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assess the effects of an uncertainty shock in the Euro area. This allows us to treat macroeconomic uncertainty as a latent … consequences jointly, and most are based on single country models. We analyze the special case of a shock restricted to the Euro … for all countries over a period of roughly a year following an uncertainty shock. Moreover, equity prices, short …
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To investigate how economies, financial markets or institutions can deal with stress, we nowadays often analyze the effects of shocks conditional on a recession or a bear market. MSVAR models are ideally suited for such analyses because they combine gradual movement with sudden switches. In this...
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While the relationship between oil prices and stock markets is of great interest to economists, previous studies do not differentiate oil-exporting countries from oil-importing countries when they investigate the effects of oil price shocks on stock market returns. In this paper, we address this...
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We study the impact of economic policy uncertainty (EPU) shocks on the long-run stock market variances and correlations, primarily for the US and the UK. We find that US EPU shocks affect both US and UK stock market long-run variances and correlation, but UK EPU shocks only affect its own...
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