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Exchange rates and sovereign risk : a nonlinear approach based on local Gaussian correlations
Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2024
Crisis, the COVID-19 pandemic and the Ukrainian War. Using the most recent developments in local Gaussian partial correlation …
Persistent link: https://www.econbiz.de/10014505308
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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
version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …
Persistent link: https://www.econbiz.de/10003965868
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Diversification and ownership concentration
Parigi, Bruno (contributor); Pelizzon, Loriana (contributor) - 2005
is poor, asset return correlation affects ownership structure in a positive way. Higher return correlation lowers the … countries where stock return correlation is higher, and that the magnitude of this effect is larger in countries where investor …
Persistent link: https://www.econbiz.de/10003203441
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Structural transformation, marketization, and household production around the world
Bridgman, Benjamin; Duernecker, Georg; Herrendorf, Berthold - 2015 - This version: October 5, 2015
We provide evidence on household and market production in 36 countries since 1960. On average the household sector accounts for almost half of total hours worked. As GDP per capita increases, the employment share of household production in total hours worked initially declines and then hardly...
Persistent link: https://www.econbiz.de/10011348007
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Inequality and the import demand function
Adam, Antonis (contributor); Katsimē, Margarita (contributor) - 2008
Persistent link: https://www.econbiz.de/10003630734
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On cross-country differences in the persistence of real exchange rates
Cheung, Yin-Wong; Lai, Kon-sun - 1999
Previous findings of long-run purchasing power parity come mainly from data for industrial countries, raising the issue of whether the results suffer sample-selection bias and exaggerate the general relevance of parity reversion. This study uncovers substantial cross-country heterogeneity in the...
Persistent link: https://www.econbiz.de/10009781713
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Diversification power of real estate market securities : the role of financial crisis and dividend policy
Ilbasmis, Metin; Gronwald, Marc; Zhao, Yuan - 2018
use an Asymmetric DCC - GJR - GARCH model to estimate the dynamic conditional correlation at daily, weekly, and monthly … frequencies. Our contribution is threefold. First, we find a that downward trend in the daily conditional correlation in the … Turkish market, which is contrary to the literature, while the upward trend in the correlation of the two U.S. markets is …
Persistent link: https://www.econbiz.de/10011845163
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Securitization of mortgage debt, asset prices and international risk sharing
Hoffmann, Mathias; Nitschka, Thomas - 2009
We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption … countries that do not allow for mortgage securitization. Our results are based on quarterly data from a panel of 16 …
Persistent link: https://www.econbiz.de/10003806732
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Leveraged bubbles
Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - 2015
What risks do asset price bubbles pose for the economy? This paper studies bubbles in housing and equity markets in 17 countries over the past 140 years. History shows that not all bubbles are alike. Some have enormous costs for the economy, while others blow over. We demonstrate that what makes...
Persistent link: https://www.econbiz.de/10011309562
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Connectedness between the crude oil futures and equity markets during the pre- and post-financialisation eras
Wadud, Sania; Durand, Robert B.; Gronwald, Marc - 2021
This paper examines the effect of financialisation of futures markets has on the relationship between crude oil futures and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price volatility, namely, seasonality and maturity effects...
Persistent link: https://www.econbiz.de/10012599014