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Exchange return co-movements and volatility spillovers before and after the introduction of euro

Antonakakis, Nikolaos - 2012

Persistent link: https://www.econbiz.de/10009559164

Exchange return co-movements and volatility spillovers before and after the introduction of euro

Antonakakis, Nikolaos - 2012

This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss … franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic … with extreme economic episodes and, to a lower extend, with appreciations of the US dollar. Moreover, the euro (Deutsche …

Persistent link: https://www.econbiz.de/10011347744

International Spillovers of Output Growth and Output Growth Volatility : Evidence from the G7

Antonakakis, Nikolaos; Badinger, Harald - 2010

This paper examines the transmission of GDP growth and GDP growth volatility among the G7 countries over the period 1960 q1 - 2009 q3, using a multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model to identify the source and magnitude of spillovers. Results...

Persistent link: https://www.econbiz.de/10011374385

Have consumption risks in the G7 countries become diversified?

Antonakakis, Nikolaos; Scharler, Johann - 2011

This paper studies the dynamics of international consumption risk sharing among the G7 countries. Based on the dynamic conditional correlation model due to Engle (2002), we construct a time-varying, consumption-based measure of risk sharing. We find that although the exposure to countryspecific...

Persistent link: https://www.econbiz.de/10011346435

The relevance of international spillovers and asymmetric effects in the Taylor rule

Beckmann, Joscha; Belke, Ansgar; Dreger, Christian - 2015

Persistent link: https://www.econbiz.de/10011283149

International spillovers of output growth and output growth volatility : evidence from the G7

Antonakakis, Nikolaos; Badinger, Harald - 2010

Persistent link: https://www.econbiz.de/10008903111

Have consumption risks in the G7 countries become diversified?

Antonakakis, Nikolaos; Scharler, Johann - 2011

Persistent link: https://www.econbiz.de/10009229456

The relevance of international spillovers and asymmetric effects in the Taylor rule

Beckmann, Joscha; Belke, Ansgar; Dreger, Christian - 2015

Deviations of policy interest rates from the levels implied by the Taylor rule have been persistent before the financial crisis and increased especially after the turn of the century. Compared to the Taylor benchmark, policy rates were often too low. This paper provides evidence that both...

Persistent link: https://www.econbiz.de/10011347512