Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields?

This paper examines the determinants of the dynamic connectedness between sovereign bond yields in a sample of G7 countries. In addition to the common macroeconomic factors, we focus on the impact of Economic Policy Uncertainty (EPU) on the dynamic connectedness patterns between bond yields. To this end, we first examine the full-sample connectedness among the seven bond yields and examine various features of connectedness using a measure recently proposed by Diebold and Yilmaz (Int J Forecast 28(1):57-66, 2012). To examine the determinants of the dynamic connectedness, we use the panel data model to consider the dynamic net connectedness between the considered bond yields as the endogenous variable. Overall, being the transmitter or recipient of spillovers appears to have independent and different influences depending on each of the two types of sovereign bond yields. Also, the findings support the idea that EPU can create an environment likely to exacerbate the transmission of spillover shocks between two-year sovereign bond yields. Conversely, on the whole, EPU does not appear to affect the connectedness of thirty-year sovereign bond yields in various bond markets. The findings also reveal the significant impacts of real output on how shocks across countries manifest in different ways.Scopu

The inter and intra discipline linkage between Economics, Business administration and Social sciences

This study aims at investigating the extent to which six disciplines (Economic, Business administration, Finance and investment, Accounting, Banking and Insurance and risk management) reach out to spaces shared with other disciplines at the College of Economic and Administrative sciences in the University of Al-Imam Mohammad Ibn Saud Islamic University. First, we look at the descriptive statistics to know the attendance of each course in various specialties. Second, we employ two ratios to measure the penetration extent of each economic branch in different social sciences branches and vice versa. In the intraspecific linkage measurement, our results indicate that these disciplines are far from having a dependence with History, Politics, Ethics and Sociology sciences. Moreover, we find that studies of the Sharia are flourishing and the economic and Business administration courses in the field are being defended. In the field study of interspecific linkage, our results indicate a deficiency of the linkage between the related disciplines in different manners. Economic and Business administration disciplines have, especially, the lowest degree of openness, compared to the rest of disciplines

Testing for Asymmetric Information in Tunisian Automobile Insurance Market

Asymmetric information has become one of the most influential theoretical concepts in explaining competitive insurance market. In contract theory, asymmetric information is the situation when one party of an economic transaction possesses information that is not available to the other contractual party.In this perspective, this paper aims to investigate the presence of asymmetric information in Tunisian automobile insurance market. This investigation is made using an individual data set during the year 2009. For this purpose, we employ two empirical approaches; the bivariate probit model and the two stages approach of Richaudeau (1999). Hence, results show a strong evidence for the presence of asymmetric information for the begging drivers. Inversely, for the experienced drivers, no evidence of asymmetric information have been detected. DOI: 10.5901/mjss.2015.v6n3s1p45

Evidence of adverse selection in automobile insurance market: A seemingly unrelated probit modelling

The present paper investigates the adverse selection problem by examining the relationship between accident occurrences and deductible choice utilizing a seemingly unrelated probit model that allows for best controls for unobserved heterogeneity and endogeneity. While this microeconometric analysis does not consider a multivariate model and considers only two types of contracts, namely, those with high and low deductibles, it does suggest important implications from applying a recursive bivariate probit. We employ new cross-sectional data on a Tunisian insurance portfolio containing 31,125 policyholders. The results support some evidence for residual adverse selection in the studied insurance portfolio. Moreover, the results suggest the presence of a wealth effect in the decision of the contract choice. 2017 The Author(s). This open access article is distributed under a Creative Commons Attribution (CC-BY) 4.0 license.Scopu

Analysis Of The Effect Of The European Debt Crisis On The Saudi Arabian Economy

This paper investigates the economic impact of the 2009 European debt crisis on Saudi Arabia’s real economy from 2004 Q2 to 2014 Q2 using a structural vector autoregressive model (SVAR). The results of the impulse response functions obtained from the aggregated data show that the shock to European imports from Saudi Arabia had a significant impact on the real effective exchange rate, inflation rate, and economic growth that lasted for three periods. Moreover, the variance decomposition analysis shows that Europe’s imports from Saudi Arabia explain approximately 20% of the variance of the Saudi real effective exchange rate and real economic growth, 10% of the interest rate variability, and only 5% of the inflation rate variance. The results of the individual country analysis show that the impact of shocks to imports from all European countries had an instantaneous impact, except for France and Spain, where the impact on the economic growth was significant in the second and sixth periods respectively. The results suggest that Saudi Arabian policymakers should continue the process of export diversification in order to reduce its dependence on this region

