The effects war and terrorism have on the covariance between oil prices and the indices of four major stock markets – the American S&P500, the European DAX, CAC40 and FTSE100 – using non-linear BEKK–GARCH type models are investigated. The findings indicate that the covariance between stock...

Beyond the loss of life and personal injuries that the victims of terrorist actions suffer and the atmosphere of fear terrorists seek to create with their premeditated use of brutal violence, terror also has real economic and political costs that go beyond the immediate costs and damages of a...

Using event study methodology and GARCH family models, the paper investigates the effects of two terrorist incidents - the bomb attacks of 11th March 2004 in Madrid and 7th July 2005 in London - on equity sectors. Significant negative abnormal returns are widespread across the majority of...

A key problem facing monetary policy makers is determining whether serious financial instability is present. Periods of financial instability are linked with low investors’ risk appetite (or in other words high risk aversion). Two different measures of investors’ risk aversion are used: (a)...

<Para ID="Par1">In this study, the interrelationship between major exchange rate returns (namely EUR/USD, GBP/USD, JPY/USD) and precious metal returns (gold and silver) is examined using a vector autoregressive model in a multivariate asymmetric GARCH framework on the intraday frequency. Our findings indicate a...</para>

This paper quantifies the importance of Optimal Currency Area (OCA) criteria for the monetary policy transmission mechanism at the regional level. The study employs a Bayesian PVAR model to measure the impact of monetary policy shocks on regional output of 58 regions of four South Euro-Zone...

In this paper, we examine the impact of monetary policy shocks to the real economy by investigating the effects on different regions. Annual data for GDP, employment and investment from 12 regions in Greece are used for the period 1980 to 2009. By using an unrestricted VAR model and the impulse...

This paper addresses the issue of impacts of central banks’ transparency on stock market volatility. Using a simple theoretical macroeconomic model, we analytically find a negative link between stock prices volatility and central bank transparency. By applying panel data analysis on a set of...

This paper examines whether the political colour of an incumbent government affects the speed at which fiscal imbalances are corrected in the case of the UK. Using quarterly data, we examine whether Conservative or Labour governments are more prone to operate under a soft budget constraint and...

American equity mutual funds of varying investment styles investing in Europe is examined, using Value at Risk (VaR) and expected tail loss (ETL) models developed through three techniques (parametric, nonparametric and style-based approach). Alternative VaR and ETL implementations might impact...