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Jean-Yves Gnabo

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Eli Agba & Hamza Bennani & Jean-Yves Gnabo, 2022. "Assessing the sources of heterogeneity in eurozone response to unconventional monetary policy," Post-Print hal-04202585, HAL.

    Cited by:

    1. Tibor Tatay & Zsanett Orlovits & Zsuzsanna Novák, 2022. "Inhomogeneous Financial Markets in a Low Interest Rate Environment—A Cluster Analysis of Eurozone Economies," Risks, MDPI, vol. 10(10), pages 1-22, October.
    2. Stefan Stojkov & Emilija Beker Pucar & Aleksandar Sekulić, 2024. "Real Exchange Rate Channel of QE Monetary Transmission Mechanism in Selected EU Members: The Pooled Mean Group Panel Approach," JRFM, MDPI, vol. 18(1), pages 1-21, December.

  2. Sophie Béreau & Nicolas Debarsy & Cyrille Dossougoin & Jean-Yves Gnabo, 2022. "Contagion in the Banking Industry: a Robust-to-Endogeneity Analysis," Working Papers halshs-03513049, HAL.

    Cited by:

    1. Yan, Guan & Liu, Zhidong, 2023. "Interconnectedness of financial institutions based on pledged shares in China," Finance Research Letters, Elsevier, vol. 57(C).

  3. Geraci, M. V. & Gnabo, J-Y. & Veredas, D., 2020. "Common Short Selling and Excess Comovement: Evidence from a Sample of LSE Stocks," Cambridge Working Papers in Economics 2066, Faculty of Economics, University of Cambridge.

    Cited by:

    1. Duong, Truong X. & Huszár, Zsuzsa R. & Tan, Ruth S.K., 2024. "How informed are international short sellers? Global and local industry concentration of short sellers," Journal of Multinational Financial Management, Elsevier, vol. 76(C).
    2. Michael Ashby, 2024. "Are Regulatory Short Sale Data a Profitable Predictor of UK Stock Returns?," JRFM, MDPI, vol. 17(8), pages 1-33, July.
    3. Shen, Yiwen & Shi, Meiqi, 2024. "Intraday variation in cross-sectional stock comovement and impact of index-based strategies," Journal of Financial Markets, Elsevier, vol. 68(C).

  4. Y'erali Gandica & Marco Valerio Geraci & Sophie B'ereau & Jean-Yves Gnabo, 2017. "Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science," Papers 1707.00296, arXiv.org, revised Jan 2018.

    Cited by:

    1. Y'erali Gandica & Sophie B'ereau & Jean-Yves Gnabo, 2019. "A multilevel analysis to systemic exposure: insights from local and system-wide information," Papers 1910.08611, arXiv.org.
    2. Tekilu Tadesse Choramo & Jemal Abafita & Yerali Gandica & Luis E C Rocha, 2024. "Economic Integration of Africa in the 21st Century: Complex Network and Panel Regression Analysis," Papers 2410.21019, arXiv.org.
    3. Li, Houjian & Li, Yanjiao & Guo, Lili, 2023. "Extreme risk spillover effect and dynamic linkages between uncertainty and commodity markets: A comparison between China and America," Resources Policy, Elsevier, vol. 85(PA).