Accounting for inflation dynamic in a fully optimizing macroeconomic framework: evidence from the US states

This article proposes a New Keynesian DSGE model that can capture the hump-shaped response of inflation to a monetary policy shock that does not depend upon backward-looking elements for the price and wage-setting, such as the indexation of wages or prices. The two additional elements required to achieve a hump-shaped response are roundabout production structure (input–output structure for production) and working capital. Depending on the model’s parameterization, this channel can provide a pronounced response of inflation. In addition, our article provides some reduced-form evidence about the hump-shaped response of inflation using a VAR with Cholesky ordering

Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic

This paper sets out to explore the impact of COVID-19 pandemic on the dynamic connectedness among gold, oil and five leading stock markets by applying a new DCC-GARCH connectedness approach. We find stronger connectedness between these markets during the COVID-19 pandemic than in the pre-pandemic period. We also find that during this pandemic, gold is a receiver of shocks from the five stock markets, whereas the oil is a net transmitter of shocks. 2021Scopu

Evidence of adverse selection in automobile insurance market: A seemingly unrelated probit modelling PUBLIC INTEREST STATEMENT

Abstract: The present paper investigates the adverse selection problem by examining the relationship between accident occurrences and deductible choice utilizing a seemingly unrelated probit model that allows for best controls for unobserved heterogeneity and endogeneity. While this microeconometric analysis does not consider a multivariate model and considers only two types of contracts, namely, those with high and low deductibles, it does suggest important implications from applying a recursive bivariate probit. We employ new cross-sectional data on a Tunisian insurance portfolio containing 31,125 policyholders. The results support some evidence for residual adverse selection in the studied insurance portfolio. Moreover, the results suggest the presence of a wealth effect in the decision of the contract choice. PUBLIC INTEREST STATEMENT Adverse selection is a phenomenon that is endemic to various insurance line of business, including car insurance. It occurs whenever people make insurance purchasing decisions based on their own knowledge of their degree of risk or likelihood of making a claim on the insurance coverage. This empirical study provide a useful application allowing a better understand of this phenomena. Using statistical and econometric approaches we examine the relationship between accident occurrences and deductible choice. These later, allow a test for the presence of adverse selection in the studied market and provide information about the factors influencing the probability of being involved in car accidents

Stock market dependence in crisis periods: Evidence from oil price shocks and the Qatar blockade

This paper examines the correlation and the dependence patterns of the Qatar stock market with other markets using copula statistical theory and exploiting new datasets covering the period August 1998 to June 2018. To examine the crisis -specific change in the average degree of dependence we decomposed the data into the time periods before and after oil price shocks and the 2017 political crisis among the Gulf Cooperation Council members (i.e. the Qatari blockade). Our findings from the static copula modelling show that the correlations between the Qatari and the other stock markets significantly change after the oil price and the blockade crisis as well. The degree of change in the correlation is time varying and differs from county-group to another. Moreover, our findings reveals that the 2008 global financial crisis has a stronger impact than the price shocks and political crisis. The findings of the paper are of interest and allow for formulating a reliable and dynamic portfolio design framework for investors and risk managers. 2020 Elsevier B.V.This work was supported by Research University Grant from Qatar University (Qatar) under the grant number QUUG-CBE-DMM-17/18-5 .We would like to thank the Editor, Editor-in-Chief Professor H. Beladi and the two anonymous referees for their helpful comments. Any remaining errors are solely ours.Scopu

Risk factors of road accident severity and the development of a new system for prevention: New insights from China

Road accident fatalities and accident severity costs have become top priorities and concerns for Chinese policymakers. Understanding the principal factors that explain accident severity is considered to be the first step towards the adequate design of an accident prevention strategy. In this paper, we examine the contribution of various types of factors (vehicle, driver and others) in explaining accident severity in China. Unlike previous studies, the analysis gives a particular focus on fatal accidents. Using a large sample of 405,177 observations for 4-wheeled vehicles in the year 2017 and various statistical and econometrics approaches (e.g., OLS, quantile regression and extreme value theory), the results show that the factors explaining the severity of accidents differs significantly between normal and extreme severity accidents, e.g. across quantiles. Interestingly, we find that the gender factor is only significant for fatal accidents. In particular, the analysis shows that male drivers have an increased likelihood of extreme risk taking. On the basis of these empirical findings, a new ratemaking approach that aims to improve road safety and prevention is discussed and proposed. 2019 Elsevier LtdScopu