Showing 1 - 10 of 64
This paper develops and estimates an open economy dynamic stochastic general equilibrium model of South Africa. We devote special attention to the impact of stock price wealth effects on output and the interest rate. For this reason we adopt a perpetual youth approach, which allows for a limited...
Persistent link: https://www.econbiz.de/10010929398
We study lead-lag relationships between oil price and trade balance for India by using monthly data covering the period from January 1980 to December 2011 and post current account convertibility era (from August 1994 to December 2011). We adopt the approach proposed by Breitung and Candelon...
Persistent link: https://www.econbiz.de/10010754766
We introduce asymmetry in financial frictions into a two-country growth model with overlapping generations, by assuming that the South faces more severe financial frictions than the North. We show that this asymmetry causes capital to flow upstream from South to North, thus explaining the so...
Persistent link: https://www.econbiz.de/10011255207
This paper aims to explore the links between Brent crude oil index and stock markets index in OECD countries. We estimate time-varying conditional correlation relationships among these variables by employing Engle’s (2002) Dynamic Conditional Correlation (DCC). This process detects...
Persistent link: https://www.econbiz.de/10011161631
This paper aims to explore the links between Brent crude oil index and stock markets index in OECD countries. We estimate time-varying conditional correlation relationships among these variables by employing a Multivariate Fractionally Integrated Asymmetric, Power ARCH model with dynamic...
Persistent link: https://www.econbiz.de/10010735547
In this paper we examine the degree of interdependence between oil prices and four major countries (United
Persistent link: https://www.econbiz.de/10010796416
As both speculative and hedging financial flows into commodity futures are expected to link commodity price formation more strongly to equity indices, we investigate whether these processes also create increased correlation amongst the commodities themselves. Considering U.S. oil and gas...
Persistent link: https://www.econbiz.de/10010796417
This paper employs a conditional version of the International Capital Asset Pricing Model (ICAPM) to investigate the determinants of regional integration of stock markets in the Latin America over the period 1996-2008. This model allows for three sources of time-varying risks: common regional...
Persistent link: https://www.econbiz.de/10010796419
This article takes a time scale perspective to examine the interactions between crude oil and stock
Persistent link: https://www.econbiz.de/10010799066
In this paper we test for the existence of equity market contagion originating from the United States to OECD markets over the period from 01/01/1990 to 01/11/2010 characterized by several episodes of financial crises. Our empirical analysis relies on the use of an ICAPM model which has three...
Persistent link: https://www.econbiz.de/10010799071