UNCERTAINTY RELATED TO INFECTIOUS DISEASES AND FORECASTABILITY OF THE REALIZED VOLATILITY OF US TREASURY SECURITIES

2021 ◽  
pp. 2150008
Author(s):  
SISA SHIBA ◽  
RANGAN GUPTA
Keyword(s):  
Infectious Diseases ◽  
Realized Volatility ◽  
Daily Newspaper ◽  
Treasury Securities ◽  
Long Run ◽  
Short Period ◽  
The Us ◽  
Out Of Sample ◽  
Portfolio Managers

This paper aims to examine the predictive power of the daily newspaper-based index uncertainty related to infectious diseases (EMVID) for the US Treasury securities’ realized volatility (RV) using the heterogonous autoregressive volatility (HAV-RV) model. In our out-of-sample forecast, we find strong significant evidence on the role of the EMVID index in forecasting the volatility of the US Treasury securities in the short-, medium- and long-run horizons except for the US 2-Year Treasury-Note (T-Note) Futures. Assessing the EMVID index role during the COVID-19 episode, we find that even in this short period, the index role in predicting the US Treasury securities is highly significant. These findings have important implications for portfolio managers and investors in times of unprecedented levels of uncertainty resulting from epidemic and pandemic diseases.

scholarly journals Infectious Diseases, Market Uncertainty and Oil Market Volatility

Energies ◽  
2020 ◽  
Vol 13 (16) ◽  
pp. 4090 ◽  
Author(s):  
Elie Bouri ◽  
Riza Demirer ◽  
Rangan Gupta ◽  
Christian Pierdzioch
Keyword(s):  
Infectious Diseases ◽  
Statistical Significance ◽  
Forecast Accuracy ◽  
Realized Volatility ◽  
Market Volatility ◽  
Market Uncertainty ◽  
Daily Newspaper ◽  
Oil Market ◽  
Crude Oil Prices ◽  
Long Run

We examine the predictive power of a daily newspaper-based index of uncertainty associated with infectious diseases (EMVID) for oil-market volatility. Using the heterogeneous autoregressive realized volatility (HAR-RV) model, we document a positive effect of the EMVID index on the realized volatility of crude oil prices at the highest level of statistical significance, within-sample. Importantly, we show that incorporating EMVID into a forecasting setting significantly improves the forecast accuracy of oil realized volatility at short-, medium-, and long-run horizons. Our findings comprise important implications for investors and risk managers during the unprecedented episode of high uncertainty resulting from the COVID-19 pandemic.

scholarly journals Predictability of the Realised Volatility of International Stock Markets Amid Uncertainty Related to Infectious Diseases

2022 ◽  
Vol 15 (1) ◽  
pp. 18
Author(s):  
Sisa Shiba ◽  
Juncal Cunado ◽  
Rangan Gupta
Keyword(s):  
The Netherlands ◽  
Infectious Diseases ◽  
Financial Markets ◽  
Stock Markets ◽  
Recursive Estimation ◽  
International Stock Markets ◽  
Long Run ◽  
Out Of Sample ◽  
Portfolio Managers ◽  
Realised Volatility

In the context of the great turmoil in the financial markets caused by the COVID-19 pandemic, the predictability of daily infectious diseases-related uncertainty (EMVID) for international stock markets volatilities is examined using heterogeneous autoregressive realised variance (HAR-RV) models. A recursive estimation approach in the short-, medium- and long-run out-of-sample predictability is considered and the main findings show that the EMVID index plays a significant role in forecasting the volatility of international stock markets. Furthermore, the results suggest that the most vulnerable stock markets to EMVID are those in Singapore, Portugal and The Netherlands. The implications of these results for investors and portfolio managers amid high levels of uncertainty resulting from infectious diseases are discussed.

The role of model bias in predicting volatility: evidence from the US equity markets

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Yan Li ◽  
Lian Luo ◽  
Chao Liang ◽  
Feng Ma
Keyword(s):  
Prediction Model ◽  
Forecast Accuracy ◽  
Realized Volatility ◽  
Model Bias ◽  
Content Type ◽  
Dow Jones Industrial Average ◽  
The Us ◽  
Out Of Sample ◽  
Family Models

