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Does economic policy uncertainty predict exchange rate returns and volatility? : evidence from a nonparametric causality-in-quantiles test

Balcilar, Mehmet; Gupta, Rangan; Kyei, Clement; Wohar, … - In: Open economies review 27 (2016) 2, pp. 229-250

Persistent link: https://www.econbiz.de/10011591762

Currency factors

Aloosh, Arash; Bekaert, Geert - In: Management science : journal of the Institute for … 68 (2022) 6, pp. 4042-4064

Persistent link: https://www.econbiz.de/10013369016

Currency factors

Aloosh, Arash; Bekaert, Geert - 2019

Persistent link: https://www.econbiz.de/10012051714

Political risk spreads

Bekaert, Geert; Harvey, Campbell R.; Lundblad, Christian; … - In: Journal of international business studies : JIBS ; an … 45 (2014) 4, pp. 471-493

Persistent link: https://www.econbiz.de/10010362449

The global crisis and equity market contagion

Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - 2014

We analyze the transmission of the financial crisis of 2007 to 2009 to 415 country-industry equity portfolios. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. While we find evidence of...

Persistent link: https://www.econbiz.de/10010229208