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On recessive and expansionary impact of financial development : empirical evidence
Nguena, Christian Lambert; Kodila-Tedika, Oasis - 2020
This paper mainly examines the effect of financial development on the recession, while controlling for potential recession factors. Using panel data of 129 countries spanning 1990-2010, we implemented "Locally Weighted Scatterplot Smoothing", "Local Linear" and "Iteratively Reweighted Least...
Persistent link: https://www.econbiz.de/10012221855
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On recessive and expansionary impact of financial development : empirical evidence
Nguena, Christian Lambert; Kodila-Tedika, Oasis - In: European journal of comparative economics 20 (2023) 1, pp. 97-130
We investigate the effects of financial development on recession while controlling for potential recession factors using data of about 129 countries covering the 1990-2010 period. To the best of our knowledge, this is the first study examining this relationship using a plural and innovative...
Persistent link: https://www.econbiz.de/10014318636
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Three essays on financial development in emerging markets
Diekmann, Katharina - 2012
Persistent link: https://www.econbiz.de/10010212785
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Cryptocurrencies, Stocks, and Economic Policy Uncertainty : A FAVAR Analysis
Civelli, Andrea; Jackson, Laura E. - 2023
We study the interactions between cryptocurrencies, stock markets, and economic policy uncertainty (EPU) by means of a Factor-Augmented Vector Autoregressive (FAVAR) framework. We rely on two market factors to model the comovements of returns within cryptocurrencies and stock markets. We...
Persistent link: https://www.econbiz.de/10014254302
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Can Stock Volatility Be Benign? New Measurements and Macroeconomic Implications
Huang, Yu-Fan - 2019
volatility — which are based on the maximum and minimum stock prices within a month. Good (bad) volatility is associated with … that (1) output, employment, and stock price plummet rapidly in response to a bad volatility shock, while their responses … to a good volatility shock are modest, and (2) bad volatility shocks explain the bulk of economic activity and stock …
Persistent link: https://www.econbiz.de/10012900449
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The Macroeconomic Effects of Uncertainty Shocks : The Role of the Financial Channel
Popp, Aaron - 2016
This paper studies the macroeconomic effects of uncertainty shocks with an emphasis on the interaction between elevated uncertainty and credit market conditions when the economy is in different regimes (recessions vs. non-recessions). We use a smooth-transition factor-augmented vector...
Persistent link: https://www.econbiz.de/10013003975
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House Prices, Credit Growth, and Excess Volatility : Implications for Monetary and Macroprudential Policy
Gelain, Paolo - 2016
used to dampen the resulting excess volatility, including a direct response to house price growth or credit growth in the … to house price growth or credit growth can stabilize some economic variables, it can significantly magnify the volatility …-average forecast rules for a subset of agents can significantly magnify the volatility and persistence of house prices and household …
Persistent link: https://www.econbiz.de/10013007544
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News and uncertainty shocks
Cascaldi-Garcia, Danilo; Galvão, Ana Beatriz C. - 2018
We provide novel evidence that technological news and uncertainty shocks, identified one at a time using VAR models as in the literature, are correlated; that is, they are not truly structural. We then proceed by proposing an identification scheme to disentangle the effects of news and financial...
Persistent link: https://www.econbiz.de/10011967370
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Forecasting Stock Market Volatility with Macroeconomic Variables in Real Time
Döpke, Jörg - 2016
We compared forecasts of stock market volatility based on real-time and revised …
Persistent link: https://www.econbiz.de/10012989311
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Financial development : a broader perspective
Reid, Richard - 2010
This paper seeks to add to the current debate about financial development and growth in the emerging world by looking … structures may be better suited to growth at certain stages of development but they may be less well suited in other …
Persistent link: https://www.econbiz.de/10008907303