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This paper investigates the impact historically of aggregate price shocks on financial stability in the United Kingdom. We construct an annual index of U.K. financial conditions for 1790-1999 and use a dynamic probit model to estimate the effect of aggregate price shocks on the index. We find...
Persistent link: https://www.econbiz.de/10005829372
This paper examines the association between inflation, monetary policy and U.S. stock market conditions during the second half of the 20th century. We estimate a latent variable VAR to examine how macroeconomic and policy shocks affect the condition of the stock market. Further, we examine the...
Persistent link: https://www.econbiz.de/10005710521
This paper presents empirical evidence on the hypothesis that aggregate price disturbances cause or worsen financial instability. We construct two annual indexes of financial conditions for the United States covering 1790-1997, and estimate the effect of aggregate price shocks on each index...
Persistent link: https://www.econbiz.de/10005723183
This paper presents empirical evidence on the hypothesis that aggregate price disturbances cause or worsen financial instability. We construct two annual indexes of financial conditions for the United States covering 1790-1997, and estimate the effect of aggregate price shocks on each index...
Persistent link: https://www.econbiz.de/10005723417
Persistent link: https://www.econbiz.de/10008856002
We analyse the dynamic dependence structure between broad stock market indexes from the United States (S&P500), Britain (FTSE100), Brazil (BOVESPA) and Mexico (PCMX). We employ Patton's [<italic>Int. Econ. Rev</italic>., 2006, <bold>2</bold>, 527-556] conditional copula setting and additionally observe the impact of...
Persistent link: https://www.econbiz.de/10011104796
Persistent link: https://www.econbiz.de/10010728239
Measuring dynamic dependence between international financial markets has recently attracted great interest in financial econometrics because the observed correlations rose dramatically during the 2008–09 global financial crisis. Here, we propose a novel approach for measuring dependence...
Persistent link: https://www.econbiz.de/10010576731
Persistent link: https://www.econbiz.de/10005228886
Persistent link: https://www.econbiz.de/10005257567