• We change the definition of financial distress in CoVaR. • We consider more severe distress events, backtest CoVaR, and improve its consistency. • Our CoVaR and VaR have a weak relation in the ...cross-section and in the time-series. • Depository institutions contribute the most to systemic risk. • Leverage, size, and equity beta are important in explaining systemic risk.
We modify Adrian and Brunnermeier’s (2011) CoVaR, the VaR of the financial system conditional on an institution being in financial distress. We change the definition of financial distress from an institution being exactly at its VaR to being at most at its VaR. This change allows us to consider more severe distress events, to backtest CoVaR, and to improve its consistency (monotonicity) with respect to the dependence parameter. We define the systemic risk contribution of an institution as the change from its CoVaR in its benchmark state (defined as a one-standard deviation event) to its CoVaR under financial distress. We estimate the systemic risk contributions of four financial industry groups consisting of a large number of institutions for the sample period June 2000 to February 2008 and the 12months prior to the beginning of the crisis. We also investigate the link between institutions’ contributions to systemic risk and their characteristics.
We estimate several GARCH- and Extreme Value Theory (EVT)-based models to forecast intraday Value-at-Risk (VaR) and Expected Shortfall (ES) for S&P 500 stock index futures returns for both long and ...short positions. Among the GARCH-based models we consider is the so-called Autoregressive Conditional Density (ARCD) model, which allows time-variation in higher-order conditional moments. ARCD model with time-varying conditional skewness parameter has the best in-sample fit among the GARCH-based models. The EVT-based model and the GARCH-based models which take conditional skewness and kurtosis (time-varying or otherwise) into account provide accurate VaR forecasts. ARCD model with time-varying conditional skewness parameter seems to provide the most accurate ES forecasts.
Purpose - The purpose of this paper is to propose a simple regression-based method of forecasting daily electricity demand, which may serve as a more accurate benchmark for short-term ...forecasts.Design methodology approach - In order to make more efficient use of the calendar effects in electricity demand, including weekend, and seasonal effects, while maintaining the parsimony of the forecasting model, the authors match the demand on each day of an entire year with the average of the corresponding days in recent years. This matching-day approach substantially simplifies the modeling procedure of complex periodicity in electricity demand without loss of information.Findings - With daily data on electric power system load in New England, the authors' method provides quite accurate forecasts. The mean absolute percentage error (MAPE) (2.1 percent) is significantly lower than those of the seasonal ARIMA and exponential smoothing method, and also comparable to the performance of more sophisticated methods in the literature.Research limitations implications - The authors' method needs to be modified or augmented by other techniques when the periodicity is not stable due to time trends, economic crises, and other factors.Practical implications - The management of electric utility providers as well as professional forecasters may use this method as a handy benchmark.Originality value - While previous studies focus mainly on accuracy of forecasts, the method presented in the paper is developed with the balance between accuracy and ease of use in mind.
To the extent that NYSE Rule 80A collar, which restricts index arbitrage form of program trading on volatile days, aims to delink S&P 500 cash and futures markets and prevent transmission of ...volatility from the futures to the cash market, this study finds the collar to be ineffective. The analyses are based on lead-lag regressions for the first and second moments using data diurnalized via a nonparametric filter for intraday volatility periodicity. The regression results also suggest that, consistent with the literature, the futures market has a much stronger tendency to lead the underlying cash market than lag and there is a strong bi-directional lead-lag relationship between volatilities of the two markets, which does not support the assertion that there is a systematic transmission of volatility from the futures to the cash market.
Using five-minute data, market volatility in the Dow Jones Industrial Average is examined in the presence of trading collars. A polynomial specification is used for capturing intraday seasonality. ...Results indicate that market volatility is 3.4 % higher in declining markets when trading collars are in effect. Results also support a U-shaped intraday periodicity in volatility.
