We investigate the international propagation of fiscal policy shocks originated in the United States using a Global VAR framework. We identify shocks to US tax rates and government spending by using narrative series as external instruments, following the proxy SVAR methodology. The main results...

The study analyses comovement between the real effective exchange rate of South Africa and those of a sample of countries that include the world’s major economies as well as emerging and developing economies. The comovement is examined over the short and long term as well as pre and post the...

The study analyses comovement between the real effective exchange rate of South Africa and those of a sample of countries that include the world’s major economies as well as emerging and developing economies. The comovement is examined over the short and long term as well as pre and post the...

This paper tries to explain, using a model that includes asset market risk country, the behavior of nominal exchange rate, as well as determine the impact of this risk in determining the exchange rate, also seeks to establish whether the exchange rate is below the level predicted by their bases...

The study analyses comovement between the real effective exchange rate of South Africa and those of a sample of countries that include the world’s major economies as well as emerging and developing economies. The comovement is examined over the short and long term as well as pre and post the...

A general Markov-Switching autoregressive conditional mean model, valued in the set of nonnegative numbers, is considered. The conditional distribution of this model is a finite mixture of nonnegative distributions whose conditional mean follows a GARCH-like dynamics with parameters depending on...

The impact that informed and uninformed agents have on market prices is crucial for informational issues in financial markets. Informed trades are associated with institutional operators while uninformed trades are executed on behalf of retail investors. Using high-frequency data from Euronext...

There have been several crises in the world economy since the end of the last century. The developing economies were ones that have suffered the most, considering the level of openness, the weak institutional framework, and the market vulnerability to unpredictable shocks. One of the instruments...

The impact that informed and uninformed agents have on market prices is crucial for informational issues in financial markets. Informed trades are associated with institutional operators while uninformed trades are executed on behalf of retail investors. Using high-frequency data from Euronext...

Econometrics is the area of statistics concerned in analyzing economic data, for both economic and business applications. This document, introduces the intermediate concepts of this area, for students already familiarized with basic econometric theory. In particular, topics concerning...