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Oil Prices, Exchange Rates and Sectoral Stock Returns in the BRICS-T Countries : A Time-Varying Approach
Caporale, Guglielmo Maria; Catik, Abdurrahman Nazif; … - 2021
This paper analyses the effects of oil prices and exchange rates on sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. After estimating a benchmark linear model, the possible presence of structural breaks is investigated using the Bai and Perron...
Persistent link: https://www.econbiz.de/10013211113
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The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex
Caporale, Guglielmo Maria - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012837673
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Corporate Debt and Stock Returns : Evidence from U.S. Firms During the 2020 Oil Crash
Arezki, Rabah; Cho, Caleb; Nguyen, Ha; Nguyen, Kate; … - 2022
This paper explores the effect of oil price fluctuations on the stock returns of U.S. oil firms using a strategy of identification through heteroskedasticity exploiting the 2020 oil crash. Results are twofold. First, we find that a decline in oil prices statistically significantly reduces stock...
Persistent link: https://www.econbiz.de/10014083040
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The Coronavirus and the Great Influenza Epidemic - Lessons from the 'Spanish Flu' for the Coronavirus's Potential Effects on Mortality and Economic Activity
Barro, Robert J. - 2020
.0 percent of world population, implying 150 million deaths when applied to current population. Regressions with annual …
Persistent link: https://www.econbiz.de/10012839262
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Financial Returns to Collecting Rare Political Economy Books
Ursprung, Heinrich W. - 2021
Rare books of political economy are eminently collectable. Using historical prices, I employ hedonic regressions to estimate financial returns to collecting the works of ten eminent political economists and develop a price index for this corpus of collectables. For the observation period...
Persistent link: https://www.econbiz.de/10013244239
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Great Volatility and Great Moderation
Grazzini, Jakob - 2019
We investigate the sources of the great changes in GDP volatility observed from 1966 to 2000. We develop a general …-sectoral linkages and households' behavior to aggregate volatility. Our results show that changes in sectoral volatility played an … important role in shaping volatility at the aggregate level. Moreover, asymmetries in the economic structure sometimes had an …
Persistent link: https://www.econbiz.de/10012892302
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Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?
Auer, Benjamin R. - 2018
We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage portfolio returns for four well-known...
Persistent link: https://www.econbiz.de/10012908691
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Debt Shifting and Transfer Pricing in a Volatile World
Comincioli, Nicola; Panteghini, Paolo; Vergalli, Sergio - 2021
In this article we introduce a stochastic model with a multinational company (MNC) that exploits tax avoidance practices. We focus on both transfer pricing (TP) and debt shifting (DS) activities and show how their optimal level is chosen by the shareholders. In addition, we perform an extensive...
Persistent link: https://www.econbiz.de/10013251265
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The Asymmetric Impact of Economic Policy and Oil Price Uncertainty on Inflation : Evidence from Developed and Emerging Economies
Anderl, Christina; Caporale, Guglielmo Maria - 2023
This paper examines the asymmetric impact of economic policy uncertainty (EPU) and oil price uncertainty (OPU) on inflation by using a Nonlinear ARDL (NARDL) model, which is compared to a benchmark linear ARDL one. Using monthly data from the 1990s until August 2022 for a number of developed and...
Persistent link: https://www.econbiz.de/10014260984
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Currency Concentration in Sovereign Debt, Exchange Rate Cyclicality, and Volatility in Consumption
Fujii, Eiji - 2022
smooth their domestic consumption; however, it can also amplify volatility in consumption, depending on the currency in which … external debt portfolios, exchange rate cyclicality, and volatility in consumption of low- and middle-income countries. Since …
Persistent link: https://www.econbiz.de/10014241998