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Dynamic correlation, Exogenous variables, DCCX, Macroeconomic Announcements, Diversification benefits. - In this …
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While the enlargement of the Euro area to new countries has reduced the average return correlation among member … countries, the financial crisis and the sovereign debt crisis have led to an increase in stock return correlation among old …' correlation with domestic assets. This evidence sheds light on the determinants of the sharp decline in bilateral equity …
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This paper estimates the wealth effects on consumption in the euro area as a whole. I show that: (i) financial wealth effects are relatively large and statistically significant; (ii) housing wealth effects are virtually nil and not significant; (iii) consumption growth exhibits strong...
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