The crop insurance program is a prominent facet of U.S. farm policy. The participation of private insurance companies as intermediaries is justified on the basis of efficiency gains. These gains may ...arise from either decreased transaction costs through better established delivery channels and/or the revelation of private information. We find empirical evidence suggesting that private information is revealed by insurance companies via their reinsurance decisions. However, it is unlikely that such information will be incorporated into subsequent premium rates by the government.
Recently, there has been much interest in modeling time-varying higher-order conditional moments in the density estimation context. These studies employ a moment-based methodology to test their ...specification of higher-order conditional moments. We compare the size and power of these moment-based tests with the size and power of a recently developed set of nonparametric tests. The results show that the moment-based tests have good size only for conditional skewness and have a large size distortion when all the moment conditions are tested jointly and used as an overall specification test. The nonparametric tests have a slight size distortion for conditional higher moments, which can be eliminated. The power of the nonparametric tests for detecting overall misspecification and lack of dynamics in the conditional higher moments is better than the power of the moment-based tests.
Tekâfül, Arapça’da kefalet, karşılıklı garanti vermek, birbirinin yerine kefil olmak anlamına gelen kefele fiilinden türetilmiştir. Alan yazında, katılım sigorta veya teavün sigortacılığı gibi ...çeşitli kavramlarla ifade edilen tekâfül, muhtemel rizikolara karşı katılımcılar arasında yardım ve dayanışmayı sağlayan alternatif bir sigorta sistemidir. Bu sistemde, çoğunlukla bir katılım bankası tarafından kâr amacıyla bir şirket kurularak, sigorta yaptıranlardan oluşan bir katılımcı grubu oluşturulur. Katılımcılar, yaptıkları sözleşme karşılığında sigorta primlerini öderler. Sigorta şirketi, katılımcılar adına ilke olarak vekil görevini üstlenir ve sigorta işlemlerini organize eder. Tekâfül sigorta sistemi; mudarebe modeli, vakıf modeli, vekâlet modeli ve hibrit (karma) model olarak dört şekilde uygulanmaktadır.
Katılım finans ürünlerinden biri olan ve yardımlaşma ilkesini esas alan tekâfülün hem dünya hem de Türkiye finans sektöründeki önemi ve bilinirliliği her geçen gün artmaktadır. Dünyada ilk kez 1979 yılında Sudan’da, Türkiye’de ise 2009’da uygulanmaya başlamıştır. 2017’de yapılan yasal düzenlemeyle ise sigorta şirketlerinin de tekâfül penceresi ile sigorta hizmeti vermesine imkân sağlanmıştır. Tekâfülün dünyadaki toplam varlık büyüklüğü 2019’da 51 trilyon Amerikan dolarına ulaşmış ve aynı dönemde Türkiye, küresel tekâfül piyasasında en hızlı büyüyen ülke konumuna yükselmiştir. Mevcut durumda, dünyada 116 adet yarı tekâfül şirketi penceresi olmak üzere 47 ülkede toplam 353 adet katılım sigorta hizmeti veren şirket bulunurken, Türkiye’de ise 4 adet tam teşekküllü tekâfül şirketi ve 8 adet pencere ile katılım sigorta hizmeti sunulmaktadır. Bu bağlamda, 2024’te küresel tekâfül varlık büyüklüğünün 65 trilyon Amerikan dolarına yükselmesinin beklendiği bir ortamda tekâfülün, Türkiye katılım bankacılığı sektörü ve ekonomik büyüme üzerindeki rolünün araştırılması çalışma konusunun önemini göstermektedir. Ayrıca alan yazındaki bilimsel araştırmalar incelendiğinde, tekâfül ile ilgili teorik çalışmaların yapıldığı ancak katılım bankacılığı ve ekonomik büyüme üzerinde, tekâfülün etkisini inceleyen ampirik çalışmaların kısıtlı kaldığı dikkat çekmektedir.
