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Full-Text Articles in Social and Behavioral Sciences
Frm Financial Risk Meter, Andrija Mihoci, Michael Althof, Cathy Yi-Hsuan Chen, Wolfgang Karl Hardle
Frm Financial Risk Meter, Andrija Mihoci, Michael Althof, Cathy Yi-Hsuan Chen, Wolfgang Karl Hardle
Sim Kee Boon Institute for Financial Economics
A systemic risk measure is proposed accounting for links and mutual dependencies between financial institutions utilizing tail event information. Financial Risk Meter (FRM) is based on least absolute shrinkage and selection operator quantile regression designed to capture tail event co-movements. The FRM focus lies on understanding active set data characteristics and the presentation of interdependencies in a network topology. Two FRM indices are presented, namely, FRM@Americas and FRM@Europe. The FRM indices detect systemic risk at selected areas and identify risk factors. In practice, FRM is applied to the return time series of selected financial institutions …
Cross-Border Technology Investments In Recessions, Juliana Yu Sun, Huanhuan Zheng
Cross-Border Technology Investments In Recessions, Juliana Yu Sun, Huanhuan Zheng
Research Collection School Of Economics
Utilizing industry-level foreign direct investment (FDI) from 72 source markets to 122 destination markets between 2003 to 2018, we apply a differences-in-differences approach to evaluate the response of technology FDI to recessions. We find that research and development (R&D) intensive FDI drops when the destination market is in recession and the source market is in a normal state, and recovers to the pre-recession levels when both destination and source markets are in recession. The result is particularly pronounced in deep and long recessions, during the propagation stage of recessions, and in destination markets with stronger intellectual property protection, looser FDI …