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Asymmetric volatility spillovers between developed and developing European countries

Bevilacqua, Mattia - 2018

This paper aims to examine the volatility spillovers among three asset classes, namely, equity, currency and credit among developed European countries and developing Central Eastern European countries in response to political, economic and financial events occurred in the Eurozone in the last...

Persistent link: https://www.econbiz.de/10011890791

Investigating spillover effects between foreign exchange rate volatility and commodity price volatility in Uganda

Katusiime, Lorna - In: Economies : open access journal 7 (2019) 1/1, pp. 1-17

This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically, the study investigates the spillover effects between oil and food price volatility and the volatility of a key macroeconomic indicator of importance to financial stability:...

Persistent link: https://www.econbiz.de/10012021528

To what extent are stock returns driven by mean and volatility spillover effects? : evidence from eight European stock markets

Alikhanov, Abdulla - In: Národohospodářský obzor : časopis věnovaný … 13 (2013) 1, pp. 3-29

Persistent link: https://www.econbiz.de/10010193320

Examining evidence of "shift-contagion" in African stock markets : a CoVaR-copula approach

Boako, Gideon; Alagidede, Paul - In: Review of development finance 7 (2017) 2, pp. 142-156

This paper examines for the first time contagion to African stock markets with particular attention to the …, during (both turmoil and acute), and post periods of the 2007-2009 global financial crisis. We analyzed contagion by … successive periods and tested for significance of contagion using the Kolmogorov-Smirnoff (KS) bootstrap technique. We used the …

Persistent link: https://www.econbiz.de/10011779566

Do China and oil exporters influence major currency configurations?

Fratzscher, Marcel; Mehl, Arnaud - 2008

This paper analyses the impact of the shift away from a US dollar focus of systemically important emerging market economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US dollar exchange rate regimes remain pervasive and...

Persistent link: https://www.econbiz.de/10003825947

Do China and Oil Exporters Influence Major Currency Configurations?

Fratzscher, Marcel - 2015

Persistent link: https://www.econbiz.de/10012749953

Capital Flows to Emerging Economies : Recent Developments and Drivers

Molina, Luis - 2019

Emerging markets have gained prominence as recipients of capital flows since the onset of the financial crisis in 2008. This raises their exposure and goes hand in hand with greater dependence on external financing and heightened sensitivity to global shocks. However, some differences can be...

Persistent link: https://www.econbiz.de/10012867291

The Positive Link between Financial Liberalization, Growth and Crises

Tornell, Aaron; Westermann, Frank; Martinez Trigueros, … - 2021

There is no agreement regarding the growth-enhancing effects of financial liberalization, mainly because it is associated with risky international bank flows, lending booms, and crises. In this paper we make the case for liberalization despite the occurrence of crises. We show that in developing...

Persistent link: https://www.econbiz.de/10013319362

On the Relationship between Exchange Rates and Stock Prices : Evidence from Emerging Markets

Cakan, Esin - 2014

This study examines dynamic linkages between the exchange rates and stock prices for twelve emerging market countries for the period from May 1994 to April 2010 by using linear and non-linear Granger causality tests. Our empirical results show that stock prices and exchange rates have linear and...

Persistent link: https://www.econbiz.de/10013062443

The Long Memory of Equity Volatility and the Macroeconomy : International Evidence

Dräger, Lena - 2020

This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in a panel dataset of eighty-two countries and that the degree of memory in the panel can be related to macroeconomic variables such as short- and long-run interest rates...

Persistent link: https://www.econbiz.de/10012853413

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