  5. DEBARSY, Nicolas & DOSSOUGOIN, Cyrille & ERTUR, Cem & GNABO, Jean-Yves, 2016. "Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach," LIDAM Discussion Papers CORE 2016053, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Nicolas Debarsy & Jean-Yves Gnabo & Malik Kerkour, 2017. "Sovereign Wealth Funds’ cross-border investments: assessing the role of country-level drivers and spatial competition," Post-Print hal-01251243, HAL.
    2. Huang, Wei-Qiang & Liu, Peipei, 2023. "Cross-market risk spillovers among sovereign CDS, stock, foreign exchange and commodity markets: An interacting network perspective," International Review of Financial Analysis, Elsevier, vol. 90(C).
    3. Luisa Alamá-Sabater & Teresa Fernández-Núñez & Miguel Ángel Márquez & Javier Salinas-Jimenez, 2020. "Do Countries with Similar Levels of Corruption Compete to Attract Foreign Investment? Evidence Using World Panel Data," Sustainability, MDPI, vol. 12(15), pages 1-15, July.
    4. Matteo Foglia & Eliana Angelini, 2019. "The Time-Spatial Dimension of Eurozone Banking Systemic Risk," Risks, MDPI, vol. 7(3), pages 1-25, July.
    5. Chen, Na & Jin, Xiu, 2020. "Industry risk transmission channels and the spillover effects of specific determinants in China’s stock market: A spatial econometrics approach," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    6. Li, Yueshan & Chen, Shoudong & Sensoy, Ahmet & Wang, Lu, 2024. "Over-expected shocks and financial market security: Evidence from China's markets," Research in International Business and Finance, Elsevier, vol. 68(C).
    7. Pawan Kumar & Vipul Kumar Singh, 2025. "Quadrant categorization of spillover determinants of sovereign risk of BRICIT nations: a Bayesian approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-22, December.
    8. Füss, Roland & Ruf, Daniel, 2021. "Bank systemic risk exposure and office market interconnectedness," Journal of Banking & Finance, Elsevier, vol. 133(C).
    9. Chen, Na & Jin, Xiu, 2023. "Cross-industry asset allocation with the spatial interaction on multiple risk transmission channels," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    10. Kayani, Umar & Hassan, M. Kabir & Dejan, Austin & Khan, Maaz & Nawaz, Farrukh, 2024. "Assessment of Economic Policy Uncertainty spillovers: A cross-border analysis of global and BRIC economies," International Economics, Elsevier, vol. 179(C).
    11. Capasso, Salvatore & D'Uva, Marcella & Fiorelli, Cristiana & Napolitano, Oreste, 2023. "Cross-border Italian sovereign risk transmission in EMU countries," Economic Modelling, Elsevier, vol. 126(C).
    12. Cai, Zhengzheng & Zhu, Yanli & Han, Xiaoyi, 2022. "Bayesian analysis of spatial dynamic panel data model with convex combinations of different spatial weight matrices: A reparameterized approach," Economics Letters, Elsevier, vol. 217(C).
    13. Chen, Na & Jin, Xiu & Zhuang, Xintian & Yuan, Ying, 2020. "Spatial pricing with multiple risk transmission channels and specific factors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
    14. Nicolas Debarsy & James Lesage, 2018. "Flexible dependence modeling using convex combinations of different types of connectivity structures," Post-Print halshs-03319303, HAL.
    15. Bai, Jushan & Li, Kunpeng, 2021. "Dynamic spatial panel data models with common shocks," Journal of Econometrics, Elsevier, vol. 224(1), pages 134-160.
    16. Xiang, Youtao & Borjigin, Sumuya, 2024. "Investment network and stock’s systemic risk contribution: Evidence from China," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 113-132.
    17. Gül Huyugüzel Kışla & Y. Gülnur Muradoğlu & A. Özlem Önder, 2022. "Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach," Journal of Asset Management, Palgrave Macmillan, vol. 23(4), pages 277-296, July.
    18. Durmus Cagri Yildirim & Tugba Turan, 2023. "Revisiting of Interest Rate Channel: Nonlinear transmission of Monetary Policy Shocks to the Turkish Economy," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 12(1), pages 199-223.
    19. Jiang, Shangwei & Jin, Xiu, 2021. "Effects of investor sentiment on stock return volatility: A spatio-temporal dynamic panel model," Economic Modelling, Elsevier, vol. 97(C), pages 298-306.
    20. Christian Glocker & Matteo Iacopini & Tam'as Krisztin & Philipp Piribauer, 2023. "A Bayesian Markov-switching SAR model for time-varying cross-price spillovers," Papers 2310.19557, arXiv.org.
