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European Currency Co-Movements and Contagion : Evidence from a Bayesian TVP-(Pseudo)FAVAR Model

Antonakakis, Nikolaos - 2018

In this study we examine the role of the Euro on currency co-movements and contagion considering six major currencies (i.e., EUR(DM), JPY, GBP, CHF, AUD, as well as, CAD) and their corresponding USD exchange rates. The period of study extends from January 2, 1975 to April 8, 2016. The selected...

Persistent link: https://www.econbiz.de/10012920845

Interest rate swaps and the transmission mechanism of monetary policy : a quantile connectedness approach

Chatziantoniou, Ioannis; Gabauer, David; Stenfors, Alexis - In: Economics letters 204 (2021), pp. 1-4

Persistent link: https://www.econbiz.de/10012607795

Dynamic connectedness between COVID-19 news sentiment, capital and commodity markets

Apergēs, Nikolaos; Chatziantoniou, Ioannis; Gabauer, David - In: Applied economics 55 (2023) 24, pp. 2740-2754

Persistent link: https://www.econbiz.de/10014295269

Oil price shocks and exchange rate dynamics : evidence from decomposed and partial connectedness measures for oil importing and exporting economies

Chatziantoniou, Ioannis; Elsayed, Ahmed H.; Gabauer, David - In: Energy economics 120 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014285881

Oil shocks and stock markets : dynamic connectedness under the prism of recent geopolitical and economic unrest

Antonakakis, Nikolaos; Chatziantoniou, Ioannis; Filis, … - In: International review of financial analysis 50 (2017), pp. 1-26

Persistent link: https://www.econbiz.de/10011820653

Dynamic measures of asymmetric & pairwise connectedness within an optimal currency area : evidence from the ERM I system

Gabauer, David - In: Journal of multinational financial management 60 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012794689

Stock market response to monetary and fiscal policy shocks : multi-country evidence

Chatziantoniou, Ioannis; Duffy, David; Filis, George - In: Economic modelling 30 (2013), pp. 754-769

Persistent link: https://www.econbiz.de/10009708802

Financial and monetary policy responses to oil price shocks : evidence from oil-importing and oil-exporting countries

Filis, George; Chatziantoniou, Ioannis - In: Review of quantitative finance and accounting 42 (2014) 4, pp. 709-729

Persistent link: https://www.econbiz.de/10010433514

US partisan conflict shocks and international stock market returns

Apergēs, Nikolaos; Chatziantoniou, Ioannis - In: Empirical economics : a quarterly journal of the … 63 (2022) 6, pp. 2817-2854

Persistent link: https://www.econbiz.de/10013440530

Systemic risk and oil price volatility shocks

Chatziantoniou, Ioannis; Colak, Gonul; Filippidis, Michail - In: Journal of financial stability 79 (2025), pp. 1-19

Persistent link: https://www.econbiz.de/10015432389