In July 2021, the European central bank (ECB) announced the application of new environmental criteria to purchase private assets as part of its Quantitative Easing (QE) program. Using a Bayesian VAR model with time varying parameters and stochastic volatility (TVP-BVAR-SV), we investigate the...

This study considers the findings of previous research concerning the volatility and correlation transmission between equity and commodity markets and at- tempts to document evidence of contagion between these markets during four crises using the International Capital Asset Pricing Model...

In this paper we investigate the contagion effect between stock markets of U.S and sixteen OECD countries due to Global Financial Crisis (2007-2009). We apply Dynamic Conditional Correlation GARCH model Engle (2002) to daily stock price data (2002-2009). In order to recognize the contagion...

How financial market stability in oil exporting developing countries might be impacted by oil price fluctuations in the long term? The purpose of this paper is to answer this question. The present study is based on a sample including 35 net oil-exporting developing countries observed between...