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A panel threshold VAR with stochastic volatility-in-mean model : an application to the effects of financial and uncertainty shocks in emerging economies
Soave, Gian Paulo - In: Applied economics 55 (2023) 4, pp. 397-431
Persistent link: https://www.econbiz.de/10013494431
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Financial shocks in an uncertain economy
Scotti, Chiara - 2023
Persistent link: https://www.econbiz.de/10014311466
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Global financial uncertainty shocks and external monetary vulnerability : the role of dominance, exposure, and history
Köhler, Karsten; Bonizzi, Bruno; Kaltenbrunner, Annina - In: Journal of international financial markets, … 88 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014482973
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Financial regimes and uncertainty shocks
Alessandri, Piergiorgio; Mumtaz, Haroon - 2014
Financial markets are central to the transmission of uncertainty shocks. This paper documents a new aspect of the … interaction between the two by showing that uncertainty shocks have radically different macroeconomic implications depending on … uncertainty is proxied by the (unobserved) volatility of the structural shocks, and a regime change occurs whenever credit …
Persistent link: https://www.econbiz.de/10010472852
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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
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The transmission of US economic policy uncertainty shocks to Asian and global financial markets
Kido, Yosuke - In: The North American journal of economics and finance : a … 46 (2018), pp. 222-231
Persistent link: https://www.econbiz.de/10012036619
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Uncertainty in financial markets and business cycles
Yıldırım-Karaman, Seçil - In: Economic modelling 68 (2018), pp. 329-339
Persistent link: https://www.econbiz.de/10011935382
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On portfolio frictions, asset returns and volatility
Eyquem, Aurélien; Poilly, Céline; Belianska, Anna - In: European economic review : EER 160 (2023), pp. 1-23
Persistent link: https://www.econbiz.de/10014461518
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Structural news shock, financial market uncertainty and China's business fluctuations
Ding, Yibing; Liu, Ziyu; Liu, Dayu - In: Pacific-Basin finance journal 76 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013552812
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Emerging stock market volatility and economic fundamentals : the importance of US uncertainty spillovers, financial and health crises
Karanasos, Menelaos; Yfanti, S.; Hunter, John - In: Risk management decisions and value under uncertainty, (pp. 1077-1116). 2022
Persistent link: https://www.econbiz.de/10013342085