    21. Chai, Li & Wang, Yuqi & Qi, Xiaohong, 2024. "Cross-category connectedness between Shanghai crude oil futures and Chinese stock markets related to the Belt and Road Initiative," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
    22. Shi, Guifen & Chen, Zhizhen & Luo, Weichen & Wei, Zijun, 2024. "Cross-Border spillover of imported sovereign risk to China: Key factors identification based on XGBoost-SHAP explainable machine learning algorithm," Finance Research Letters, Elsevier, vol. 70(C).
    23. Li, Liyao & Yang, Zhenlin, 2020. "Estimation of fixed effects spatial dynamic panel data models with small T and unknown heteroskedasticity," Regional Science and Urban Economics, Elsevier, vol. 81(C).
    24. Sophie Béreau & Nicolas Debarsy & Cyrille Dossougoin & Jean-Yves Gnabo, 2022. "Contagion in the Banking Industry: a Robust-to-Endogeneity Analysis," Working Papers halshs-03513049, HAL.
    25. Renliang Liu & Thanasis Stengos & Yiguo Sun, 2024. "Spatial spillovers in trade agreement memberships: Does institutional proximity matter?," Review of International Economics, Wiley Blackwell, vol. 32(3), pages 1398-1433, August.
    26. Deng, Chao & Su, Xiaojian & Wang, Gangjin & Peng, Cheng, 2022. "The existence of flight-to-quality under extreme conditions: Evidence from a nonlinear perspective in Chinese stocks and bonds' sectors," Economic Modelling, Elsevier, vol. 113(C).
    27. Liu, Peipei & Huang, Wei-Qiang, 2022. "Modelling international sovereign risk information spillovers: A multilayer network approach," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    28. Huang, Jionghao & Li, Ziruo & Xia, Xiaohua, 2021. "Network diffusion of international oil volatility risk in China's stock market: Quantile interconnectedness modelling and shock decomposition analysis," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1-39.
    29. Wang, Bo & Xiao, Yang, 2024. "Measuring spatial impacts and tracking cross-border risk," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 50-84.
    30. Nan, Shijing & Wang, Minna & You, Wanhai & Guo, Yawei, 2023. "Making text count: Identifying systemic risk spillover channels in the Chinese banking sector using annual reports text," Finance Research Letters, Elsevier, vol. 55(PA).
    31. Zhizhen Chen & Guifen Shi & Boyang Sun, 2024. "Cross-border spillovers in G20 sovereign CDS markets: cluster analysis based on K-means machine learning algorithm and TVP–VAR models," Empirical Economics, Springer, vol. 67(6), pages 2463-2502, December.
    32. Zhang, Yan & Xu, Yushi & Zhu, Xintong & Huang, Jionghao, 2024. "Coal price shock propagation through sectoral financial interconnectedness in China's stock market: Quantile coherency network modelling and shock decomposition analysis," Journal of Commodity Markets, Elsevier, vol. 34(C).
    33. Zhang, Weiping & Zhuang, Xintian & Lu, Yang, 2020. "Spatial spillover effects and risk contagion around G20 stock markets based on volatility network," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    34. Liu, Peipei & Huang, Wei-Qiang, 2024. "Spatial analysis of sovereign risk from the perspective of EPU spillovers," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 427-443.
    35. Xu, Qiuhua & Yan, Haoyang & Zhao, Tianyu, 2022. "Contagion effect of systemic risk among industry sectors in China’s stock market," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    36. Capasso Salvatore & D’Uva Marcella, & Fiorelli Cristiana & Napolitano Oreste, 2022. "Assessing the Impact of Country-Specific Sovereign Risk on Financial and Banking System in EMU: the Role of Italy," CSEF Working Papers 654, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    37. Piribauer, Philipp & Glocker, Christian & Krisztin, Tamás, 2023. "Beyond distance: The spatial relationships of European regional economic growth," Journal of Economic Dynamics and Control, Elsevier, vol. 155(C).
    38. Zhang, Weiping & Zhuang, Xintian & Lu, Yang & Wang, Jian, 2020. "Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework," International Review of Financial Analysis, Elsevier, vol. 71(C).
    39. Matteo Foglia & Vasilios Plakandaras & Rangan Gupta & Qiang Ji, 2024. "Long-Span Multi-Layer Spillovers between Moments of Advanced Equity Markets: The Role of Climate Risks," Working Papers 202415, University of Pretoria, Department of Economics.
    40. Shen, Yiran & Feng, Qianqian & Sun, Xiaolei, 2024. "Stability and risk contagion in the global sovereign CDS market under Russia-Ukraine conflict," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).

