We study the changing international transmission of US monetary policy shocks to 14 OECD countries over the period 1981-2010. We use a Time Varying Parameter Factor Augmented VAR approach (TVP-FAVAR) to study the EFFR shocks together with a large data set of 265, major financial, macroeconomic...

This study examines the Time Varying Dynamic Conditional Correlations (TVDCC)among the returns of short term Money Market Rates, Real Effective Exchange Rates, and of other asset classes including, Stock Market (SM) indices and REIT indices during the Dot-com Bubble (2000) and Recent Global...

In this paper we provide evidence of the impact of monetary policy on a broad range of macro-economic variables for U.S, Canada, U.K., and Japan using factor-augmented vector auto regressive (FAVAR) model developed by Bernanke, Boivin and Eliasz (2003). Traditional approaches, such as vector...

The aim of this study is to assess and analyze exchange rate risk related to three currencies i.e. Euro, American Dollar and Japanese yen on External Debt Portfolio of Pakistan (EDPP) through different Value-at-risk (VAR) methodologies from year 2001 to 2006. We apply and compare different VAR...

The paper applies Markov Regime Switching Model (MRSM) to investigate the volatility behaviour of seventeen OECD stock markets (U.S.A, France, Ireland, Italy, Netherlands, Spain, Denmark, Norway, Sweden, Switzerland, UK, Australia, Japan) for the period 2004-2010. The results distinguish between...