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Credit, asset prices and business cycles at the global level
Dées, Stéphane - 2015
This paper assesses the role of financial variables in real economic fluctuations, in view of analysing the link between financial cycles and business cycles at the global level. A Global VAR modelling approach, which has been proved suitable for modelling country or regional linkages, is used...
Persistent link: https://www.econbiz.de/10011476350
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Robust inference in time-varying structural VAR models : the DC-cholesky multivariate stochastic volatility model
Hartwig, Benny - 2020
Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are … divergent when volatility clusters idiosyncratically. It is illustrated that this property is important for empirical … multivariate stochastic volatility model is proposed as a robust alternative. …
Persistent link: https://www.econbiz.de/10012424283
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The impact of oil shocks on the Spanish economy
Gómez-Loscos, Ana; Montañés, Antonio; Gadea, María … - 2010
This paper analyses the impact of oil both price shocks on the GDP and prices in the Spanish economy and its seventeen NUTS-2 regions. The Qu and Perron (2007) and the Bai and Perron (1998, 2003a and 2003b) methods identify different periods across the sample. Evidence in favour of a diminishing...
Persistent link: https://www.econbiz.de/10011575575
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The impact of uncertainty and financial shocks in recessions and booms
Salzmann, Leonard - 2020
The literature has widely discussed the role of financial and economic uncertainty shocks for the macroeconomy. However, it has turned out to be difficult to isolate these shocks from financial market indicators and uncertainty proxies because any identifying restriction on their response...
Persistent link: https://www.econbiz.de/10012429635
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Comovement between the Chinese business cycle and financial volatility : based on a DCC-MIDAS model
Zheng, Yuhang; Wang, Zhenzhen; Huang, Zhehao; Jiang, Tianpei - In: Emerging markets, finance and trade : EMFT 56 (2020) 6, pp. 1181-1195
Persistent link: https://www.econbiz.de/10012211529
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Recent macroeconomic stability in China
He, Qing; Chen, Haiqiang - In: China economic review : an international journal 30 (2014), pp. 505-519
Persistent link: https://www.econbiz.de/10011396507
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Growth uncertainty, generalized disappointment aversion and production-based asset pricing
Liu, Hening; Miao, Jianjun - In: Journal of monetary economics 69 (2015), pp. 70-89
Persistent link: https://www.econbiz.de/10011326683
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Macroeconomic volatility and external imbalances
Fogli, Alessandra; Perri, Fabrizio - In: Journal of monetary economics 69 (2015), pp. 1-15
Persistent link: https://www.econbiz.de/10011326745
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The impact of COVID-19 on firm stock price volatility
Chamzallari, Marinela; Chantziaras, Antonios; Grose, Chris - In: Business Development and Economic Governance in …, (pp. 433-450). 2022
Persistent link: https://www.econbiz.de/10013415121
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Cycles inside cycles : Spanish regional aggregation
Gomez Loscos, Ana; Gadea, María Dolores; Montañés, … - 2011
This paper sets out a comprehensive framework to identify regional business cycles within Spain and analyses their stylised features and the degree of synchronization present among them and the Spanish economy. We show that the regional cycles are quite heterogeneous although they display some...
Persistent link: https://www.econbiz.de/10011555075