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Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis

Antonakakis, Nikolaos; Vergos, Konstantinos - 2012

In this paper we examine the linkages of government bond yield spreads (BYS) between Euro zone countries over the period March 3, 2007 - June 18, 2012, thus considering the intriguing features of BYS spillovers during the global financial and the Euro zone debt crisis. Splitting our sample to...

Persistent link: https://www.econbiz.de/10015235050

Stock market integration between the CEE-4 and the G7 markets: Asymmetric DCC and smooth transition approach.

Baumöhl, Eduard - 2013

We study the transition process of emerging CEE-4 stock markets from segmented to integrated markets and hypothesize that this process has been gradual over time. As a proxy for integration, co-movements with developed G7 markets are estimated using the asymmetric DCC-GARCH model. A smooth...

Persistent link: https://www.econbiz.de/10015235372

Dynamic integration and transmission channels among interest rates and oil price shocks

Urom, christian; Guesmi, Khaled; abid, ilyes; Dagher, Leila - 2020

This paper examines the short term dynamic integration among oil price shocks and interest rates for the U.S.A, Euro area and twelve Asian economies from August 1999 to January 2018 using a Time-Varying Parameter Vector Autoregression (TVP-VAR) with stochastic volatility. First, we found...

Persistent link: https://www.econbiz.de/10015269346

Volatility and dynamic conditional correlations of European emerging stock markets

Baumohl, Eduard; Lyocsa, Stefan - 2013

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

Persistent link: https://www.econbiz.de/10015238783

Sovereign risk contagion in the Eurozone: a time-varying coefficient approach

Ludwig, Alexander - 2013

This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …

Persistent link: https://www.econbiz.de/10015240174

Conduite de la politique budgétaire: enseignements des expériences internationales et évidences des fonctions de réaction

lahlou, kamal - 2017

The objective of this paper is to analyze the characteristics of fiscal policy in Morocco in order to identify its targets particularly in terms of growth, preservation of macroeconomic balances and social cohesion. In this respect, three reaction functions have been estimated dealing with the...

Persistent link: https://www.econbiz.de/10015266211

Modelling the sectoral structure of the final output

Dobrescu, Emilian - 2013

This paper examines the modelling complications that appear when some macroeconomic behavioral relationships interact with structural variables, even under a given A matrix. The main problem is concretized for the situation when, a) the final consumption, gross fixed capital formation, inventory...

Persistent link: https://www.econbiz.de/10015237948

Asymmetric Cointegration: Barley and Crude Oil Price in United States

MAT RAHIM, SITI ROHAYA - 2014

This paper examine whether asymmetrics cointegration present in the relationship between barley and crude oil price. The result suggest that an asymmetric cointegration statistically found barley price and oil price are cointegrated and adjustment mechanisms exist in the case between these two...

Persistent link: https://www.econbiz.de/10015244075

Essays on Expectations and the Econometrics of Asset Pricing

Lof, Matthijs - 2013

The way in which market participants form expectations affects the dynamic properties of financial asset prices and therefore the appropriateness of different econometric tools used for empirical asset pricing. In addition to standard rational expectations models, this thesis studies a class of...

Persistent link: https://www.econbiz.de/10015244427

The transmission process of financial crises across the emerging markets: an alternative consideration

Abdurrahman, Korkmaz - 2012

period as a result of the contagion process. The importance of this hypothesis for the policy implication is also highlighted …

Persistent link: https://www.econbiz.de/10015231084