Showing 1 - 10 of 24
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
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
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
(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
Previous studies on spillover effects in future markets have so far confined themselves to static analyses. In this study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility, volume of futures trading and open interest in the UK and...
Persistent link: https://www.econbiz.de/10011111958
In this study we examine the dynamic structural relationship between oil price shocks and stock market returns and volatility for a sample of both net oil-exporting and net oil-importing countries between 1995:09 and 2013:07. We accomplish that, by extending the Diebold and Yilmaz (2012) dynamic...
Persistent link: https://www.econbiz.de/10011112400
This paper proposes spectral and asymmetric-volatility based methods for cluster analysis of stock returns. Using the information about both the periodogram of the squared returns and the estimated parameters in the TARCH equation, we compute a distance matrix for the stock returns. Clusters are...
Persistent link: https://www.econbiz.de/10011112725
Joint dynamics of market index returns, volume traded and volatility of stock market returns can unveil different dimensions of market microstructure. It can be useful for precise volatility estimation and understanding liquidity of the financial market. In this study, the joint dynamics is...
Persistent link: https://www.econbiz.de/10011114116
Purpose – Considering the sectoral balance approach of Godley, and focusing only on the two main components of the private sector balance for the U.S. economy (household and non-financial corporate balance), we investigate the relationship between these two sectors, the financial variables,...
Persistent link: https://www.econbiz.de/10008788803