We study the changing international transmission of US monetary policy shocks to 14 major OECD countries over the period 1981Q1-2010Q4. We use a time-varying parameter factor augmented VAR approach to study the effective federal funds rate shocks together with a large data set of 265, major...

We study the changing international transmission of US monetary policy shocks to 14 OECD countries over the period 1981-2010. We use a Time Varying Parameter Factor Augmented VAR approach (TVP-FAVAR) to study the EFFR shocks together with a large data set of 265, major financial, macroeconomic...

This study examines the Time Varying Dynamic Conditional Correlations (TVDCC)among the returns of short term Money Market Rates, Real Effective Exchange Rates, and of other asset classes including, Stock Market (SM) indices and REIT indices during the Dot-com Bubble (2000) and Recent Global...

The aim of this article is to examine: how the dynamics of correlations between five emerging countries (Argentina, Chili, Hungary, Russia and Poland), two emerging regions (Latin America (LAC) and Europe (EU)) and U.S. evolved from January 2004 to September 2011. The main contribution of this...

This article investigates shift-contagion as defined by Forbes and Rigobon (2002) in 16 OECD member economies during most recent financial crisis i.e. global financial crisis (2008 -2009) and European sovereign debt crisis (2009-2012), using multivariate asymmetric dynamic conditional...

In this paper we investigate the contagion effect between stock markets of U.S and sixteen OECD countries due to Global Financial Crisis (2007-2009). We apply Dynamic Conditional Correlation GARCH model Engle (2002) to daily stock price data (2002-2009). In order to recognize the contagion...

In this paper we provide evidence of the impact of monetary policy on a broad range of macro-economic variables for U.S, Canada, U.K., and Japan using factor-augmented vector auto regressive (FAVAR) model developed by Bernanke, Boivin and Eliasz (2003). Traditional approaches, such as vector...

The aim of this study is to assess and analyze exchange rate risk related to three currencies i.e. Euro, American Dollar and Japanese yen on External Debt Portfolio of Pakistan (EDPP) through different Value-at-risk (VAR) methodologies from year 2001 to 2006. We apply and compare different VAR...