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Credit spread variability in the U.S. business cycle : the Great Moderation versus the Great Recession

Hollander, Hylton; Liu, Guangling - In: Journal of banking & finance 67 (2016), pp. 37-52

Persistent link: https://www.econbiz.de/10011634640

Effects of Financial Crises on the Long Memory Volatility Dependency of Foreign Exchange Rates : The Asian Crisis vs. the Global Crisis

Han, Young Wook - 2016

This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns …-parametric Local Whittle method to estimate the long memory volatility dependency of the daily returns and the temporally aggregated … returns of the two exchange rates. Then it compares the effects of the two financial crises on the long memory volatility …

Persistent link: https://www.econbiz.de/10013006577

Exchange Rate Volatility Response to Macroeconomic News : Evidence from the Great Recession

Ben Omrane, Walid - 2015

We examine the state-dependent volatility reaction to macroeconomic news in the euro-dollar, pound-dollar and yen …, the volatility reaction to macroeconomic news is larger in expansions compared to the recession period in the three … consistently associated with larger volatility response in expansions. New home sales and the Fed funds rate announcements, on the …

Persistent link: https://www.econbiz.de/10013021910

Inflation targeting and economic performance over the crisis : evidence from emerging market economies

Thuy Hang Duong - In: Asian journal of economics and banking : AJEB 6 (2022) 3, pp. 337-362

Purpose - Inflation targeting has increasingly become a popular monetary framework since its first introduction in New Zealand at the beginning of 1990. However, the causality effects of this policy on economic performance, particularly in periods of economic turmoil remain controversial. Thus,...

Persistent link: https://www.econbiz.de/10014231344

Does G7 engross the shock of COVID 19 : an assessment with market volatility?

Das, Nupur Moni; Rout, Bhabani Sankar; Khatun, Yashmin - In: Asia Pacific financial markets 30 (2023) 4, pp. 795-816

Persistent link: https://www.econbiz.de/10014391965

Central Bank's Value at Risk and Financial Crises : An Application to the 2001 Argentine Crisis

Nocetti, Diego - 2009

Blejer and Schumacher (1999) were the first to suggest that Central Bank's Value at Risk (VaR), a widely used composite measure of potential portfolio losses in the corporate sector, could be used as an early warning indicator of financial crises. We extend their research in two aspects. First,...

Persistent link: https://www.econbiz.de/10013157233