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The Natural Rate of Interest : Estimates, Drivers, and Challenges to Monetary Policy

Brand, Claus - 2019

Using a wide range of models we document a protracted fall in the natural (or neutral) rate of interest in advanced economies, driven by ageing, waning productivity growth, a rise in mark-ups, and a surge in risk aversion in the wake of the global financial crisis. While our neutral rate...

Persistent link: https://www.econbiz.de/10012893552

Conditional volatility spillover effects across emerging financial markets

Liow, Kim Hiang - In: Asia-Pacific journal of financial studies 44 (2015) 2, pp. 215-245

Persistent link: https://www.econbiz.de/10011458943

Volatility co-movements and spillover effects within the Eurozone economies : a multivariate GARCH approach using the financial stress index

MacDonald, Ronald; Sogiakas, Vasilios; Tsopanakis, Andreas - In: Journal of international financial markets, … 52 (2018), pp. 17-36

Persistent link: https://www.econbiz.de/10011986183

Volatility spillovers of Federal Reserve and ECB balance sheet expansions to emerging market economies

Apostolou, Apostolos; Beirne, John - 2017

This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve (FED … most susceptible to positive volatility spillovers from both the FED and ECB in terms of magnitude. Positive volatility … about ten. By contrast, we find that EME stock markets are subject to negative volatility spillovers. Moreover, we find only …