The direction of globalization and the integration financial system continue to increase, in line with increasing capital flows, which is focus discussion this research. This study applies panel data analysis analyze banking behavior order improve its performance. uses from 1991 2020 39 countries. Return on Equity (ROE) as a measure success operations determined by various interrelated factors....

Available online 30 April 2015 This paper investigates cointegration relationships and Granger causality nexus in a trivariate framework among economic growth, inflation, and stock market development. Utilizing three measures of stock market development and employing a panel vector autoregressive model, we study 34 OECD countries over the time period of 1960–2012. Our novel panel-data estimatio...

he search for the ultimate market risk measurement tool has drawn market participants to the concept of Value-at-Risk (VaR). 2 VaR, endorsed by a var iety of regulatory groups, has gained popularity among traders and managers of trading books. Although large complex organizations have developed internal VaR models to integrate all the peculiarities of their trading books, less sophisticated ins...

We propose a new approach to portfolio optimization by separating asset return distributions into positive and negative half-spaces. The approach minimizes a so-called Partitioned Value-atRisk (PVaR) measure by using half-space statistical information. Using simulated and real data, the PVaR approach generates better risk-return tradeoffs in the optimal portfolios when compared to Markowitz mea...

This paper provides a selective survey of the panel macroeconometric techniques that focus on controlling the impact of “unobserved heterogeneity” across individuals and over time to obtain valid inference for “structures” that are common across individuals and over time. We consider issues of (i) estimating vector autoregressive models; (ii) testing of unit root or cointegration; (iii) statist...

Purpose The purpose of the paper is to examine differences in impact financial stress advanced and emerging economies. Design/methodology/approach authors employ a panel vector autoregression model (PVAR) for comparative analysis relationship between stress, economic growth monetary stability 14 A homogeneous measure constructed measured as an index that provides signals episodes economy. Findi...

This paper provides a selective survey of the panel macroeconometric techniques that focus on controlling the impact of “unobserved heterogeneity” across individuals and over time to obtain valid inference for “structures” that are common across individuals and over time. We consider issues of (i) estimating vector autoregressive models; (ii) testing of unit root or cointegration; (iii) statist...

Abstract Despite the consensus that transition to renewable energy is a process encompasses institutional, regulatory, technical, political, social, and cultural aspects, such issues have rarely been addressed in comprehensive way. This study explores determinants of production (REP), focusing on institutional socio-technical aspects. We employ panel vector autoregressive (PVAR) model test dyna...

The present study was aimed to investigate the effects of oil price shocks on discretionary fiscal policies in selected OPEC countries during 1980-2015. In this regard, the heterogeneous dynamic reaction to structural shock was examined using Panel Structural Vector Autoregressive (PSVAR) technique. Based on the findings, the effect of oil price shocks on discretionary fiscal policy was positiv...