We study the effect of oil news shocks on U.S. aggregate and industry-level stock returns. Using a Proxy-VAR and a sample from January 1973 to December 2019, we find no significant effect on aggregate stock price index on impact, but a persistent and significant drop at longer horizons. An...

This paper provides a novel perspective to the innovation-stock market nexus by examining the predictive relationship between technological shocks and stock market volatility using data over a period of more than 140 years. Utilizing annual patent data for the U.S. and a large set of economies...

This paper investigates the spillover effects of financial stress at different quantile levels across the US, China, Eurozone, Japan, UK, and India based on a quantile VAR model-based connectedness approach. The findings suggest significant spillover effects of financial stress among the six...

In this paper, by using the time-varying parameter vector autoregression model (TVP-VAR) with the asymmetric connectedness indicator and network dia- grams, we investigate the dynamic and asymmetric return connectedness in the global 'Carbon-Energy-Stock' system, including carbon markets and...

Timely characterizations of risks in economic and financial systems play an essential role in both economic policy and private sector decisions. However, the informational content of low-frequency variables and the results from conditional mean models provide only limited evidence to investigate...

This paper investigates the spillover effects of financial stress at different quantiles across the US, China, Eurozone, Japan, UK, and India. The findings suggest significant spillover effects among the six countries (regions), and the spillovers in extreme markets is apparently higher than...

This paper analyzes the determinants of Ecuador's sovereign spreads as measured by the EMBI index. We use Bayesian algorithms to estimate a structural vector autoregressive model with three blocks (international, regional, and domestic). Global variables drive most of the dynamics of the...