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News-driven business cycles : evidence from investors expectations of future stock market returns

Zhang, Yujie; Nam, Deokwoo - In: Journal of economic research 27 (2022) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10013454981

Downside uncertainty shocks in the oil and gold markets

Roh, Tai-Yong; Byun, Suk Joon; Xu, Yahua - In: International review of economics & finance : IREF 66 (2020), pp. 291-307

Persistent link: https://www.econbiz.de/10012391717

Financial uncertainty and real activity : the good, the bad, and the ugly

Caggiano, Giovanni; Castelnuovo, Efrem; Delrio, Silvia; … - 2020

stress). Working with a VAR framework and a set-identification strategy which focuses on - but it is not limited to … disruptions are found to double the negative output response to an uncertainty shock. We then employ our model to estimate the … overall economic cost of the COVID-19-induced uncertainty shock under different scenarios. Our results point to the …

Persistent link: https://www.econbiz.de/10012245103

Financial uncertainty and real activity : the good, the bad, and the ugly

Caggiano, Giovanni; Castelnuovo, Efrem; Delrio, Silvia; … - 2020

Persistent link: https://www.econbiz.de/10012495744

Negative oil price shocks transmission : the comparative effects of the GFC, shale oil boom, and Covid-19 downturn on French gasoline prices

Boroumand, Raphaël Homayoun; Porcher, Thomas; Urom, … - In: Research in international business and finance 58 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10013286298

The global effects of Covid-19-induced uncertainty

Caggiano, Giovanni; Castelnuovo, Efrem; Kima, Richard - 2020

We estimate a three-variate VAR using proxies of global financial uncertainty, the global financial cycle, and world … outbreak. We predict the cumulative loss in world output one year after the uncertainty shock due to Covid-19 to be about 14%. …

Persistent link: https://www.econbiz.de/10012213164