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Pairwise tests of purchasing power parity

Pesaran, M. Hashem; Smith, Ron; Yamagata, Takashi; … - In: Econometric reviews 28 (2009) 6, pp. 495-521

Persistent link: https://www.econbiz.de/10003881179

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - In: Economic modelling 27 (2010) 6, pp. 1398-1416

Persistent link: https://www.econbiz.de/10008825760

Globalization and income inequality : a panel data econometric approach for the EU27 countries

Asteriou, Dimitrios; Dēmelē, Sophias P.; Moudatsou, Argiro - In: Economic modelling 36 (2014), pp. 592-599

Persistent link: https://www.econbiz.de/10010416347

Financial Markets and International Risk Sharing in Emerging Market Economies

Schmitz, Martin - 2012

In light of rapidly increasing foreign equity liability positions of emerging market economies, we test for a necessary condition of international risk sharing, namely for systematic patterns between idiosyncratic output fluctuations and financial market developments. Panel analysis of 22...

Persistent link: https://www.econbiz.de/10013104147

Distance(s) and the Volatility of International Trade(s)

Mehl, Arnaud - 2019

Does distance matter for the volatility of international real and financial transactions? We show that it does, in addition to its well-established relevance for the level of trade. A simple model of trade with endogenous markups shows that demand shocks have a larger impact on trade between...

Persistent link: https://www.econbiz.de/10012889878

America First? A US-centric View of Global Capital Flows

McQuade, Peter - 2019

with those of the rest of the world. We analyse the relative importance of US, country-specific, and global variables as …. Global and national risk indicators perform better in explaining “rest of the world” flows. Moreover, we find that the … correlation between US and rest of the world flows peaks in periods of elevated uncertainty. We interpret our findings as evidence …

Persistent link: https://www.econbiz.de/10012892830

Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model

Dees, Stephane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2021

This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve determining output, a Taylor Rule determining interest rates, and a real effective exchange rate...

Persistent link: https://www.econbiz.de/10013316169

Bankruptcy regime and the banking system

Stef, Nicolae; Dēmelē, Sophias P. - In: Economic modelling 87 (2020), pp. 480-495

Persistent link: https://www.econbiz.de/10012416797

International trade, foreign direct investments, and firms' systemic risk : evidence from the Netherlands

Van Cauwenberge, Annelies; Vancauteren, Mark; Braekers, Roel - In: Economic modelling 81 (2019), pp. 361-386

Persistent link: https://www.econbiz.de/10012202113

The Great Moderation in International Capital Flows : A Global Phenomenon?

McQuade, Peter - 2016

This paper highlights a recent ‘great moderation' in global capital flows, characterized by smaller volumes and lower volatility of cross-border transactions. However, there are substantial differences across countries and regions which we analyse by comparing the level of international...

Persistent link: https://www.econbiz.de/10012983089