This study investigates the effects of monetary policy on consumption through the wealth channel. Based on a structural VAR framework it is found that endogenous changes in wealth, due to an increase in the short-term interest rate, have little impact on consumption. This result means that the...

We analyze the complexity of rare economic events in troubled European economies. The economic crisis initiated at the end of 2009, forced a number of European economies to request financial assistance from world organizations. By employing the stock market index as a leading indicator of the...

We analyze the complexity of rare events of the DJIA Index. We reveal that the returns of the time series exhibit strong multifractal properties meaning that temporal correlations play a substantial role. The effect of major stock market crashes can be best illustrated by the comparison of the...

In this paper we consider the evidence of liquidity effects on the exchange rate. We consider VAR systems for the U.S. and Euro-area and found that while innovations in US. monetary poiicy lead to the expected depreciation (appreciation) of the U.S. dollar, positive innovations to the Euro-area...

This paper presents a brief analysis on the distribution of magnitude of major stock market shocks. Based on the Gutenberg–Richter law in geophysics, we model the dynamics of market index returns prior and after major crashes in search of statistical regularities. For a large number of market...

We investigate the dynamics of the exchange rate market just after and prior to the 1997 crisis. The return of the exchange rate is well characterized by a power law, with the relaxation exponent to vary significantly across countries.