Yukarıdaki bilgiler ışığında çalışmada, Türkiye’de tekâfül finansman ürünü ile katılım bankacılığı ve ekonomik büyüme arasındaki uzun dönem ilişkinin ortaya konulması amaçlanmaktadır. Bu amaç doğrultusunda, 3 adet araştırma modeli kurulmuştur. Modellerde, katılım bankacılığı sektörünün tekâfül varlıkları büyüklüğü ile finansal performans göstergelerinden dönem net kârı ve net faaliyet kârı değişkenleri kullanılmıştır. Ekonomik büyümeyi temsilen de Gayri Safi Yurt İçi Hasıla (GSYİH) değişkeni dikkate alınmıştır. Ayrıca, katılım bankacılığı sektörünün toplam aktif büyüklüğü ile enflasyon oranı, kontrol değişkenleri olarak modele dahil edilmiştir. Araştırma modellerindeki değişkenlere ait 2010(Q1) ile 2019(Q4) arasındaki toplam 40 çeyrek dönem veriler, ekonometrik analiz yöntemlerinden ARDL sınır testi ile analiz edilmiştir. Ampirik çalışmada ilk olarak, çeyrek dönem zaman serileri mevsimsellik etkisinden arındırılmış ve doğal logaritmaları alınmıştır. Daha sonra, serilerin durağanlık sınaması yapılarak analiz varsayımları test edilmiştir.
ARDL sınır testi sonucunda, tekâfül ile katılım bankacılığı sektörü ve ekonomik büyüme göstergelerinin eş bütünleşik olduğu tespit edilmiştir. Başka bir deyişle, tekâfül ile net faaliyet kârı, dönem net kârı ve GSYİH uzun dönemde birlikte dengeye gelerek istatistiksel olarak aynı yönde hareket etmektedir. Elde edilen bulgular, tekâfül finansman ürününün katılım bankacılığı sektörüne ve ekonomik büyümeye katkı sağladığını göstermektedir. Bu çerçevede, gerek finans sektörünce gerekse de reel sektörce katılım sigorta sistemini daha yaygın hale getirecek yatırım politikaları ile ülkenin ekonomik büyümesinde önemli bir finansman kaynağı oluşturulabilir, aynı zamanda tekâfül için daha fazla pazar payı temin edilebilir. Böylece Türkiye, hem küresel tekâfül piyasasında önde gelen Suudi Arabistan, İran ve Malezya gibi ülkelerle daha fazla rekabet edebilir konuma gelebilecek hem de bankacılık ve sigortacılık sektöründe yardımlaşma esasına dayalı katılım sigorta türünün bilinirliliğini arttırabilecektir.
Takaful is derived from Arabic word al-kafala, which means surety, mutual guarantee, to be a surety interchangeably. Takaful, which is expressed in various concepts such as participation insurance or teavun insurance in the literature, is an alternative insurance system providing assistance and solidarity among participants against possible risks. In this system, a company is usually established by a participation bank for profit, creating a group of participants consisting of insurers. Participants pay insurance premiums in exchange for their contract. The insurance company, in principle, acts as a proxy on behalf of the participants and organizes insurance transactions. Takaful insurance system is implemented in four ways: mudarebe model, foundation model, power of attorney model and hybrid (mixed) model.
Takaful, which is one of the participation finance products and is based on the principle of assistance, is gradually increasing its significance and awareness in both the world and Turkish financial sector. For the first time in the world, it began to be implemented in Sudan in 1979 and in Turkey in 2009, while the legal regulation made in 2017 allowed insurance companies to provide insurance services with window takaful. The total size of takaful’s assets in the world reached 51 trillion US dollars in 2019, and during the same period, Turkey rose to position of the fastest growing country in global takaful market. Currently, there are a total of 353 participation insurance companies in 47 countries, including 116 semi-takaful company windows in the world, while in Turkey participation insurance services are offered with 4 full-fledged takaful companies and 8 windows. In this context, while global takaful asset size is expected to increase to 65 trillion US dollars in 2024, investigation of takaful's role in Turkish participation banking sector and economic growth demonstrates significance of the study. In addition, it is noteworthy that theoretical studies on takaful have been carried out, but empirical studies examining the effect of takaful on participation banking and economic growth remain limited when scientific researches in the literature are examined.
