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A bank's optimal capital ratio: A time-varying parameter model to the partial adjustment framework

JOURNAL OF BANKING & FINANCE 2022年第0期142卷

作者： Baik, Hyeoncheol Han, Sumin Joo, Sunghoon Lee, Kangbok Stockton Univ Sch Business 101 Vera King Farris Dr Galloway NJ 08205 USA Auburn Univ Harbert Coll Business 415 W Magnolia Ave Auburn AL 36849 USA Calif State Univ Dominguez Hills Coll Business Adm & Publ Policy 1000 E Victoria St Carson CA 90747 USA Auburn Univ Harbert Coll Business 415 W Magnolia Ave Auburn AL 36849 USA

We extend the existing literature on bank capital structure by applying a time-varying parameter model to the partial adjustment framework. This model allows one to obtain a more timely and on-going assessment of bank behavior in adjusting the capital ratio to its optimal or target level. The estimated time-varying rate of capital adjustment indicates that banks slowly adjusted their capital ratios to their optima or targets before the 20 07-20 09 global financial crisis, while they more rapidly adjusted their capital ratios upwards after the crisis. This finding suggests that banks make faster capital structure adjustments under more stringent post-crisis regulatory reforms of capital requirements. Moreover, we find convincing evidence on a structural change in bank behavior in adjusting its capital ratio around the global financial crisis. (c) 2022 Elsevier B.V. All rights reserved.

关键词： Bank holding companies Capital management Rate of capital adjustment Partial adjustment model time-varying parameter model Kalman filter

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What does export diversification do for energy demand? Evidence from the Global North

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ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH 2023年第1期30卷 547-556页

作者： Olasehinde-Williams, Godwin Lee, Chien-Chiang Folorunsho, Ajide Istanbul Ticaret Univ Istanbul Turkey Nanchang Univ Sch Econ & Management Nanchang Jiangxi Peoples R China Univ Ilorin Ilorin Nigeria

This paper contributes to the trade-energy literature by examining the effect of export product diversification on the energy demand of 30 countries located in the Global North over the period 1980-2014. A nonparametric time-varying coefficient panel data model with fixed effects is employed for its ability to produce robust outcomes in the presence of parameter instabilities, nonstationarity, regime shifts, and time variations. As a second step, the paper also utilizes the nonparametric fixed effects extension of Driscoll and Kraay, which is robust to spatial/cross-sectional dependence, as well as to autocorrelation and heteroscedasticity. The results indicate that export diversification lowers overall energy demand in the Global North, and the size of the impact has been on a gradual increase over the years. The paper concludes that if a conscious effort is made to ensure that product diversification is towards energy-efficient goods, export product diversification can serve as a useful strategy for managing energy consumption and mitigating its negative environmental effects.

关键词： Global North Export product diversification Nonparametric panel data time-varying parameter model

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Revisiting Real Wage Rigidity

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JOURNAL OF MONEY CREDIT AND BANKING 2024年第2-3期56卷 613-626页

作者： Ellington, Michael Martin, Chris Wang, Bingsong Univ Liverpool Management Sch Liverpool England Univ Bath Dept Econ Bath England Univ Sheffield Dept Econ Sheffield England

In this paper, we provide empirical evidence that real wage rigidity is not a major cause of unemployment volatility. We argue that there is a disconnect between the theoretical and empirical literatures on this topic. While theoretical studies define real wage rigidity as the response of wages to changes in unemployment following productivity shocks, the empirical literature measures real wage rigidity as the estimated semi-elasticity of wages with respect to unemployment, averaged over all shocks. We show that averaging over shocks gives a biased measure of real wage rigidity, as the impact of other shocks confounds the response to productivity shocks. Our results indicate that the estimated semi-elasticity with respect to productivity shocks is twice as large as the estimated semi-elasticity averaged over all shocks. This implies that one cannot attribute unemployment volatility to real wage rigidity.

