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Economic policy uncertainty shocks and stock-bond correlations : evidence from the US market
Li, Xiaoming; Zhang, Bing; Gao, Ruzhao - In: Economics letters 132 (2015), pp. 91-96
Persistent link: https://www.econbiz.de/10011431392
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Analyzing the EU sovereign debt crisis by a new asymmetric copula with reversible correlations
Kobayashi, Masahito; Chen, Jinghui - In: Applied economics 54 (2022) 56, pp. 6497-6509
Persistent link: https://www.econbiz.de/10013411390
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Macroeconomic surprises, market environment, and safe-haven currencies
Jäggi, Adrian; Schlegel, Martin; Zanetti, Attilio - In: Swiss Journal of Economics and Statistics 155 (2019) 5, pp. 1-21
We study the reaction of the CHF and JPY to macroeconomic surprises and changes in the broader market environment before and during the crisis using high-frequency data. Results show that the CHF and JPY are traditionally more sensitive to macroeconomic surprises than other currencies,...
Persistent link: https://www.econbiz.de/10013205771
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Macroeconomic surprises and stock returns in South Africa
Gupta, Rangan; Reid, Monique - In: Studies in economics and finance 30 (2013) 3, pp. 266-282
Persistent link: https://www.econbiz.de/10009772954
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Impact of macroeconomic surprises on the Brazilian yield curve and expected inflation
Moura, Marcelo; Gaião, Rafael Ladeira - In: The North American journal of economics and finance : a … 27 (2014), pp. 114-144
Persistent link: https://www.econbiz.de/10010460890
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Dynamic impact of the US monetary policy on oil market returns and volatility
Marfatia, Hardik A.; Gupta, Rangan; Cakan, Esin - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 159-169
Persistent link: https://www.econbiz.de/10012655291
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Macroeconomic surprises, market environment and safe-haven currencies
Jäggi, Adrian; Schlegel, Martin; Zanetti, Attilio - 2016
Persistent link: https://www.econbiz.de/10011586786
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The effects of the global financial crisis on the Colombian local currency bonds prices : an event study
Cayon, Edgardo; Sarmiento-Sabogal, Julio; Shukla, Ravi - In: Journal of economic studies 43 (2016) 4, pp. 624-645
Persistent link: https://www.econbiz.de/10011692405
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The international REIT's time-varying response to the U.S. monetary policy and macroeconomic surprises
Marfatia, Hardik A.; Gupta, Rangan; Cakan, Esin - In: The North American journal of economics and finance : a … 42 (2017), pp. 640-653
Persistent link: https://www.econbiz.de/10011938217
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Macroeconomic surprises, market environment, and safe-haven currencies
Jäggi, Adrian; Schlegel, Martin; Zanetti, Attilio - In: Swiss journal of economics and statistics 155 (2019) 5, pp. 1-21
We study the reaction of the CHF and JPY to macroeconomic surprises and changes in the broader market environment before and during the crisis using high-frequency data. Results show that the CHF and JPY are traditionally more sensitive to macroeconomic surprises than other currencies,...
Persistent link: https://www.econbiz.de/10012041720