Kybernetes,
Journal Year:
2023,
Volume and Issue:
unknown
Published: Dec. 13, 2023
Purpose
This
paper
aims
to
explore
the
impact
of
cycle
superposition
on
bank
liquidity
risk
under
different
levels
financial
openness
so
that
banks
can
better
manage
their
risk.
Meanwhile,
it
also
provide
some
ideas
for
in
other
emerging
economies
cope
with
shocks
global
cycle.
Design/methodology/approach
Employing
monthly
data
16
commercial
China
from
2005
2021
and
based
time-varying
parameter
vector
autoregressive
model
stochastic
volatility
(TVP-SV-VAR)
model,
authors
first
examine
whether
magnify
China's
Subsequently,
investigate
amplification.
Finally,
shock
world's
major
Chinese
is
empirically
analyzed.
Findings
Cycle
However,
there
are
significant
differences
openness.
Compared
low
openness,
period
high
magnifying
effect
strengthened
short
term
but
obviously
weakened
long
run.
In
addition,
authors'
findings
demonstrate
although
United
States
main
country,
influence
developed
economies,
such
as
Japan
Eurozone
countries,
cannot
be
ignored.
Originality/value
Firstly,
index
constructed.
Secondly,
supplement
literature
by
providing
evidence
association
between
depends
dominant
countries
have
been
rejudged.
Journal of Financial Economic Policy,
Journal Year:
2024,
Volume and Issue:
16(5), P. 580 - 600
Published: Aug. 21, 2024
Purpose
This
study
aims
to
explore
the
intricate
relationship
between
uncertainty
indicators
and
volatility
of
commodity
futures,
with
a
specific
focus
on
agriculture
energy
sectors.
Design/methodology/approach
The
authors
analyse
Indian
futures
using
GARCH-MIDAS
model,
taking
into
account
different
types
factors.
evaluation
out-sample
predictive
capability
involves
application
R
-squared
test
computation
various
loss
functions.
Findings
research
outcomes
underscore
significant
impact
diverse
factors
such
as
domestic
economic
policy
(EPU),
global
EPU
(GEPU),
US
geopolitical
risk
(GPR)
long-run
(agri)
futures.
Additionally,
demonstrates
that
GPR
exhibits
superior
for
crude
oil
volatility,
while
stands
out
an
effective
predictor
agri
particularly
castor
seed
guar
gum.
Practical
implications
offers
practical
market
participants
policymakers
adopt
comprehensive
perspective,
incorporating
factors,
informed
decision-making
management
in
markets.
Originality/value
makes
inaugural
attempt
examine
modelling
predicting
distinctive
feature
considering
emerging
also
adds
novel
dimension
landscape.
Foods,
Journal Year:
2024,
Volume and Issue:
13(20), P. 3317 - 3317
Published: Oct. 18, 2024
The
global
food
market's
escalating
volatility
has
led
to
a
complex
network
of
uncertainty
and
risk
transmission
across
different
grain
markets.
This
study
utilizes
the
Time-Varying
Parameter
Vector
Autoregression
(TVP-VAR)-Connectedness
approach
analyze
price
dynamics
key
grains,
including
wheat,
maize,
rice,
barley,
peanut,
soybean,
soybean
meal,
their
dynamic
spillover
directions,
intensity,
network.
By
integrating
TVP-VAR-Connectedness
model,
this
research
captures
time-varying
variability
interconnected
nature
movements.
main
findings
reveal
significant
effects,
particularly
in
corn
prices,
with
prices
dominating
other
grains
while
peanut
experience
higher
external
effects
from
grains.
conclusions
drawn
underscore
imperative
for
policymakers
consider
holistic
perspective
all
types
when
addressing
security,
providing
valuable
insights
management
sector
at
both
level
country
level.
International Journal of Financial Studies,
Journal Year:
2024,
Volume and Issue:
12(4), P. 108 - 108
Published: Oct. 25, 2024
This
study
employs
the
economic
policy
uncertainty
index
to
gauge
level
of
in
China.
Utilizing
textual
data
from
growth
enterprise
market
internet
community,
we
construct
investor
sentiment
by
applying
deep
learning
ERNIE
(Enhanced
Representation
through
Knowledge
Integration)
model,
thereby
capturing
investors’
within
market.
