Showing 1 - 10 of 10
Persistent link: https://www.econbiz.de/10008660995
Persistent link: https://www.econbiz.de/10009412048
Persistent link: https://www.econbiz.de/10010474268
Persistent link: https://www.econbiz.de/10011673221
Persistent link: https://www.econbiz.de/10008660443
Persistent link: https://www.econbiz.de/10010501414
Using monthly data from seven mature and emerging markets and a battery of GARCH and EGARCH models, the study of Davis and Kutan (2003) on inflation and output on stock returns and volatility is extended by including interest rate to compare the effect between three mature markets (US, Japan,...
Persistent link: https://www.econbiz.de/10013048113
This paper estimates the augmented real monetary conditions index (MCI) for Malaysia and evaluates its significance over 1980:1-2004:4 using ARDL cointegration analysis as proposed by Pesaran et al. (2001). The relative strength of the four monetary policy transmission channels, namely the...
Persistent link: https://www.econbiz.de/10014045272
Using monthly data from seven mature and emerging markets and GARCH and EGARCH models, the study of Davis and Kutan (Applied Financial Economics, 13, 693-700, 2003) on inflation and output on stock returns and volatility is extended by including interest rate to compare the effect between three...
Persistent link: https://www.econbiz.de/10013143522
This paper constructs the Augmented Monetary Conditions Index (AMCI) from 1982:1 to 2004:4 using Unrestricted Error Correction Model (UECM) and bounds test approach for the Philippines data. The results reveal evidence of cointegration between the real Gross Domestic Product (GDP) and its...
Persistent link: https://www.econbiz.de/10014167555