The signalling channel of Central Bank interventions:modelling the Yen/US dollar exchange rate

This paper presents a theoretical framework analysing the signalling channel of exchange rate interventions as an informational trigger. We develop an implicit target zone framework with learning in order to model the signalling channel. The theoretical premise of the model is that interventions convey signals that communicate information about the exchange rate objectives of the central bank. The model is used to analyse the impact of Japanese FX interventions during the period 1999--2011 on the yen/US dollar dynamics

Explaining co-movements between equity and CDS bid-ask spreads

In this paper I show that the co-movements between bid-ask spreads of equities and credit default swaps vary over time and increase over crisis periods. The co-movements are strongly related to systematic risk factors and to the theoretical debt-to-equity hedge ratio. I document that hedging and asymmetric information, besides higher funding costs and market volatility risk, are driving factors of the commonality and are significantly priced in CDS bid-ask spreads

Stock price reaction to profit warnings: The role of time-varying betas

This study investigates the role of time-varying betas, event-induced variance and conditional heteroskedasticity in the estimation of abnormal returns around important news announcements. Our analysis is based on the stock price reaction to profit warnings issued by a sample of firms listed on the Hong Kong Stock Exchange. The standard event study methodology indicates the presence of price reversal patterns following both positive and negative warnings. However, incorporating time-varying betas, event-induced variance and conditional heteroskedasticity in the modelling process results in post-negative-warning price patterns that are consistent with the predictions of the efficient market hypothesis. These adjustments also cause the statistical significance of some post-positive-warning cumulative abnormal returns to disappear and their magnitude to drop to an extent that minor transaction costs would eliminate the profitability of the contrarian strategy

Refining value-at-risk estimates using a Bayesian Markov-switching GJR-GARCH copula-EVT model

In this paper, we propose a model for forecasting Value-at-Risk (VaR) using a Bayesian Markov-switching GJR-GARCH(1,1) model with skewed Student’s-t innovation, copula functions and extreme value theory. A Bayesian Markov-switching GJR-GARCH(1,1) model that identifies non-constant volatility over time and allows the GARCH parameters to vary over time following a Markov process, is combined with copula functions and EVT to formulate the Bayesian Markov-switching GJR-GARCH(1,1) copula-EVT VaR model, which is then used to forecast the level of risk on financial asset returns. We further propose a new method for threshold selection in EVT analysis, which we term the hybrid method. Empirical and back-testing results show that the proposed VaR models capture VaR reasonably well in periods of calm and in periods of crisis

Coping strategies, vision-related quality of life, and emotional health in managing retinitis pigmentosa: a survey study.

Background Retinitis pigmentosa is a group of genetic progressive retinal dystrophies that may adversely affect daily life. Those with RP should develop adaptive coping strategies to manage their condition. This study investigates the relationship between engaging (ECS) and disengaging coping strategies (DCS), vision-related quality of life (VRQoL), and emotional health, in adults living at home with retinitis pigmentosa. Method One hundred and five participants (70 female; meanage of 46.98, SD age  = 13.77) completed a cross-sectional survey. The questionnaire booklet consisted of the Coping Strategies Inventory – Short Form (32 items), the National Eye Institute Visual Functioning Questionnaire 25 (25 items), Marylands Trait Depression Scale (18 items), the Warwick-Edinburgh Mental Well-being Scale (14 items), and the Subjective Happiness Scale (4 items). Results Data was analysed with a two-block hierarchical multiple regression, with the first block controlling for the demographic data (age, sex, years since retinitis pigmentosa diagnosis, number of comorbidities, participant-perceived retinitis pigmentosa severity, and knowing RP type) and the second block consisting of primary measures (type of coping strategy, VRQoL, and Emotional Health). Type of coping strategy was found to impact psychosocial variables of VRQoL, not overall VRQoL. These psychosocial VRQoL variables had a positive association with ECS and a negative association with DCS. Emotional Health increased with ECS and decreased with DCS. There was a larger impact of DCS on VRQoL and Emotional Health compared to ECS, that is, VRQoL and Emotional Health decreased more with increasing DCS than VRQoL, and Emotional Health increased with increasing ECS. Conclusion In concordance with previous research, ECS increased with increasing VRQoL and DCS decreased with increasing VRQoL. However, the findings also indicated that DCS had a greater impact than ECS on VRQoL and Emotional Health. This suggests that diminishing DCS should be prioritised over developing ECS to positively influence VRQoL and Emotional Health. Further research should investigate the impact of reducing DCS compared to increasing ECS, and how this may influence VRQoL and Emotional Health.N/

Non-standard errors

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence generating process (EGP). We claim that EGP variation across researchers adds uncertainty: Non-standard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for better reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants