The 2008 crisis highlighted the importance of using stress tests in banking practice. The role of these stress tests is to identify and precisely estimate the effect of possible future changes in economic conditions on the capital adequacy and profitability of banks. This paper seeks to show a possible methodology to calculate the stressed point-in-time PD parameter. The presented approach cont...

In this paper, we investigate the relationship between carbon emissions, income, energy and total employment in selected OPEC countries for the period of 1971–2002. We mainly focus on the link between energy use and income. Employing the autoregressive distributed lag (ARDL) approach, we find that there is a cointegrating relationship between the variables in Saudi Arabia only. The long run for...

This study aims at investigating the nature of the causal relationship between immigration and two macroeconomic indicators, GDP per capita and unemployment, in Sweden using autoregressive distributed lag (ARDL) bounds testing procedure and Granger-causality within vector error correction model (VECM) based on annual data spanning the period between 1980 and 2004. Results of the ARDL bounds tes...

We show that the use of prior information derived from former empirical findings and/or subject matter theory regarding the lag structure of the observable variables together with an AR process for the error terms can produce univariate and single equation models that are intuitively appealing, simple to implement and work well in practice. JEL Classification

This study examines the long-run relationship between carbon emissions and energy consumption, income and foreign trade in the case of China by employing time series data of 1975–2005. In particular the study aims at testing whether environmental Kuznets curve (EKC) relationship between CO2 emissions and per capita real GDP holds in the long run or not. Auto regressive distributed lag (ARDL) me...

Purpose This study aims to examine the symmetric and asymmetric impact of external debt on inflation in Sudan from 1970 2020 within a multivariate framework by including money supply nominal effective exchange rate as additional determinants. Design/methodology/approach The authors utilize an Auto Regressive Distributed Lag (ARDL) model inflation, while is examined using Nonlinear ARDL (NARDL) ...

Nigeria’s over-dependence on crude oil revenue has exposed the economy to price shocks emanating from vicissitudes in global market, which accentuated need for urgent economic diversification. One of such areas that holds potential diversification is solid mineral subsector. The study examined influence development growth Nigeria, using Auto Regressive Distributed Lag (ARDL) Approach. Time seri...

This paper contributes to the literature by empirically examining whether the influence of public debt on economic growth differs between the short and the long run and presents different patterns across euro-area countries. To this end, we use annual data from both central and peripheral countries of the European Economic and Monetary Union (EMU) for the 1960-2012 period and estimate a growth ...

Worldwide, influenza is estimated to result in approximately 3 to 5 million annual cases of severe illness and approximately 250,000 to 500,000 deaths. We need an accurate time-series model to predict the number of influenza patients. Although time-series models with different time lags as feature spaces could lead to varied accuracy, past studies simply adopted a time lag in their models witho...

Path dependence refers to the consumption of fossil fuels in energy production system. This study empirically examines effect path systems on ecological footprint Pakistan from 1981-2014. Unit root test determines integrated order variables, while Auto-Regressive Distributed Lag model investigates existence a long-run association between variables. The negative and significant speed adjustment ...