  6. Jean-Yves Gnabo & Nicolas K. Scholtes, 2016. "Assessing the role of interbank network structure in business and financial cycle analysis," Working Paper Research 307, National Bank of Belgium.

    Cited by:

    1. Nicolas Debarsy & Cyrille Dossougoin & Cem Ertur & Jean-Yves Gnabo, 2018. "Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach," Post-Print hal-01744629, HAL.
    2. van Holle, Frederiek, 2017. "Essays in empirical finance and monetary policy," Other publications TiSEM 30d11a4b-7bc9-4c81-ad24-5, Tilburg University, School of Economics and Management.
    3. Wang, Bo & Xiao, Yang, 2024. "Measuring spatial impacts and tracking cross-border risk," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 50-84.
    4. R. Wouters, 2016. "The transmission mechanism of new and traditional instruments of monetary and macroprudential policy," Economic Review, National Bank of Belgium, issue iii, pages 105-117, December.

  7. Jean-Yves Gnabo & Malik Kerkour & Christelle Lecourt & Hélène Raymond-Feingold, 2016. "Understanding the Decision Making Process of Sovereign Wealth Funds: The Case of Temasek," EconomiX Working Papers 2016-16, University of Paris Nanterre, EconomiX.

    Cited by:

    1. Amar, J. & Lecourt, C. & Carpantier, J.F., 2022. "GCC Sovereign Wealth Funds: Why do they take control?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    2. Megginson, William L. & Gao, Xuechen, 2020. "The state of research on sovereign wealth funds," Global Finance Journal, Elsevier, vol. 44(C).
    3. Alvaro Cuervo-Cazurra & Anna Grosman & William L. Megginson, 2023. "A review of the internationalization of state-owned firms and sovereign wealth funds: Governments’ nonbusiness objectives and discreet power," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 54(1), pages 78-106, February.
    4. Alvaro Cuervo-Cazurra & Anna Grosman & Geoffrey T. Wood, 2023. "Cross-country variations in sovereign wealth funds’ transparency," Journal of International Business Policy, Palgrave Macmillan, vol. 6(3), pages 306-329, September.

  8. Nicolas DEBARSY & Jean-Yves GNABO & Malik KERKOUR, 2016. "Sovereign Wealth Funds’ cross-border investments: assessing the role of country-level drivers and spatial competition," LEO Working Papers / DR LEO 2173, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.

    Cited by:

    1. Huadong Chang & Guozhi An, 2019. "Leviathan is in Action? The Political Motivation behind the Outbound Investments of SWFs," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 9(5), pages 1-4.
    2. Bahoo, Salman & Alon, Ilan & Paltrinieri, Andrea, 2020. "Sovereign wealth funds: Past, present and future," International Review of Financial Analysis, Elsevier, vol. 67(C).
    3. Amar, J. & Lecourt, C. & Carpantier, J.F., 2022. "GCC Sovereign Wealth Funds: Why do they take control?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    4. Megginson, William L. & Gao, Xuechen, 2020. "The state of research on sovereign wealth funds," Global Finance Journal, Elsevier, vol. 44(C).
    5. Gangi, Francesco & Mustilli, Mario & Varrone, Nicola & Graziano, Domenico, 2023. "Target firms’ characteristics and the effects of sovereign wealth funds’ investments: Does cultural context of SWFs matter?," Research in International Business and Finance, Elsevier, vol. 65(C).
    6. Grira, Jocelyn & Labidi, Chiraz & Rouatbi, Wael, 2022. "Does political risk matter for sovereign wealth funds? International evidence," International Review of Financial Analysis, Elsevier, vol. 81(C).
    7. Grira, Jocelyn, 2020. "Back to government ownership: The Sovereign Wealth Funds phenomenon," Finance Research Letters, Elsevier, vol. 34(C).
    8. Alvaro Cuervo-Cazurra & Anna Grosman & William L. Megginson, 2023. "A review of the internationalization of state-owned firms and sovereign wealth funds: Governments’ nonbusiness objectives and discreet power," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 54(1), pages 78-106, February.
    9. Dai, Liyan & Song, Chengxuan & You, Yu & Zhang, Wenqiao, 2022. "Do sovereign wealth funds value ESG engagement? Evidence from target firm's CSR performance," Finance Research Letters, Elsevier, vol. 50(C).

