Risk

Large vector autoregressive exogenous factor (VARX) model with network regularization

The vector autoregressive model has long been used for portfolio analysis, while a recent extension (VARX) incorporates exogenous factors. Despite its increased forecasting precision, the ...
RIETI独立行政法人経済産業研究所

Asymmetric Exchange Rate Pass-Through in Japanese Exports: Application of the threshold ...

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RIETI独立行政法人経済産業研究所

Asymmetric Exchange Rate Pass-Through in Japanese Exports: Application of the threshold ...

This paper employs a threshold vector autoregressive (TVAR) model to analyze a possible asymmetric behavior of exchange rate pass-through (ERPT) or pricing-to-market (PTM) in Japanese exports between ...
International Monetary Fund

Lost in Transmission? The Effectiveness of Monetary Policy Transmission Channels in the GCC ...

This paper empirically investigates the effectiveness of monetary policy transmission in the Gulf Cooperation Council (GCC) countries using a structural vector autoregressive model. The results ...
Insurancenewsnet.com

Kwansei Gakuin University Researcher Provides New Study Findings on Risk Management (A ...

2024 FEB 06 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News-- Investigators publish new report on risk management. According to news originating from Hyogo, Japan, by NewsRx ...
Risk

A FAVAR modeling approach to credit risk stress testing and its application to the Hong ...

In October 2018, the Basel Committee on Banking Supervision (BCBS) published its stress testing principles. One of these principles is about stress testing model validation, aided by business ...