We develop a new methodology that measures conditional dependency. We achieve this by using copula functions that link marginal distributions, here chosen to obey a GARCH-type model with time-varying skewness and kurtosis. We apply this model to daily returns of stock-market indices. We find...

We develop a new methodology to measure conditional dependency between time series each driven by complicated marginal distributions. We achieve this by using copula functions that link marginal distributions, and by expressing the parameter of the copula as a function of predetermined...

According to the Globalization Hypothesis, global economic slack should progressively replace the domestic output gap in driving inflation as globalization increases. We investigate the empirical evidence in favor of this prediction by using a Time-varying VAR. Two main results emerge from the...

Utilizing firm-specific news sentiment data provided by Thomson Reuters News Analytics, I construct aggregate measures to examine the relationship between news sentiment and stock market returns over the period 2004–2010. I find a highly significant relationship between aggregated measures of...

This paper examines the size of the fiscal multiplier values generated in Malaysia. The results show that a government spending shock leads to broad positive economic effects. Although, the effectiveness of fiscal policy alters across macroeconomic states. The estimates show that since the Asian...

A sticky-price model with minimal assumptions for identification is used to motivate a time-varying model that allows for state dependent innovations to explore the trade balance dynamics of a group of East Asian economies. This paper shows that the correlation between the trade balance and the...

This paper demonstrates how the real-time forecasting accuracy of different Brent oil price forecast models changes over time. We find considerable instability in the performance of all models evaluated and argue that relying on average forecasting statistics might hide important information on...

This paper looks at the asset correlation bias resulting from firms’ assets and liabilities being denominated in different currencies. It focuses on the time-variation in the bias and on the dependency of the bias on currency movements. Overall, we find that the asset correlation bias for the...