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Volatility spillovers and contagion from mature to emerging stock markets
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission … tend to be unchanged or lower during turbulences. -- Volatility spillovers ; Contagion ; Stock markets ; Emerging markets …
Persistent link: https://www.econbiz.de/10003963822
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Global inflation : the role of food, housing and energy prices
Parker, Miles - 2017
This paper studies the role of global factors in causing common movements in consumer price inflation, with particular focus on the food, housing and energy sub-indices. It uses a comprehensive dataset of 223 countries and territories collected from national and international sources. Global...
Persistent link: https://www.econbiz.de/10011637390
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Macroeconomic implications of oil price fluctuations : a regime-switching framework for the euro area
Holm-Hadulla, Fédéric; Hubrich, Kirstin - 2017
We investigate whether the response of the macro-economy to oil price shocks undergoes episodic changes. Employing a regime-switching vector autoregressive model we identify two regimes that are characterized by qualitatively different patterns in economic activity and inflation following oil...
Persistent link: https://www.econbiz.de/10011771984
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Estimating the elasticity of consumer prices to the exchange rate : an accounting approach
Camatte, Hadrien; Daudin, Guillaume; Faubert, Violaine; … - 2021
We analyse the elasticity of the household consumption expenditure (HCE) deflator to the exchange rate, using world input-output tables (WIOT) from 1995 to 2019. In line with the existing literature, we find a modest output-weighted elasticity of around 0.1. This elasticity is stable over time...
Persistent link: https://www.econbiz.de/10012648943
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EME financial conditions : which global shocks matter?
Lodge, David; Manu, Ana-Simona - 2019
This paper provides a quantitative assessment of the relative importance of global structural shocks for changes in financial conditions across a sample of emerging market economies. We disentangle four key drivers of global financial markets (oil supply shocks, global economic news shocks,...
Persistent link: https://www.econbiz.de/10012009181
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China's footprint in global financial markets
Lodge, David; Manu, Ana-Simona; Van Robays, Ine - 2023
examine spillovers across global markets. The novelty of this paper consists of simultaneously identifying China shocks with … China have material impacts on global equity markets, although spillovers are much smaller than those following shocks in …, spillovers from China can be significantly amplified in an environment of heightened global volatility, or when the shocks are …
Persistent link: https://www.econbiz.de/10014481121
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International spillovers of monetary policy : evidence from France and Italy
Schmidt, Julia; Caccavaio, Marianna; Carpinelli, Luisa; … - 2018
In this paper we provide empirical evidence on the impact of US and UK monetary policy changes on credit supply of banks operating in Italy and France over the period 2000-2015, exploring the existence of an international bank lending channel based on the reliance on funding sources located in...
Persistent link: https://www.econbiz.de/10011959232
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International equity flows and returns
Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - 2004
This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...
Persistent link: https://www.econbiz.de/10009636533
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Volatility spillovers and contagion from mature to emerging stock markets
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission …
Persistent link: https://www.econbiz.de/10009640466
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Do China and oil exporters influence major currency configurations?
Fratzscher, Marcel; Mehl, Arnaud - 2008
This paper analyses the impact of the shift away from a US dollar focus of systemically important emerging market economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US dollar exchange rate regimes remain pervasive and...
Persistent link: https://www.econbiz.de/10003825947