PurposeThe purpose of this paper is to explore whether the out-of-sample model bias plays an important role in predicting volatility.Design/methodology/approachUnder the heterogeneous autoregressive realized volatility (HAR-RV) framework, we analyze the predictive power of out-of-sample model bias for the realized volatility (RV) of the Dow Jones Industrial Average (DJI) and the S&P 500 (SPX) indices from in-sample and out-of-sample perspectives respectively.FindingsThe in-sample results reveal that the prediction model including the model bias can obtain bigger R2, and the out-of-sample empirical results based on several evaluation methods suggest that the prediction model incorporating model bias can improve forecast accuracy for the RV of the DJI and the SPX indices. That is, model bias can enhance the predictability of original HAR family models.Originality/valueThe author introduce out-of-sample model bias into HAR family models to enhance model capability in predicting realized volatility.

scholarly journals International Law of State Responsibility and COVID-19: An Ideology Critique

2021 ◽  
Vol 39 (1) ◽  
pp. 105-121
Author(s):  
Robert Knox ◽  
Ntina Tzouvala
Keyword(s):  
Infectious Diseases ◽  
International Law ◽  
The Other ◽  
State Responsibility ◽  
Ideology Critique ◽  
Capitalist Production ◽  
Global Pandemic ◽  
The Us ◽  
The One

Abstract Despite minimal prospects of success, international lawyers spent the first few months of the global pandemic discussing whether the rules of state responsibility could be invoked against states, especially China, for their acts and omissions regarding COVID-19. In this piece, we take these debates seriously, if not necessarily literally. We argue that the unrealistic nature of these debates does not make them irrelevant. Rather, we propose an ideology critique of state responsibility as a legal field. Our approach is two-fold. First, we argue these debates need to be situated within the rise of geopolitical competition between the US and its allies on the one hand and China on the other. In this context, state responsibility is always laid at the feet of one’s opponents. Secondly, we posit that my emphasising the role of states, recourse to state responsibility renders invisible the role of transnational processes of capitalist production and exchange that have profound effects on nature and set the stage for the emergence and spread of infectious diseases. Drawing from the work of the geographer Neil Smith, we argue against the ‘naturalisation’ of disasters performed much of the international legal discourse about COVID-19.

Path dependence, the COVID-19 crisis, and inequality in the United States

2021 ◽  
Vol 18 (2) ◽  
pp. 198-206
Author(s):  
Daniele Tavani
Keyword(s):  
Great Recession ◽  
Path Dependence ◽  
The United States ◽  
Economic Security ◽  
The Great Recession ◽  
Us Economy ◽  
Long Run ◽  
The Us ◽  
Historical Trajectory

This paper considers both secular and medium-run trends to argue that the US economy was already vulnerable to shocks before the COVID-19 crisis. Long-run trends have shown a pattern of secular stagnation and increasing inequality since the 1980s, while the economy has displayed hysteresis during the sluggish recovery from the Great Recession. The immediate policy response through the Coronavirus, Relief and Economic Security (CARES) Act highlighted the coordinating role of fiscal policy on the economy, but also showcased limits, especially with regard to the paycheck protection program. The historical trajectory of the US economy before the COVID-19 crisis cast serious doubts on recent cries of ‘overheating’ and inflationary pressures that should supposedly arise from the $1.9 trillion relief package just signed into law by President Biden. Projecting forward to the long run, redistribution policies may provide useful first steps in reversing the trends of rising inequality and declining productivity growth that the US economy has seen over the last few decades.

Financing a new nation: a comparative study of the financial roots of the USA and Gran Colombia

2012 ◽  
Vol 7 (1) ◽  
pp. 3-26
Author(s):  
John Muse-Fisher
Keyword(s):  
Economic Growth ◽  
Economic Development ◽  
Comparative Study ◽  
Reciprocal Relationship ◽  
Long Run ◽  
The Us ◽  
The Usa ◽  
Different Shapes ◽  
New Nation

AbstractThe structure of the USA and the countries that emerged from the remains of Gran Colombia ultimately took different shapes from those suggested in the era immediately after independence, particularly in regard to the extent of each state's fiscal and monetary capacities. This article applies Oszlak's model of ‘stateness’ to the early financial and monetary histories of the USA (roughly 1776–93) and Gran Colombia (roughly 1819–35) to assess and compare the role of financial and monetary capacities in long-run state consolidation and economic development. The US was ultimately more successful than Gran Colombia at adapting its financial and monetary capacities and institutions, creating better conditions for the attainment of ‘stateness’, stronger economic growth, and greater endurance as a national entity. The comparison ultimately suggests a reciprocal relationship between the legitimization of a state's authority (that is, state consolidation) and the development and solidification of fiscal and monetary capacities.

