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Market, interest rate, and exchange rate risk effects on financial stock returns during the financial crisis : AGARCH-M approach

Mouna, Aloui; Anis, Jarboui - In: Cogent economics & finance 4 (2016) 1, pp. 1-16

-variate GARCH-in-mean model and volatility spillovers. The empirical results show the significant effects (positive and negative …, respectively) of the stock market returns, interest rate, and exchange rate volatility of the financial sector during the crisis …. Besides, we find, in most cases, significant (positive and negative, respectively) volatility spillovers from market return …

Persistent link: https://www.econbiz.de/10011450341

Economic shocks and civil conflict : evidence from foreign interest rate movements

Hall, Peter - In: Journal of development economics 103 (2013), pp. 77-89

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The optimal response of consumption, investment, and debt accumulation to an exogenous shock when the world interest rate is endogenous

Glenn, Kirsta M. - In: Journal of macroeconomics 19 (1997) 2, pp. 327-348

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Three essays on monetary economics

Chen, Shiu-sheng - 2004

Persistent link: https://www.econbiz.de/10003386775

Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market : the case of Turkey

Sensoy, Ahmet; Sobaci, Cihat - In: Economic modelling 43 (2014), pp. 448-457

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Financial contagion, interest rates and the role of the exchange rate as shock absorber in Central and Eastern Europe

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ECB monetary policy and commodity prices

Aliyev, Shahriyar; Kočenda, Evžen - 2022

Persistent link: https://www.econbiz.de/10013262620

ECB monetary policy and commodity prices

Aliyev, Shahriyar; Kočenda, Evžen - 2020

We analyze the impact of the ECB monetary policies on global aggregate and sectoral commodity prices using monthly data from January 2001 till August 2019. We employ a SVAR model and assess separately period of conventional monetary policy before global financial crisis (GFC) and unconventional...

Persistent link: https://www.econbiz.de/10012200289

ECB monetary policy and commodity prices

Aliyev, Shahriyar; Kočenda, Evžen - In: Review of international economics 31 (2023) 1, pp. 274-304

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Liquidity traps in a world economy

Kollmann, Robert - 2021

Persistent link: https://www.econbiz.de/10012542720