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This paper explores how the returns of country exchange traded funds (ETFs) respond to global risk factors in different … model (RS) with six global risk factors and identify three market regimes - bull, transitory and bear markets. The empirical … results show that both the returns of country ETFs and their sensitivities to the risk factors are highly regime dependent …
Persistent link: https://www.econbiz.de/10013114076
the impact of uncertainty risk on oil prices. Economic policy uncertainty and geopolitical risk were used as proxy … variables for economic and political uncertainty risk. The study results indicate that oil price is driven jointly by two … uncertain risk factors, where the impact of economic policy uncertainty is significantly greater than that of geopolitical risks …
Persistent link: https://www.econbiz.de/10014497145
This paper investigates the ability of gold to hedge worldwide risks from the perspective of global economic policy uncertainty (GEPU). By applying the full- and sub-sample rolling-window bootstrap causality tests to analyze the dynamic interaction between GEPU and gold price (GP). It can be...
Persistent link: https://www.econbiz.de/10012270374
We estimate and test long-run risk models using international macroeconomic and financial data. The benchmark model …
Persistent link: https://www.econbiz.de/10013225797
This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...
Persistent link: https://www.econbiz.de/10012584220
Persistent link: https://www.econbiz.de/10011968803
Persistent link: https://www.econbiz.de/10013349930
The efficiency of a nation's banking industry is a critical factor in the quest to realize economic growth and prosperity for its citizens. This study identifies a host of macroeconomic factors which have been shown to have a strong causal link with the efficient operation of a given banking...
Persistent link: https://www.econbiz.de/10013123936
The slope coefficient estimator in predictive regressions for stock returns is biased by a lagged stochastic regressor. There is also a spurious regression if the underlying expected return is highly persistent. This paper studies how the interactions between the two biases affect inferences...
Persistent link: https://www.econbiz.de/10013155218
The research was conducted in order to study the volatility in gold price returns and its investigation. The data has been collected on daily basis for the tenure of a couple of years starting from 1st January 2009 to 31st September 2011. The models used to run the data are: standard deviation...
Persistent link: https://www.econbiz.de/10013076098