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Financial Integration in the GCC Region : Market Size Versus National Effects
Arin, K. Peren - 2019
This paper examines financial spillovers between the four largest equity markets (by market capitalization) in the GCC region using a VAR-GARCH (1,1) framework that sheds light on interdependence as well as the effects of the 2014 oil crisis. Since the UAE is a federation including two stock...
Persistent link: https://www.econbiz.de/10012867875
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Interest Rate Linkages in EMU Countries : A Rolling Threshold Vector Error-Correction Approach
Poghosyan, Tigran; de Haan, Jakob - 2021
This paper revisits financial market integration in the European Economic and Monetary Union, using a threshold vector error-correction model (TVECM) for a fixed rolling window. This approach enables us to analyze the dynamics of transaction costs and detect any co-movements with (policy...
Persistent link: https://www.econbiz.de/10013316906
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Labour Market Rigidities, Financial Integration and International Risk Sharing in the OECD
Fidrmuc, Jarko; Foster-McGregor, Neil; Scharler, Johann - 2021
Economic theory predicts that consumption growth rates should be highly correlated across countries. Empirical evidence … explain this apparent contradiction between theory and empirics. Using data for OECD countries we show that although financial …
Persistent link: https://www.econbiz.de/10013317001
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Nontradable Goods and Fiscal Multipliers
Cuaresma, Jesus Crespo - 2020
We assess the role that nontradable goods play as a determinant of fiscal spending multipliers, making use of a two-sector model. While fiscal multipliers increase with the share of nontradable goods, an inverted U-shaped relationship exists between multiplier size and the import share....
Persistent link: https://www.econbiz.de/10012823559
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Financial Integration and Economic Growth in Europe
Caporale, Guglielmo Maria; Sova, Anamaria; Sova, Robert - 2023
institutions. More precisely, financial integration appears to exert a greater positive influence on growth in the case of the … European countries with a higher level of financial development and better institutions …
Persistent link: https://www.econbiz.de/10014346251
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Liberalization and stock market co-movement between emerging economies
Beine, Michel; Candelon, Bertrand - 2007
reforms which aim at opening these countries to trade and financial channels to the rest of the world. The estimation of time …In this paper, we investigate the impact of trade and financial liberalization on the degree of stock market co … the quality of the statistical inference. Our results offer strong support in favor of a positive impact of trade and …
Persistent link: https://www.econbiz.de/10010264238
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Integrating with their feet: cross-border lending at the German-Austrian border
Fidrmuc, Jarko; Hainz, Christa - 2008
The financial integration in Europe concentrates on cross-border mergers rather than cross-border lending and emphasizes the need for harmonizing bank regulation and supervision. We study the impact of cross-border lending in a theoretical model where banks acquire either hard or soft...
Persistent link: https://www.econbiz.de/10010264346
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International financial integration and real exchange rate long-run dynamics in emerging countries : some panel evidence
Caporale, Guglielmo Maria; Amor, Thouraya Hadj; Rault, … - 2009
The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...
Persistent link: https://www.econbiz.de/10010266058
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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...
Persistent link: https://www.econbiz.de/10010274514
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Short and long-run behaviour of long-term sovereign bond yields
Afonso, António - 2010
This study assesses the short and long-run behaviour of long-term sovereign bond yields in OECD countries, for the period 1973-2008. We employ a dynamic panel approach to reflect financial and economic integration, and to increase the performance and accuracy of the tests. Given the existence of...
Persistent link: https://www.econbiz.de/10010274743