Showing 1 - 10 of 9,550
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...
Persistent link: https://www.econbiz.de/10014037578
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...
Persistent link: https://www.econbiz.de/10009788587
In the present paper the negative impact of interest rates on stock returns will be estimated for the European economies. Data are monthly during the year 2008 and cover the following countries: Belgium, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal and Spain. The elaboration of...
Persistent link: https://www.econbiz.de/10013156055
While there is a large body of literature on oil uncertainty-equity prices and/or returns nexus, an associated important question of how oil market uncertainty affects stock market bubbles remains unanswered. In this paper, we first use the Multi-Scale Log-Periodic Power Law Singularity...
Persistent link: https://www.econbiz.de/10015210403
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...
Persistent link: https://www.econbiz.de/10010438928
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...
Persistent link: https://www.econbiz.de/10012957613
In this paper we analyze the impact of exchange rate uncertainty on export flows among a panel of 27 countries throughout the 1994/01-2014/12 period. In order to do this, we apply a panel vector autoregressive model approach. By dividing the panel into two subgroups that involve...
Persistent link: https://www.econbiz.de/10012405919
In this paper we analyze the impact of exchange rate uncertainty on export flows among a panel of 27 countries throughout the 1994/01-2014/12 period. In order to do this, we apply a panel vector autoregressive model approach. By dividing the panel into two subgroups that involve...
Persistent link: https://www.econbiz.de/10013251922
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...
Persistent link: https://www.econbiz.de/10011800879
Persistent link: https://www.econbiz.de/10011757861