In the light of the above information, the study aims to put forward long-term relationship between takaful financing product and participation banking and economic growth in Turkey. For this purpose, 3 research models have been established. In the models, net profit for the period and net operating profit variables have been used from the size of takaful assets of participation banking sector and financial performance indicators. Gross Domestic Product (GDP) variable is also taken into account to represent economic growth. In addition, the total asset size of participation banking sector and inflation rate are included in the model as control variables. Data for a total of 40 quarter periods between 2010(Q1) and 2019(Q4) for variables in research models have been analyzed by ARDL bound testing, one of the econometric analysis methods. First in the empirical study, quarter-period time series are seasonally adjusted and their natural logarithms are taken. Afterwards, analysis assumptions are tested by performing stability of the series.
As a result of ARDL bound testing, it is determined that takaful and indicators of participation banking sector and economic growth are co-integrated. In other words, takaful and net operating profit, period net income and GDP balance together in the long run and move in the same direction statistically. The findings obtained indicate that takaful financing product contributes to participation banking sector and economic growth. Within this framework, an important source of financing can be created in economic growth of the country with investment policies that shall make participation insurance system more widespread both by financial sector and real sector, and at the same time, more market share can be obtained for takaful. As a consequence, Turkey will be able to compete more with leading countries in global takaful market such as Saudi Arabia, Iran and Malaysia, as well as increase the awareness of type of participation insurance based on assistance in the banking and insurance sector.
Abstract
In this study, a new Galactic novae catalogue is introduced collecting important parameters of these sources such as their light-curve parameters, classifications, full width half-maximum ...(FWHM) of Hα line, distances and interstellar reddening estimates. The catalogue is also published on a website with a search option via a SQL query and an online tool to re-calculate the distance/reddening of a nova from the derived reddening-distance relations. Using the novae in the catalogue, the existence of a maximum magnitude-rate of decline (MMRD) relation in the Galaxy is investigated. Although an MMRD relation was obtained, a significant scattering in the resulting MMRD distribution still exists. We suggest that the MMRD relation likely depends on other parameters in addition to the decline time, as FWHM Hα, the light-curve shapes. Using two different samples depending on the distances in the catalogue and from the derived MMRD relation, the spatial distributions of Galactic novae as a function of their spectral and speed classes were studied. The investigation on the Galactic model parameters implies that best estimates for the local outburst density are 3.6 and 4.2 × 10−10 pc−3 yr−1 with a scale height of 148 and 175 pc, while the space density changes in the range of 0.4–16 × 10−6 pc−3. The local outburst density and scale height obtained in this study infer that the disc nova rate in the Galaxy is in the range of ∼20 to ∼100 yr−1 with an average estimate $67^{+21}_{-17}$ yr−1.
•Outliers can have a large impact on the conventional measure of correlation.•Especially, coincidental outliers are influential.•We demonstrate the impact of coincidental outliers analytically and by ...simulations.•We consider two alternative robust measures; Spearman & a median-based measure.
It is well known that any statistic based on sample averages can be sensitive to outliers. Some examples are the conventional moments-based statistics such as the sample mean, the sample variance, or the sample covariance of a set of observations on two variables. Given that sample correlation is defined as sample covariance divided by the product of sample standard deviations, one might suspect that the impact of outliers on the correlation coefficient may be neither present nor noticeable because of a ‘dampening effect’ i.e., the effects of outliers on both the numerator and the denominator of the correlation coefficient can cancel each other. In this paper, we formally investigate this issue. Contrary to such an expectation, we show analytically and by simulations that the distortion caused by outliers in the behavior of the correlation coefficient can be fairly large in some cases, especially when outliers are present in both variables at the same time. These outliers are called ‘coincidental outliers.’ We consider some robust alternative measures and compare their performance in the presence of such coincidental outliers.
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