Financial market risk and macroeconomic stability variables: dynamic interactions and feedback effects
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DOI: 10.1007/s12197-020-09505-9
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Cited by:
- Alessandro Leardi, 2022. "Fuelling fire sales? Prudential regulation and crises: evidence from the Italian market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(1), pages 121-144, January.
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More about this item
Keywords
Market risk; VIX; Unemployment; Headline inflation; Breakeven inflation; Impulse responses; Markov switching process;All these keywords.
JEL classification:
- C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
Statistics
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