Showing 1 - 10 of 370
In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six country stock price indices, including that of the United...
Persistent link: https://www.econbiz.de/10014395829
A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was...
Persistent link: https://www.econbiz.de/10014400143
Similar to other emerging economies, the Egyptian stock market has recently experienced a remarkable run-up but also a major downturn. This paper analyzes the stock market from two angles. First, it compares the performance of the major stock price index with its underlying fundamentals. Second,...
Persistent link: https://www.econbiz.de/10014401258
list of macroeconomic announcements, including money supply, inflation, employment, housing starts, and trade balances, etc …
Persistent link: https://www.econbiz.de/10014401312
This paper examines possible explanations for “winner–loser reversals” in the national stock market indices of 16 countries. There is no evidence that loser countries are riskier than winner countries either in terms of standard deviations, covariance with the world market or other risk...
Persistent link: https://www.econbiz.de/10014403316
aftermath of the global financial crisis as CCA countries have entered a relatively low inflation environment. The pass …-through estimates could be used by the CCA monetary authorities for inflation projections. The absence of non-linearities in the pass …
Persistent link: https://www.econbiz.de/10012300671
that this may have contributed to more elastic aggregate supply in recent years, which is consistent with lower inflation …
Persistent link: https://www.econbiz.de/10012302067
Does the South African rand's relatively large volatility affect inflation? To shed some light on this question, a … standard estimation technique of exchange rate pass-through to inflation is extended to incorporate exchange rate volatility …. Estimated results suggest that higher exchange rate volatility tends to increase core inflation but to a relatively limited …
Persistent link: https://www.econbiz.de/10012155038
wage growth and inflation in Europe and factors that influence the strength of the passthrough from labor costs to prices …. Historically, wage growth has led to higher inflation, but the impact has weakened since 2009. Empirical analysis suggests that the … passthrough from wage growth to inflation is significantly lower in periods of subdued inflation and inflation expectations …
Persistent link: https://www.econbiz.de/10012155053
Inflation rates rose sharply in the Philippines during 2018. Understanding the demand and supply sources of inflation … pressures is key to monetary policy response. Qualitatively, indicators have pointed to evidence of inflation pressures from …-structural model to decompose the contributions of various shocks to inflation. Our main findings are (1) supply factors (mainly global …
Persistent link: https://www.econbiz.de/10012102135