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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, M. Hashem - 2010
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/10003965868
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Stock market integration between three CEECs, Russia and the UK
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by …
Persistent link: https://www.econbiz.de/10003942221
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Energy contagion in the COVID-19 crisis
Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2020
We investigate the relationship between oil prices and stock markets of selected oil importers and oil exporters at the time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher correlations between oil and stock markets returns during...
Persistent link: https://www.econbiz.de/10012226706
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Price equalization does not imply free trade
Mutreja, Piyusha; Ravikumar, B.; Riezman, Raymond Glenn; … - 2013
In this paper we show that price equalization alone is not sufficient to determine the barriers to international trade. There are many barrier combinations that deliver price equalization, but each combination implies a different volume of trade. We demonstrate this first theoretically in a...
Persistent link: https://www.econbiz.de/10009700288
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Inside the mind of a stock market crash
Giglio, Stefano; Maggiori, Matteo; Stroebel, Johannes; … - 2020 - First draft: April 4th 2020, this draft: May 21, 2020
We analyze how investor expectations about economic growth and stock returns changed during the February-March 2020 stock market crash induced by the COVID-19 pandemic, as well as during the subsequent partial stock market recovery. We surveyed retail investors who are clients of Vanguard at...
Persistent link: https://www.econbiz.de/10012224226
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The effects of physical and transition climate risk on stock markets : some multi-country evidence
Albanese, Marina; Caporale, Guglielmo Maria; Colella, Ida; … - 2024
This paper examines the impact of transition and physical climate risk on stock markets using, for the first time in this context, the annual CCPI index calculated by Germanwatch as well as its components (in addition to a wide range of other indices) for 48 countries from 2007 to 2023....
Persistent link: https://www.econbiz.de/10014564303
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Estimating general equilibrium spillovers of large-scale shocks
Huber, Kilian - 2021
operating among groups of firms and households. I argue that the presence of multiple types of spillovers, measurement error … functional forms can overcome different sources of bias. The analysis is particularly relevant to the estimation of spillovers …
Persistent link: https://www.econbiz.de/10012489641
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What drives inventory accumulation? : news on rates of return and marginal costs
Görtz, Christoph; Gunn, Christopher M.; Lubik, Thomas A. - 2019
inventories react strongly and positively to news about future increases in total factor productivity. Theory suggests that the …
Persistent link: https://www.econbiz.de/10012119865
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Financial constraints and propagation of shocks in production networks
Demir, Banu; Javorcik, Beata K. Smarzynska; Michalski, … - 2020
strategy exploits the heterogeneous impact of the shock on importers. The results indicate that this relatively minor, non …-localized shock had a non-trivial economic impact on exposed firms and propagated downstream through affected suppliers. Additional … empirical tests, motivated by a simple theory, demonstrate that low-liquidity firms amplified its transmission. …
Persistent link: https://www.econbiz.de/10012294883
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Domestic and global uncertainty : a survey and some new results
Castelnuovo, Efrem - 2019
fluctuations of the world business cycle. …
Persistent link: https://www.econbiz.de/10012119543