This paper investigates the relationship between economic growth and growth volatility through simultaneous equations system. By employing the identification through heteroskedasticity method of Rigobon (2003, Review of Economics and Statistics 85: 777-792) and using a panel of 158 countries...

This paper explores the relationship between equity prices and the current account for 17 industrialized countries in the period 1980 - 2007. Based on a panel vector autoregression, I compare the effects of equity price shocks to those originating from monetary policy and exchange rates. While...

This study examines the comovements of some economic variables and explores the structural factors of macroeconomic volatility in developing and transition economies, using dynamic panel technique. According to an analysis of variance and covariance, we conclude that macroeconomic volatilities...

Liberalization of energy sector and the ensuing creation of new markets for carbon emissions have increasingly triggered a need for understanding the volatility and correlation structure between carbon, energy and financial markets. This paper documents the existence of structural changes in...

In this study, we used the PSTR (panel smooth transition regression) model to investigate the nonlinear relationship between beta (systematic risk) and returns (world market excess returns) for net oil export and net oil import groups. We set the volatility of world market excess return as the...

This paper examines if overreaction of oil price forecasters is related to uncertainty. Furthermore, it takes into account impacts from oil price return and oil price volatility on forecast changes. The panel smooth transition regression model from González et al. (2005) is applied with...

This paper investigated the impact of exchange rate volatility on the automotive industry exports of Korea using a traditional long-run export demand model. In measuring the exchange rate volatility this study employed the General Autoregressive Conditional Heteroscedasticity [GARCH(1,1)] model...

This paper develops a new framework and statistical tools to analyze stock returns using high-frequency data. We consider a continuous-time multifactor model via a continuous-time multivariate regression model incorporating realistic empirical features, such as persistent stochastic volatilities...

We study empirically how various labor market institutions – (i) union density, (ii) unemployment benefit remuneration, and (iii) employment protection – shape fiscal multipliers and output volatility. Our theoretical model highlights that more stringent labor market institutions attenuate...