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Volatility transmission and herding contagion during the global financial crisis
Abbes, Mouna Boujelbène - In: International Journal of Managerial and Financial Accounting 5 (2013) 2, pp. 138-161
the volatility of US stock market during the subprime crisis is significantly transmitted to Asian and European financial … markets. Moreover, UK and Swiss financial markets present an important role in emitting volatility to Asian markets. In …. All residuals showed enhanced volatility during the financial crisis period of mid 2007-2008. Moreover, the cross …
Persistent link: https://www.econbiz.de/10010754852
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Modelling volatility during the current financial crisis: an empirical analysis of the US and the UK stock markets
Tampakoudis, Ioannis A.; Subeniotis, Demetres N.; … - In: International Journal of Trade and Global Markets 5 (2012) 3/4, pp. 171-194
The overarching aim of the present paper is to investigate the pattern of returns and volatility in the US and the UK …
Persistent link: https://www.econbiz.de/10010670368
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Spillover effects between US and major European stock markets
Al-Zeaud, Hussein Ali - In: American Journal of Finance and Accounting 3 (2014) 2/3/4, pp. 172-184
market to New York, Pairs and Frankfurt stock markets. Within the European stock markets, there are unidirectional volatility … spillover effects from Frankfurt to Paris and from Paris to London. Volatility increases induced by bad news are transmitted … more strongly than volatility declines. …
Persistent link: https://www.econbiz.de/10010816696
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What caused the decline in long-term yields?
Bauer, Michael D.; Rudebusch, Glenn D. - In: FRBSF Economic Letter (2013)
Long-term U.S. government bond yields have trended down for more than two decades, but identifying the source of this decline is difficult. A new methodology suggests that reductions in long-run expectations of inflation and inflation-adjusted interest rates have played a significant role in the...
Persistent link: https://www.econbiz.de/10010723001
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Monetary Policy and Balance Sheets
Igan, Deniz; Kabundi, Alain N.; Simone, Francisco Nadal-De - International Monetary Fund (IMF) - 2013
This paper evaluates the strength of the balance sheet channel in the U.S. monetary policy transmission mechanism over the past three decades. Using a Factor-Augmented Vector Autoregression model on an expanded data set, including sectoral balance sheet variables, we show that the balance sheets...
Persistent link: https://www.econbiz.de/10010790431
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Preisvolatilität auf landwirtschaftlichen Märkten
von Ledebur, Ernst-Oliver; Schmitz, Jochen - Bundesforschungsinstitut für Lädliche Räume, Wald … - 2011
In this paper, the development of price volatility on German agricultural markets is analyzed. The goal is to quantify … the degree of price volatility for selected German agricultural markets and determine how it evolutes over time. Where …, questions are: Was there an increase in price volatility? Did it came from the world markets? What is the impact of price …
Persistent link: https://www.econbiz.de/10009003989
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Emerging Market Volatility: Lessons from The Taper Tantrum
Sahay, Ratna; Arora, Vivek B.; Arvanitis, Athanasios V; … - International Monetary Fund (IMF) - 2014
volatility. And for the global community, enhanced global cooperation, including a strong global financial safety net, offers … emerging markets effective protection against excessive volatility. …
Persistent link: https://www.econbiz.de/10010959484
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Swings in commercial and residential land prices in the United States
Nichols, Joseph B.; Oliner, Stephen D.; Mulhall, Michael R. - In: Journal of Urban Economics 73 (2013) 1, pp. 57-76
We use a large dataset of land sales dating back to the mid-1990s to construct land price indexes for 23 MSAs in the United States and for the aggregate of those MSAs. The price indexes show a dramatic increase in both commercial and residential land prices over several years prior to their peak...
Persistent link: https://www.econbiz.de/10010588402
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Explaining Foreign Holdings of Asia’s Debt Securities
Horioka, Charles Yuji; Hagiwara, Akiko Terada-; Nomoto, … - Office of Regional Economic Integration, Asian … - 2014
In this paper, we analyze data on trends since 2000 in foreign holdings of government securities and other debt securities, with emphasis on Japan and developing Asia. We find that foreign residents generally increased their holdings of Asian debt securities during the sample period and in...
Persistent link: https://www.econbiz.de/10010992316
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Why has Japan’s Massive Government Debt Not Wreaked Havoc (Yet)?
Horioka, Charles Yuji; Nomoto, Takaaki; … - School of Economics, University of the Philippines at … - 2013
In this paper, we present data on trends over time in government debt financing in Japan since 2010 with emphasis on the importance of foreign holders and speculate about the determinants of those trends. We find that Japanese government securities were held primarily by domestic holders until...
Persistent link: https://www.econbiz.de/10010856151