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The aim of this paper is to examine the effect that the increase in integration, culminating in the introduction of the euro currency, had on returns volatility across the different members of the currency union. We analyse the twelve countries that adopted the euro in January 2002, over the...
Persistent link: https://www.econbiz.de/10015196250
They do. Partly. We identify credit supply shocks via sign restrictions in a Bayesian VAR and separate them into positive and negative. Using local projections, we find that positive credit supply shocks leave notably different prints in private debt, mortgage debt, and debt-to-GDP, as opposed...
Persistent link: https://www.econbiz.de/10015198026
This paper examines the relationship between economic growth and reserve accumulation in Nigeria using quarterly data from 2011:Q3 to 2019:Q1 in a nonlinear autoregressive distributed lag (NARDL) framework which allows for the short- and long-run nonlinearities to be investigated through...
Persistent link: https://www.econbiz.de/10013362916
monetary policy. The asymmetry of the effects is captured by allowing for state-dependent parameters where the latent state …
Persistent link: https://www.econbiz.de/10013369962
This paper investigates both cross-sectional asymmetry (related to bank-speci.c characteristics like size and liquidity … monetary policy. The first type of asymmetry is accounted for by including interaction terms, and the second type is captured …-sectional asymmetry. …
Persistent link: https://www.econbiz.de/10013369973
Financial shocks generate a protracted and quantitatively important effect on real economic activity and financial markets only if the shocks are both negative and large. Otherwise, their role is quite modest. Financial shocks have become more important for economic fluctuations after the 2000...
Persistent link: https://www.econbiz.de/10013373833
Cryptocurrencies such as Bitcoin are establishing themselves as an investment asset and are often named the New Gold. This study, however, shows that the two assets could barely be more different. Firstly, we analyze and compare conditional variance properties of Bitcoin and Gold as well as...
Persistent link: https://www.econbiz.de/10014284447
This paper contributes to the large debate regarding the impact of oil price changes on U.S. GDP growth. Firstly, it replicates empirical findings of prominent studies and finds that the proposed oil price measures have a dissipating effect with recent data up to 2016Q4. Secondly, it re-examines...
Persistent link: https://www.econbiz.de/10014284449