关键词： real wage rigidity time-varying parameter model real wages search frictions

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The short-run impact of investor expectations' past volatility on current predictions: The case of VIX

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JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY 2025年 98卷

作者： Dima, Bogdan Dima, Stefana Maria Ioan, Roxana West Univ Timisoara Timisoara Romania West Univ Timisoara East European Ctr Res Econ & Business ECREB Timisoara Romania

Understanding the risk premium and its impact on current and expected returns is a critical research problem. The present study contributes to the investigation of risk premium decomposition over short-run periods via two key advancements. First, it presents a model that incorporates past uncertainties regarding investors' trade outcome expectations into current predictions. This model enables a short-run decomposition of the risk premium. Second, the study examines the relationship between past volatility and current expected trading results for the Chicago Board Options Exchange Volatility Index (VIX) using daily data from January 5, 2016, to January 20, 2023. The findings indicate that current expected losses are influenced by the volatility of previously predicted unfavourable trade outcomes, underscoring the relevance of this study to portfolio management decisions. The parameter that captures this impact exhibits significant time variation. This result remains robust across various specifications of a time-varying parameter model with shrinkage. We further validate this robustness by testing different time frequencies, analysing various types of instruments and markets, and employing an alternative risk estimation method. Ultimately, the findings suggest that proactive stabilisation policies must be implemented to enhance the quality, relevance, and availability of information disseminated by financial asset issuers throughout the market.

关键词： Risk premium Investor expectations Volatility VIX time-varying parameter model Portfolio management

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The time-varying dynamics of systematic fiscal policy

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APPLIED ECONOMICS LETTERS 2023年第5期30卷 602-607页

作者： Ji, Jia Chinese Acad Fiscal Sci Res Ctr Macroecon Beijing Peoples R China

Against the background of deepening public finance reforms in China, this paper applies the time-varying parameter techniques to investigate the underlying structural variation in the systematic part of fiscal policy. Although the degree of activism of systematic fiscal policy to inflation is estimated to remain in a mostly stable regime, the findings reveal a trend towards a less systematic and predictable policy behaviour to output stabilization over the past few years. The dynamic relationship implies that the counter-cyclical policy capacity has been attenuated, and systematic fiscal policy becomes less effective at restraining uncertainties about the functioning of the economy.

关键词： Automatic stabilizing effects time-varying parameter model systematic fiscal policy fiscal reform

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What matters when developing oil price volatility forecasting frameworks?

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JOURNAL OF FORECASTING 2022年第2期41卷 361-382页

作者： Delis, Panagiotis Degiannakis, Stavros Filis, George Pante Univ Social & Polit Sci Dept Econ & Reg Dev 136 Syggrou Ave Athens 17671 Greece Bank Greece Econ Res Dept Athens Greece Univ Patras Dept Econ Rion Greece

Forecasting oil price volatility is considered of major importance for numerous stakeholders, including, policy makers, industries, and investors. This paper examines and evaluates the main factors that oil price volatility forecasters should consider before constructing their forecasting models. Such factors are related to (i) direct versus iterated forecasts, (ii) the incorporation of continuous and jump components, (iii) the importance of semi variance volatility measures, and (iv) ordinary least squares (OLS) versus time-varying parameter (TVP) estimation procedures. We evaluate the performance of these factors for both the realized and implied volatility measures of the West Texas Intermediate (WTI) crude oil price, based on statistical loss functions, as well as their economic use. The results show that depending on whether end users are interested in forecasting the realized or the implied volatility, the factors influencing the accuracy of forecasts are different. In particular, for the realized volatility, direct forecasting based on TVP estimation procedure, as well as using the information obtained in the semi variance measures, is capable of producing significantly superior forecasts. By contrast, separating the continuous and the jump components of the realized volatility does not provide any added value to these forecasts. Turning to the oil price implied volatility index (OVX), based on the economic evaluation of our forecasts, the TVP estimation procedure seems to perform better. In addition, we find evidence that the continuous component and the semivariance measures of the realized volatility also yield better OVX forecasts in the longer run horizons.

关键词： HAR model multistep ahead forecasts oil price implied volatility index realized volatility time-varying parameter model

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The role of investor sentiment in forecasting housing returns in China: A machine learning approach

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JOURNAL OF FORECASTING 2022年第8期41卷 1725-1740页

作者： Cepni, Oguzhan Gupta, Rangan Onay, Yigit Copenhagen Business Sch DK-2000 Frederiksberg Denmark Cent Bank Republ Turkey Ankara Turkey Univ Pretoria Dept Econ Pretoria South Africa

This paper analyzes the predictive ability of aggregate and disaggregate proxies of investor sentiment, over and above standard macroeconomic predictors, in forecasting housing returns in China, using an array of machine learning models. We find that our new aligned investor sentiment index has greater predictive power for housing returns than the principal component analysis (PCA)-based sentiment index, used earlier in the literature. Moreover, shrinkage models utilizing the disaggregate sentiment proxies do not result in forecast improvement indicating that aligned sentiment index optimally exploits information in the disaggregate proxies of investor sentiment. Furthermore, when we let the machine learning models to choose from all key control variables and the aligned sentiment index, the forecasting accuracy is improved at all forecasting horizons, rather than just the short-run as witnessed under standard predictive regressions. This result suggests that machine learning methods are flexible enough to capture both structural change and time-varying information in a set of predictors simultaneously to forecast housing returns of China in a precise manner. Given the role of the real estate market in China's economic growth, our result of accurate forecasting of housing returns has important implications for both investors and policymakers.

