Showing 1 - 10 of 14
Information ows across international financial markets typically occur within hours, making volatility spillover appear contemporaneous in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility model developed in this paper, in contrast to usually...
Persistent link: https://www.econbiz.de/10005860498
This paper analyses mutual causalities between crude oil price and euro / US dollar exchange rate. Instead of focusing on long-run macroeconomic linkages like the bulk of therelevant literature, the present approach takes a financial markets perspective using daily data. The fast-running...
Persistent link: https://www.econbiz.de/10005860502
A small strand of recent literature is occupied with identifying simultaneity in multipleequation systems through autoregressive conditional heteroscedasticity. Since thisapproach assumes that the structural innovations are uncorrelated, any contemporaneousconnection of the endogenous variables...
Persistent link: https://www.econbiz.de/10005860741
This paper seeks to disentangle the sources of correlations between high-, mid- and lowcap stock indexes from the German prime standard. In principle, such comovement can arise from direct spillover between the variables or due to common factors. By standard means, these different components are...
Persistent link: https://www.econbiz.de/10005860834
This paper demonstrates effects of economic convergence processes on the foreign exchange behaviour in a monetary modelling approach. Since the exchange rate represents the relative price of two currencies, commonness of stochastic trends between the fundamental determinants of supply and demand...
Persistent link: https://www.econbiz.de/10005861005
The subject of this paper tackles questions of macroeconomic integration of the South-East Asian countries South Korea, Singapore and Taiwan. Economically, the analysis is based on notions of stochastic long-run convergence and business cycle synchrony in the GDPs. According tests for...
Persistent link: https://www.econbiz.de/10005861044
This paper proposes estimating causalities in bilateral international trade in simultaneous systems, including domestic and foreign GDP as well as mutual trade flows. Conventional macroeconomic theory mainly follows partial approaches like import functions or exportled growth. Focusing on the US...
Persistent link: https://www.econbiz.de/10005861045
The present paper embarks on an analysis of interactions between the US and Euroland in the capital, foreign exchange, money and stock markets from 1994 until 2006. Considering influences on financial market volatility, the estimations are carried out in multivariate EGARCH models using...
Persistent link: https://www.econbiz.de/10005861049
This paper investigates the capital market relations between Euroland and the USA from 1990 until 2006. Formally based on the uncovered interest rate parity (UIP), backward recursive estimations establish a long-run equilibrium between European and US government bond yields. Since the mid-1990s...
Persistent link: https://www.econbiz.de/10005861051
The present paper analyses interactions between the foreign exchange, money and stock markets in Asian Pacific countries from 1999 till 2006. Considering influences on financial market volatility, the estimations are carried out in multivariate EGARCH models using structural residuals. This...
Persistent link: https://www.econbiz.de/10005861198