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Investigating the Asymmetric Impact of Oil Prices on GCC Stock Markets

Ben Cheikh, Nidhaleddine; Ben Naceur, Samy; Kanaan, … - 2021

This paper investigates the presence of asymmetric relationship between oil price movements and Gulf Cooperation Council (GCC) stock markets. We propose the implementation of nonlinear vector smooth transition regression (VSTR) models which offer a greater flexibility when modelling the possible...

Persistent link: https://www.econbiz.de/10013314986

Stock Market Returns and Consumption

Di Maggio, Marco - 2018

This paper employs Swedish data on households' stock holdings to investigate how consumption responds to changes in stock market returns. We instrument the actual capital gains and dividend payments with past portfolio weights. Unrealized capital gains lead to a marginal propensity to consume...

Persistent link: https://www.econbiz.de/10012925516

Interest Rate Bands of Inaction and Play-Hysteresis in Domestic Investment : Evidence for the Euro Area

Belke, Ansgar Hubertus - 2019

The interest rate represents an important monetary policy tool to steer investment in order to reach price stability. Therefore, implications of the exact form and magnitude of the interest rate-investment nexus for the European Central Bank's effectiveness in a low interest rate environment...

Persistent link: https://www.econbiz.de/10012863789

Macroeconomic Volatilities and the Labor Market : First Results from the Euro Experiment

Merkl, Christian - 2010

This paper analyzes the effects of different labor market institutions on inflation and output volatility. The eurozone … could account for volatility differences across member states, but labor market characteristics have remained very diverse … significant negative effect on output volatility, while replacement rates have a positive effect, both of which are in line with …

Persistent link: https://www.econbiz.de/10013143682

Asymmetric Labor Market Institutions in the Emu and the Volatility of Inflation and Unemployment Differentials

Abbritti, Mirko - 2012

volatility of both inflation and unemployment differentials. Finally, we show that it is important to take into account the …

Persistent link: https://www.econbiz.de/10013107467

Global Macro-Financial Cycles and Spillovers

Ha, Jongrim - 2020

We develop a new dynamic factor model that allows us to jointly characterize global macroeconomic and financial cycles and the spillovers between them. The model decomposes macroeconomic cycles into the part driven by global and country-specific macro factors and the part driven by spillovers...

Persistent link: https://www.econbiz.de/10012840446

External Monetary Shocks and Monetary Integration : Evidence from the Bulgarian Currency Board

Minea, Alexandru; Rault, Christophe - 2021

volatility. First, we find that ECB shocks are more rapidly absorbed and have less significant impact of domestic variables, with …

Persistent link: https://www.econbiz.de/10013315999

A Simple Method to Visualize Results in Nonlinear Regression Models

Henderson, Daniel J. - 2012

A simple graphical approach to presenting results from nonlinear regression models is described. In the face of multiple covariates, 'partial mean' plots may be unattractive. The approach here is portable to a variety of settings and can be tailored to the specific application at hand. A simple...

Persistent link: https://www.econbiz.de/10013099782

Implementing the Panel Event Study

Clarke, Damian - 2020

Many studies estimate the impact of exposure to some quasi-experimental policy or event using a panel event study design. These models, as a generalized extension of 'difference-in-differences' or two-way fixed effect models, allow for dynamic lags and leads to the event of interest to be...

Persistent link: https://www.econbiz.de/10012827337

When the Market Drives You Crazy : Stock Market Returns and Fatal Car Accidents

Giulietti, Corrado - 2018

The stock market influences some of the most fundamental economic decisions of investors, such as consumption, saving, and labor supply, through the financial wealth channel. This paper provides evidence that daily fluctuations in the stock market have important - and hitherto neglected -...

Persistent link: https://www.econbiz.de/10012912252