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Decomposing the effect of domestic and foreign economic policy uncertainty shocks on real and financial sectors : evidence from BRIC countries
Kumar, Ameet; Kalhoro, Muhammad Ramzan; Kumar, Rakesh; … - In: Journal of risk and financial management : JRFM 13 (2020) 12/315, pp. 1-23
This study examines the impact of domestic and foreign shocks on the real and financial sector of BRIC countries. For … this purpose, we use a structural vector autoregressive (SVAR) model over the extended period of 1997 to 2016. We conclude … shocks on bank credit provided, implying its role in multiplying the impact of shocks on real variables. Surprisingly EPU of …
Persistent link: https://www.econbiz.de/10012392584
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The household sector financial balance, financing gap, financial markets, and economic cycles in the US economy: A structural VAR analysis
Casadio, Paolo; Paradiso, Antonio - 2010
This paper investigates private net saving in the US economy - divided into its principal components, households and (nonfinancial) corporate financial balances - and its impact on the GDP cycle from the 1980s to the present. Furthermore, we investigate whether the financial markets (stock...
Persistent link: https://www.econbiz.de/10010281740
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Asset prices and expected monetary policy : evidence from daily data
Ivrendi, Mehmet; Pearce, Douglas Kenneth - In: Applied economics 46 (2014) 7/9, pp. 985-995
Persistent link: https://www.econbiz.de/10010399527
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Measuring global financial market stresses
Groen, Jan J. J.; Nattinger, Michael B.; Noble, Adam I. - 2020
We propose measures of financial market stress for forty-six countries and regions across the world. Our measures indicate that worldwide financial market stresses rose significantly in March following the widespread economic shutdowns in the wake of the COVID-19 pandemic. However, hardly...
Persistent link: https://www.econbiz.de/10012268021
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"The Household Sector Financial Balance, Financing Gap, Financial Markets, and Economic Cycles in the US Economy: A Structural VAR Analysis"
Casadio, Paolo; Paradiso, Antonio - Levy Economics Institute - 2010
This paper investigates private net saving in the US economy—divided into its principal components, households and (nonfinancial) corporate financial balances—and its impact on the GDP cycle from the 1980s to the present. Furthermore, we investigate whether the financial markets (stock...
Persistent link: https://www.econbiz.de/10008692305
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Private sector balance, financial markets, and US cycle: a SVAR analysis
Casadio, Paolo; Paradiso, Antonio - In: Journal of Economic Studies 39 (2012) 6, pp. 709-723
Purpose – Considering the sectoral balance approach of Godley, and focusing only on the two main components of the private sector balance for the US economy (household and non‐financial corporate balance), the purpose of this paper is to investigate the relationship between these two...
Persistent link: https://www.econbiz.de/10014863349
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Measuring global financial market stresses
Groen, Jan J. J.; Nattinger, Michael B.; Noble, Adam I. - 2020
We propose measures of financial market stress for forty-six countries and regions across the world. Our measures indicate that worldwide financial market stresses rose significantly in March following the widespread economic shutdowns in the wake of the COVID-19 pandemic. However, hardly...
Persistent link: https://www.econbiz.de/10012619517
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Real-time macroeconomic data and uncertainty
Glass, Katharina; Fritsche, Ulrich - 2015
Most macroeconomic data is continuously revised as additional information becomes available. We suggest that revisions of data is an increasingly important source of uncertainty about the state of the economy and offer an alternative channel of uncertainty - data uncertainty. This paper adds on...
Persistent link: https://www.econbiz.de/10011341024
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The wavelet analysis: The case of non-performing loans in China
Di Febo, Elisa; Angelini, Eliana - In: Risks 10 (2022) 2, pp. 1-17
economic policy uncertainty. In the short term, the variables are in phase. In the long term, an increase of EPU has a …
Persistent link: https://www.econbiz.de/10013200923
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The economic policy uncertainty and its effect on sustainable investment: A panel ARDL approach
Darsono, Susilo Nur Aji Cokro; Wong, Wing Keung; … - In: Journal of Risk and Financial Management 15 (2022) 6, pp. 1-17
This study examines the effect of economic policy uncertainty (EPU) on sustainable investment returns by using panel … data of stock market returns and the EPU index from twelve countries for the period from April 2015 to December 2020. In … investigate the impact of EPU, gold prices, oil prices, and Bitcoin prices on stock market returns by using the panel …
Persistent link: https://www.econbiz.de/10014332455