This paper contributes to a better understanding of the important role that credit demand plays for credit markets and aggregate macroeconomic developments as both a source and transmitter of economic shocks. I am the first to identify a structural credit demand equation together with credit...

Assuming that investors can be foreign or local, do high-frequency trading (HFT) or not, and submit orders through a bank-owned or non-bank-owned broker, we associated trades to various investors. Then, building a panel vector autoregressive model, we analyzed the dynamic relation of these...

The interconnection of stock markets offers valuable insights into the broader dynamics of global financial markets. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness among APEC stock markets. The objective is to identify major...

The Russia-Ukraine military conflict, commencing on February 24, 2022, notably impacted the international community. 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...

It is well known that the volatility spillover increases when a large economic shock occurs, and then the volatility spillover pattern in the market changes. Accordingly, many papers note that clarifying the time-varying pattern of volatility transmission in domestic and international markets is...

This study empirically addresses claims about the effects of strikes on output growth, inflation, and non-agricultural employment in South Africa using a structural analysis of Bayesian VAR models with a Normal inverted Wishart prior for the period 1982-2018. We find empirical support for a...

Examining the extent of exchange rate pass-through (ERPT) to domestic prices has substantial significance for policymaking given the ongoing devaluation of the Ethiopian currency. This study aimed to investigate the impact of exchange rate pass-through (ERPT) on domestic prices in Ethiopia...