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Momentum Effects in the Cryptocurrency Market after One-Day Abnormal Returns

Caporale, Guglielmo Maria - 2019

This paper examines whether there exists a momentum effect after one-day abnormal returns in the cryptocurrency market. For this purpose a number of hypotheses of interest are tested for the BitCoin, Ethereum and LiteCoin exchange rates vis-à-vis the US dollar over the period...

Persistent link: https://www.econbiz.de/10012859990

Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets

Caporale, Guglielmo Maria - 2020

This paper examines mean and volatility spillovers between three major cryptocurrencies (Bitcoin, Litecoin and Ethereum) and the role played by cyber attacks. Specifically, trivariate GARCH-BEKK models are estimated which include suitably defined dummies corresponding to different types, targets...

Persistent link: https://www.econbiz.de/10012832186

Cryptocurrencies, Technology Stocks, COVID-19 and US Policy Responses : A Fractional Integration Analysis

Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2022

This paper assesses the impact of US policy responses to the Covid-19 pandemic on various cryptocurrencies and also technology stocks using fractional integration techniques. More precisely, it analyses the behaviour of the percentage returns in the case of nine major coins (Bitcoin - BITC,...

Persistent link: https://www.econbiz.de/10013296442

Creating a Euro Area Safe Asset Without Mutualizing Risk (Much)

Leandro, Alvaro - 2019

, in which sovereign risk is limited through diversification and some form of seniority. These assets would be held by …

Persistent link: https://www.econbiz.de/10012865169

Hedging Climate Change News

Engle, Robert F. - 2019

We propose and implement a procedure to dynamically hedge climate change risk. We extract innovations from climate news … change hedge portfolios. We discipline the exercise by using third-party ESG scores of firms to model their climate risk … approaches to managing climate risk …

Persistent link: https://www.econbiz.de/10012866389

Carbon Dioxide as a Risky Asset

Bauer, Adam Michael; Proistosescu, Christian; Wagner, Gernot - 2023

We develop a financial-economic model for carbon pricing with an explicit representation of decision making under risk … specifications. We show that risk associated with high damages in the long term leads to stringent mitigation of carbon dioxide … emissions in the near term. Our results provide insight into how a systematic incorporation of climate-related risk influences …

Persistent link: https://www.econbiz.de/10014255593

Financial markets and economic growth in Poland : simulations with an econometric model

Wdowiński, Piotr - 2005

In this paper we present simulations of economic performance of the Polish economy based on a quarterly econometric model. The model consists of 22 stochastic equations, which link the financial market with the real economy. The purpose of the research is to present effects of changes to...

Persistent link: https://www.econbiz.de/10010277058

Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus

Hristov, Nikolay - 2020

We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy shocks,...

Persistent link: https://www.econbiz.de/10012838235

Macroeconomic Responses to Uncertainty Shocks : The Perils of Recursive Orderings

Kilian, Lutz; Plante, Michael; Richter, Alexander W. - 2022

A common practice in empirical macroeconomics is to examine alternative recursive orderings of the variables in structural vector autogressive (VAR) models. When the implied impulse responses look similar, the estimates are considered trustworthy. When they do not, the estimates are used to...

Persistent link: https://www.econbiz.de/10014240870

Global Uncertainty

Caggiano, Giovanni; Castelnuovo, Efrem - 2021

We estimate a novel measure of global financial uncertainty (GFU) with a dynamic factor framework that jointly models global, regional, and country-specific factors. We quantify the impact of GFU shocks on global output with a VAR analysis that achieves set-identification via a combination of...

Persistent link: https://www.econbiz.de/10013246469