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impact of inflation on stock market returns and volatility using monthly time series data from two West African countries … case holds for Ghana. Furthermore, inflation rate and its three month average were found to have significant effect on … stock market volatility in the two countries. Measures employed towards restraining inflation in the two countries …
Persistent link: https://www.econbiz.de/10009643216
Food inflation hurts poor more than rich as poor spend higher proportion of their income on food items compared to rich …. Higher global food and crude oil prices in 2008 resulted in higher (than historical average) food inflation in Pakistan …. Global food inflation caused food inflation in Pakistan. However, food inflation diffusion has been lower compared to non …
Persistent link: https://www.econbiz.de/10011114463
This paper investigates empirically the relationship between inflation, inflation volatility and output growth in the … the hypotheses that inflation rates are directly related to inflation volatility, and that inflation volatility affects … negatively output growth. It is found that higher inflation rates are associated to higher inflation volatility which in turn …
Persistent link: https://www.econbiz.de/10010685969
This paper investigates empirically the relationship between inflation, inflation volatility and output growth in the … the hypotheses that inflation rates are directly related to inflation volatility, and that inflation volatility affects … negatively output growth. It is found that higher inflation rates are associated to higher inflation volatility which in turn …
Persistent link: https://www.econbiz.de/10010699626
(inflation) is introduced in the production function and is used to control the severity, persistence and magnitude of a given …
Persistent link: https://www.econbiz.de/10008514891
, we focus not only on real activity, which has received most attention to date, but also on inflation and its interaction … aspects concern a real activity decline that was unusually long but less unusually deep, and an inflation decline that was … unusually deep but brief; and (3) its real activity and inflation interactions were strongly positive, consistent with an …
Persistent link: https://www.econbiz.de/10008493139
For a few years the revenue services of the DGDA have increased in a spectacular way in Democratic Republic of Congo. Thus, the objective of this paper is to empirically examine the evolution of these monthly receipts of 1982 to 2005. The Heteroskedastic Conditional Autoregressive model (ARCH)...
Persistent link: https://www.econbiz.de/10009004154
Asset allocation and risk calculations depend largely on volatile models. The parameters of the volatility models are estimated using either the Maximum Likelihood (ML) or the Quasi-Maximum Likelihood (QML). By comparing the out-of-sample forecasting performance of 68 ARCH-type models using...
Persistent link: https://www.econbiz.de/10008592981
The episodes of stock market crises in Europe and the U.S.A.since the year 2000,and the fragility of the international stock markets,have sparked the interest of researchers in understanding and in modeling the markets’ rising volatilities in order to prevent against crises.Portfolio managers...
Persistent link: https://www.econbiz.de/10005124892
This paper introduces an upgraded version of MSVARlib, a Gauss and Ox- Gauss compliant library, focusing on Multivariate Markov Switching Regressions in their most general specification. This new set of procedures allows to estimate, through classical optimization methods, models belonging to...
Persistent link: https://www.econbiz.de/10005407938