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Macroeconomic Volatility, Private Investment, Growth, and Poverty in Nigeria

Addison, Douglas; Wodon, Quentin - Volkswirtschaftliche Fakultät, … - 2007

was due in large part to macroeconomic volatility that depressed private investment and growth. Using cross-sectional data … investment rates, both of which were negatively effected by volatility (in terms of trade, real exchange rate, and public …

Persistent link: https://www.econbiz.de/10005617087

The great risk shift? : income volatility in an international perspective

Buch, Claudia M. (contributor) - 2008

Weakening bargaining power of unions and the increasing integration of the world economy may affect the volatility of capital and labor incomes. This paper documents and explains changes in income volatility. Using a theoretical framework which builds distribution risk into a real business cycle...

Persistent link: https://www.econbiz.de/10003790966

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-blowʺ narrative is intended to be a resource for researchers seeking a...

Persistent link: https://www.econbiz.de/10003861767

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

Wdowinski, 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/10003942099

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

Pesaran, Bahram; Pesaran, M. Hashem - 2010

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations …

Persistent link: https://www.econbiz.de/10003965868

Gold, oil, and stocks : dynamic correlations

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

data. We show that heterogeneity in correlations across a number of investment horizons between pairs of assets is a … in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different-investment …

Persistent link: https://www.econbiz.de/10010515402

Oil price uncertainty and sectoral stock returns in China : a time-varying approach

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - 2014

This paper investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on ten sectoral indices over the period January 1997 - Febraury 2014. The estimation of a bivariate VAR-GARCH-in-mean model suggests that oil price volatility affects stock returns...

Persistent link: https://www.econbiz.de/10010375190

Macro news and stock returns in the euro Area : a VAR-GARCH-in-means analysis

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

This paper analyses the effects of newspaper coverage of macro news on stock returns in eight countries belonging to the euro area (Belgium, France, Germany, Greece, Ireland, Italy, Portugal and Spain) using daily data for the period 1994 - 2013. The econometric analysis is based on the...

Persistent link: https://www.econbiz.de/10010383808

Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean Analysis

Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016

The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...

Persistent link: https://www.econbiz.de/10011482859

Macro news and bond yield spreads in the Euro area

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year … yield spreads in all PIIGS countries but Italy before September 2008; markets respond more to negative news, and their … reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …

Persistent link: https://www.econbiz.de/10010417491