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Impact of oil and agricultural shocks on the financial markets of emerging market economies
Attílio, Luccas Assis - In: International economic journal 37 (2023) 2, pp. 270-293
Persistent link: https://www.econbiz.de/10014295313
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Exchange rate dynamics and stock prices in small open economies : evidence from Asia-Pacific countries
Yang, Sheng-Ping - In: Pacific-Basin finance journal 46 (2017), pp. 337-354
Persistent link: https://www.econbiz.de/10011801042
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External macroeconomic shocks and stock price behavior in Nigeria : structural vector autoregressive approach
Saliu, Mojeed Olanrewaju - 2021
Persistent link: https://www.econbiz.de/10012659332
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Market, interest rate, and exchange rate risk effects on financial stock returns during the financial crisis : AGARCH-M approach
Mouna, Aloui; Anis, Jarboui - In: Cogent economics & finance 4 (2016) 1, pp. 1-16
-variate GARCH-in-mean model and volatility spillovers. The empirical results show the significant effects (positive and negative …, respectively) of the stock market returns, interest rate, and exchange rate volatility of the financial sector during the crisis …. Besides, we find, in most cases, significant (positive and negative, respectively) volatility spillovers from market return …
Persistent link: https://www.econbiz.de/10011450341
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Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market : the case of Turkey
Sensoy, Ahmet; Sobaci, Cihat - In: Economic modelling 43 (2014), pp. 448-457
Persistent link: https://www.econbiz.de/10010503016
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Do macro shocks matter for equities?
Dison, Will; Theodoridis, Konstantinos - 2017
Persistent link: https://www.econbiz.de/10011912881
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The dynamic impact of FX interventions on financial markets
Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias - In: The review of economics and statistics 103 (2021) 5, pp. 939-953
Persistent link: https://www.econbiz.de/10013163901
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The Dynamic Impact of FX Interventions on Financial Markets
Menkhoff, Lukas - 2020
Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Generally, we find, for freely...
Persistent link: https://www.econbiz.de/10012838674
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The dynamic impact of FX interventions on financial markets
Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias - 2019
Evidence on the effectiveness of FX interventions in the prevailing higher frequency approaches leaves a gap at horizons going beyond a few days. This is addressed by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Using Japanese data, we...
Persistent link: https://www.econbiz.de/10012232128
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The dynamic impact of FX interventions on financial markets
Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias - 2020
Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Generally, we find, for freely...
Persistent link: https://www.econbiz.de/10012179576