IDEAS home Printed from https://ideas.repec.org/a/ers/ijfirm/v3y2013i3p556.html
   My bibliography  Save this article

Globalization, Regime-Switching, and EU Stock Markets: the Impact of the Sovereign Debt Crises

Author

Listed:
  • Nuno Ferreira
  • Rui Menezes
  • Sónia Bentes

Abstract

The most recent models learn over time, making the necessary adjustments to a new level of peaks or troughs, which enables the more accurate prediction of turning points. The Smooth Regression Model may be regarded as having a linear and a nonlinear component and may over time determine whether there is only a linear or nonlinear component or, in some cases, both. The present study focuses on the impact effect analysis of the European markets contamination by sovereign debt (particularly in Portugal, Spain, France and Ireland). The smooth transition regression approach applied in this study has proved to be a viable alternative for the analysis of the historical behavioural adjustment between interest rates and stock market indices. We found evidence in the crisis regime, i.e., large negative returns, especially in the case of Portugal, where we obtained the greatest nonlinear threshold adjustment between interest rates and stock market returns.

Suggested Citation

  • Nuno Ferreira & Rui Menezes & Sónia Bentes, 2013. "Globalization, Regime-Switching, and EU Stock Markets: the Impact of the Sovereign Debt Crises," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 3(3), pages 556-556.
    • Handle: RePEc:ers:ijfirm:v:3:y:2013:i:3:p:556
    as

