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Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis

Beirne, John; Caporale, Guglielmo Maria; … - 2009

This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...

Persistent link: https://www.econbiz.de/10010265964

Stock market integration between three CEECs, Russia and the UK

Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining … spillovers between the three CEECs considered and the UK (contagion). …

Persistent link: https://www.econbiz.de/10010270472

Volatility transmission in emerging European foreign exchange markets

Bubák, Vít; Kocenda, Evézen; Zikes, Filip - 2010

This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet parsimonious parametric model in which the daily...

Persistent link: https://www.econbiz.de/10010270529

Asymmetry in volatility: A comparison of developed and transition stock markets

Wdowiński, Piotr; Malecka, Marta - 2010

ARCH modelling framework of Engle (1982) and its GARCH generalization of Bollerslev (1986) gave a huge impetus to econometric model building in the field of financial time series with time-varying variance. The main idea of the models was to describe the most typical features of capital markets...

Persistent link: https://www.econbiz.de/10010270556

The crisis in the foreign exchange market

Melvin, Michael; Taylor, Mark P. - 2009

The financial crisis of 2007-2008 had major implications for the foreign exchange market. We review events and implications for exchange rates, volatility, returns to currency investing, and transaction costs. This blow-by-blow" narrative is intended to be a resource for researchers seeking a...

Persistent link: https://www.econbiz.de/10010266026

High-frequency analysis of foreign exchange interventions: what do we learn?

Menkhoff, Lukas - 2008

The high-frequency analysis of foreign exchange dynamics is helpful in order to better identify the impact of central bank interventions. Evidence robustly shows that interventions do indeed move the exchange rate level in the desired direction. Interventions increase volatility in the short run...

Persistent link: https://www.econbiz.de/10010264498

Securitization of mortgage debt, asset prices and international risk sharing

Hoffmann, Mathias; Nitschka, Thomas - 2009

We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption risk sharing: we find that countries with the most...

Persistent link: https://www.econbiz.de/10010264540

Financial integration, globalization, and real activity

De Nicolò, Gianni; Juvenal, Luciana - 2012

Using data for a large number of advanced and emerging market economies during 1982-2009, this paper examines the distinct impact of financial integration and globalization on several dimensions of real activity. We find that: (a) financial integration has progressed significantly worldwide,...

Persistent link: https://www.econbiz.de/10010280851

Exchange rate volatility and growth in emerging Europe and East Asia

Schnabl, Gunther - 2007

The paper investigates the impact of exchange rate volatility on growth in Emerging Europe and East Asia. Exchange stability has been argued to affect growth negatively as it deprives countries from the ability to react in a flexible way to asymmetric real shocks and may enhance the probability...

Persistent link: https://www.econbiz.de/10010264150

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, Mohammad Hashem - 2010

Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...

Persistent link: https://www.econbiz.de/10010276271