Showing 1 - 10 of 11
A general procedure is proposed to identify changes in asset return interdependence over time using entropy theory. The approach provides a decomposition of interdependence in terms of comoments including coskewness, cokurtosis and covolatility as well as more traditional measures based on...
Persistent link: https://www.econbiz.de/10012930115
Stock market return is one of financial variables that contain information to forecast real activity such as industrial production and real GDP growth. However, it is still controversial that stock market return can have a predictive content on real activity. This paper attempts to investigate...
Persistent link: https://www.econbiz.de/10009724636
This study re-visits the health-income nexus for Malaysia using alternative econometric techniques which addressed on the small sample problem. This study covers the period of 1970-2009. Based on the appealing small sample properties, we apply the bounds testing approach to cointegration and the...
Persistent link: https://www.econbiz.de/10009721101
We estimate the steady state growth rate for the Nordic countries using a “knowledge economy” approach. An endogenous growth framework is employed, in which total factor productivity is a function of human capital (measured by average years of education), trade openness, research and...
Persistent link: https://www.econbiz.de/10013102859
Financial time series often exhibit properties that depart from the usual assumptions of serial independence and normality. These include volatility clustering, heavy-tailedness and serial dependence. A voluminous literature on different approaches for modeling these empirical regularities has...
Persistent link: https://www.econbiz.de/10013072463
How damaging are uncertainty shocks during extreme events such as the great recession and the Covid-19 outbreak? Can monetary policy limit output losses in such situations? We use a nonlinear VAR framework to document the large response of real activity to a financial uncertainty shock during...
Persistent link: https://www.econbiz.de/10012824111
How does the yield curve respond to a jump in financial uncertainty? We address this question by conducting a local projections analysis with US monthly data, period: 1962- 2018. The state-of-the-art financial uncertainty measure proposed by Ludvigson, Ma, and Ng (2019) is found to predict...
Persistent link: https://www.econbiz.de/10012868491
This paper discusses estimation of US inflation volatility using time varying parameter models, in particular whether it should be modelled as a stationary or random walk stochastic process. Specifying inflation volatility as an unbounded process, as implied by the random walk, conflicts with...
Persistent link: https://www.econbiz.de/10013044567
We investigate whether the daily betas of individual stocks vary with the release of firm-specific news in an emerging market. Using intraday prices of all stocks traded on the Borsa Istanbul, Turkey over the period 2005-2013, we find evidence that average market betas increase significantly...
Persistent link: https://www.econbiz.de/10013236409
The relationship between financial development and economic growth has attracted a great deal of attention among economists and policy makers alike. The economy of Qatar did not receive much attention in the empirical literature. This study attempts at filling this gap in economic literature,...
Persistent link: https://www.econbiz.de/10009779135