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Cross-category spillovers of economic policy uncertainty

Thiem, Christopher - 2018

policy categories are strong net transmitters of uncertainty spillovers (e.g. fiscal policy), while others show only a low … further reveals that the intensity and direction of spillovers change significantly over time. The total connectedness index …

Persistent link: https://www.econbiz.de/10011799682

Foreign Entanglements : Estimating the Source and Size of Spillovers Across Industrial Countries

Bayoumi, Tamim A.; Swiston, Andrew J. - 2008

VARs of real growth since 1970 are used to estimate spillovers between the U.S., euro area, Japan, and an aggregate of … smaller countries, which proxies for global shocks. U.S. and global shocks generate significant spillovers, while those from … financial effects are the largest source of spillovers. The results by subperiod underline the importance of the great …

Persistent link: https://www.econbiz.de/10014218609

Dynamic spillovers of oil price shocks and policy uncertainty

Antonakakis, Nikolaos; Chatziantoniou, Ioannis; Filis, … - 2014

Persistent link: https://www.econbiz.de/10010360804

Effect of monetary-fiscal policies interaction on price and output growth in Nigeria

Musa, Yakubu; Asare, Barfour K.; Gulumbe, Shehu U. - In: CBN journal of applied statistics 4 (2013) 1, pp. 55-74

This paper investigates the effectiveness of monetary-fiscal policies interaction on price and output growth in Nigeria. The dynamic correlations of variables have been captured by the analyses of impulse response and variance decomposition. From innovation analyses, the results suggest that the...

Persistent link: https://www.econbiz.de/10011474838

Housing market volatility in the OECD area: Evidence from VAR based return decompositions

Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2013

Vector-autoregressive models are used to decompose housing returns in 18 OECD countries into cash ?ow (rent) news and discount rate (return) news. Only for two countries - Germany and Ireland - do changing expectations of future rents play a dominating role in explaining housing return...

Persistent link: https://www.econbiz.de/10010851224

Estimating global bank network connectedness

Demirer, Mert; Diebold, Francis X.; Liu, Laura; … - 2015

We use lasso methods to shrink, select and estimate the network linking the publicly-traded subset of the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and dynamic network connectedness using rolling-window estimation. Statistically,...

Persistent link: https://www.econbiz.de/10011309448

How connected is the global sovereign credit risk network?

Bostancı, Gorkem; Yılmaz, Kamil - 2015

We apply the Diebold-Yilmaz connectedness index methodology on sovereign credit default swaps (SCDSs) to estimate the network structure of global sovereign credit risk. In particular, using the elastic net estimation method, we separately estimate networks of daily SCDS returns and volatilities...

Persistent link: https://www.econbiz.de/10011326149

Producer price inflation connectedness and input-output networks

Bilgin, N. Melisa; Yılmaz, Kamil - 2018

We analyze the transmission of producer price in inflation shocks across the U.S. manufacturing industries from 1947 to 2018 using the Diebold-Yilmaz Connectedness Index framework, which fully utilizes the information in generalized variance decompositions from vector autoregressions. The...

Persistent link: https://www.econbiz.de/10011899774

Real exchange rates, current accounts and competitiveness issues in the euro area

Mirdala, Rajmund - 2016

This paper contributes to the understanding of the international financial linkages created by US banks by looking at the geographical composition and structure of the balance sheet of foreign branches. The empirical investigation, which is based on a novel dataset containing balance sheet...

Persistent link: https://www.econbiz.de/10011576937

Bank volatility connectedness in South East Asia

Yılmaz, Kamil - 2018

This paper presents an analysis of the volatility connectedness of major bank stocks in the South East Asia (SEACEN) region between 2004 and 2016. Applying the Diebold-Yilmaz Connectedness Index (DYCI) framework to daily stock return volatilities of major banks in the region, we obtain results...

Persistent link: https://www.econbiz.de/10011810501