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Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching …
Persistent link: https://www.econbiz.de/10010249640
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Autoregressive Distributed Lag (ARDL) analysis of US-China commodity trade dynamics
Hurley, Dene T.; Papanikolaou, Nikolaos - In: The quarterly review of economics and finance : journal … 81 (2021), pp. 454-467
Persistent link: https://www.econbiz.de/10012656444
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Oil price fluctuations and exchange rate dynamics in the MENA region : evidence from non-causality-in-variance and asymmetric non-causality tests
Nouira, Ridha; Hadj Amor, Thouraya; Rault, Christophe - In: The quarterly review of economics and finance : journal … 73 (2019), pp. 159-171
Persistent link: https://www.econbiz.de/10012296707
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High and low prices and the range in the European stock markets : a long-memory approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019
market indices are analysed: DAX30 (Germany), FTSE100 (UK), CAC40 (France), FTSE MIB40 (Italy) and IBEX35 (Spain). In all …
Persistent link: https://www.econbiz.de/10012022262
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Oil prices and GCC stock markets : new evidence from smooth transition models
Cheikh, Nidhaleddine Ben; Ben Naceur, Samy; Kanaan, … - 2018
Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...
Persistent link: https://www.econbiz.de/10011859438
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Oil price fluctuations and exchange rate dynamics in the MENA region : evidence from non-causality-in-variance and asymmetric non-causality tests
Nouira, Ridha; Hadj Amor, Thouraya; Rault, Christophe - 2018
dynamics of oil price volatility by examining interactions between oil market and exchange rate in selected MENA countries …) to examine the presence of volatility spillover between oil prices and exchange rates return series. The econometric … rates, and ii) there is significant evidence of volatility spillovers from oil markets to exchange rate markets in the …
Persistent link: https://www.econbiz.de/10011897569
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Can direct government intervention save the stock market?
Nguyen, Tien-Trung; Wu, Yang-Che; Ke, Mei-chu; Liao, … - In: The quarterly review of economics and finance : journal … 84 (2022), pp. 271-284
Persistent link: https://www.econbiz.de/10013334876
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The employment effect of reforming a public employment agency
Launov, Andrey; Wälde, Klaus - 2015
unemployment benefits reduce unemployment? Using a recent labour market reform in Germany as background, we find that an enhanced …
Persistent link: https://www.econbiz.de/10011309228
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Outsourcing of unionized firms and the impacts of labour market policy reforms
Koskela, Erkki (contributor); Schöb, Ronnie (contributor) - 2008
This paper shows that outsourcing of parts of the workforce in unionized firms leads to wage moderation and as long as the share of the outsourced workforce is not too large, this wage-moderation effect on domestic employment outweighs the direct substitution effect so that domestic employment...
Persistent link: https://www.econbiz.de/10003748348
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Labor market institutions, fiscal multipliers, and macroeconomic volatility
Boeck, Maximilian; Crespo Cuaresma, Jesús; Glocker, … - 2022
, and (iii) employment protection - shape fiscal multipliers and output volatility. Our theoretical model highlights that … more stringent labor market institutions attenuate both fiscal spending multipliers and macroeconomic volatility. This is …
Persistent link: https://www.econbiz.de/10013201691