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Volatility transmission between stock market and foreign exchange returns : evidence from Botswana, Kenya and South Africa

Braha, Emmanuel Anoruo Habtu - In: African journal of business and economic research : AJBER 6 (2011) 2/3, pp. 73-91

Persistent link: https://www.econbiz.de/10009707921

The response of stock market volatility to futures-based measures of monetary policy shocks

Gospodinov, Nikolaj; Jamali, Ibrahim - 2014

's effect on fundamentals. The estimation results from a bivariate VAR-GARCH model suggest that the Fed does not respond to the …In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to …

Persistent link: https://www.econbiz.de/10010395968

Official intervention and exchange rate determination : evidence from India

Rishad, Abdul; Gupta, Sanjeev; Sharma, Akhil - In: Global journal of emerging market economies 13 (2021) 3, pp. 357-379

Persistent link: https://www.econbiz.de/10012623987

Relationship between output volatility and output in OECD countries revisited

Ekinci, Aykut - In: Prague economic papers : a bimonthly journal of … 31 (2022) 6, pp. 509-537

Persistent link: https://www.econbiz.de/10013499340

Effects of information related to the Russia-Ukraine conflict on stock volatility : an EGARCH approach

Gheorghe, Cătălin; Panazan, Oana - In: Cogent economics & finance 11 (2023) 2, pp. 1-33

. This study aims to quantify the volatility engendered by the conflict, drawing from the analysis of stock market indices … across 40 countries. Time-series returns data from January 1 to December 31, 2022, were examined utilizing EGARCH econometric … models. The relationship between volatility and news regarding the conflict was analyzed through a vector autoregression …

Persistent link: https://www.econbiz.de/10014503057

Political news and stock market reactions : evidence from Turkey over the period 2008-2017

Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98

nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH … volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

Persistent link: https://www.econbiz.de/10012131511

Exchange rate volatility and central bank actions in Egypt : generalized autoregressive conditional heteroscedasticity analysis

Šarīf, Marwa aš- - In: International journal of economics and financial issues … 6 (2016) 3, pp. 1209-1216

Persistent link: https://www.econbiz.de/10011698097

Modelling exchange rate variations and global shocks in Brazil

Ngalawa, Harold; Kutu, Adebayo Augustine - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 35 (2017) 1, pp. 73-95

Persistent link: https://www.econbiz.de/10012211655

Brexit referendum : impact on the exchange rate (Pound/INR)

Chadha, Neetu; Jain, Divya - In: International journal of business competition and … 7 (2020) 2, pp. 164-174

Persistent link: https://www.econbiz.de/10012506231

Central bank information shocks and exchange rates

Franz, Thorsten - 2020 - This version: February 2020

The dynamic effects of ECB announcements, disentangled into pure monetary policy and central bank information shocks, on the euro (EUR) exchange rate are examined using a Bayesian Proxy Vector Autoregressive (VAR) model fed with high-frequency data. Contractionary monetary policy shocks result...

Persistent link: https://www.econbiz.de/10012180641