk measures
Granger causality in risk
Chinese financial processes
Opis:: High movements of asset prices constitute intrinsic elements of financial crises. There is a common agreement that extreme events are responsible for that. Making inference about the risk spillover and its effect on markets one should use such methods and tools that can fit properly for catastrophic events. In the paper Extreme Value Theory (EVT) invented particularly for modelling extreme events was used. The purpose of the paper is to model risky assets using EVT and to analyse the transfer of risk across the financial markets all over the world using the Granger causality in risk test. The concept of testing in causality in risk was extended to Spectral Risk Measure i.e., respective hypotheses were constructed and checked by simulation. The attention is concentrated on the Chinese financial processes and their relations with those in the rest of the globe. The original idea of the Granger causality in risk assumes usage of Value at Risk as a risk measure. We extended the scope of application of the test to Expected Shortfall and Spectral Risk Measure. The empirical results exhibit very interesting dependencies.
Źródło:: Central European Journal of Economic Modelling and Econometrics; 2012, 4, 1; 45-64
2080-0886
2080-119X
Pojawia się w:: Central European Journal of Economic Modelling and Econometrics
Dostawca treści:: Biblioteka Nauki

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