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Firm level return-volatility analysis using dynamic panels
Smith, L. Vanessa; Yamagata, Takashi - In: Journal of empirical finance 18 (2011) 5, pp. 847-867
Persistent link: https://www.econbiz.de/10009492528
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The dynamics of exchange rate volatility : a panel VAR approach
Grossmann, Axel; Love, Inessa; Orlov, Alexei G. - In: Journal of international financial markets, … 33 (2014), pp. 1-27
Persistent link: https://www.econbiz.de/10011299874
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Oil price volatility, fiscal policy and economic growth : a Panel Vector Autoregressive (PVAR) analysis of some selected oil-exporting African countries
Omojolaibi, Joseph Ayoola; Egwaikhide, Festus O. - In: OPEC energy review 38 (2014) 2, pp. 127-148
Persistent link: https://www.econbiz.de/10010375373
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Cross-country evidence on the relation between equity prices and the current account
Berg, Tim Oliver - 2009
the period 1980 - 2007. Based on a panel vector autoregression, I compare the effects of equity price shocks to those … fluctuations, equity prices, panel vector autoregression …
Persistent link: https://www.econbiz.de/10010384487
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Comovements and structural factors of macroeconomic volatility in developing and transition economies : a dynamic panel data approach
Ouechtati, Ichraf; Zaouali, Amira - 2013
volatility in developing and transition economies, using dynamic panel technique. According to an analysis of variance and …
Persistent link: https://www.econbiz.de/10009788587
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The determinants of country's risk premium volatility : evidence from panel VAR model
Palić, Petra; Posedel Šimović, Petra; Vizek, Maruška - 2015
Persistent link: https://www.econbiz.de/10011443202
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Linking historical oil price volatility and growth : investment and trade dynamics
Abiona, Olukorede - In: International Journal of Energy Economics and Policy : IJEEP 5 (2015) 2, pp. 598-611
Persistent link: https://www.econbiz.de/10011455876
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Structural panel Bayesian VAR with multivariate time-varying volatility to jointly deal with structural changes, policy regime shifts, and endogeneity issues
Pacifico, Antonio - In: Econometrics : open access journal 9 (2021) 2, pp. 1-35
This paper improves a standard Structural Panel Bayesian Vector Autoregression model in order to jointly deal with …
Persistent link: https://www.econbiz.de/10012547425
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The macroeconomic cost of climate volatility
Alessandri, Piergiorgio; Mumtaz, Haroon - 2021
We study the impact of climate volatility on economic growth exploiting data on 133 countries between 1960 and 2005. We show that the conditional (ex ante) volatility of annual temperatures increased steadily over time, rendering climate conditions less predictable across countries, with...
Persistent link: https://www.econbiz.de/10012608712
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The impact of real exchange rate on international trade : evidence from panel structural VAR model
Aslan, Çağlayan; Çepni, Oğuzhan; Gül, Selçuk - In: Journal of international trade & economic development : … 30 (2021) 6, pp. 829-842
Persistent link: https://www.econbiz.de/10012608927