Reverse shooting of the exchange rate has been put forward in this paper by scrutinizing the adjustment and evolution of the exchange rate towards its new long-run equilibrium level following a change in money supply. Joint and sequential effects of covered interest rate parity and the sticky...

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...

In this paper, we study the effect of monetary shocks on the Chinese stock market over the period of 2005 to 2011 with the MSVAR–EGARCH model. The evidence suggests that Chinese monetary policies have significantly asymmetric effects on the stock market in different time periods and market...

This article is devoted to the issue of forecasting the bankruptcy risk of enterprises in Latin America and Central Europe. The author has used statistical and soft computing methods to program the prediction models. It compares the effectiveness of twelve different early warning models for...

This paper presents an applied computable general equilibrium world model with financial assets and endogenous current account, and capital and financial account balances. The capital and financial account equilibrium conditions, rather than exogenous rules, constrain the current account...

In this study we examine three widely used realized correlation estimators for natural gas, gasoil, and crude oil futures using data from IntercontinentalExchange (ICE). The objective is to illustrate sensitivities of estimation methods on the resulting realized correlation estimates. The...

This paper contributes to the literature on monetary policy responses in emerging economies to international financial crises. Such an issue is especially relevant for these countries insofar as they tend to be more unstable than developed countries. In addition, they suffer from larger...

This paper considers the persistence and asymmetric volatility at each market phase of the Nigerian All Share Index (ASI). The estimate of the fractional difference parameter is used as a stability measure of the degree of persistence in the level of the series and in the absolute/squared...

The paper characterises domestic and foreign sources of volatility transmission for South African (SA) bonds, commodities, currencies, and equities. We introduce a small-open-economy extension of the volatility spillover model proposed by Diebold and Yilmaz (2012). Based on generalised variance...

This paper proposes a new methodology to measure the volatility of CO2 assets computed as the difference between model-free implied volatility (from option prices) and model-free realized volatility (from high-frequency intraday data), coined as ‘variance risk-premia’ (Carr and Wu, 2009;...