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the conventional symmetrical panel ARDL (PARDL) model was not able to formulate long-run cointegration between currency …The existing literature has explained the causality flow from the exchange rates toward the stock market without … affecting the nonlinear causality flowing from the exchange rates toward the stock market indexes of the ASEAN-5 region. The …
Persistent link: https://www.econbiz.de/10013545812
We examine the effect of demographic shifts on asset prices in an overlapping generations model with endogenous population dynamics. We establish a robust inverse relationship between returns and the old dependency ratio. We document the absence of a simple monotonic relationship between asset...
Persistent link: https://www.econbiz.de/10013466466
We consider whether key financial variables predict macroeconomic series and if any predictive power for output growth is also seen in consumption or investment growth. Such information will allow the use of financial markets as a leading indicator for macroeconomic performance. Full sample...
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This paper investigates the dynamics between financial development, governance quality, renewable energy consumption, urbanization, oil prices, and environmental quality in 123 selected countries during the period 1990-2017. In particular, we examine the conditional effect of governance quality...
Persistent link: https://www.econbiz.de/10013213546
This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by exploring a novel dimension of systemic risk: loss...
Persistent link: https://www.econbiz.de/10012499703
the period 1980 - 2007. Based on a panel vector autoregression, I compare the effects of equity price shocks to those … fluctuations, equity prices, panel vector autoregression …
Persistent link: https://www.econbiz.de/10010384487