The direction of volatility transmission between stock and foreign exchange markets is important for hedging strategy, portfolio management and financial market regulation. This paper examines volatility transmission between stock and foreign exchange markets by applying the multivariate GARCH...

In this paper we analyse household holdings of the broad monetary aggregate M3 in the euro area from 1991 until 2009. Households are the largest money-holding sector in the euro area. We develop four models, two in nominal, two in real terms, with satisfactory economic and statistical...

This paper investigates the empirical properties of oil, natural gas, and electricity price volatilities using a range of univariate and multivariate GARCH models and daily data from wholesale markets in the United States for the period from 2001 to 2013. The key contribution to the literature...

This paper examines the relationship between the energy and equity markets by estimating volatility impulse response functions from a multivariate BEKK model of the Goldman Sach's Energy Index and the S&P 500; in addition, we also calculate the time varying conditional correlations and time varying...

This paper analyzes the response of international oil producers to demand-induced changes in the price of crude oil during 1975–2011, focusing on potential differences between OPEC and non-OPEC countries. The goal is to derive consistent estimates of the short-run price elasticity of crude oil...

Departing from previous literature, using bootstrapped autoregressive metric causality approach which is more robust against non-stationarity and break problems than lag augmented tests, this study analyzes causal relation between economic growth and energy consumption in the Next 11 countries....

We employ a set of sign restrictions on the impulse responses of a Global VAR model, estimated for 38 countries/regions over the period 1979Q2–2011Q2, as well as bounds on impact price elasticities of oil supply and oil demand to discriminate between supply-driven and demand-driven oil-price...

Given the rapid rise and volatility of oil prices, the paper investigates the effect of oil price uncertainty on the South African manufacturing production using monthly observations covering the period 1974:02 to 2012:12. In addition, we quantify the responses of manufacturing production to...

In this analysis we more accurately capture the cointegrating relationship between natural gas and crude oil prices by endogenously incorporating shifts in the cointegrating vector into the estimation of the cointegrating equation. Specifically, we allow the cointegrating equation to switch...

This study aimed to analyze the existence of asymmetric transmission of prices in the Brazilian gasoline market following a regional approach, using a disaggregated data set for the period between May 2004 and February 2011. The main result finds evidence of symmetric price transmission in...