Narrow search
Showing 1 - 10 of 4,606
Cover Image
Effects of Emerging Market Asset Purchase Program Announcements on Financial Markets During the COVID-19 Pandemic
Sever, Can; Goel, Rohit; Drakopoulos, Dimitrios; … - 2021
The COVID-19 pandemic led many emerging market central banks to adopt, for the first time, unconventional policies in the form of asset purchase programs. In this study, we analyze the effects of these announcements on domestic financial markets using both event studies and local projections...
Persistent link: https://www.econbiz.de/10013250070
Cover Image
Contagion and Interdependence : Measuring CEE Banking Sector Co-Movements
Jokipii, Terhi - 2018
largest Central and Eastern European Countries (CEECs) can be attributed to contagion or to interdependence. Our tests based … on simple unadjusted correlation analysis uncover evidence of contagion between all pairs of countries. Adjusting for … market volatility during turmoil, however, produces different results. We then find contagion from the Czech Republic to …
Persistent link: https://www.econbiz.de/10012934707
Cover Image
Dynamic Co-movement and Spillover Among Global Financial Markets During COVID-19 : Evidence From Wavelet Coherence Analysis
Bai, Limiao; Gaggiato, Virgilio; Peres, Antonio; Felix, … - 2023
generated time-varying risk contagion among different assets and geographies. Wavelet coherence analysis provides us an … excellent tool to identify these dynamics, i.e., spillovers and risk contagion. Our empirical analysis utilizing daily data from …
Persistent link: https://www.econbiz.de/10014255279
Cover Image
COVID-19 Pandemic, Oil Prices, Stock Market, Geopolitical Risk and Policy Uncertainty Nexus in the US Economy : Fresh Evidence from the Wavelet-Based Approach
Sharif, Arshian - 2020
In this paper, we analyze the connectedness between the recent spread of COVID-19, oil price volatility shock, the stock market, geopolitical risk and economic policy uncertainty in the US within a time-frequency framework. The coherence wavelet method and the wavelet-based Granger causality...
Persistent link: https://www.econbiz.de/10012837151
Cover Image
EMU-related news and financial markets in the Czech Republic, Hungary, and Poland
Büttner, David; Hayo, Bernd - 2008
We analyse the impact of news on five financial markets in the Czech Republic, Hungary and Poland using a newly constructed data set in a GARCH framework. Macroeconomic shocks (on GDP, inflation rate, current account and trade balance) are constructed as deviations from expected values....
Persistent link: https://www.econbiz.de/10003865756
Cover Image
The impact of foreign macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland
Büttner, David; Hayo, Bernd; Neuenkirch, Matthias - 2009
In this paper, we study the effects of euro area and US macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland (CEEC-3) from 1999 to 2006. Using a GARCH model, we examine the impact on daily returns of three-month interest rates, stock market indices, exchange rates...
Persistent link: https://www.econbiz.de/10003849424
Cover Image
News and correlations of CEEC-3 financial markets
Büttner, David; Hayo, Bernd - 2009
foreign exchange and stock markets, indicating a tendency toward contagion. In searching for the origins of financial market … ; political news ; macroeconomic shocks ; contagion ; DCC-MGARCH …
Persistent link: https://www.econbiz.de/10003908157
Cover Image
Impact of the NYSE Shocks on the European Developed Capital Markets
Dumitriu, Ramona - 2016
This paper explores the impact of the large stock prices increases (positive shocks) and decreases (negative shocks) from the New York Stock Exchange on the returns and volatility of some European developed capital markets. We found that more than a half of shocks from these European stock...
Persistent link: https://www.econbiz.de/10012990733
Cover Image
Zero Lower Bound Monetary Policy's Effect on Financial Asset's Correlations
Rogers, Karl - 2020
We investigate the hypothesis that zero lower bound monetary policy has an effect on the correlations of financial assets. Using an event-study approach, we evaluate the impact of the zero lower bound monetary policies of the Bank of Japan, the Bank of England, and the Federal Reserve on the...
Persistent link: https://www.econbiz.de/10012830928
Cover Image
The impact of Brexit on financial markets : taking stock
Hohlmeier, Michaela; Fahrholz, Christian - In: International Journal of Financial Studies : open … 6 (2018) 3, pp. 1-9
The UK’s withdrawal from the EU will have far-reaching consequences on the European economy. However, the ultimate consequences of Brexit, especially for financial markets, depend on the final agreement, which is still under negotiation. Currently, regulated financial services can be provided...
Persistent link: https://www.econbiz.de/10011884156