History Matters

2021 ◽  
pp. 319-364
Author(s):  
B. Zorina Khan
Keyword(s):  
World War Ii ◽  
Technological Progress ◽  
Innovation Systems ◽  
The State ◽  
State Universities ◽  
Economic Decisions ◽  
Long Run ◽  
The Us ◽  
Great Divergence

Debates about the “great divergence” within Europe fail to explain the more persistent divergence that resulted in US leadership in industry and technological innovations. Similarly, selective case studies of the post–World War II economy have given rise to claims that dirigiste linkages between the state, universities, and industry, or national innovation systems, are required for technological progress. Empirical analyses of extensive panel data and long-run patterns of innovation across countries suggest otherwise. France and England exhibited an institutional bias toward administered innovation systems, where key economic decisions were made by elites, the state, and other privileged groups. Such policies encouraged rent-seeking and the misallocation of resources and ultimately failed to engender sustained technological progress. By contrast, the US experience highlights the central role of its market-oriented patent system, in concert with flexible open-access adjacent institutions, in promoting economic growth and social welfare.

scholarly journals Introduction: Migration and Differential Labour Market Participation

2017 ◽  
Vol 16 (4) ◽  
pp. 607-611 ◽  
Author(s):  
Gina Netto ◽  
Gary Craig
Keyword(s):  
Oecd Countries ◽  
Long Run ◽  
Native Workers ◽  
Labour Market Participation ◽  
The Us ◽  
And Migration ◽  
The Impact ◽  
Substantial Rise ◽  
The Eu

Recent major political developments, including Brexit and the US presidential elections, have been strongly associated with public concerns around levels of immigration. Much of this has centred on the role of migrants in the low-skilled sectors of the economy and concerns that they have displaced members of local communities from jobs and depressed wage levels. This is despite compelling evidence that immigrants rarely take jobs from native workers in OECD countries (Constant, 2014) and that in the long run, the wage and employment effects of immigration in the 1990s and in the 2000s were small and always positive for less educated workers of all OECD countries (Docquieret al., 2014). Recent UK specific studies have found that the impact on wages is considered to be relatively small (Dustmannet al., 2013; Nickell and Salaheen, 2015). Notwithstanding this evidence, hostility to migrants and migration more generally has become increasingly overt, as reflected in a substantial rise in ‘race’ hate crimes before and following the referendum on the UK's membership of the EU in 2016 (Burnett, 2017).

scholarly journals Trump’s Trade Revolution

The Forum ◽  
2020 ◽  
Vol 17 (4) ◽  
pp. 523-548
Author(s):  
Michael Mastanduno
Keyword(s):  
Trade Policy ◽  
Policy Process ◽  
World Economy ◽  
Global Management ◽  
Domestic Trade ◽  
Long Run ◽  
The Us ◽  
Post War ◽  
Trump Administration

AbstractThe Trump administration has reversed a 70-year consensus and transformed both the substance of trade policy and the postwar role the US has played in its global management. It has also reconfigured the role of the president in the domestic trade policy process. Armed with the power and influence the US amassed during its long run as leader of the post-war liberal world economy, the Trump administration has used trade as its principle coercive weapon in foreign policy. It has achieved some success, albeit at high diplomatic cost and by putting at risk America’s long-standing structural advantages in the world economy. Given that domestic discontent with the liberal world economy has increased significantly, it is likely that the core aspects of Trump’s trade revolution will endure, even if subsequent administrations soften Trump’s provocative execution of it.

scholarly journals Real Exchange Rate Misalignment in Jordan: The Permanent Equilibrium Approach

2017 ◽  
Vol 9 (3) ◽  
pp. 29
Author(s):  
Noura Abu Asab
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Rate System ◽  
The Real ◽  
Economic Fundamentals ◽  
Long Run ◽  
The Us ◽  
Exchange Rate Misalignment ◽  
Exchange Rate System

This study attempts to measure the real exchange rate misalignment in Jordan from 1980 to 2014. We examine the role of adopting the pegged exchange rate system to the US in 1995 in limiting/increasing misalignment. Applying the Johansen approach, a cointegrating relationship is found between the real exchange rate and a number of economic fundamentals that influence the long-run real exchange rate. Over a long examined period of exchange rate fixity, the real exchange rate is kept depreciated except after 2006-2008 over which the appreciation of the real exchange rate is noted. However, after 2011 misalignment receded as the real exchange rate matched the equilibrium real exchange rate. An attempt is also made to model the nexus between the growth of per capita income and misalignment. The exchange rate misalignment is found to significantly decrease the economic growth. 

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