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Decomposing the effect of domestic and foreign economic policy uncertainty shocks on real and financial sectors : evidence from BRIC countries
Kumar, Ameet; Kalhoro, Muhammad Ramzan; Kumar, Rakesh; … - In: Journal of risk and financial management : JRFM 13 (2020) 12/315, pp. 1-23
This study examines the impact of domestic and foreign shocks on the real and financial sector of BRIC countries. For … this purpose, we use a structural vector autoregressive (SVAR) model over the extended period of 1997 to 2016. We conclude … shocks on bank credit provided, implying its role in multiplying the impact of shocks on real variables. Surprisingly EPU of …
Persistent link: https://www.econbiz.de/10012392584
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Measuring global financial market stresses
Groen, Jan J. J.; Nattinger, Michael B.; Noble, Adam I. - 2020
We propose measures of financial market stress for forty-six countries and regions across the world. Our measures indicate that worldwide financial market stresses rose significantly in March following the widespread economic shutdowns in the wake of the COVID-19 pandemic. However, hardly...
Persistent link: https://www.econbiz.de/10012268021
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Can economic policy uncertainty predict financial stress? : a MIDAS approach
Xiong, Xiong; Liu, Jiakou; Liu, Zhifeng - In: Applied economics letters 29 (2022) 1, pp. 22-29
Persistent link: https://www.econbiz.de/10012803323
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The impact of own-country, USA and China's economic policy uncertainty on stock market returns : evidence from war, epidemic and financial crisis periods
Guenichi, Hassen; Khalfaoui, Hamdi; Chouaibi, Néjib - In: International journal of sustainable economy : IJSE 13 (2021) 2, pp. 126-149
Persistent link: https://www.econbiz.de/10012533215
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What drives Bitcoin's price crash risk?
Kalyvas, Antonios; Papakyriakou, Panayiotis; Sakkas, … - In: Economics letters 191 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012508027
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Financial stress, economic policy uncertainty, and oil price uncertainty
Apostolakis, George N.; Floros, Christos; Gillas, … - In: Energy economics 104 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10013364361
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Global financial stress index and long-term volatility forecast for international stock markets
Liang, Chao; Luo, Qin; Li, Yan; Luu Duc Toan Huynh - In: Journal of international financial markets, … 88 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014482967
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BRIC and the US financial crisis : an empirical investigation of stock and bond markets
Bianconi, Marcelo; Yoshino, Joe Akira; Machado de … - In: Emerging markets review 14 (2013), pp. 76-109
Persistent link: https://www.econbiz.de/10009727963
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A wavelet perspective of crisis contagion between advanced economies and the BRIC markets
Gurdgiev, Constantin; O'Riordan, Conor - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-29
financialization bubble period and the resulting Global Financial Crisis, we study volatility spillovers arising from the BRIC, U … fragmented literature that document time-varying and imperfect BRIC markets’ integration with mature economies. Overall, we show … that arbitrage opportunities continue to exist in international stock market portfolios with respect to BRIC assets. In a …
Persistent link: https://www.econbiz.de/10012794261
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Co-movement among US, frontier and BRIC equity markets after the financial crisis
Amanjot Singh; Manjit Singh - In: Global business review 19 (2018) 2, pp. 311-327
Persistent link: https://www.econbiz.de/10011860502