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Do stock prices impact consumption and interest rate in South Africa? : evidence from a time-varying vector autoregressive model

Aye, Goodness C.; Gupta, Rangan; Modise, Mampho P. - In: Journal of emerging market finance 14 (2015) 2, pp. 176-196

Persistent link: https://www.econbiz.de/10011378505

Determinants of the CNY/USD exchange rate : a simultaneous-equation model

Hsing, Yu - In: International journal of monetary economics and finance 8 (2015) 3, pp. 274-281

Persistent link: https://www.econbiz.de/10011502648

The response of stock market volatility to futures-based measures of monetary policy shocks

Gospodinov, Nikolaj; Jamali, Ibrahim - 2014

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …

Persistent link: https://www.econbiz.de/10010395968

Asymmetric generalized impulse responses with an application in finance

Hatemi-J, Abdulnasser - In: Economic modelling 36 (2014), pp. 18-22

Persistent link: https://www.econbiz.de/10010412088

Central bank announcements and realized volatility of stock markets in G7 countries

Lyócsa, Štefan; Molnár, Peter; Plíhal, Tomáš - In: Journal of international financial markets, … 58 (2019), pp. 117-135

Persistent link: https://www.econbiz.de/10012127844

Quantitative easing announcements and high-frequency stock market volatility : evidence from the United States

Corbet, Shaen; Dunne, John James; Larkin, Charles - In: Research in international business and finance 48 (2019), pp. 321-334

Persistent link: https://www.econbiz.de/10012135920

The Bitcoin-macro disconnect

Benigno, Gianluca; Rosa, Carlo - 2023

This paper investigates the link between Bitcoin and macroeconomic fundamentals by estimating the impact of macroeconomic news on Bitcoin using an event study with intraday data. The key result is that, unlike other U.S. asset classes, Bitcoin is orthogonal to monetary and macroeconomic news....

Persistent link: https://www.econbiz.de/10013548985

Systemic tail risk: high-frequency measurement, evidence and implications

Erdemlioglu, Deniz; Neely, Christopher J.; Yang, Xiye - 2023

Persistent link: https://www.econbiz.de/10014320683

The time-varying effects of permanent and transistory shocks to real output

Keating, John William; Valcarcel, Victor J. - In: Macroeconomic dynamics 19 (2015) 3, pp. 477-507

Persistent link: https://www.econbiz.de/10011308634

A tale of two major postwar business cycle episodes

Khan, Hashmat; Phaneuf, Louis; Victor, Jean Gardy - 2020 - revised 20 April 2020

Persistent link: https://www.econbiz.de/10012228112

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