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Decomposing the effect of domestic and foreign economic policy uncertainty shocks on real and financial sectors : evidence from BRIC countries
Kumar, Ameet; Kalhoro, Muhammad Ramzan; Kumar, Rakesh; … - In: Journal of risk and financial management : JRFM 13 (2020) 12/315, pp. 1-23
This study examines the impact of domestic and foreign shocks on the real and financial sector of BRIC countries. For … this purpose, we use a structural vector autoregressive (SVAR) model over the extended period of 1997 to 2016. We conclude … shocks on bank credit provided, implying its role in multiplying the impact of shocks on real variables. Surprisingly EPU of …
Persistent link: https://www.econbiz.de/10012392584
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Asset prices and expected monetary policy : evidence from daily data
Ivrendi, Mehmet; Pearce, Douglas Kenneth - In: Applied economics 46 (2014) 7/9, pp. 985-995
Persistent link: https://www.econbiz.de/10010399527
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Measuring global financial market stresses
Groen, Jan J. J.; Nattinger, Michael B.; Noble, Adam I. - 2020
We propose measures of financial market stress for forty-six countries and regions across the world. Our measures indicate that worldwide financial market stresses rose significantly in March following the widespread economic shutdowns in the wake of the COVID-19 pandemic. However, hardly...
Persistent link: https://www.econbiz.de/10012268021
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The impact of US economic policy uncertainty shock on GCC stock market performance
Alqahtani, Abdullah; Taillard, Michael - In: Asian journal of law and economics 10 (2019) 2, pp. 1-13
Persistent link: https://www.econbiz.de/10012105345
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Asymmetric impacts of disaggregated oil price shocks on uncertainties and investor sentiment
Shahzad, Syed Jawad Hussain; Bouri, Elie; Raza, Naveed; … - In: Review of quantitative finance and accounting 52 (2019) 3, pp. 901-921
Persistent link: https://www.econbiz.de/10012171747
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Economic policy uncertainty, oil and stock markets in BRIC : evidence from quantiles analysis
Yuan, Di; Li, Sufang; Li, Rong; Zhang, Feipeng - In: Energy economics 110 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013349913
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The US inflation-unemployment tradeoff: methodological issues and further evidence
Karanassou, Marika; Sala, Héctor - 2009
inflation/unemployment responses to money growth shocks. SVAR (structural vector autoregression) and GMM (generalised method of …
Persistent link: https://www.econbiz.de/10010276468
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Do Bivariate SVAR Models with Long-Run Identifying Restrictions Yield Reliable Results? The Case of Germany
van Zandweghe, Willem; Gottschalk, Jan - 2001
Bivariate SVAR models employing long-run identifying restrictions are often used to investigate the source of business …? shocks. To investigate this issue, we evaluate for German data the consistency of results from different bivariate SVAR …
Persistent link: https://www.econbiz.de/10010276923
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Sources of current account fluctuations in industrialized countries
Karadimitropoulou, Aikaterini; León-Ledesma, Miguel A. - 2009
-goods inter-temporal framework, we build a SVAR model including the world real interest rate, net output, real exchange rate, and … the current account. The theory model allows for the identification of structural shocks in the SVAR using longrun …
Persistent link: https://www.econbiz.de/10010277812
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Identifying VARs through heterogeneity: An application to bank runs
De Graeve, Ferre; Karas, Alexei - 2010
We propose to incorporate cross-sectional heterogeneity into structural VARs. Heterogeneity provides an additional dimension along which one can identify structural shocks and perform hypothesis tests. We provide an application to bank runs, based on microeconomic deposit market data. We impose...
Persistent link: https://www.econbiz.de/10010320742