Zobrazeno 1 - 10
of 12
pro vyhledávání: '"Sinem Hacioglu-Hoke"'
Publikováno v:
Oxford Bulletin of Economics and Statistics. 84:380-400
We develop a daily composite index of financial stress for the United Kingdom over 50 years, the UKFSI. The index includes market stress indicators based on their incremental information to capture financial crises. During the COVID-19 crisis, financ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::322b178ad7cd912df3e8e1d0412e1f30
https://doi.org/10.1111/obes.12466
https://doi.org/10.1111/obes.12466
Autor:
Sinem Hacioglu Hoke, George Kapetanios
Publikováno v:
Journal of Applied Econometrics. 36:125-150
This paper provides an approach to estimation and inference for nonlinear conditional mean panel data models, in the presence of cross‐sectional dependence. We modify Pesaran's (Econometrica, 2006, 74(4), 967–1012) common correlated effects corre
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1a851582e36c8d01eecad058e182d26a
https://doi.org/10.1002/jae.2799
https://doi.org/10.1002/jae.2799
Autor:
Sinem Hacioglu Hoke
Publikováno v:
SSRN Electronic Journal.
We investigate the macroeconomic effects of political risk in an information-rich SVAR. Using an external instrument based on an index of US partisan conflict for identification, we find that reduced political risk has expansionary impact: it is imme
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6d0fc26595d378c02d9c6e673dc8baf3
https://doi.org/10.2139/ssrn.3508664
https://doi.org/10.2139/ssrn.3508664
Publikováno v:
SSRN Electronic Journal.
We exploit information in a new dataset of monthly patent applications to construct an instrumental variable for the identification of technology news shocks that relaxes all the identifying assumptions traditionally used in the literature. Our sole
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::88c7d52c639432bf2005b7b06faf7998
https://doi.org/10.2139/ssrn.3371021
https://doi.org/10.2139/ssrn.3371021
Publikováno v:
SSRN Electronic Journal.
How can macroeconomic tail risks originating from financial vulnerabilities be monitored systematically over time? This question lies at the heart of operationalising the macroprudential policy regimes that have developed around the world in response
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a75279041bd671936f9e4a1384e4a7cd
https://doi.org/10.2139/ssrn.3459006
https://doi.org/10.2139/ssrn.3459006
Autor:
Sinem Hacioglu Hoke, Matei Demetrescu
Publikováno v:
SSRN Electronic Journal.
This paper discusses the specifics of forecasting using factor-augmented predictive regressions under general loss functions. In line with the literature, we employ principal component analysis to extract factors from the set of predictors. In additi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6dc0ddf71bf009ab30731c6f5f54ca91
https://doi.org/10.2139/ssrn.3180690
https://doi.org/10.2139/ssrn.3180690
Autor:
George Kapetanios, Sinem Hacioglu Hoke
Publikováno v:
SSRN Electronic Journal.
This paper provides an approach to estimation and inference for non-linear conditional mean panel data models, in the presence of cross-sectional dependence. We modify the common correlated effects (CCE) correction of Pesaran (2006) to filter out the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cbe4b771a3ecf6d6b88cc7ecb4af1944
https://doi.org/10.2139/ssrn.3053817
https://doi.org/10.2139/ssrn.3053817
Publikováno v:
SSRN Electronic Journal.
We study the interaction between solvency and funding costs at UK banks. We use the market-based leverage ratio as a proxy for market participants’ perceptions of bank solvency. We investigate the impact that changes in this ratio have on banks’
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4b47438d6419f1a5dcf9982a69b6a5fd
https://doi.org/10.2139/ssrn.3053799
https://doi.org/10.2139/ssrn.3053799
Publikováno v:
SSRN Electronic Journal.
In this paper we develop an index to monitor the intensity of financial stress in the UK over a period of 45 years. By aggregating various market-based indicators of financial stress from six major markets, we allow each indicator to be assessed in t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::67b163c294873e6a80abb1c17537c754
https://doi.org/10.2139/ssrn.3085789
https://doi.org/10.2139/ssrn.3085789
Autor:
Sinem Hacioglu Hoke, Ching-Wai Chiu
Publikováno v:
SSRN Electronic Journal.
Motivated by the desire to probe macroeconomic tail events and to capture non-linear economic dynamics, we estimate two types of regime switching models: threshold VAR and Markov switching VAR. For each of the models, we estimate regimes which carry
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6ddbb7dabb906a4c36c4cf02fb39a74c
https://doi.org/10.2139/ssrn.2827573
https://doi.org/10.2139/ssrn.2827573