This article investigates the potential of nonlinear causal relationships between world oil prices and stock markets in Middle East and North Africa (MENA) countries during a black swan period that is characterized by rarity and devastating impacts. Our study is carried out using the daily data...

This article estimates and evaluates different measures of core inflation for India by employing statistical and econometric approaches. We estimate Wholesale Price Index (WPI) ex-food, WPI ex-food and energy, 20% asymmetric trimmed mean, 63rd percentile and Structural Vector Autoregression...

This article estimates monetary policy rules for two key emerging market economies: Brazil and China. It analyses whether the monetary authority reacts to changes in economic activity, financial markets, monetary conditions, the foreign exchange market and the commodity price. We assess the...

We combine the global Hurst exponent and Morlet wavelet multi-resolution analysis (MRA) to investigate the dynamic behaviour of six selected stock markets in the Mediterranean region. Specifically, we employ the resonance coefficients and their power spectra to identify potential extreme...

We investigate the dynamics of regional financial integration and its determinants in the context of an ICAPM accounting for the deviations from PPP as well as temporal variations in both regional and local sources of risk. Using data from four major countries of the Southeast Europe, our...

We investigate the macroeconomic effects of fiscal policy using a Bayesian Structural Vector Autoregression (B-SVAR) approach. We identify fiscal policy shocks via a partial identification scheme, but also: (i) include the feedback from government debt; (ii) look at the impact on the composition...

In this article, I analyse the macroeconomic effects of monetary policy on the Portuguese economy. I show that a positive interest rate shock leads to: (i) a contraction of real GDP and a substantial increase of the unemployment rate; (ii) a quick fall in the commodity price and a gradual...

We investigate the macroeconomic effects of fiscal policy using a Bayesian Structural Vector Autoregression (B-SVAR) approach. We identify fiscal policy shocks via a partial identification scheme, but also: (i) include the feedback from government debt; (ii) look at the impact on the composition...

This article examines the Credit Default Swap (CDS) spread index for three sectors, banking, financial services and insurance, in the short and long run. In the long run, the results show that the index of the insurance sector which sells the long term CDS contracts has the highest adjustment,...