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Do financial crises matter for nonlinear exchange rate and stock market cointegration? : a heterogeneous nonlinear panel data model with PMG approach
Tabash, Mosab I.; Sheikh, Umaid A.; Matar, Ali; Ahmed, Adel - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-22
the conventional symmetrical panel ARDL (PARDL) model was not able to formulate long-run cointegration between currency …The existing literature has explained the causality flow from the exchange rates toward the stock market without … affecting the nonlinear causality flowing from the exchange rates toward the stock market indexes of the ASEAN-5 region. The …
Persistent link: https://www.econbiz.de/10013545812
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The impact of macroeconomic factors on the German stock market : evidence for the crisis, pre- and post-crisis periods
Celebi, Kaan; Hönig, Michaela - In: International Journal of Financial Studies : open … 7 (2019) 2/18, pp. 1-13
Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world …
Persistent link: https://www.econbiz.de/10012039605
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Bond markets, stock markets, banks and growth : a system GMM analysis
Fanta, Ashenafi Beyene - In: Global business & economics review 19 (2017) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10011665593
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A structural approach to identify financial transmission in distinguished scenarios of crises
Herwartz, Helmut; Roestel, Jan - 2018
This paper investigates the propagation of instability through key asset markets of the US financial system - equity, real estate, banking and treasury - between 1/3/2000 and 12/26/2014. For this purpose, we develop an identification method to uncover characteristic financial market...
Persistent link: https://www.econbiz.de/10011903210
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Tackling the volatility paradox: spillover persistence and systemic risk
Kubitza, Christian - 2021 - This version: April 13, 2021
This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by exploring a novel dimension of systemic risk: loss...
Persistent link: https://www.econbiz.de/10012499703
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Machine Learning and Causality : The Impact of Financial Crises on Growth
Tiffin, Andrew - 2019
issues of causality. This paper gently introduces some leading work in this area, using a concrete example-assessing the …
Persistent link: https://www.econbiz.de/10012858391
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The effect of global financial crisis on ASEAN growth : evidence from stock market analysis
Siti Muliana Samsi; Zarinah Yusof; Cheong, Kee Cheok - In: DLSU business & economics review 28 (2018) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10012263881
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Stock markets and the costs of banking crises
DeLean, Tess; Joyce, Joseph P. - In: Journal of financial economic policy 6 (2014) 4, pp. 342-361
Persistent link: https://www.econbiz.de/10011340416
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A Return to Fundamentals : Fausto Vicarelli’s Thought on Finance vs. Growth and Efficiency vs. Stability
Garofalo, Giuseppe - 2010
The present economic and financial crisis is taking place at the climax of a period in which mainstream economic theory, on the one hand, and global financial liberalization on the other, had given credit once again to the self-regulatory ability of markets, which also seemed to find...
Persistent link: https://www.econbiz.de/10013144468
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Global financial crisis in effecting asymmetrical co-integration between exchange rate and stock indexes of South Asian region : application of panel data NARDL and ARDL modelling...
Sheikh, Umaid A.; Tabash, Mosab I.; Asad, Muzaffar - In: Cogent business & management 7 (2020) 1, pp. 1-24
employing a Non-linear Panel autoregressive distributive lag model along with a Panel Asymmetric granger casualty test. For the … Panel-NARDL model, the Pre-crisis regime comprises of 289 observations from 1st January 2000 to 1st January 2008, the post … estimating Pesaran's 2004 CD test. Findings indicated that the linear panel-based ARDL model failed to establish long …
Persistent link: https://www.econbiz.de/10012654650