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The origin of stock market volatility --- the case of Indonesia and Turkey

Schmidbauer, Harald; Erkol, Narod - EcoMod Network - 2014

One of the advantages to analyze the economic links between two countries on the basis of stock market data, rather than aggregate economic data published by national statistical offices, is that stock market data are readily available, allowing analysis in almost real time. We consider a...

Persistent link: https://www.econbiz.de/10011098118

The role of microfinance institutions in supporting women microenterprises in urban Sudan

Siddig, Khadra Hassan; Hegazi, Mohamed Osman - EcoMod Network - 2014

finance was less than the proposed rate of 12% of the inflow of finance, which was specified by the bank. It is also revealed … findings of the survey reported that the lack of funds to finance investment or ongoing business operations is one of the main … or financial institutions. Nonetheless, all interviewees underlined their need for finance as a major constraint …

Persistent link: https://www.econbiz.de/10010888986

Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR

Semmler, Willi; Mittnik, Stefan - EcoMod Network - 2012

This paper introduces a Banking-Macro Model and estimates the linkages through a Multi-Regime VAR (MRVAR). We first introduce a dynamic model which is akin to the Brunnermeier and Sannikov (BS) model (2010). The banking sector borrows from capital markets, issues liabilities, accumulates assets,...

Persistent link: https://www.econbiz.de/10010902509

Modelling and Forecasting Volatility with VIX index

Spieser, Philippe. K.; Kockerols, Thore - EcoMod Network - 2012

The main objective of our study is to model and forecast volatility as measured by the VIX index, with the aim of producing information to banks and also to macroeconomists. We begin with Arma/Arima models, augmented with Garch errors and exogenous regressors : some macroeconomic leading...

Persistent link: https://www.econbiz.de/10010902517

Connectedness Cycles in Equity Markets: A Wavelet Approach

Schmidbauer, Harald; Rösch, Angi; Uluceviz, Erhan - EcoMod Network - 2012

The connectedness of international equity markets can be measured building on the well-established forecast error variance decomposition framework. This approach permits the assessment of the propagation of shocks (spillovers) across equity markets on a day-to-day basis. The focus of our...

Persistent link: https://www.econbiz.de/10010902532

Modelling and forecasting the volatility of petroleum futures prices

Yoon, Seong-Min; Kang, Sang Hoon - EcoMod Network - 2012

We investigate volatility models and their forecasting abilities for three types of petroleum futures contracts traded on the New York Mercantile Exchange (West Texas Intermediate crude oil, heating oil #2, and unleaded gasoline) and suggest some stylized facts about the volatility of these...

Persistent link: https://www.econbiz.de/10010902546

Interaction between levels and volatilities of Stock market returns and exchange rate in the BRICS grouping

Bonga-Bonga, Lumengo - EcoMod Network - 2012

The emergence of the BRICS (Brazil, Russia, India, China and South Africa) grouping and the rapid advancement of their stock market may results in the acceleration of the appreciation of their respective currencies and ultimately the loss of their trade competitiveness. Conversely, exchange rate...

Persistent link: https://www.econbiz.de/10010902549

The Satisfaction, Repurchase Intention and Shareholder Value Linkage: A Longitudinal Examination of Fixed and Firm Specific Effects.

Yalcin, Atakan; Aksoy, Lerzan; Keiningham, Timothy L.; … - EcoMod Network - 2012

For virtually all firms, the means of generating shareholder value comes by having customers consistently come back. The measurement of customer satisfaction and repurchase intention is therefore critical to managers and researchers. Unfortunately, recent research studying the effect that 1)...

Persistent link: https://www.econbiz.de/10010902573

The validity of Wagner’s Law in United Kingdom for the period 1850-2010.

Paparas, Dimitrios; Richter, Christian; Paparas, Dimitrios - EcoMod Network - 2012

The relationship between national income and government spending is one of the most debated topics between economists and policy makers during the last decades. The objective of this paper is to examine the Wagner’s law validity, and if it can be applied in the U.K. public spending expansion...

Persistent link: https://www.econbiz.de/10010902583

Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises

Baum, Christopher; Karpava, Margarita; Schäfer, Dorothea; … - EcoMod Network - 2014

This paper studies the impact of credit rating agency (CRA) downgrade announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012.GARCH modeling of sovereign bond yields and...

Persistent link: https://www.econbiz.de/10010902601