Similar Search Results

On the Linkages between Stock Prices and Exchange Rates : Evidence from the Banking Crisis of 2007-2010

Caporale, Guglielmo Maria - 2013

This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate UEDCC-GARCH models are estimated...

Persistent link: https://www.econbiz.de/10013083442

Cross-Section Dependence and the Monetary Exchange Rate Model : A Panel Analysis

Beckmann, Joscha; Belke, Ansgar Hubertus; Dobnik, Frauke - 2011

national stochastic trends. We find evidence for a cross-section cointegration relationship between the exchange rates and …

Persistent link: https://www.econbiz.de/10014183198

Linkages between the US and European Stock Markets : A Fractional Cointegration Approach

Caporale, Guglielmo Maria - 2015

fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …

Persistent link: https://www.econbiz.de/10013014905

Global and Regional Financial Integration in Emerging Asia : Evidence from Stock Markets

Caporale, Guglielmo Maria - 2017

This paper employs a price-based measure of integration, namely stock return differentials between ten emerging Asian economies and the US (as an indicator of global integration), as well as Japan and the Asian region (as two alternative indicators of regional integration), to test for mean...

Persistent link: https://www.econbiz.de/10012955895

The Impact of Real Oil Price on Real Effective Exchange Rate : The Case of Azerbaijan

Fakhri, Hasanov Javanshir - 2010

Using quarterly data from 2000-2007 and applying Error Correction Model and Johansen Co-integration Approaches I …

Persistent link: https://www.econbiz.de/10013139290

Business Cycles, International Trade and Capital Flows : Evidence from Latin America

Caporale, Guglielmo Maria - 2012

This paper adopts a flexible framework to assess both short- and long-run business cycle linkages between six Latin American (LA) countries and the four largest economies in the world (namely the US, the Euro area, Japan and China) over the period 1980:I-2011:IV. The result indicate that within...

Persistent link: https://www.econbiz.de/10013097751

Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?

Dreger, Christian - 2009

The real interest parity (RIP) condition combines two cornerstones in international finance, uncovered interest parity (UIP) and ex ante purchasing power parity (PPP). The extent of deviation from RIP is therefore an indicator of the lack of product and financial market integration. This paper...

Persistent link: https://www.econbiz.de/10013158584

The Impact of Real Oil Price on Real Effective Exchange Rate : The Case of Azerbaijan

Fakhri, Hasanov - 2011

Using quarterly data from 2000-2007 and applying Error Correction Model and Johansen Co-integration Approaches I …

Persistent link: https://www.econbiz.de/10013128589

Exchange Rate Uncertainty and International Portfolio Flows

Caporale, Guglielmo Maria - 2014

This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in-mean...

Persistent link: https://www.econbiz.de/10013063941

Drivers of Exchange Rate Dynamics in Selected CIS Countries : Evidence from a FAVAR Analysis

Dreger, Christian - 2009

We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model)....

Persistent link: https://www.econbiz.de/10013158263