Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

Results found: 2

first rewind previous Page / 1 next fast forward last

Search results

help Sort By:

help Limit search:
first rewind previous Page / 1 next fast forward last
1

Calculating VaR in EU Candidate States

100%
Žiković S.
South East European Journal of Economics and Business
|
2008
|
vol. 3
|
issue 1
23-33
EN
This paper examines whether VaR models that are created and suited for developed and liquid markets apply to the volatile and shallow financial markets of EU candidate states. To this end, several VaR models are tested on five official stock indexes from EU candidate states over a period of 500 trading days. The tested VaR models are: a historical simulation with rolling windows of 50, 100, 250 and 500 days, a parametric variance-covariance approach, a BRW historical simulation, a RiskMetrics system and a variance-covariance approach using GARCH forecasts. Based on the backtesting results it can be concluded that VaR models that are commonly used in developed financial market are not well-suited to measuring market risk in EU candidate states. Using some of the most widespread VaR models in these circumstances may result in serious problems for both banks and regulators.
2

Econometric Analysis of Croatia’s Proclaimed Foreign Exchange Rate

51%
Mance D., Žiković S., Mance D.
South East European Journal of Economics and Business
|
2015
|
vol. 10
|
issue 1
7-17
EN
The officially proclaimed foreign exchange policy of the Croatian National Bank (CNB) is a managed float with a discretionary right of intervention on the Croatian kuna/euro foreign exchange (FX) market in order to maintain price stability. This paper examines the validity of three monetary policy hypotheses: the stability of the nominal exchange rate, the stability of exchange rate changes, and the exchange rate to inflation pass-through effect. The CNB claims a direct FX to inflation rate pass-through channel for which we find no evidence, but we find a strong link between FX rate changes and changes in M4, as well as between M4 changes and inflation. Changes in foreign investment Granger cause changes in monetary aggregates that further Granger cause inflation. Changes in FX rate Granger cause a reaction in M4 that indirectly Granger causes a further rise in inflation. Vector Autoregression Impulse Response Functions of changes in FX rate, M1, M4, and CPI confirm the Granger causalities in the established order.
first rewind previous Page / 1 next fast forward last
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.