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The hedging effectiveness of gold against US stocks in a post-financial crisis era
Shrydeh, Najib; Shahateet, Mohammed Issa; Mohammad, Suleiman - In: Cogent economics & finance 7 (2019) 1, pp. 1-23
and other market variables. To test the validity of this conception, this study applies a VAR-ADCC-BVGARCH model for 2 … spot prices and US equity prices following the 2007 Global Financial Crisis. It also aims at estimating hedging …,870 daily observations of US financial market during 2007-2017. Findings-The results suggest that the hedging effectiveness of …
Persistent link: https://www.econbiz.de/10014233046
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Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market
Panda, Ajaya Kumar; Nanda, Swagatika - In: Financial Innovation 3 (2017) 1, pp. 1-24
Background: The present study examines the short term dynamics and long term equilibrium relationship among the stock markets of 17 countries in Western Europe as well as the world market, using time series techniques. Methods: Weekly returns of market benchmark indices of the respective...
Persistent link: https://www.econbiz.de/10011808239
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Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market
Panda, Ajaya Kumar; Nanda, Swagatika - In: Financial innovation : FIN 3 (2017) 1, pp. 1-24
Background: The present study examines the short term dynamics and long term equilibrium relationship among the stock markets of 17 countries in Western Europe as well as the world market, using time series techniques. Methods: Weekly returns of market benchmark indices of the respective...
Persistent link: https://www.econbiz.de/10011590636
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Has 1997 Asian Crisis increased Information Flows between International Markets?
Climent, Francisco J.; Meneu, Vicente - Asociación Española de Economía y Finanzas … - 2001
The Asian crisis started on July 2, 1997 and caused turmoil in developed as well as emerging international stock markets. The objective of this paper is to analyse the movements and dynamic relationships among stock markets, together with their implications for information flows. We use the...
Persistent link: https://www.econbiz.de/10008493820
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In Search of Market Index Leaders: Evidence from World Financial Markets
Canegrati, Emanuele - Volkswirtschaftliche Fakultät, … - 2008
Granger-causality test, based on the Vector Autoregressive (VAR) model, in order to detect the causalities amongst indices …
Persistent link: https://www.econbiz.de/10005621659
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Emerging Asia: Decoupling or Recoupling
Kim, Soyoung; Lee, Jong-Wha; Park, Cyn-Young - 2009
global levels. Then, by employing a panel vector autoregression (VAR) model, we estimate the degree of real economic …
Persistent link: https://www.econbiz.de/10010507472
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Emerging Asia : decoupling or recoupling
Kim, So-yŏng; Lee, Jong-Wha; Park, Cyn-Young - 2009
global levels. Then, by employing a panel vector autoregression (VAR) model, we estimate the degree of real economic …
Persistent link: https://www.econbiz.de/10011283453
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MACROECONOMIC IMPACTS OF THE INTEREST RATE SHOCKS IN THE SELECTED EURO AREA COUNTRIES
DURCOVÁ, Júlia - In: Journal of Advanced Studies in Finance III (2013) 2, pp. 140-150
VAR method where we will use the approach of the recursive Cholesky decomposition of the variance-covariance matrix. We …
Persistent link: https://www.econbiz.de/10010607589
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Consumption Smoothing Channels in Open Economies
Asdrubali, Pierfederico; Kim, Soyoung - Institute of Economic Research, Korea University - 2007
investments, inventories and trade balance). The estimation is conducted in a VAR framework, in which the minimal identifying …
Persistent link: https://www.econbiz.de/10005786101
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EFFECTS OF SINGLE MONETARY POLICY ON THE SELECTED ECONOMIC AND MONETARY UNION COUNTRIES. CASE OF SO-CALLED "PIIGS" COUNTRIES
BARTOKOVA, Ludmila - In: Journal of Applied Economic Sciences Quarterly VII (2012) 4, pp. 351-360
Monetary policy represents one of the most important policies of each country's policy mix. Understanding how monetary policy works and affects real economy is essential in understanding how changes in the settings of monetary instruments such as interest rate increase or decrease will affect...
Persistent link: https://www.econbiz.de/10010897983