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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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Covariate unit root tests under structural change and asymmetric STAR dynamics
Tsong, Ching-Chuan; Wu, Chien-Wei; Chiu, Hsien-Hung; … - In: Economic Modelling 33 (2013) C, pp. 101-112
In this paper, we intend to develop a new unit root testing procedure. The novelty of this methodology includes (1) accommodating possible trend breaks of unknown number, unknown dates, and unknown form by employing the Fourier form without directly estimating such breaks; (2) considering...
Persistent link: https://www.econbiz.de/10010737999
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Exchange rate pass-through to inflation in China
Jiang, Jiadan; Kim, David - In: Economic Modelling 33 (2013) C, pp. 900-912
As the Chinese economy becomes more open and the authorities scrapped the peg to the U.S. dollar in July 2005, exchange rate movements start to influence the price inflation in China in a significant way. This paper estimates a structural vector autoregression (SVAR) model to investigate the...
Persistent link: https://www.econbiz.de/10010738000
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Stock market integration and risk premium: Empirical evidence for emerging economies of South Asia
Abid, Ilyes; Kaabia, Olfa; Guesmi, Khaled - In: Economic Modelling 37 (2014) C, pp. 408-416
This article investigates the dynamics of regional financial integration and its determinants in an international setting. We test a conditional version of the International Capital Asset Pricing Model (ICAPM) accounting for the deviations from Purchasing Power Parity (PPP) as well as temporal...
Persistent link: https://www.econbiz.de/10010744008
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Effect of oil prices on trade balance: New insights into the cointegration relationship from Pakistan
Hassan, Syeda Anam; Zaman, Khalid - In: Economic Modelling 29 (2012) 6, pp. 2125-2143
Global oil price shock waves and continuous trade imbalance have raised serious alarms among the policy makers around the world, because of its aggressive impacts for the net oil‐importing economies. The objective of this study is to investigate the impact of rising oil prices on the trade...
Persistent link: https://www.econbiz.de/10011048775
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Time-varying exchange rate exposure and exchange rate risk pricing in the Canadian Equity Market
Al-Shboul, Mohammad; Anwar, Sajid - In: Economic Modelling 37 (2014) C, pp. 451-463
This paper aims to extend the existing literature on foreign exchange rate risk pricing. Unlike the existing studies on Canada, we use six alternative bilateral and one multilateral exchange rate proxies. Furthermore, using both a two-factor and a three-factor capital asset pricing model (CAPM),...
Persistent link: https://www.econbiz.de/10010744019
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A wavelet decomposition approach to crude oil price and exchange rate dependence
Reboredo, Juan C.; Rivera-Castro, Miguel A. - In: Economic Modelling 32 (2013) C, pp. 42-57
possible existence of contagion and interdependence during the global financial crisis and analyze possible lead and lag … pre-crisis period; however, we did find evidence of contagion and negative dependence after the onset of the crisis …
Persistent link: https://www.econbiz.de/10010664397
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Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market
Long, Ling; Tsui, Albert K.; Zhang, Zhaoyong - In: Economic Modelling 37 (2014) C, pp. 89-102
In recent years the Chinese stock market has experienced an astonishing growth and unprecedented development, but is also viewed as one of the most volatile markets, which has been called by many observers a “casino”. This study intends to examine the presence of heteroskedasticity and the...
Persistent link: https://www.econbiz.de/10011048914
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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