Turkey, and a positive one in the case of Russia. The vulnerability of energy-dependent sectors to global fluctuations …

This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the … the dates from the first confirmed COVID-19 cases in these countries to February 19, 2021. Specifically, we estimate first … benchmark linear VAR models and then, given the evidence of parameter instability, TVP-VAR models with stochastic volatility …

dynamics of oil price volatility by examining interactions between oil market and exchange rate in selected MENA countries …) to examine the presence of volatility spillover between oil prices and exchange rates return series. The econometric … rates, and ii) there is significant evidence of volatility spillovers from oil markets to exchange rate markets in the …

smooth their domestic consumption; however, it can also amplify volatility in consumption, depending on the currency in which … external debt portfolios, exchange rate cyclicality, and volatility in consumption of low- and middle-income countries. Since …

This paper analyses the impact of the Covid-19 pandemic on the degree of persistence of European stock markets … not been any significant impact of the Covid-19 pandemic on the degree of persistence of the European stock market indices …, though their volatility persistence has decreased …

This paper analyses the impact of the Covid-19 pandemic on stock market returns and their volatility in the case of the … particularly severe Covid-19 conditions decrease returns in the non-G7 countries whilst increase volatility in the G7 ones. Fiscal … G20 countries. In contrast to the existing empirical literature, which typically focuses only on either Covid-19 deaths …

demand and supply shocks. The results show that higher macroeconomic uncertainty, as measured by higher world industrial … production volatility, significantly increases the responsiveness of oil prices to oil shocks. This implies a lower price … volatility. Also the impact of oil shocks on economic activity appears to be significantly stronger in uncertain times. …