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Volatility spillover between oil prices and main exchange rates : evidence from a DCC-GARCH-connectedness approach
Ben Salem, Leila; Zayati, Montassar; Nouira, Ridha; … - 2024
contagion spillover volatility by focusing on a sample of major oil-exporting and oil-importing countries using daily data from …; during COVID-19; and during the Russian-Ukrainian war. Our results confirm the persistence of volatility for the series … volatility transmission between oil prices and exchange-rate markets. However, the COVID-19 pandemic and the Russian …
Persistent link: https://www.econbiz.de/10014494631
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Urban resilience and social security uptake : New Zealand evidence from the global financial crisis and the COVID-19 pandemic
Cochrane, William; Poot, Jacques; Roskruge, Matthew - 2022
This paper focuses on the spatial variation in the uptake of social security benefits following a large and detrimental exogenous shock. Specifically, we focus on the Global Financial Crisis (GFC) and the onset of the COVID-19 pandemic. We construct a two-period panel of 66 Territorial...
Persistent link: https://www.econbiz.de/10013347147
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Transmission of US and EU economic policy uncertainty shock to Asian economies in bad and good times
Balcilar, Mehmet; Ozdemir, Zeynel Abidin; Ozdemir, Huseyin - 2020
This study empirically examines the fragility of five major Asian economies (China, Hong Kong, India, Japan, and South Korea) to economic policy uncertainty (EPU) of US and EU, and oil prices in different state of the economies. To investigate these dynamics, we use the relative tail dependence...
Persistent link: https://www.econbiz.de/10012226632
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How do oil prices affect the GDP and its components? : new evidence from a time-varying threshold model
Ben Salem, Leila; Nouira, Ridha; Saafi, Sami; Rault, … - 2024
Revealing the precise thresholds at which fluctuations in oil prices start to affect gross domestic product and its various components (consumption, investment, expenditure and exports) holds significant implications for policymakers in both oil-importing and oil-exporting countries. Existing...
Persistent link: https://www.econbiz.de/10014527191
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On the impact of oil prices on sectoral inflation : evidence from world's top oil exporters and importers
Ben Salem, Leila; Nouira, Ridha; Rault, Christophe - 2024
This paper investigates the impact of oil price variations on sectoral inflation for a sample of 10 top oil importing and exporting countries. Specifically, we analyze the effects of oil prices on the consumer price index using monthly data spanning the July 2009 to February 2021 period. Two...
Persistent link: https://www.econbiz.de/10014454468
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Trading while sleepy? : circadian mismatch and excess volatility in a global experimental asset market
Dickinson, David L.; Chaudhuri, Ananish; … - 2017
Traders in global markets operate at different local times-of-day. Suboptimal times-of-day may produce sleepiness due to daily variations in sleep/wake patterns and possibly also increased accumulation of hours awake. Global asset markets imply significantly increased heterogeneity in circadian...
Persistent link: https://www.econbiz.de/10011731909
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Exchange rate volatility effects on the German labour market : a survey of recent results and extensions
Buscher, Herbert S.; Mueller, Claudia - 1999
In this paper, a survey on theoretically expected and empirically proved impacts of exchange rate volatility is given …. With regard to the West German unemployment, the effects of volatility are empirically analysed using three different … volatility measures and four country groups. In autoregressive models, a significant disturbing impact of volatility can be found …
Persistent link: https://www.econbiz.de/10011294706
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Exchange rate volatility and employment growth : empirical evidence from the CEE economies
Belke, Ansgar (contributor); Setzer, Ralph (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001937672
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Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012
An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...
Persistent link: https://www.econbiz.de/10009530816
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Give me your wired and your highly skilled : measuring the impact of immigration policy on employers and shareholders
Lin, Carl - 2011
The paper links finance theory to labor economics and political economy in the context of migration and immigration policy. Most research treating the impact of immigration has focused on the consequences for employees as measured by wages, earnings, and employment. Less is known about the...
Persistent link: https://www.econbiz.de/10009308050