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Persistent link: https://www.econbiz.de/10000667260
This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41...
Persistent link: https://www.econbiz.de/10005825961
Persistent link: https://www.econbiz.de/10001631861
Persistent link: https://www.econbiz.de/10002150483
euro area, and investigates their linkages in a VAR framework, also allowing for the possible impact of the policy regime … change associated with the start of EMU in 1999. The main findings are as follows. Steadystate inflation and inflation … uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly owing to …
Persistent link: https://www.econbiz.de/10011605275
euro area, and investigates the linkages between them in a VAR framework, also allowing for the possible impact of the … policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and … inflation uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly …
Persistent link: https://www.econbiz.de/10010271133
euro area, and investigates the linkages between them in a VAR framework, also allowing for the possible impact of the … policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and … inflation uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly …
Persistent link: https://www.econbiz.de/10004963627
euro area, and investigates the linkages between them in a VAR framework, also allowing for the possible impact of the … policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and … inflation uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly …
Persistent link: https://www.econbiz.de/10005013037
euro area, and investigates their linkages in a VAR framework, also allowing for the possible impact of the policy regime … change associated with the start of EMU in 1999. The main findings are as follows. Steadystate inflation and inflation … uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly owing to …
Persistent link: https://www.econbiz.de/10008560373
This paper investigates the relationship between inflation and inflation uncertainty in twelve EMU countries. A time … introduction of the Euro in 1999 are then examined introducing a dummy variable. Overall, it appears that post-1999 steady … determined endogenously, the adjustment is found to have taken place before the introduction of the Euro. …
Persistent link: https://www.econbiz.de/10005406171