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Does Bayesian shrinkage help to better reflect what happened during the subprime crisis?
Kaabia, Olfa; Abid, Ilyes; Guesmi, Khaled - In: Economic Modelling 31 (2013) C, pp. 423-432
We study the contagion effects of a U.S. housing shock on OECD countries over the period of the subprime crisis …
Persistent link: https://www.econbiz.de/10010636255
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How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test
Hatemi-J, Abdulnasser; Roca, Eduardo - In: Economic Modelling 28 (2011) 6, pp. 2560-2565
This paper utilizes a new contagion test based on case-resampling bootstrap technique to investigate whether there is … any contagion effect in the interaction of the US real estate market with those of Australia, Japan and the UK arising out … contagion effect. Its relationship with the other markets is rather characterized by dependency behavior that prevails …
Persistent link: https://www.econbiz.de/10010573305
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Determinants of stock market comovements among US and emerging economies during the US financial crisis
Hwang, Eugene; Min, Hong-Ghi; Kim, Bong-Han; Kim, Hyeongwoo - In: Economic Modelling 35 (2013) C, pp. 338-348
economies. While a group of countries has three distinctive phases of crisis spillover (contagion, herding, and post …
Persistent link: https://www.econbiz.de/10010719370
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The more contagion effect on emerging markets: The evidence of DCC-GARCH model
Celık, Sibel - In: Economic Modelling 29 (2012) 5, pp. 1946-1959
The paper aims to test the existence of financial contagion between foreign exchange markets of several emerging and … developed countries during the U.S. subprime crisis. As a result of DCC-GARCH analysis, we find the evidence of contagion during … be the most influenced by the contagion effects during U.S. subprime crisis. Since financial contagion is important for …
Persistent link: https://www.econbiz.de/10011048686
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Stock market response to monetary and fiscal policy shocks: Multi-country evidence
Chatziantoniou, Ioannis; Duffy, David; Filis, George - In: Economic Modelling 30 (2013) C, pp. 754-769
A Structural VAR model is employed to investigate the effects of monetary and fiscal policy shocks on stock market performance in Germany, UK and the US. A significant number of past studies have concentrated their attention on the relationship between monetary policy and stock market...
Persistent link: https://www.econbiz.de/10010608293
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Translating financial integration into correlation risk: A weekly reporting's viewpoint for the volatility behavior of stock markets
Gatfaoui, Hayette - In: Economic Modelling 30 (2013) C, pp. 776-791
volatility spillovers (i.e. contagion risk in terms of transmitting volatility shocks from one market place to another market … well as a high contagion risk (i.e. volatility spillover) during the subprime mortgage market crisis. The transmission …
Persistent link: https://www.econbiz.de/10010608300
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Market structure and the cost of capital
El Hedi Arouri, Mohamed; Rault, Christophe; Sova, Anamaria - In: Economic Modelling 31 (2013) C, pp. 664-671
We contribute to the finance literature in two main ways. First, we present a theoretical capital asset pricing model (CAPM) to price assets in different market structures. Second, we use our model to analyze whether when markets are partially segmented using the local or the global CAPM yields...
Persistent link: https://www.econbiz.de/10010636317
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The changing role of house price dynamics over the business cycle
Dufrénot, Gilles; Malik, Sheheryar - In: Economic Modelling 29 (2012) 5, pp. 1960-1967
In this paper, we attempt to analyse the relationship between house price dynamics and the business cycle. Employing a time-varying transition probability Markov switching framework, we provide empirical evidence that house price growth may prove a useful leading indicator for turning point...
Persistent link: https://www.econbiz.de/10010597508
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Dynamic modelling of real estate investment trusts and stock markets
Lee, Chien-Chiang; Chien, Mei-Se; Lin, Tsoyu Calvin - In: Economic Modelling 29 (2012) 2, pp. 395-407
Taiwan launched the first case of real estate securitization in 2005. The interrelationship between Taiwan Real Estate Investment Trusts (T-REITs) and the aggregate equity markets and segmented industries has drawn the interests of both investors and academia. This paper employs Toda and...
Persistent link: https://www.econbiz.de/10010573260
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Financial market integration: Theory and empirical results
Arouri, Mohamed El Hedi; Foulquier, Philippe - In: Economic Modelling 29 (2012) 2, pp. 382-394
In this article, we introduce a new theoretical international asset pricing model which accounts for partial financial market segmentation. We show that if some investors do not hold all international assets because of implicit and/or explicit segmentation factors, the world market portfolio is...
Persistent link: https://www.econbiz.de/10010573317