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Oil price shocks, equity markets, and contagion effect in OECD countries

Guesmi, Khaled; Abid, Ilyes; Creti, Anna; Ftiti, Zied - In: The European Journal of Comparative Economics (EJCE) 17 (2020) 2, pp. 155-183

This paper revisits the dynamic linkages between the Brent oil market and OECD stock markets. Econometrically, we use a multivariate corrected dynamic conditional correlation fractionally integrated asymmetric power ARCH (c-DCC-FIAPARCH) process, controlling main financial time-series features...

Persistent link: https://www.econbiz.de/10015419549

The determinants of sovereign risk premiums in the UK and the European government bond market: the impact of Brexit

Kadiric, Samir - In: International Economics and Economic Policy 19 (2022) 2, pp. 267-298

This paper analyzes recent developments in the British and European government bond markets with reference to the UK's decision to leave the European Union. The two main goals of the study are, firstly, to examine whether the Brexit referendum result has affected the risk premium and, secondly,...

Persistent link: https://www.econbiz.de/10015209752

Does oil prices shock matter in the Nigerian economy? Empirical evidence from sign-identified Structural Vector Autoregression

Aliyu, Nazifi; Saheed, Z. S.; Alexander, A. A.; … - In: West African Journal of Monetary and Economic Integration 18 (2018) 2, pp. 47-69

This study explores the dynamic linkage of exogenous oil shock and economic activity in Nigeria in Nigeria via a sign … product react instantaneously, although short-lived, following a unit standard deviation change in oil shock while exchange … rate and other variables of interest react, slowly and insignificantly, with several lags after shock initialization …

Persistent link: https://www.econbiz.de/10013362910

Internationale Finanzmarktintegration stärkt Abwehrkräfte einer Volkswirtschaft gegen Folgen von Naturkatastrophen

Bremus, Franziska; Rieth, Malte - In: DIW Wochenbericht 90 (2023) 11, pp. 127-134

Aufgrund des Klimawandels kommt es häufiger zu Stürmen, Überschwemmungen und anderen Naturkatastrophen. Die vorliegende empirische Analyse zeigt, dass eine bessere Integration von Ländern in internationale Finanzmärkte die gesamtwirtschaftlichen Abwehrkräfte gegen solche Schocks stärkt....

Persistent link: https://www.econbiz.de/10014290013

Causal dynamics among foreign portfolio investment volatility, financial deepening and capital markets in low income countries

Mamvura, Kuziva; Sibanda, Mabutho; Rajaram, Rajendra - In: SPOUDAI - Journal of Economics and Business 70 (2020) 1/2, pp. 20-38

This study investigated the directional linkages among net foreign portfolio investment volatility, financial deepening and capital market performance in low-income Southern African Development Community (SADC) countries employing a dynamic panel vector error correction model (P-VECM) on...

Persistent link: https://www.econbiz.de/10014477256

Examining spillover effect of US monetary policy to European stock markets: A Markov-Switching approach

Mumtaz, Muhammad Zubair; Smith, Zachary Alexander - In: Estudios de Economía 46 (2019) 1, pp. 89-124

This study empirically examines the spillover effect from US monetary policy to nineteen European economies using Markov-switching models. The results of the univariate Markov-switching models validate the presence of two distinct regimes for both US monetary policy and the stock markets. We...

Persistent link: https://www.econbiz.de/10014486133

The dynamics of Australian stock indices and commodities based on MGARCH-DCC and wavelet techniques

Abdullah, Ahmad Monir; Wahab, Hishamuddin Abdul; … - In: Cogent Business & Management 9 (2022) 1, pp. 1-29

This paper aims to investigate the extent of hedging and diversification opportunities available for an Australian investor who holds a portfolio consisting of Australian conventional and Islamic indices, crude oil, gold, Bitcoin, and the Australia-US exchange rate of daily data from 2011 to...

Persistent link: https://www.econbiz.de/10014505734

Equity-Bond Returns Correlation and the Bond Yield: Evidence of Switching Behaviour from the G7 Markets

Humpe, Andreas; McMillan, David G. - In: Credit and Capital Markets – Kredit und Kapital 49 (2016) 3, pp. 415-444

standpoint of established finance theory, we would expect a positive returns correlation, however, evidence has been presented to …

Persistent link: https://www.econbiz.de/10014522949

Zur Effektivität der Politik der Quantitativen Lockerung am Beispiel des QE1-Programms der US-Fed

Belke, Ansgar; Osowski, Thomas - In: Credit and Capital Markets – Kredit und Kapital 50 (2017) 2, pp. 131-149

weltweite Entwicklung der Langfristzinsen vor und während der Finanzkrise von einem globalen Abwärtstrend geprägt war. Unter … stability of the US-Euro long-term interest rate relationship by using a CVAR and, in particular, recursive estimation methods …

Persistent link: https://www.econbiz.de/10014523155

Monetary ease: A factor behind financial crises? Some evidence from OECD countries

Ahrend, Rudiger - In: Economics: The Open-Access, Open-Assessment E-Journal 4 (2010) 2010-12, pp. 1-30

This paper addresses the question of whether and how easy monetary policy may lead to excesses in financial and real asset markets and ultimately result in financial dislocation. It presents evidence suggesting that periods when short-term interest rates were persistently and significantly below...

Persistent link: https://www.econbiz.de/10010300027