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Evolution of Monetary Mechanism in the U.S : The Role of Asset Returns

Simo-Kengne, Beatrice - 2016

This paper investigates whether changes in the monetary transmission mechanism as captured by the interest rate respond to variations in asset returns. We distinguish between low-volatility (bull) and high-volatility (bear) markets and employ a TVP-VAR approach with stochastic volatility to...

Persistent link: https://www.econbiz.de/10013007288

Evolution of the monetary transmission mechanism in the US : the role of asset returns

Simo-Kengne, Beatrice D.; Miller, Stephen M.; Gupta, Rangan - In: The journal of real estate finance and economics 52 (2016) 3, pp. 226-243

Persistent link: https://www.econbiz.de/10011591659

Evolution of the Monetary Transmission Mechanism in the US : The Role of Asset Returns

Simo-Kengne, Beatrice D. - 2016

Persistent link: https://www.econbiz.de/10012997726

Predicting BRICS stock returns using ARFIMA models

Aye, Goodness C.; Balcilar, Mehmet; Gupta, Rangan; … - In: Applied financial economics 24 (2014) 16/18, pp. 1159-1166

Persistent link: https://www.econbiz.de/10010418936

Do cay and cayMS predict stock and housing returns? : evidence from a nonparametric causality test

Balcilar, Mehmet; Gupta, Rangan; Sousa, Ricardo M.; … - In: International review of economics & finance : IREF 48 (2017), pp. 269-279

Persistent link: https://www.econbiz.de/10011747274

International stock return predictability : is the role of U.S. time-varying?

Aye, Goodness C.; Balcilar, Mehmet; Gupta, Rangan - In: Empirica : journal of european economics 44 (2017) 1, pp. 121-146

Persistent link: https://www.econbiz.de/10011741339

Does country risks predict stock returns and volatility? : evidence from a nonparametric approach

Suleman, Tahir; Gupta, Rangan; Balcilar, Mehmet - In: Research in international business and finance 42 (2017), pp. 1173-1195

Persistent link: https://www.econbiz.de/10011760918

Does economic policy uncertainty predict exchange rate returns and volatility? : evidence from a nonparametric causality-in-quantiles test

Balcilar, Mehmet; Gupta, Rangan; Kyei, Clement; Wohar, … - In: Open economies review 27 (2016) 2, pp. 229-250

Persistent link: https://www.econbiz.de/10011591762

The causal relationship between economic policy uncertainty and stock returns in China and India : evidence from a bootstrap rolling window approach

Li, Xiao-Lin; Balcilar, Mehmet; Gupta, Rangan; Chang, … - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 674-689

Persistent link: https://www.econbiz.de/10011562548

The effect of gold market speculation on REIT returns in South Africa : a behavioral perspective

Akinsomi, Omokolade; Balcilar, Mehmet; Demirer, Rıza; … - In: Journal of economics and finance 41 (2017) 4, pp. 774-793

Persistent link: https://www.econbiz.de/10011802327