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Nonlinear relationship between exchange rate volatility and economic growth
Phiri, Andrew - 2018
In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and … volatility positively and significantly influences economic growth when growth in government spending is below 6 percent. Above … this 6 percent threshold, volatility exerts an insignificant effect on economic growth. In light of the adoption of a free …
Persistent link: https://www.econbiz.de/10011870188
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Do Macroeconomic Variables Affect Stock Returns in BRICS Markets? An ARDL Approach
Tripathi, Vanita - 2015
exchange rate, interest rate, money supply, and oil prices on volatility in their stock markets. Investor can search for …
Persistent link: https://www.econbiz.de/10013017151
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End-of-the-year economic growth and time-varying expected returns : a reexamination
Hsiao(Xiao), Shisong - 2021
Møller and Rangvid (2015) report that economic growth at the end of the year is a strong predictor of future stock returns for the post-WWII period, whereas economic growth during the rest of the year does not. Revisiting these results with an extended period 1926-2020, we find that this...
Persistent link: https://www.econbiz.de/10013323390
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The Long Memory of Equity Volatility and the Macroeconomy : International Evidence
Dräger, Lena - 2020
This paper examines long memory volatility in international stock markets. We show that long memory volatility is … memory in volatility than emerging and frontier countries and that stock market jumps are negatively correlated with long … memory of volatility. Overall, our results provide some evidence of a link between stock market uncertainty and macroeconomic …
Persistent link: https://www.econbiz.de/10012853413
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On the macroeconomic determinants of long-term volatilities and correlations in US stock and crude oil markets
Conrad, Christian; Stürmer, Karin; Rittler, Daniel - In: Journal of empirical finance 29 (2014), pp. 26-40
Persistent link: https://www.econbiz.de/10011300507
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The Great Moderation and Leptokurtosis after GARCH Adjustment
Fang, Wen-Shwo - 2010
Recently, Fagiolo et al. (2008) find fat tails of economic growth rates after adjusting for outliers, autocorrelation, and heteroskedasticity. This paper employs US quarterly real output growth, showing that this finding of fat tails may reflect the Great Moderation. That is, leptokurtosis...
Persistent link: https://www.econbiz.de/10012757983
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International spillovers of U.S. financial volatility
Berg, Kimberly A.; Vu, Nam T. - In: Journal of international money and finance 97 (2019), pp. 19-34
Persistent link: https://www.econbiz.de/10012139846
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China’s Monetary Policy Regulation and Financial Risk Prevention : The Study of Effectiveness and Appropriateness
Zhou, Hui - 2015
correlations between monetary policy, economic growth, inflation and asset price volatility, explores the creation of financial …
Persistent link: https://www.econbiz.de/10014021002
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What really drives economic growth in sub-Saharan Africa? : evidence from the lasso regularization and inferential techniques
Ofori, Isaac Kwesi; Obeng, Camara Kwasi; Asongu, Simplice - 2022
The question of what really drives economic growth in sub-Saharan Africa (SSA) has been debated for many decades now. However, there is still a lack of clarity on variables crucial for driving growth as prior contributions have been executed at the backdrop of preferential selection of...
Persistent link: https://www.econbiz.de/10013380603
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Is the asset growth anomaly driven by macroeconomic states?
Grobys, Klaus - In: Applied economics letters 23 (2016) 7/9, pp. 576-579
Persistent link: https://www.econbiz.de/10011627986