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Global Shocks of Education, Health, and Environmental Footprint on National Development in the Twenty-First Century: A Threshold Structural VAR Analysis
This paper provides an insight on whether the global shock of education budget, health budget, and environmental footprint are supporting national...
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COVID-19 Pandemic, Employment Differential and Health Expenditure Nexus in Sub-Saharan African Countries: Evidence from Vector Autorfegressive (VAR) Model
COVID-19 pandemic has imposed a lot of global challenges not only to health but also to other economic activities. The emergence of this pandemic...
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Asymmetric threshold effects of digitization on inflation in emerging markets
This paper analyzes the dynamic asymmetric effects of digitization on domestic inflation for a sample of 54 advanced economies (AEs) and emerging...
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How much public debt is threshold in India?
The study examines the threshold level of India's public debt from 1970 to 2019. The ARDL method finds that a country’s public debt is driven mainly...
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Understanding EU regional macroeconomic tip** points using panel threshold technique
The primary objective of the European Union has been to bring cohesion among its member states and their respective regions. This has led the...
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Improving Quantile Forecasts via Realized Double Hysteretic GARCH Model in Stock Markets
This research introduces a realized double hysteretic GARCH (R-dhGARCH) model with a skew Student’s t distribution designed to improve quantile...
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A threshold extension of spatial dynamic panel model with fixed effects
This paper proposes a threshold extension of the spatial dynamic panel data (SDPD) model with fixed effects. We introduce a threshold variable to...
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How Effective are Stock Market Reforms in Emerging Market Economies? Evidence from a Panel VAR Model of the Indian Stock Market
The paper uses a panel VAR framework to estimate the impact of a series of reforms aimed at reducing transactions cost and information cost in...
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Complementarity Relationship Between Foreign Direct Investment, Human Capital Threshold and Economic Growth: State of the 15 Least Developed African Countries
This study analyzes the mediating effect of human capital between foreign direct investment and economic growth and establishes the human capital...
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Which User-Friendly Model is the Best for BASEL-III? An Emerging Market Study
This paper explores backtesting Value-at-Risk (VaR) and Expected Shortfall (ES) considering ten standard and extended tests in the context of...
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The dual-financial-threshold effect in the “club convergence” of economic growth: a dynamic panel threshold model
This paper revisits the “club convergence” of economic growth by taking imperfect credit market into account in the Schumpeterian growth models with...
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Government Debt and Capital Formation Nexus in South Africa: The Role of the Debt Threshold
This chapter sought to investigate the level at which rising government debt starts to have adverse effects on fixed capital formation. The chapter...
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Extreme Poverty, Economic Growth, and Income Inequality Trilogy in Sub-Saharan Africa and South Asia: A GMM Panel VAR Approach
This study allows the assessment the triangular relationship between extreme poverty, economic growth, and income inequality in South Asia and...
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An evaluation of the adequacy of Lévy and extreme value tail risk estimates
This study investigates the simplicity and adequacy of tail-based risk measures—value-at-risk (VaR) and expected shortfall (ES)—when applied to tail...
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A New Look at Cross-Country Aggregation in the Global VAR Approach: Theory and Monte Carlo Simulation
Requirements to understand and forecast the behavior of complex macroeconomic interactions mandate the use of high-dimensional macroeconometric...
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A Smooth Transition Autoregressive Model for Matrix-Variate Time Series
In this paper, we present a new approach for modelling matrix-variate time series data that accounts for smooth changes in the dynamics of matrices....
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Public debt and growth in Asian develo** economies: evidence of non-linearity and geographical heterogeneity
This paper examines the nonlinear effects of public debt on economic growth in Asian develo** economies through the application of panel...
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Unleashing the Potential of Mixed Frequency Data: Measuring Risk with Dynamic Tail Index Regression Model
Understanding why extreme events occur is crucial in many fields, particularly in managing financial market risk. In order to explain such...
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VAT threshold and small business behavior: evidence from Thai tax returns
This paper examines how small firms respond to the VAT registration threshold in the context of high informality. Using the panel of VAT and...
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Nonparanormal Structural VAR for Non-Gaussian Data
The vector autoregression (VAR) model profoundly uses the lagged causal relationships among variables. It is well known that VAR models say little...
