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What drives international equity correlations? : volatility or market direction?
Amira, Khaled; Taamouti, Abderrahim; Tsafack, Georges - In: Journal of international money and finance 30 (2011) 6, pp. 1234-1263
Persistent link: https://www.econbiz.de/10009373944
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Persistence-robust surplus-lag Granger causality testing
Bauer, Dietmar; Maynard, Alex - In: Journal of econometrics 169 (2012) 2, pp. 293-300
Persistent link: https://www.econbiz.de/10009673188
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Subsampling vector autoregressive tests of linear constraints
Choi, In - In: Journal of econometrics 124 (2005) 1, pp. 55-89
Persistent link: https://www.econbiz.de/10002439389
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Capital market integration in the Pacific Basin region : an impulse response analysis
Phylaktis, Kate - In: Journal of international money and finance 18 (1999) 2, pp. 267-287
Persistent link: https://www.econbiz.de/10001381573
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Unit roots and Granger causality in the EMS interest rates : the German Dominance Hypothesis revisited
Hassapis, Christis; Pittis, Nikitas; Prodromidēs, … - In: Journal of international money and finance 18 (1999) 1, pp. 47-73
Persistent link: https://www.econbiz.de/10001381630
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Using time-varying volatility for identification in Vector Autoregressions : an application to endogenous uncertainty
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of econometrics 225 (2021) 1, pp. 47-73
Persistent link: https://www.econbiz.de/10013278994
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Testing for Granger causality with mixed frequency data
Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji - In: Journal of econometrics 192 (2016) 1, pp. 207-230
Persistent link: https://www.econbiz.de/10011617146
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Testing for Granger causality in large mixed-frequency VARs
Götz, Thomas B.; Hecq, Alain W. J.; Smeekes, Stephan - In: Journal of econometrics 193 (2016) 2, pp. 418-432
Persistent link: https://www.econbiz.de/10011704990
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Monetary policy shocks and foreign investment income : evidence from a large Bayesian VAR
Auer, Simone - In: Journal of international money and finance 93 (2019), pp. 142-166
Persistent link: https://www.econbiz.de/10012138628
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Bank lending procyclicality and credit quality during financial crises
Caporale, Guglielmo Maria; Di Colli, Stefano; Lopez, … - 2013
This paper analyses macroeconomic and financial determinants of bad loans applying a SVAR approach to investigate whether excessive loans granted during expansionary phases can explain the more than proportional increase in non-performing loans during contractionary periods. The results indicate...
Persistent link: https://www.econbiz.de/10009763782