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Sectoral uncertainty
Castelnuovo, Efrem; Tuzcuoglu, Kerem; Uzeda, Luis - 2022
We propose a new empirical framework that jointly decomposes the conditional variance of economic time series into a common and a sector-specific uncertainty component. We apply our framework to a large dataset of disaggregated industrial production series for the US economy. Our results...
Persistent link: https://www.econbiz.de/10013419275
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The macroeconomic effects of inflation uncertainty
Metiu, Norbert; Prieto, Esteban - 2023
The uncertainty of U.S. core inflation, measured by the stochastic volatility of forecast errors, has soared to a level …
Persistent link: https://www.econbiz.de/10014436184
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The Effect of Conditional Volatility, Skewness, and Excess Kurtosis on Interest Rates
AlTalafha, Sarah Hussein; Maroney, Neal - 2022
This paper examines the lognormality assumption of per capita, real consumption growth, which is a common assumption in asset pricing models. We found that shocks to household consumption growth are persistent, negatively skewed, and have excess kurtosis. Therefore, we revisited the fundamental...
Persistent link: https://www.econbiz.de/10014239651
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Euro interest rate swap yields : a GARCH analysis
Akram, Tanweer; Mamun, Khawaja Abdullah al - 2023
in EUR swap yields and their volatility. The results of the estimated models of EUR swap yields of different maturity …
Persistent link: https://www.econbiz.de/10014438498
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Interest rate and exchange rate volatility spillovers : multiscale perspective of monetary policy transmission in Ghana
Akosah, Nana Kwame; Alagidede, Paul; Schaling, Eric - In: Journal of central banking theory and practice 9 (2020) 1, pp. 135-167
Persistent link: https://www.econbiz.de/10012167220
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A unified framework jointly explaining business conditions, stock returns, volatility and "volatility feedback news" effects
Kim, Chang-jin; Kim, Yunmi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10012054880
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To raise the golden anchor? : Financial crises and uncertainty during the Great Depression
Ferderer, J. Peter; Zalewski, David A. - In: The journal of economic history 59 (1999) 3, pp. 624-658
Persistent link: https://www.econbiz.de/10001415029
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Modelling asymmetric sovereign bond yield volatility with univariate GARCH models : evidence from India
Lithin BM; Chakraborty, Suman; Iyer, Vishwanathan; Nikhil MN - In: Cogent economics & finance 11 (2023) 1, pp. 1-33
Does Indian sovereign yield volatility reflect economic fundamentals, or whether it is a self-generated force flowing … through markets with little connection to such fundamentals? To answer the question, this research explores the volatility … dynamics and measures the persistence of shocks to the sovereign bond yield volatility in India from 1 January 2016, to 18 May …
Persistent link: https://www.econbiz.de/10014500716
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Can macroeconomic volatility affect stock market volatility? : the case of 5 central and eastern European countries
Baroian, Elena - In: Romanian journal of fiscal policy : RJFP 5 (2014) 2, pp. 41-55
This paper examines whether macroeconomic instability can influence stock market volatility in a sample of 5 emerging … discordant from one country to another, but when a dynamic panel GMM is estimated, exchange rate volatility is found to be the …
Persistent link: https://www.econbiz.de/10010492726
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Volatility co-movement and the great moderation : an empirical analysis
Mumtaz, Haroon; Theodoridis, Konstantinos - 2016
volatility of US and UK GDP growth appears to have become increasingly correlated in the recent past. …
Persistent link: https://www.econbiz.de/10011554403