This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic correlations, variance decompositions, generalized VAR analysis,...

We introduce a method for measuring default risk connectedness of euro zone sovereign states using credit default swap (CDS) and bond data. The connectedness measure is based on an out-of-sample variance decomposition of model forecast errors. Due to its predictive nature, it can respond more...

This paper test for causality between the US Dollar-Euro exchange rate and US-EMU bond yield differentials. To that end, we apply Hsiao (1981)'s sequential procedure to daily data covering the 1999-2011 period. Our results suggest the existence of statistically significant Granger causality...

Historically, the Indonesian Rupiah (IDR) has fluctuated throughout the years, and its fluctuations have been very much interrelated with other forex markets. Since the IDR fluctuations impact national economic growth, investigating the movements of forex markets with respect to the IDR provides...

In this study, we employ the novel measure of a VAR-based spillover index, developed by Diebold and Yilmaz (2012) to investigate the time-varying relationship between tourism and economic growth in selected European countries. Overall, the findings suggest that (i) the tourism-economy...

In this paper, we evaluate the causal relationship between macroeconomic uncertainty indices, inflation and growth rate for 17 Eurozone countries on a county level examination. In performing a series of linear and non-linear causality tests we find little evidence of a causal relationship...

Industrial houses and governments of different countries and groups spend a sizeable amount of their earnings upon research and development activities to create new products and obtain patents for them. The short-run motive is to get patents, and the long-run motive is to influence income growth...

We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to "realized" measures which, in practice, respond more quickly to crisis occurrences than those...

This paper contributes to the understanding of the international financial linkages created by US banks by looking at the geographical composition and structure of the balance sheet of foreign branches. The empirical investigation, which is based on a novel dataset containing balance sheet...

We use the method of indirect inference, using the bootstrap, to test the Smets and Wouters model of the EU against a VAR auxiliary equation describing their data. We find that their model generates excessive variance compared with the data. But their model fits the dynamic facts quite well if...