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Stock market volatility and Russia-Ukraine conflict
Wu, Feng-lin; Zhan, Xu-dong; Zhou, Jia-qi; Wang, Ming-hui - In: Finance research letters 55 (2023) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10014473312
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Liquidity Fluctuations in Over-the-Counter Markets
Maurin, Vincent - 2020
This paper presents a model of opaque secondary markets. Investors meet over-the-counter to trade heterogeneous assets under asymmetric information. An endogenous composition effect emerges whereby high liquidity alters the quality of the pool of sellers and decreases future liquidity. With...
Persistent link: https://www.econbiz.de/10012842866
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Capital market liberalization: optimal tradeoff and bargaining delay
Dong, Baomin; Gu, Xinhua; Song, Huasheng - In: The North American journal of economics and finance : a … 39 (2017), pp. 78-88
Persistent link: https://www.econbiz.de/10011878582
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Greek Debt Negotiations and VIX Currency Indices : A HYGARCH Approach
Dimitriou, Dimitrios I. - 2017
This study investigates the impact of the Greek debt negotiations, along with the increasing fears of a “Grexit”, on ….e., BPVIX, EUVIX and JYVIX) were used on daily changes, in order to estimate Hyperbolic GARCH(1,d,1) model with a “negotiations …” dummy in the mean equation. The results indicated the immunity of BPVIX, EUVIX and JYVIX to Greece's debt negotiations with …
Persistent link: https://www.econbiz.de/10012947754
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The relationship between conflict events and commodity prices in Sudan
Chen, Junyi; Kibriya, Shahriar; Bessler, David A.; … - In: Journal of policy modeling : JPMOD ; a social science … 40 (2018) 4, pp. 663-684
Persistent link: https://www.econbiz.de/10012053514
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Macroeconomic volatility and anti-refugee violence in developing countries : evidence from commodity price shocks
Lehmann, Michael Christian - In: Review of development economics : an essential resource … 27 (2023) 2, pp. 992-1012
Persistent link: https://www.econbiz.de/10014252577
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The Russian invasion of Ukraine and the exchange rate of the Polish zloty : a fallacy of monetary autonomy?
Borowski, Jakub; Jaworski, Krystian - In: International journal of management and economics 60 (2024) 1, pp. 33-45
We use the Twitter application programming interface to construct a novel indicator capturing the varying perceptions of geopolitical risk related to the war in Ukraine. We show that the Twitter variable is a statistically significant determinant of the EUR/PLN exchange rate following the...
Persistent link: https://www.econbiz.de/10014503199
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Non-fundamental exchange rate volatility and welfare
Straub, Roland; Tchakarov, Ivan - 2004
We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on economic activity and welfare. In the first part of the paper, the GARCH-SVARmodel is applied to measure empirically the effect of the conditional exogenous exchange rate...
Persistent link: https://www.econbiz.de/10009636551
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Sources of real exchange rate fluctuations : how important are nominal shocks?
Clarida, Richard H.; Galí, Jordi - 1994
Persistent link: https://www.econbiz.de/10000883655
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Jumps and stochastic volatility : exchange rate processes implicit in PHLX Deutschemark options
Bates, David S. - 1993
Persistent link: https://www.econbiz.de/10000884445