    Download full text from publisher

    File URL: https://journalfirm.com/journal/79/download
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Celia Reyes & Alellie Sobreviñas & Jeremy de Jesus, 2010. "The Impact of the Global Financial Crisis on Poverty in the Philippines," Finance Working Papers 22808, East Asian Bureau of Economic Research.
    2. Brüggemann, Ralf & Riedel, Jana, 2011. "Nonlinear interest rate reaction functions for the UK," Economic Modelling, Elsevier, vol. 28(3), pages 1174-1185, May.
    3. Aslanidis, Nektarios & Christiansen, Charlotte, 2012. "Smooth transition patterns in the realized stock–bond correlation," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 454-464.
    4. K. S. Chan & H. Tong, 1986. "On Estimating Thresholds In Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(3), pages 179-190, May.
    5. Eitrheim, Oyvind & Terasvirta, Timo, 1996. "Testing the adequacy of smooth transition autoregressive models," Journal of Econometrics, Elsevier, vol. 74(1), pages 59-75, September.
    6. Neumeyer, Pablo A. & Perri, Fabrizio, 2005. "Business cycles in emerging economies: the role of interest rates," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 345-380, March.
    7. Sandeep Patel & Asani Sarkar, 1998. "Stock market crises in developed and emerging markets," Research Paper 9809, Federal Reserve Bank of New York.
    8. Michael Ehrmann & Marcel Fratzscher, 2005. "Equal Size, Equal Role? Interest Rate Interdependence Between the Euro Area and the United States," Economic Journal, Royal Economic Society, vol. 115(506), pages 928-948, October.
    9. Carmen M. Reinhart, 2002. "An Introduction," The World Bank Economic Review, World Bank, vol. 16(2), pages 149-150, August.
    10. Guillermo A. Calvo & Alejandro Izquierdo, 2004. "On the empirics of Sudden Stops: the relevance of balance-sheet effects," Proceedings, Federal Reserve Bank of San Francisco, issue Jun.
    11. Ehrmann, Michael & Fratzscher, Marcel, 2004. "Equal size, equal role? Interdependence between the euro area and the United States," Working Paper Series 342, European Central Bank.
    12. Kenourgios, Dimitris & Padhi, Puja, 2012. "Emerging markets and financial crises: Regional, global or isolated shocks?," Journal of Multinational Financial Management, Elsevier, vol. 22(1), pages 24-38.
    13. Sobrevinas, Alellie B. & de Jesus, Jeremy & Reyes, Celia M., 2010. "The Impact of the Global Financial Crisis on Poverty in the Philippines," Discussion Papers DP 2010-04, Philippine Institute for Development Studies.
    14. Reyes, Celia & Sobrevinas, Alellie & De Jesus, Jeremy, 2010. "The impact of the global financial and economic crisis on poverty in the Philippines," PEP Policy Briefs 164624, Partnership for Economic Policy (PEP).
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Nidhiya Menon & Yana van der Meulen Rodgers, 2010. "Impact of the 2008-2009 Food, Fuel, and Financial Crisis On the Philippine Labor Market," Working Papers 17, Brandeis University, Department of Economics and International Business School.
    2. Hamilton, Jonathan & Graddy, Kathryn, 2014. "Auction House Guarantees for Works of Art," CEPR Discussion Papers 9996, C.E.P.R. Discussion Papers.
    3. van der Meulen Rodgers, Yana & Menon, Nidhiya, 2012. "Impact of the 2008–2009 Twin Economic Crises on the Philippine Labor Market," World Development, Elsevier, vol. 40(11), pages 2318-2328.
    4. Kui-Wai Li, 2013. "The US monetary performance prior to the 2008 crisis," Applied Economics, Taylor & Francis Journals, vol. 45(24), pages 3450-3461, August.
    5. Guillermo A. Calvo, 2008. "Crises in Emerging Markets Economies: A Global Perspective," Central Banking, Analysis, and Economic Policies Book Series, in: Kevin Cowan & Sebastián Edwards & Rodrigo O. Valdés & Norman Loayza (Series Editor) & Klaus Schmidt- (ed.),Current Account and External Financing, edition 1, volume 12, chapter 3, pages 085-115, Central Bank of Chile.
    6. Maya Eden, 2017. "Misallocation and the Distribution of Global Volatility," American Economic Review, American Economic Association, vol. 107(2), pages 592-622, February.
    7. Fornaro, Luca, 2015. "Financial crises and exchange rate policy," Journal of International Economics, Elsevier, vol. 95(2), pages 202-215.
    8. Terasvirta, Timo, 2006. "Forecasting economic variables with nonlinear models," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 8, pages 413-457, Elsevier.
    9. Wang, Rudan & Morley, Bruce & Stamatogiannis, Michalis P., 2019. "Forecasting the exchange rate using nonlinear Taylor rule based models," International Journal of Forecasting, Elsevier, vol. 35(2), pages 429-442.
    10. Boldea, Otilia & Hall, Alastair R., 2013. "Estimation and inference in unstable nonlinear least squares models," Journal of Econometrics, Elsevier, vol. 172(1), pages 158-167.
    11. Emilio Zanetti Chini, 2013. "Generalizing smooth transition autoregressions," CREATES Research Papers 2013-32, Department of Economics and Business Economics, Aarhus University.
    12. Kadilli, Anjeza & Krishnakumar, Jaya, 2022. "Smooth Transition Simultaneous Equation Models," Journal of Economic Dynamics and Control, Elsevier, vol. 145(C).
    13. Don Bredin & Stuart Hyde & Dirk Nitzsche & Gerard O'reilly, 2007. "UK Stock Returns and the Impact of Domestic Monetary Policy Shocks," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(5‐6), pages 872-888, June.
    14. repec:hum:wpaper:sfb649dp2007-014 is not listed on IDEAS
    15. Mei-Se Chien, 2013. "The Non-linear Ripple Effect of Housing Prices in Taiwan: A Smooth Transition Regressive Model," ERES eres2013_51, European Real Estate Society (ERES).
    16. Sebastian Rondeau, 2012. "Sources of Fluctuations in Emerging Markets: Structural Estimation with Mixed Frequency Data," 2012 Meeting Papers 1156, Society for Economic Dynamics.
    17. Adnan Haider & Musleh ud Din & Ejaz Ghani, 2012. "Monetary Policy, Informality and Business Cycle Fluctuations in a Developing Economy Vulnerable to External Shocks," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 51(4), pages 609-681.
    18. Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871, January.
    19. Linda S. Goldberg & Michael W. Klein, 2005. "Establishing Credibility: Evolving Perceptions of the European Central Bank," NBER Working Papers 11792, National Bureau of Economic Research, Inc.
    20. Enrique G. Mendoza & Marco E. Terrones, 2014. "An Anatomy of Credit Booms and their Demise," Central Banking, Analysis, and Economic Policies Book Series, in: Miguel Fuentes D. & Claudio E. Raddatz & Carmen M. Reinhart (ed.),Capital Mobility and Monetary Policy, edition 1, volume 18, chapter 6, pages 165-204, Central Bank of Chile.
    21. Yannick Kalantzis, 2015. "Financial Fragility in Small Open Economies: Firm Balance Sheets and the Sectoral Structure," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(3), pages 1194-1222.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ers:ijfirm:v:3:y:2013:i:3:p:556. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Marios Agiomavritis (email available below). General contact details of provider: https://journalfirm.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.