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On the links between stock and commodity markets' volatility

Creti, Anna; Joëts, Marc; Mignon, Valérie - Centre d'études prospectives et d'informations … - 2012

This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the...

Persistent link: https://www.econbiz.de/10010604039

Identifying a financial conditions index for South Africa

Thompson, Kirsten; Eyden, Renee van; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2013

The global financial crisis that began in 2007-08 demonstrated how severe the impact of financial markets’ stress on real economic activity can be. In the wake of the financial crisis policy-makers and decision-makers across the world identified the critical need for a better understanding of...

Persistent link: https://www.econbiz.de/10010751641

Three decades of international financial crises : what have we learned and what still needs to be done?

Buckley, Ross P.; Avgouleas, Emilios; Arner, Douglas W. - Asian Development Bank - 2020

Fragility that periodically erupts into a full-blown financial crisis appears to be an integral feature of market-based financial systems in spite of the emergence of sophisticated risk management tools and regulatory systems. If anything, the increased frequency of modern crises underscores how...

Persistent link: https://www.econbiz.de/10012232895

Testing the Out-of-Sample Forecasting Ability of a Financial Conditions Index for South Africa

Thompson, Kirsten; Eyden, Renee van; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2013

does better than its individual financial components in forecasting key macroeconomic variables, such as output growth …, inflation and interest rates. The concept of forecast encompassing is used to examine the forecasting ability of these variables … controlling for data-mining. We find that the rolling-window estimated FCI has out-of-sample forecasting ability with respect to …

Persistent link: https://www.econbiz.de/10010764581

The Interactions Between the Credit Default Swap and the Bond Markets in Financial Turmoil

Coudert, Virginie; Gex, Mathieu - Centre d'études prospectives et d'informations … - 2011

We analyse the links between credit default swap (CDS) and bond spreads and try to determine which one is the leading market in the price discovery process. To do that, we construct a sample of CDS premia and bonds spreads on a generic 5-year bond, for 17 financials and 18 sovereigns. First, we...

Persistent link: https://www.econbiz.de/10008861800

Linkages between Financial Sector CDS Spreads and Macroeconomic Influence in a Nonlinear Setting

Lahiani, Amine; Hammoudeh, Shawkat; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014

This paper investigates the asymmetric and nonlinear transmission of financial and energy prices to US five-year financial CDS sector index spreads for the banking, financial services and insurance sectors in the short- and long-run over the recent periods including the world financial crisis....

Persistent link: https://www.econbiz.de/10011149760