Showing 1 - 10 of 247
This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the …. -- Volatility spillovers ; contagion ; stock markets ; emerging markets …
Persistent link: https://www.econbiz.de/10003808130
-regional volatility spillovers among the Central European foreign exchange markets. With the exception of the Czech currency, we find no … significant spillovers running from euro/dollar to the Central European foreign exchange markets. To measure the overall magnitude … spillover index, and show that volatility spillovers tend to increase in periods characterized by market uncertainty. -- foreign …
Persistent link: https://www.econbiz.de/10003969723
This paper develops a small open economy (SOE) dynamic stochastic general equilibrium (DSGE) model that helps to explain business cycle synchronization between an emerging market and advanced economies. The model captures the specificities of both economies (e.g. primary commodity,...
Persistent link: https://www.econbiz.de/10012029113
advanced and 21 emerging economies. The paper documents significant global spillovers from both the expectations and term … premia components of longterm rates in the United States. We find that spillovers to domestic long-term rates in emerging … economies from the US expectations components tend to be more sizeable than those from the US term premia. Finally, spillovers …
Persistent link: https://www.econbiz.de/10012119811
suggests that monetary policy spillovers depend on banks' capital constraints. In particular, during a period of quantitative …
Persistent link: https://www.econbiz.de/10012124865
context, we examine ideas production and international knowledge spillovers in a panel of 31 EMEs by accounting for six … diffusion channels and two types (national versus USPTO) of patent filings. Knowledge spillovers to EMEs accruing from (i) the …) those within the regional clusters of EMEs, are modeled. Spillovers from the industrialized world appear robust via …
Persistent link: https://www.econbiz.de/10011752254
This paper investigates whether exchange rate pass-through (ERPT) into import prices is a nonlinear phenomenon for five heavily indebted Euro area countries, namely the so-called GIIPS group (Greece, Ireland, Italy, Portugal, and Spain). Using logistic smooth transition models, we explore the...
Persistent link: https://www.econbiz.de/10011346864
We examine to what extent banks' stock market values during the 2007-2012 financial crisis were driven by increases in the default risk of banks designated as globally systemically important by the Financial Stability Board. We find that bank market values hardly respond to changes in the...
Persistent link: https://www.econbiz.de/10010354063
This paper shows that the inefficiency of fiscal decentralization in the presence of spillovers, a main tenet of the …) generate the social optimum despite the presence of spillovers. This conclusion is closely tied to the famous self …
Persistent link: https://www.econbiz.de/10009792215
spillovers and imperfections in the demand for energy efficiency. We conclude that some technology policies, particularly …
Persistent link: https://www.econbiz.de/10010344788