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Macroeconomic Uncertainty and the Impact of Oil Shocks

Robays, Ine Van - CESifo - 2012

This paper evaluates whether macroeconomic uncertainty changes the impact of oil shocks on the oil price. Using a structural threshold VAR model, we endogenously identify different regimes of uncertainty in which we estimate the effects of oil demand and supply shocks. The results show that...

Persistent link: https://www.econbiz.de/10010575442

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

Oil Prices and Stock Markets: What Drives what in the Gulf Corporation Council Countries?

Arouri, Mohamed El Hedi; Rault, Christophe - CESifo - 2010

In the empirical literature, only few studies have focused on the relationship between oil prices and stock markets in net oil-importing countries. In net oil-exporting countries this relationship has not been widely researched. This paper implements the panel-data approach of Kónya (2006),...

Persistent link: https://www.econbiz.de/10008534001

On the Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries

Arouri, Mohamed El hedi; Rault, Christophe - CESifo - 2009

This paper implements recent bootstrap panel cointegration techniques and Seemingly Unrelated regression (SUR) methods to investigate the existence of a long-run relationship between oil prices and Gulf Corporation Countries (GCC) stock markets. Since GCC countries are major world energy market...

Persistent link: https://www.econbiz.de/10005034640

Cross-Country Differences in the Effects of Oil Shocks

Peersman, Gert; Robays, Ine Van - CESifo - 2010

We compare the economic consequences of several types of oil shocks across a set of industrialized countries that are structurally very diverse with respect to the role of oil and other forms of energy in their economy. We find considerably different effects across countries, which crucially...

Persistent link: https://www.econbiz.de/10008833921

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

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 … America, and the Middle East. The models capture a range of possible transmission channels: spillovers in mean returns … suggest that spillovers from regional and global markets are present in the vast majority of EMEs. However, the nature 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

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the …

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

Spillovers from Systemic Bank Defaults

Mink, Mark; Haan, Jakob de - CESifo - 2014

We examine to what extent banks’ stock market values during the 2007-2012 financial crisis were driven by increases in the default risk of banks designated as globally systemically important by the Financial Stability Board. We find that bank market values hardly respond to changes in the...

Persistent link: https://www.econbiz.de/10010877758

Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis

Arezki, Rabah; Candelon, Bertrand; Sy, Amadou - CESifo - 2011

This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The...

Persistent link: https://www.econbiz.de/10008914278

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