Similar Search Results

Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis

Beirne, John; Caporale, Guglielmo Maria; … - CESifo - 2009

This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...

Persistent link: https://www.econbiz.de/10008596577

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Beirne, John; Caporale, Guglielmo Maria; … - CESifo - 2009

transmission mechanism—contagion—during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature …

Persistent link: https://www.econbiz.de/10005765747

Stock Market Integration between three CEECs, Russia and the UK

Caporale, Guglielmo Maria; Spagnolo, Nicola - CESifo - 2010

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining … spillovers between the three CEECs considered and the UK (contagion). …

Persistent link: https://www.econbiz.de/10008583722

Oil Prices, Exchange Rates and Asset Prices

Fratzscher, Marcel; Schneider, Daniel; Robays, Ine Van - CESifo - 2013

This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil...

Persistent link: https://www.econbiz.de/10010877722

Capital Flight: China's Experience

Cheung, Yin-Wong; Qian, Xingwang - CESifo - 2010

We study the empirical determinants of China’s capital flight. In addition to the covered interest differential, our empirical exercise includes a rather exhaustive list of macroeconomic variables and a few institutional factors. Overall, our regression exercise shows that China’s capital...

Persistent link: https://www.econbiz.de/10008596571

Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Means Analysis

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - CESifo - 2014

This paper analyses the effects of newspaper coverage of macro news on stock returns in eight countries belonging to the euro area (Belgium, France, Germany, Greece, Ireland, Italy, Portugal and Spain) using daily data for the period 1994-2013. The econometric analysis is based on the estimation...

Persistent link: https://www.econbiz.de/10010877764

Macro News and Bond Yield Spreads in the Euro Area

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - CESifo - 2014

This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for...

Persistent link: https://www.econbiz.de/10010948819

The Micro Dynamics of Macro Announcements

Mittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus - CESifo - 2013

We examine how regularly scheduled macroeconomic announcements for the U.S., Germany and the euro area affect the German stock market, using high–frequency, minute–by–minute DAX data. Our study extends the literature on high–frequency announcement effects in several ways. First, we...

Persistent link: https://www.econbiz.de/10010877723

Payment Choice in International Trade: Theory and Evidence from Cross-country Firm Level Data

Hoefele, Andreas; Schmidt-Eisenlohr, Tim; Yu, Zhihong - CESifo - 2013

When trading, firms choose between different payment contracts. As shown theoretically in Schmidt-Eisenlohr (forthcoming), this allows firms in international trade to optimally trade-off differences in financing costs and enforcement across countries. This paper provides evidence from a large...

Persistent link: https://www.econbiz.de/10010877930

Management of the External Value of the Renminbi

Oksanen, Heikki - CESifo - 2015

Pegging the renminbi (RMB) to the US dollar since 1994 has characterised China’s exchange rate policy, under either a fixed peg or appreciating crawling peg. The current policy, announced in June 2010, of ‘floating with reference to a basket’ has now in April 2015 made the RMB 19 per cent...

Persistent link: https://www.econbiz.de/10011272624

1
2
3
4
5
6
7
8
9
10
Next
Last