The reaction of the U.S. and the European Monetary Union to recent global financial crises

Kowalski, Tadeusz; Shachmurove, Yochanan

doi:10.1016/j.gfj.2014.03.002

Cited by 8 publications

(5 citation statements)

References 15 publications

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“…On the contrary, for the North America and Asia Pacific regions we find quite homogeneous results with respect to the models' complexity. As discussed in Kowalski and Shachmurove (2014), this empirical finding is consistent with the greater impact that the GFC had in the European financial markets as compared to the non-Euro areas.…”

Section: Introductionsupporting

confidence: 83%

Comparison of Value-at-Risk models using the MCS approach

Bernardi

Catania

2016

Comput Stat

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This paper compares the Value-at-Risk (VaR) forecasts delivered by alternative model specifications using the Model Confidence Set (MCS) procedure recently developed by Hansen et al. (2011). The direct VaR estimate provided by the Conditional Autoregressive Value-at-Risk (CAViaR) models of Engle and Manganelli (2004) are compared to those obtained by the popular Autoregressive Conditional Heteroskedasticity (ARCH) models of Engle (1982) and to the recently introduced Generalised Autoregressive Score (GAS) models of Creal et al. (2013) and Harvey (2013). The Hansen's procedure consists on a sequence of tests which permits to construct a set of "superior" models, where the null hypothesis of Equal Predictive Ability (EPA) is not rejected at a certain confidence level. Our empirical results, suggest that, after the Global Financial Crisis (GFC) of 2007-2008, highly non-linear volatility models deliver better VaR forecasts for the European countries as opposed to other regions. The R package MCS is introduced for performing the model comparisons whose main features are discussed throughout the paper.

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Section: Introductionsupporting

confidence: 83%

Comparison of Value-at-Risk models using the MCS approach

Bernardi

Catania

2016

Comput Stat

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“…2 The dataset consists of weekly stock price indices of Croatia (CROBEX), Romania (BET), Estonia (OMX Tallinn), Slovakia (SAX), Slovenia (SBI20), the United States (S&P 500), the United Kingdom (FTSE100), and Germany (CDAX). Following Syriopoulos (2011), we use stock price 1 A comprehensive analysis of the responses of the U.S. and the European Monetary Union to the global financial crisis of 2008-2009 is provided by Kowalski and Shachmurove (2014). In addition, Lucey et al (2018) provide the most recent overview of the effects of the global financial crisis on financial markets.…”

Section: Market Environment and Data Descriptionmentioning

confidence: 99%

Impact of the 2008–2009 financial crisis on the external and internal linkages of European frontier stock markets

Nikkinen

Piljak

Rothovius

2020

Global Finance Journal

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“…Financial crisis and recession that had officially finished in USA in 2009. just started in Europe. From USA crisis spread to the European Union through European banks which had bought financial products from American banks with AAA+ ratings (Kowalski, Shachmurove, 2014).…”

Section: The Financial Crisis Of 2008mentioning

confidence: 99%

Causes and Measures for Preventing Future Crisis in Eu

Višnjički

Bosna

2015

RIC

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Authors summarized major causes of current financial crisis in EU on global and regional (European) level. On a global level these are credit rating agencies and compensations of CEO directors in financial sector. On regional level these are structural imbalance, increasing debts of EU countries, foreign trade imbalance among EU countries and loss of confidence in debt of EU countries. Measures for preventing future crises in EU according to the authors are improved debt management, application of Keynesian ideas for overcoming the crisis, reform of the criteria for entering the Eurozone, creation of a fiscal union, exit of the PIIGS countries from the Eurozone, taxation of the financial sector and creation of a banking union.

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The reaction of the U.S. and the European Monetary Union to recent global financial crises

Cited by 8 publications

References 15 publications

Comparison of Value-at-Risk models using the MCS approach

Comparison of Value-at-Risk models using the MCS approach

Impact of the 2008–2009 financial crisis on the external and internal linkages of European frontier stock markets

Causes and Measures for Preventing Future Crisis in Eu

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