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Foreign Exchange and the Capital Market Dynamics : New Evidence from Non-linear Autoregressive Distributed Lag Model

Omoregie, Osaretin Kayode - 2020

-specific long-run, bi-directional, and unidirectional causality with stronger interrelation after the Global Financial Crisis. The …

Persistent link: https://www.econbiz.de/10012834326

Real Financial Market Exchange Rates and Capital Flows

Gelman, Maria - 2016

Foreign exchange rates and capital movements are expected to be closely related to each other as international capital markets become more and more integrated. To account for this fact we construct an index of real effective exchange rates as a weighted average of cross-country asset price...

Persistent link: https://www.econbiz.de/10012988647

Real exchange rate and economic growth : the interacting role of financial development in Nigeria

Farouq, Ibrahim Sambo; Sambo, Nuraddeen Umar - In: Iranian economic review : journal of University of Tehran 26 (2022) 4, pp. 905-921

Persistent link: https://www.econbiz.de/10013531089

Capital markets integration and cointegration : testing for the correct specification of stock market indices

Agoraki, Maria-Eleni K.; Georgoutsos, Demetris A.; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/186, pp. 1-20

capital integration with cointegration techniques. This approach minimizes the risk of accepting the null of no cointegration … provide partial support in favor of cointegration, and therefore for capital markets integration, among stock market indices … when proper attention is given to issues like the identification and temporal stability of the cointegration vectors as …

Persistent link: https://www.econbiz.de/10012171036

Real financial market exchange rates and capital flows

Gelman, Maria; Jochem, Axel; Reitz, Stefan - 2013

Persistent link: https://www.econbiz.de/10010211958

Real financial market exchange rates and capital flows

Gelman, Maria; Jochem, Axel; Reitz, Stefan; Taylor, Mark P. - 2014

Foreign exchange rates, asset prices and capital movements are expected to be closely related to each other as international capital markets become more and more integrated. This paper provides new empirical evidence from an index of exchange-rate adjusted cross-country asset price ratios, which...

Persistent link: https://www.econbiz.de/10010384182

A possible explanation of the 'exchange rate disconnect puzzle' : a common solution to three major macroeconomic puzzles?

Horioka, Charles; Ford, Nicholas - 2016

Meese and Rogoff (1983) and subsequent studies find that economic fundamentals are apparently not able to explain exchange rate movements, but we argue that this so-called "Exchange Rate Disconnect Puzzle" arose because researchers such as Meese and Rogoff (1983) did not use the right...

Persistent link: https://www.econbiz.de/10011502367

International risk sharing with endogenously Ssegmented asset markets

Cociuba, Simona E.; Ramanarayanan, Ananth - 2017

Asset price data imply a large degree of international risk sharing, while aggregate consumption data do not. We evaluate whether a model with trade in goods and endogenously segmented asset markets accounts for this puzzling discrepancy. Active households pay a fixed cost to transfer income...

Persistent link: https://www.econbiz.de/10011763742

A Stochastic Volatility Model with Conditional Skewness

Feunou, Bruno; Tédongap, Roméo - 2012

We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows current asset returns to be asymmetric conditional on...

Persistent link: https://www.econbiz.de/10014047692

A stochastic volatility model with conditional skewness

Feunou, Bruno; Tédongap, Roméo - 2011

Persistent link: https://www.econbiz.de/10009309462