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JRFM
Special Issues
Uncertainties, Risks and Economic Forecasts
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Uncertainties, Risks and Economic Forecasts

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Risk".

Deadline for manuscript submissions: closed (15 January 2023) | Viewed by 4846

Special Issue Editor

Prof. Dr. Julien Chevallier

E-Mail Website
Guest Editor
Laboratoire d'Économie Dionysien (LED), University Paris 8, 93526 Saint-Denis, France
Interests: empirical finance; computational econometrics; commodities
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

This Special Issue welcomes the submission of high-quality papers on economic forecasts, uncertainties, and risks.

It is open to publishing new and challenging studies focusing on the modelling and forecasting of managerial and financial risks, volatility in the financial markets, stock returns, capital flows, and work conditions.

In addition, research topics in the field of macroeconomic forecasts also play an important role in this Special Issue. Novel scientific contributions focusing on the measurement of the future relationships among variables such as tax rates, household incomes, government spending, interest rates, and employment, using macro-econometric modelling, are encouraged.

The role of economic forecasting has become increasingly important under high-uncertainty and high-risk conditions, for both empirical and theoretical reasons. Therefore, special attention in this Special Issue is paid to economic forecasting in extraordinary circumstances, such as the pandemic or economic crises.

Prof. Dr. Julien Chevallier
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • economic forecasting 
  • uncertainties 
  • risks 
  • macroeconomic forecasts 
  • decision making under uncertainty and risk 
  • determinants of uncertainty and risk 
  • role of information in investment decisions under uncertainty 
  • valuation of uncertainty and risk reduction 
  • impact of uncertainty and risk on financial markets

Published Papers (3 papers)

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Research

20 pages, 3681 KiB  
Article
Stylized Facts of the FOMC’s Longer-Run Forecasts
by Jaime Marquez
J. Risk Financial Manag. 2023, 16(3), 152; https://doi.org/10.3390/jrfm16030152 - 24 Feb 2023
Viewed by 902
Abstract
Conventional explanations of monetary policy decisions in the United States assume that the longer-run Federal funds rate is determined by a representative central banker (i.e., the Fed) using longer-term forecasts of economic activity and unemployment. This assumption is inconsistent with the federalist structure [...] Read more.
Conventional explanations of monetary policy decisions in the United States assume that the longer-run Federal funds rate is determined by a representative central banker (i.e., the Fed) using longer-term forecasts of economic activity and unemployment. This assumption is inconsistent with the federalist structure of the Federal Reserve in which the Federal funds rate is determined by a committee made up of the Federal Reserve Board and the Federal Reserve Banks. This inconsistency would be irrelevant if differences in the Fed participants’ longer-run projections were small or constant, but they are not: disparities in these longer-run projections are large and volatile. This finding raises several questions: Are FOMC participants relying on the same forecasting framework (i.e., model or rules of thumb) but using different values for the forecast drivers? Or are these participants using the same forecast drivers but relying on different frameworks? Full article
(This article belongs to the Special Issue Uncertainties, Risks and Economic Forecasts)
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27 pages, 3214 KiB  
Article
The Governance and Disclosure of IFRS 9 Economic Scenarios
by Yolanda S. Stander
J. Risk Financial Manag. 2023, 16(1), 47; https://doi.org/10.3390/jrfm16010047 - 12 Jan 2023
Viewed by 2377
Abstract
Extraordinary economic conditions during the COVID-19 pandemic caused many IFRS 9 impairment models to produce unreliable results. Severe market reactions, resulting from unprecedented events, prompted swift action from the regulatory authorities to maintain the financial system’s stability. Banks managed the uncertainty and volatility [...] Read more.
Extraordinary economic conditions during the COVID-19 pandemic caused many IFRS 9 impairment models to produce unreliable results. Severe market reactions, resulting from unprecedented events, prompted swift action from the regulatory authorities to maintain the financial system’s stability. Banks managed the uncertainty and volatility in the models with expert overlays, increasing the risk of biased outcomes. This study examines new ways of enhancing the governance and transparency of the IFRS 9 economic scenarios within banks and suggests additional financial disclosures. Benchmarking is proposed as a useful tool to evaluate the IFRS 9 economic scenarios and ensure effective challenge as part of a model risk governance framework. Archimedean copulas are used to generate objective economic benchmarks. Ideas around benchmarking are illustrated for a set of South African economic variables, and the outcomes are compared to the IFRS 9 scenarios published by the six biggest South African banks in their annual financial statements during the pandemic. Full article
(This article belongs to the Special Issue Uncertainties, Risks and Economic Forecasts)
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14 pages, 809 KiB  
Article
The Declining Effect of Insurance on Life Expectancy
by Jonathan Leightner
J. Risk Financial Manag. 2023, 16(1), 6; https://doi.org/10.3390/jrfm16010006 - 23 Dec 2022
Cited by 2 | Viewed by 1141
Abstract
This paper used Reiterative Truncated Projected Least Squares (RTPLS) to estimate the effects on life expectancy of an additional dollar of insurance premiums for 43 countries. The data shows a clear positive relationship between insurance and life expectancy with insurance premiums increasing much [...] Read more.
This paper used Reiterative Truncated Projected Least Squares (RTPLS) to estimate the effects on life expectancy of an additional dollar of insurance premiums for 43 countries. The data shows a clear positive relationship between insurance and life expectancy with insurance premiums increasing much faster than the inflation rate. The relationship d(life expectancy)/d(insurance) fell by a statistically significant amount (at a 95 percent confidence level) for 35 of the countries (and the eight exceptions to this pattern had relatively short data series). By 2020, the last dollar of per capita insurance increased a US citizen’s life expectancy at birth by only 6 days, a citizen in the United Kingdom by only 9 days, a citizen in Switzerland by only 7 days, and a citizen in Luxembourg by only 1 day. With such small returns to insurance, an important question is, “Could a society gain more life expectancy by shifting money from insurance into alternative uses”? Full article
(This article belongs to the Special Issue Uncertainties, Risks and Economic Forecasts)
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