The
dynamic
interplay
between
uncertainty,
sentiment,
and
returns
is
scrutinized
via
TVP-SV-VAR
(time-varying
parameter
stochastic
volatility
vector
auto-regression)
asymmetric
response
different
industries’
stock
shock.
findings
this
research
are
that
exerts
a
negative
influence
on
both
While
it
may
trigger
temporary
decline
prices,
empirical
evidence
suggests
impact
short
duration.
characterized
reversal
effect,
suggesting
improved
initially
boost
prices
but
could
lead
subsequent
over
long
term.
relationship
time-variant,
with
heightened
sensitivity
observed
during
bull
markets.
Lastly,
effects
industries
found
be
asymmetric.
These
conclusions
contribute
existing
body
literature
Chinese
capital
market,
offering
deeper
understanding
complex
dynamics
factors
influencing
behavior.
Frontiers in artificial intelligence and applications,
Journal Year:
2024,
Volume and Issue:
unknown
Published: July 31, 2024
Bulk
commodity
circulation
trade
has
stepped
into
an
advanced
stage,
the
traditional
model
can
not
adapt
to
needs
of
high-quality
development
enterprises.
If
enterprises
want
achieve
sustainable
development,
they
must
try
every
means
continuously
innovate
model.
Today,
with
rapid
information
technology,
digital
economy
become
a
key
element
driving
evolution
global
bulk
models,
which
are
also
undergoing
profound
changes.
This
paper
synthesizes
relevant
research
on
models
and
risk
management
through
method
literature
review,
basis
goes
discuss
how
rise
affects
domestic
s
emerging
risks
be
effectively
efficiently
managed
in
this
new
economic
environment.
By
combing
summarizing
literature,
argues
that
improves
transaction
efficiency
price
transparency,
reduces
costs,
at
same
time
makes
logistics
chain
more
efficient
controllable
promotes
financialization
trade.
The
brings
series
challenges
while
bringing
opportunities
In
context
economy,
mainly
include
security
risk,
supply
technology
network
risk.
For
proposes
corresponding
strategies.
order
make
modest
contribution
promote
better
China’s
Theoretical Economics Letters,
Journal Year:
2024,
Volume and Issue:
14(04), P. 1488 - 1496
Published: Jan. 1, 2024
We
adopt
a
time-varying
parameter
vector
autoregressive
model
with
stochastic
volatility
(TVP-SV-VAR)
to
unveil
the
dynamic
nexus
between
FinTech
development,
shadow
banking,
and
stock
market
activity
in
China.
Our
analysis
highlights
consistent
suppressive
effect
of
on
growth
banking
diminishing
positive
activity.
The
effects
show
noticeable
characteristics.
Besides,
impacts
relevant
policy
measures
regarding
tend
decay
over
time.
also
observe
divergence
different
types
stocks.
This
study
encapsulates
intricate
connections
evolving
influences
among
FinTech,
market.
Journal of Financial Economic Policy,
Journal Year:
2024,
Volume and Issue:
unknown
Published: Sept. 23, 2024
Purpose
The
study
aims
to
investigate
the
risk
transmission
from
COVID-19
global
agriculture,
energy,
natural
resources/mining
and
environmentally/socially
responsible
investments.
Additionally,
it
explores
connectedness
of
energy
indices
with
develops
a
new
COVID-19-based
Global
Fear
Index
(GFI)
achieve
objectives,
thus
contributing
prevailing
literature.
Design/methodology/approach
data
are
selected
January
2020
December
2021.
uses
multivariate
BEKK-GARCH
TVP-VAR
models
explore
between
indices.
Findings
Significant
shock
volatility
transmissions
all
observed.
Results
show
that
resource/mining
markets
environmentally
socially
investments
safe
havens
during
COVID-19.
Furthermore,
these
investment
choices
barely
connected
Practical
implications
Portfolio
managers
investors
should
invest
in
gauge
risk-adjusted
return
pandemic
upcoming
health-related
risks.
Investors
sectors
advised
diversify
by
adding
safe-haven
assets
their
portfolios.
Social
findings
shed
light
on
importance
as
separate
asset
class
where
ecologically
friendly
sentimental
could
diversifying
Originality/value
paper
offers
valuable
insights
policymakers
regarding
pricing,
management
financial
market
stability
pandemic-type
emergencies.
