Global, regional, and country-specific components of financial market indicators
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Abstract
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Note: I would like to thank Martín Saldias and Levente Pápa for being discussants of previous versions and the comments of the two anonymous referees of the current publication. I am also grateful for suggestions and support by colleagues at MNB, in particular, Csaba Csávás, Szilárd Erhart, Dániel Horváth, and Norbert M. Kiss, as well as for the comments of András Fülöp and Zoltán Reppa. The paper benefited from comments of experts of the national central
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Cited by:
- Harman Preet Singh & Ajay Singh & Fakhre Alam & Vikas Agrawal, 2022. "Impact of Sustainable Development Goals on Economic Growth in Saudi Arabia: Role of Education and Training," Sustainability, MDPI, vol. 14(21), pages 1-25, October.
- Adnan Kasman & Kamila Mekenbayeva, 2016. "Technical Efficiency and Total Factor Productivity in the Kazakh Banking Industry," Acta Oeconomica, Akadémiai Kiadó, Hungary, vol. 66(4), pages 685-709, December.
- Kliber, Agata & Płuciennik, Piotr, 2017. "Euro or not? Vulnerability of Czech and Slovak economies to regional and international turmoil," Economic Modelling, Elsevier, vol. 60(C), pages 313-323.
- Kocsis, Zalan & Monostori, Zoltan, 2016. "The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences," Emerging Markets Review, Elsevier, vol. 27(C), pages 140-168.
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Keywords
variance decomposition; factor analysis; Procrustes rotation; spillover; cross-country correlations; cross-asset correlations;All these keywords.
JEL classification:
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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