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Exploring the asymmetric effects of economic policy uncertainty and implied volatilities on energy futures returns : novel insights from quantile-on-quantile regression

Bossman, Ahmed; Gherghina, Ştefan Cristian; … - In: Journal of business economics and management 23 (2022) 6, pp. 1351-1376

This study examined the asymmetric effects of major uncertainty and volatility indices (economic policy uncertainty, Chicago Board Options Exchange crude oil volatility, CBOE volatility index, CBOE VIX volatility, and NASDAQ 100 volatility target) on the returns of global energy and its...

Persistent link: https://www.econbiz.de/10013500979

Did real economic uncertainty drive risk connectedness in the oil-stock nexus during the COVID-19 outbreak? : A partial wavelet coherence analysis

Al-Shboul, Mohammad; Maghyereh, Aktham I. - In: Journal of economic structures : JES; the official … 12 (2023), pp. 1-23

This study explores the impact of real economic policy (business condition risk) on the oil-stock nexus risk … the effects of global risk indices, such as the US economic uncertainty index, the crude oil volatility index, and the … geopolitical risk index, on risk connectedness. The study is based on daily data from January 2018 to December 2020 and finds a …

Persistent link: https://www.econbiz.de/10014497264

Does US Economic Policy Uncertainty Spillover to UAE Stock Markets Volatility? Evidence from a TVP-VAR Connectedness

Maghyereh, Aktham Issa - 2023

This paper examines the spillover effects of the US economic policy uncertainty (EPU) on the UAE stock market volatility. The empirical analysis is mainly conducted using a novel approach based on combining the Diebold and Yilmaz (2014) connectedness index with the time-varying parameter vector...

Persistent link: https://www.econbiz.de/10014255189

Economic Policy Uncertainty and Risk Spillovers in the Eurozone

Bernal, Oscar - 2015

This paper focuses on the impact of economic policy uncertainty on risk spillovers within the Eurozone and contributes …) in the framework of financial systemic risk to sovereign bond market. Accordingly, we attempt (i) to measure the extent … (ii) to identify the determinants of risk spillovers by using a dynamic panel data model with macroeconomic state …

Persistent link: https://www.econbiz.de/10013029748

Short-term debt and bank risk

Du, Brian; Palia, Darius - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 2, pp. 815-835

Persistent link: https://www.econbiz.de/10011929527

Measuring confidence and uncertainty during the financial crisis : evidence from the CFS survey

Entorf, Horst; Knoll, Christian; Sattarova, Liliya - 2011 - Revised version July 2011

The CFS survey covers individual situations of banks and other companies of the financial sector during the financial crisis. This provides a rare possibility to analyze appraisals, expectations and forecast errors of the core sector of the recent turmoil. Following standard ways of aggregating...

Persistent link: https://www.econbiz.de/10009767078

Banks fearing the drought? : liquidity hoarding as a response to idiosyncratic interbank funding dry-ups

Littke, Helge C. N.; Ossandon Busch, Matias - 2018

Since the global financial crisis, economic literature has highlighted banks’ inclination to bolster up their liquid asset positions once the aggregate interbank funding market experiences a dry-up. To this regard, we show that liquidity hoarding and its detrimental effects on credit can also...

Persistent link: https://www.econbiz.de/10011863972

The impact of financial risks on economic growth in EU-15

Jianu, Ionuţ; Iacob, Laura-Mădălina; Tudorache, … - 2017

This paper examines the impact of financial risks on economic growth in the first 15 Member States of the European Union, considering 1995-2014 period and aims to lay down a new explanatory model of economic growth, based mainly on the behavioral reactivity of the financial disruptions mentioned...

Persistent link: https://www.econbiz.de/10012124345

Crash risk in individual stocks

Pederzoli, Paola - 2018

This paper implements a novel model-free methodology to measure skewness risk premia in individual stocks. The … skewness risk premium in individual stocks. The risk premium massively increased after the 2008/2009 financial crisis due to an … increase in the price of put options in individual stocks. Part of this skewness risk premium is idiosyncratic. Frictions on …

Persistent link: https://www.econbiz.de/10011899675

Systemic Risk and the Refinancing Ratchet Effect

Khandani, Amir E.; Lo, Andrew W.; Merton, Robert C. - Harvard Business School, Harvard University - 2009

near-frictionless refinancing opportunities-led to vastly increased systemic risk in the financial system. Individually …

Persistent link: https://www.econbiz.de/10005049582