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Does the turbulence of the stock market terrify consumers? : evidence from a panel of U.S. States using pooled mean group estimation

Ebadi, Esmaeil - 2021

This paper elucidates the influence of stock market volatility on U.S. consumption using pooled mean group (PMG … market volatility on consumption are robust to the lag order, lag selection criteria, and outliers compared with the mean … group (MG) and the dynamic fixed effect (DFE) methods. I find that stock market volatility reduces total consumption …

Persistent link: https://www.econbiz.de/10012661246

Signed Spillover Effects Building on Historical Decompositions

Dungey, Mardi H. - 2017

The spillover effects of interconnectedness between financial assets are decomposed into both sources of shocks and whether they amplify or dampen volatility conditions in the target market. We use historical decompositions to rearrange information from a VAR which includes sources, direction...

Persistent link: https://www.econbiz.de/10012948930

Revisiting the Fractional Cointegrating Dynamics of Implied-Realized Volatility Relation with Wavelet Band Spectrum Regression

Baruník, Jozef - 2013

This paper revisits the fractional cointegrating relationship between ex-ante implied volatility and ex-post realized volatility. We argue that the concept of corridor implied volatility (CIV) should be used instead of the popular model-free option-implied volatility (MFIV) when assessing the...

Persistent link: https://www.econbiz.de/10013090381

Revisiting the long memory dynamics of implied-realized volatility relation : a new evidence from wavelet band spectrum regression

Barunik, Jozef; Barunikova, Michaela - 2015

This paper revisits the fractional co-integrating relationship between ex-ante implied volatility and ex-post realized volatility. Previous studies on stock index options have found biases and inefficiencies in implied volatility as a forecast of future volatility. It is argued that the concept...

Persistent link: https://www.econbiz.de/10011280711

A simple test for causality in volatility

Chang, Chia-Lin; McAleer, Michael - 2016

An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns, was the portmanteau statistic for non-causality in variance of Cheng and Ng (1996). A subsequent development was the Lagrange...

Persistent link: https://www.econbiz.de/10011556246

A simple test for causality in volatility

Chang, Chia-ling; McAleer, Michael - In: Econometrics : open access journal 5 (2017) 1, pp. 1-5

An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns was the portmanteau statistic for non-causality in the variance of Cheng and Ng (1996). A subsequent development was the Lagrange...

Persistent link: https://www.econbiz.de/10011654183

Invalid proxies and volatility changes

Angelini, Giovanni; Fanelli, Luca; Neri, Luca - 2024

When in proxy-SVARs the covariance matrix of VAR disturbances is subject to exogenous, permanent, nonrecurring breaks that generate target impulse response functions (IRFs) that change across volatility regimes, even strong, exogenous external instruments can result in inconsistent estimates of...

Persistent link: https://www.econbiz.de/10014495778

CDXIG Index, VIX and the Swap Curve Slope : A Study in Cross-Market Statistical Arbitrage

Gadiraju, Pavan - 2008

This article tries to track the CDXIG index 5y spreads by studying the effect of Equity Index Volatility (by employing VIX levels) and 5/10 US swap curve slope (calculated as the difference between the 10yr and 5yr swap rates) on the index spreads by employing an OLS regression within the...

Persistent link: https://www.econbiz.de/10014214125

Fiscal sustainability in the presence of structural breaks : does overconfidence on resource exports hurt government's ability to finance debt? ; evidence from Nigeria

Alhaji Jibrilla, Aliyu - In: Cogent economics & finance 4 (2016) 1, pp. 1-27

breaks, the study finds evidence of a cointegration relation between the government revenues and spending. The results did …

Persistent link: https://www.econbiz.de/10011487675

Effects of exchange rate, output gap, and output gap volatility on inflation volatility in Turkey

Özer, Mustafa; Grubišić, Zoran; Küçüksakarya, Sevilay - In: Journal of central banking theory and practice 12 (2023) 1, pp. 5-26

This study first investigates the short and long-run effectsof exchange rate, output gap and output gap volatility on inflationvolatility in Turkey by using the ARDL bounds testing approach.Second, we also examine the causal relationship among these vari-ables by using Toda-Yamamoto and...

Persistent link: https://www.econbiz.de/10014312187