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Testing for Convergence in Stock Markets : A Non-Linear Factor Approach

Caporale, Guglielmo Maria - 2013

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/10013095490

Income Inequality and Export Prices Across Countries

Flach, Lisandra; Janeba, Eckhard - 2021

This paper provides first firm-level evidence of the links between income inequality and the patterns of trade and export prices. We identify a theoretical mechanism behind these links, which suggests that a more unequal income distribution leads to higher average prices. We test the theory...

Persistent link: https://www.econbiz.de/10013315750

The Impact of Trade Agreements on World Export Prices

Flach, Lisandra - 2018

This paper uncovers new stylized facts on the relation between economic integration and world trade prices. Using export price data combined with data on 32 WTO (World Trade Organization) accessions by developing countries and hundreds of new PTAs (Preferential Trade Agreements), we show that a...

Persistent link: https://www.econbiz.de/10012915617

Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash

Pesaran, Bahram - 2013

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/10013094817

Stock Market Integration between Three CEECs, Russia and the UK

Caporale, Guglielmo Maria - 2013

This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three Central and Eastern European countries (CEECs), specifically the Czech Republic, Hungary, and Poland, and both the UK and Russia. The adopted framework allows to analyse...

Persistent link: https://www.econbiz.de/10013095004

Spatial and Temporal Diffusion of House Prices in the UK

Holly, Sean - 2013

This paper provides a method for the analysis of the spatial and temporal diffusion of shocks in a dynamic system. We use changes in real house prices within the UK economy at the level of regions to illustrate its use. Adjustment to shocks involves both a region specific and a spatial effect....

Persistent link: https://www.econbiz.de/10013095156

Global and Regional Spillovers in Emerging Stock Markets : A Multivariate Garch-in-Mean Analysis

Beirne, John - 2013

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/10013095613

Self-Fulfilling Crises in the Eurozone : An Empirical Test

De Grauwe, Paul - 2013

We test the hypothesis that the government bond markets in the Eurozone are more fragile and more susceptible to self … countries in the Eurozone during 2010-11 was disconnected from underlying increases in the debt to GDP ratios and fiscal space … argue that this can drive member countries of the Eurozone into bad equilibria. We also find evidence that after years of …

Persistent link: https://www.econbiz.de/10013090949

Has the EMU Reduced Wage Growth and Unemployment? Testing a Model of Trade Union Behaviour

Mikosch, Heiner - 2013

By using a model of trade union behaviour Grüner (2010) argues that the introduction of the European Monetary Union (EMU) led to lower wage growth and lower unemployment in participating countries. Following Grüner's model, monetary centralization lets the central bank react less flexibly to...

Persistent link: https://www.econbiz.de/10013093430

Exploring the International Linkages of the Euro Area : A Global VAR Analysis

Dees, Stephane - 2006

This paper presents a global model linking individual country vector error-correcting models in which the domestic variables are related to the country-specific variables as an approximate solution to a global common factor model. This global VAR is estimated for 26 countries, the euro area...

Persistent link: https://www.econbiz.de/10012783809