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A dynamic exchange rate model with heterogeneous agents

Gori, Michele; Ricchiuti, Giorgio - In: Journal of evolutionary economics : JEE 28 (2018) 2, pp. 399-415

Persistent link: https://www.econbiz.de/10011948958

On the concept of endogenous volatility

Gomes, Orlando - In: Complexity in economics : cutting edge research, (pp. 99-115). 2014

Persistent link: https://www.econbiz.de/10011500871

Business cycles, financial conditions, and nonlinearities

Mendieta-Muñoz, Ivan; Sündal, Doğuhan - In: Metroeconomica : international review of economics 73 (2022) 2, pp. 343-383

Persistent link: https://www.econbiz.de/10013190592

Nonlinear effects of uncertainty shocks : state-dependency and asymmetry

Morita, Hiroshi; Yuasa, Shiro - 2022

Persistent link: https://www.econbiz.de/10013550316

Estimating financial integration in Europe : how to separate structural trends from cyclical fluctuations

Lake, Alfred; Maurin, Laurent; Minnella, Enrico - 2022

We construct a new indicator of de facto financial integration in the EU. The resulting indicator is pro-cyclical as it evolves along the cyclical pattern of economic activity in the European Union. It is then appended to a set of relevant financial and macroeconomic variables, within a FAVAR...

Persistent link: https://www.econbiz.de/10013453687

Endogenous Growth, Monetary Shocks and Nominal Rigidities

Annicchiarico, Barbara; Pelloni, Alessandra; Rossi, Lorenza - 2010

We introduce endogenous growth in an otherwise standard NK model with staggered prices and wages. Some results follow …: (i) monetary volatility negatively affects long-run growth; (ii) the relation between nominal volatility and growth … increases the negative effect of nominal volatility on mean growth. …

Persistent link: https://www.econbiz.de/10010343890

Financial openness and business cycle volatility

Buch, Claudia M.; Döpke, Jörg; Pierdzioch, Christian - 2002

This paper discusses whether the integration of international financial markets affects business cycle fluctuations. In the framework of a new open economy macro-model, we show that the link between financial openness and business cycle volatility depends on the nature of the underlying shock....

Persistent link: https://www.econbiz.de/10011475038

Asymmetric connectedness of stocks : how does bad and good volatility spill over the US stock market?

Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in financial markets. Yet, the large literature studying information transmission mechanisms ignores the fact that bad and good volatility may spill over at different magnitudes....

Persistent link: https://www.econbiz.de/10010407529

Financial regimes and uncertainty shocks

Alessandri, Piergiorgio; Mumtaz, Haroon - In: Journal of monetary economics 101 (2019), pp. 31-46

Persistent link: https://www.econbiz.de/10012264750

Do asset price drops foreshadow recessions?

Bluedorn, John Christopher; Decressin, Jörg; Terrones, … - In: International journal of forecasting 32 (2016) 2, pp. 518-526

Persistent link: https://www.econbiz.de/10011597180

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