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Testing for 'Contagion' of the Subprime Crisis on the Middle East and North African Stock Markets : A Markov Switching EGARCH Approach

Khallouli, Wajih - 2010

existence of pure contagion (Masson, 1999) rather than shift-contagion (Rigobon, 2003). Then, we explicitly define financial … “contagion” in accordance with Eichengreen et al. (1996) and we extend the Cerra and Saxena (2002) methodology by using a Markov … subprime crisis. In addition, there is evidence of mean and volatility contagion in MENA stock markets caused by the US stock …

Persistent link: https://www.econbiz.de/10013137463

Rational Speculative Bubbles and Commodities Markets : Application of Duration Dependence Test

Went, Peter - 2011

The presence of rational speculative bubbles in 28 commodities is investigated using the duration dependence test on the stochastic interest-adjusted basis. 11 of 28 commodities experienced some episodes of rational speculative bubble. These commodities are WTI crude oil, coffee, corn, soybean...

Persistent link: https://www.econbiz.de/10013121177

How Have the Turkish Post-2001 Stabilization Reforms Impacted on the Conditional Correlation between the Turkish and the Main Foreign Stock Markets?

Tuysuz, Sukriye - 2012

This paper investigates the impact of the Turkish post-2001 stabilization reforms on the conditional correlation between the Turkish stock index (ISE 100) and the four major stock indices (S&P 500, FTSE 100, DAX 30, NIKKEI 225). We evaluate these correlations for the period ranging from January...

Persistent link: https://www.econbiz.de/10013108281

On the Linkages between Stock Prices and Exchange Rates : Evidence from the Banking Crisis of 2007-2010

Caporale, Guglielmo Maria - 2013

This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...

Persistent link: https://www.econbiz.de/10013083258

On the Linkages between Stock Prices and Exchange Rates : Evidence from the Banking Crisis of 2007-2010

Caporale, Guglielmo Maria - 2013

Persistent link: https://www.econbiz.de/10013083442

Did Quantitative Easing Affect Interest Rates Outside the US? – New Evidence Based on Interest Rate Differentials

Belke, Ansgar Hubertus - 2016

This paper explores the effects of non-standard monetary policies on international yield relationships. Based on a descriptive analysis of international long-term yields, we find evidence that long-term rates have followed a global downward trend prior to as well as during the financial crisis....

Persistent link: https://www.econbiz.de/10013000543

Commodity-Currencies or Currency-Commodities : Evidence from Causality Tests

Belasen, Ariel R. - 2018

This paper presents a comparative analysis of the return and volatility spillovers across the commodity and currency markets for an expanded set of commodity-exporters and currencies that includes several emerging commodity-exporting nations in addition to the developed exporters that have often...

Persistent link: https://www.econbiz.de/10012926806

Interactions between Eurozone and US Booms and Busts : A Bayesian Panel Markov-Switching VAR Model

Billio, Monica - 2013

Interactions between the eurozone and US booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model well suitable for a multi-country cyclical analysis. The model accommodates changes in low and high data frequencies and endogenous...

Persistent link: https://www.econbiz.de/10013076662

Correlation Dynamics in East Asian Financial Markets

Kuper, Gerard H. - 2009

This paper examines the dynamic relationship between stock returns and exchange rate changes using daily data from March 3, 1995 to December 31, 2001 for six East Asian countries. We estimate conditional correlations using the multivariate GARCH-DCC model in order to disclose the relationship...

Persistent link: https://www.econbiz.de/10013158110

COVID 19’s Impact on Crude Oil and Natural Gas S&P GS Indexes

Aloui, Donia - 2020

On 12 March 2020, the sharp fell of U.S. crude oil price to 30 dollars was explained by the outspreads of coronavirus pandemic and the OPEC's inability to reach a production quota agreement. We employ the structural VAR model with time-varying coefficients and stochastic volatility (TVP-SVAR...

Persistent link: https://www.econbiz.de/10012835589