The 2008 crisis highlighted the importance of using stress tests in banking practice. The role of these stress tests is to identify and precisely estimate the effect of possible future changes in economic conditions on the capital adequacy and profitability of banks. This paper seeks to show a possible methodology to calculate the stressed point-in-time PD parameter. The presented approach cont...

In this paper, we investigate the relationship between carbon emissions, income, energy and total employment in selected OPEC countries for the period of 1971–2002. We mainly focus on the link between energy use and income. Employing the autoregressive distributed lag (ARDL) approach, we find that there is a cointegrating relationship between the variables in Saudi Arabia only. The long run for...

This study aims at investigating the nature of the causal relationship between immigration and two macroeconomic indicators, GDP per capita and unemployment, in Sweden using autoregressive distributed lag (ARDL) bounds testing procedure and Granger-causality within vector error correction model (VECM) based on annual data spanning the period between 1980 and 2004. Results of the ARDL bounds tes...

We show that the use of prior information derived from former empirical findings and/or subject matter theory regarding the lag structure of the observable variables together with an AR process for the error terms can produce univariate and single equation models that are intuitively appealing, simple to implement and work well in practice. JEL Classification

This paper contributes to the literature by empirically examining whether the influence of public debt on economic growth differs between the short and the long run and presents different patterns across euro-area countries. To this end, we use annual data from both central and peripheral countries of the European Economic and Monetary Union (EMU) for the 1960-2012 period and estimate a growth ...

The distributed lag effect of ambient particulate air pollution that can be attributed to all cause mortality in Kathmandu valley, Nepal is estimated through generalized linear model (GLM) and generalized additive model (GAM) with autoregressive count dependent variable. Models are based upon daily time series data on mortality collected from the leading hospitals and exposure collected from th...