Showing 1 - 10 of 194
the level of market volatility. Particularly important are the growing share of the links between hedge funds and other … was calculated the impact of the hedge fund market development measured in assets, leverage, the price volatility in … results show a significant correlation between the volatility in the stock market, bonds and CDS, and the activities of hedge …
Persistent link: https://www.econbiz.de/10011112004
We disentangle different driving factors of sovereign bond market integration by studying yield co-movements of EMU countries, the UK, the US and 16 German states (Länder) since 1992. At a low frequency bond market integration has increased gradually in the course of the last 15 years in EMU...
Persistent link: https://www.econbiz.de/10005019453
This paper investigated the effect of terms of trade growth and its volatility on economic growth in Sub-Saharan Africa … effect on economic growth. Furthermore, the result proved that volatility of net barter terms of trade and income terms of … volatility measures. …
Persistent link: https://www.econbiz.de/10011107298
This paper presented the empirical results of the volatility transmission of overnight rate along the yield curve in … case of Pakistan. The results indicate that the volatility transmission of overnight repo rate is higher at the shorter end … underpinning of the interest rates volatility transmission process found in other countries. Moreover, the results also suggest …
Persistent link: https://www.econbiz.de/10011107405
International capital markets tend to be characterized by volatility, which is always a function of world economic and … Exchange was different during the crisis and after the crisis and how the volatility of the Romanian market changed in the post …
Persistent link: https://www.econbiz.de/10011107424
A short-run model incorporates instantaneous portfolio equilibrium with macroeconomic flows to clarify the structure of real-financial sector interactions. If equity and foreign exchange markets are introduced in structuralist theories of asset markets in developing countries, the key result...
Persistent link: https://www.econbiz.de/10011107584
This paper investigates the effect of real exchange rate misalignment and volatility on Malaysian import flows during … Natural Real Exchange Rate (NATREX) equilibrium model, whereas the volatility of real exchange rate is generated from the … the level of Malaysian imports for period of the study. The empirical results also show that the exchange rate volatility …
Persistent link: https://www.econbiz.de/10011107804
We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market dynamics which we study both empirically and...
Persistent link: https://www.econbiz.de/10011108097
the central bank of Nigeria and the implications for monetary policy, using the standard deviation measure of volatility … policy committee has operated since 2011 has boosted policy credibility due to the reduction in markets volatility …
Persistent link: https://www.econbiz.de/10011108160
up the annual beta’s change attributed to the volatility market effect, the stock volatility effect, the correlation …
Persistent link: https://www.econbiz.de/10011108617