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Does Bayesian shrinkage help to better reflect what happened during the subprime crisis?

Kaabia, Olfa; Abid, Ilyes; Guesmi, Khaled - In: Economic Modelling 31 (2013) C, pp. 423-432

We study the contagion effects of a U.S. housing shock on OECD countries over the period of the subprime crisis …

Persistent link: https://www.econbiz.de/10010636255

The more contagion effect on emerging markets: The evidence of DCC-GARCH model

Celık, Sibel - In: Economic Modelling 29 (2012) 5, pp. 1946-1959

The paper aims to test the existence of financial contagion between foreign exchange markets of several emerging and … developed countries during the U.S. subprime crisis. As a result of DCC-GARCH analysis, we find the evidence of contagion during … be the most influenced by the contagion effects during U.S. subprime crisis. Since financial contagion is important for …

Persistent link: https://www.econbiz.de/10011048686

How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test

Hatemi-J, Abdulnasser; Roca, Eduardo - In: Economic Modelling 28 (2011) 6, pp. 2560-2565

This paper utilizes a new contagion test based on case-resampling bootstrap technique to investigate whether there is … any contagion effect in the interaction of the US real estate market with those of Australia, Japan and the UK arising out … contagion effect. Its relationship with the other markets is rather characterized by dependency behavior that prevails …

Persistent link: https://www.econbiz.de/10010573305

Determinants of stock market comovements among US and emerging economies during the US financial crisis

Hwang, Eugene; Min, Hong-Ghi; Kim, Bong-Han; Kim, Hyeongwoo - In: Economic Modelling 35 (2013) C, pp. 338-348

economies. While a group of countries has three distinctive phases of crisis spillover (contagion, herding, and post …

Persistent link: https://www.econbiz.de/10010719370

Volatility and dynamic conditional correlations of worldwide emerging and frontier markets

Baumöhl, Eduard; Lyócsa, Štefan - In: Economic Modelling 38 (2014) C, pp. 175-183

This study examines the relationship between time-varying correlations and conditional volatility among 32 worldwide emerging and frontier stock markets and the MSCI World stock market index from January 2000 to December 2012. Correlations are estimated in the standard and asymmetric dynamic...

Persistent link: https://www.econbiz.de/10011048880

Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models

Chevallier, Julien - In: Economic Modelling 28 (2011) 6, pp. 2634-2656

This paper studies the nonlinear adjustment between industrial production and carbon prices – coined as ‘the carbon-macroeconomy relationship’ – in the EU 27. We model carbon price returns and industrial production as nonlinear and state-dependent, with dynamics depending on the sign and...

Persistent link: https://www.econbiz.de/10010577077

The changing role of house price dynamics over the business cycle

Dufrénot, Gilles; Malik, Sheheryar - In: Economic Modelling 29 (2012) 5, pp. 1960-1967

In this paper, we attempt to analyse the relationship between house price dynamics and the business cycle. Employing a time-varying transition probability Markov switching framework, we provide empirical evidence that house price growth may prove a useful leading indicator for turning point...

Persistent link: https://www.econbiz.de/10010597508

Dynamic modelling of real estate investment trusts and stock markets

Lee, Chien-Chiang; Chien, Mei-Se; Lin, Tsoyu Calvin - In: Economic Modelling 29 (2012) 2, pp. 395-407

Taiwan launched the first case of real estate securitization in 2005. The interrelationship between Taiwan Real Estate Investment Trusts (T-REITs) and the aggregate equity markets and segmented industries has drawn the interests of both investors and academia. This paper employs Toda and...

Persistent link: https://www.econbiz.de/10010573260

Financial market integration: Theory and empirical results

Arouri, Mohamed El Hedi; Foulquier, Philippe - In: Economic Modelling 29 (2012) 2, pp. 382-394

In this article, we introduce a new theoretical international asset pricing model which accounts for partial financial market segmentation. We show that if some investors do not hold all international assets because of implicit and/or explicit segmentation factors, the world market portfolio is...

Persistent link: https://www.econbiz.de/10010573317

Market structure and the cost of capital

El Hedi Arouri, Mohamed; Rault, Christophe; Sova, Anamaria - In: Economic Modelling 31 (2013) C, pp. 664-671

We contribute to the finance literature in two main ways. First, we present a theoretical capital asset pricing model (CAPM) to price assets in different market structures. Second, we use our model to analyze whether when markets are partially segmented using the local or the global CAPM yields...

Persistent link: https://www.econbiz.de/10010636317