关键词： Bayesian shrinkage housing prices investor sentiment time-varying parameter model

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Canadian stock market volatility under COVID-19

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INTERNATIONAL REVIEW OF ECONOMICS & FINANCE 2022年 77卷 159-169页

作者： Xu, Dinghai Univ Waterloo Dept Econ Waterloo ON N2L 3G1 Canada

This paper focuses on investigating the impacts of the novel coronavirus (COVID-19) on the Canadian stock market volatility from a time-varying parameter volatility model point of view.

关键词： COVID-19 Canadian S&P TSX Composite Index Volatility structural break time-varying parameter model News impact curve

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GDP volatility implication of tourism volatility in South Africa: A time-varying approach

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TOURISM ECONOMICS 2022年第2期28卷 435-450页

作者： Lee, Chien-Chiang Olasehinde-Williams, Godwin O. Olanipekun, Ifedolapo Olabisi Nanchang Univ Dept Econ & Management Nanchang Jiangxi Peoples R China Nanchang Univ Sch Econ & Management 999 Xuefu Rd Nanchang 330031 Jiangxi Peoples R China Adeyemi Coll Educ Dept Econ Ondo Nigeria

The importance of tourism as one of the bedrocks of economic growth in South Africa suggests that volatility in the sector may have dire consequences. We therefore empirically analyse the impact of tourism volatility (TV) on the gross domestic product (GDP) volatility of the country, using time-varying approaches that treat the parameter estimations as functions of time, thereby overcoming the challenge posed by parameter instabilities, non-linearities, non-stationarity, regime shifts and time variations. We find that TV significantly aggravates GDP volatility (GDPV) in South Africa. The impact varies from year to year and is greatest during the periods characterized by economic turbulence and crime and violence against foreigners. The size of the coefficients has been on a steady increase over time, reflecting the growing importance of tourism and TV to the South African economy. We also find that TV is a significant predictor of GDPV in the country. We strongly recommend that policymakers pay serious attention to economic happenings around the world since TV is one of the channels through which global economic crises affect the South African economy. We also recommend that the minimization of crime and social disorder should form an essential component of tourism development and promotion strategy in South Africa.

关键词： GDP volatility leveraged bootstrap causality time-varying parameter model tourism volatility

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Research on Systemic Financial Risk Measurement and Early Warning model Based On TVP-SV-VAR model

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Procedia Computer Science 2025年 262卷 868-877页

作者： Li Chen School of Management Shanghai University Jiading 201800 Shanghai China

The global financial crisis has highlighted the significant impact that systemic financial risks can have on economic stability. As globalization and financial liberalization progress the speed and extent of financial risks are expanding. Despite China’s vast economic potential risks such as the real estate bubble and stock market fluctuations cannot be overlooked making it especially important to build an effective financial risk early warning system. This study uses the time-varying parameter state-space model (TVP-SV-VAR) and the Markov chain Monte Carlo method (MCMC) to conduct an empirical analysis of economic and financial data from the United States between 1995 and 2023 aiming to explore the time-varying effects of asset return volatility on financial risk. The study also incorporates the consumer confidence index to examine how expected factors influence financial risk and applies the support vector machine (SVM) algorithm to construct a financial risk assessment model. The findings show that there is a significant nonlinear and time-varying relationship between asset return volatility and financial risk and that monetary policy and consumer confidence have a substantial effect on this relationship. The impact of asset return volatility on financial risk varies under different conditions. This research offers new insights into improving China’s financial risk early warning system by enhancing monetary policy regulation optimizing financial supervision and boosting public confidence to effectively reduce systemic financial risks and support the healthy and stable development of the economy.

关键词： time-varying parameter model Asset Return Volatility Financial Risk Assessment Markov Chain Monte Carlo Method Support Vector Machine

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