  9. Marco Valerio Geraci & Jean-Yves Gnabo, 2015. "Measuring interconnectedness between financial institutions with Bayesian time-varying vector autoregressions," Working Papers ECARES 2015-51, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Liming Chen & Zhi Zhang & Ziqing Du & Lingling Deng, 2021. "Heterogeneous determinants of the exchange rate market in China with structural breaks," Applied Economics, Taylor & Francis Journals, vol. 53(59), pages 6839-6854, December.
    2. Zhang, Xiaoyuan & Zhang, Tianqi, 2022. "Dynamic credit contagion and aggregate loss in networks," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    3. Melle Bijlsma & Malka de Castro Campos & Raymond Chaudron & David-Jan Jansen, 2019. "Building a multilayer macro-network for the Netherlands: A new way of looking at financial accounts and international investment position data," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Are post-crisis statistical initiatives completed?, volume 49, Bank for International Settlements.
    4. Hai-Chuan Xu & Fredj Jawadi & Jie Zhou & Wei-Xing Zhou, 2023. "Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework," Empirical Economics, Springer, vol. 65(1), pages 93-110, July.
    5. Monica Billio & Roberto Casarin & Michele Costola & Matteo Iacopini, 2021. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Working Papers 2021:05, Department of Economics, University of Venice "Ca' Foscari".
    6. Baruník, Jozef & Bevilacqua, Mattia & Tunaru, Radu, 2022. "Asymmetric network connectedness of fears," LSE Research Online Documents on Economics 108199, London School of Economics and Political Science, LSE Library.
    7. Chan, Joshua C.C. & Eisenstat, Eric & Strachan, Rodney W., 2020. "Reducing the state space dimension in a large TVP-VAR," Journal of Econometrics, Elsevier, vol. 218(1), pages 105-118.
    8. Ouyang, Zisheng & Zhou, Xuewei & Wang, Gang-jin & Liu, Shuwen & Lu, Min, 2024. "Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 909-928.
    9. Mardi Dungey & Moses Kangogo & Vladimir Volkov, 2022. "Dynamic effects of network exposure on equity markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(4), pages 569-629, December.
    10. Samitas, Aristeidis & Kampouris, Elias & Polyzos, Stathis, 2022. "Covid-19 pandemic and spillover effects in stock markets: A financial network approach," International Review of Financial Analysis, Elsevier, vol. 80(C).
    11. Aromi, Daniel & Clements, Adam, 2019. "Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil," Energy Economics, Elsevier, vol. 81(C), pages 187-196.
    12. Chen, Bin-xia & Sun, Yan-lin, 2024. "Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    13. Ellington, Michael, 2022. "Fat tails, serial dependence, and implied volatility index connections," European Journal of Operational Research, Elsevier, vol. 299(2), pages 768-779.
    14. Gao, Jiti & Peng, Bin & Wu, Wei Biao & Yan, Yayi, 2024. "Time-varying multivariate causal processes," Journal of Econometrics, Elsevier, vol. 240(1).
    15. Lukas Boeckelmann & Arthur Stalla-Bourdillon, 2021. "Structural Estimation of Time-Varying Spillovers:an Application to International Credit Risk Transmission," Working Papers hal-03338209, HAL.
    16. Yerali Gandica & Marco Valerio Geraci & Sophie Béreau & Jean-Yves Gnabo, 2018. "Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science," PLOS ONE, Public Library of Science, vol. 13(4), pages 1-23, April.
    17. Jozef Barunik & Michael Ellington, 2020. "Persistence in Financial Connectedness and Systemic Risk," Papers 2007.07842, arXiv.org, revised Nov 2023.
    18. Kumar, Sudarshan & Bansal, Avijit & Chakrabarti, Anindya S., 2019. "Ripples on financial networks," IIMA Working Papers WP 2019-10-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
    19. Kangogo, Moses & Volkov, Vladimir, 2021. "Dynamic effects of network exposure on equity markets," Working Papers 2021-03, University of Tasmania, Tasmanian School of Business and Economics.
    20. Y'erali Gandica & Sophie B'ereau & Jean-Yves Gnabo, 2019. "A multilevel analysis to systemic exposure: insights from local and system-wide information," Papers 1910.08611, arXiv.org.
    21. Rodolfo C. Moura & Márcio P. Laurini, 2021. "Spillovers and jumps in global markets: A comparative analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5997-6013, October.
    22. Boyao Wu & Difang Huang & Muzi Chen, 2023. "Estimating contagion mechanism in global equity market with time‐zone effect," Financial Management, Financial Management Association International, vol. 52(3), pages 543-572, September.
    23. Lubos Hanus & Lukas Vacha, 2018. "Time-Frequency Response Analysis of Monetary Policy Transmission," Working Papers IES 2018/30, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2018.
    24. Zhou, Donghai & Liu, Xiaoxing & Tang, Chun, 2024. "Does the international oil market interact with China’s financial market? New evidence from time-varying higher moments," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    25. Gong, Xiao-Li & Liu, Jian-Min & Xiong, Xiong & Zhang, Wei, 2022. "Research on stock volatility risk and investor sentiment contagion from the perspective of multi-layer dynamic network," International Review of Financial Analysis, Elsevier, vol. 84(C).
    26. Jozef Barunik & Michael Ellington, 2020. "Dynamic Network Risk," Papers 2006.04639, arXiv.org, revised Jul 2020.
    27. Jean-Baptiste Hasse, 2020. "Systemic Risk: a Network Approach," AMSE Working Papers 2025, Aix-Marseille School of Economics, France.
    28. Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2020. "Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions," JRFM, MDPI, vol. 13(4), pages 1-23, April.
    29. Martin, Gael M. & Frazier, David T. & Maneesoonthorn, Worapree & Loaiza-Maya, Rubén & Huber, Florian & Koop, Gary & Maheu, John & Nibbering, Didier & Panagiotelis, Anastasios, 2024. "Bayesian forecasting in economics and finance: A modern review," International Journal of Forecasting, Elsevier, vol. 40(2), pages 811-839.
    30. Boyao Wu & Difang Huang & Muzi Chen, 2024. "Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect," Papers 2404.04335, arXiv.org.
    31. Zhou, Dong-hai & Liu, Xiao-xing, 2024. "Does systemic risk in the fund markets predict future economic downturns?," International Review of Financial Analysis, Elsevier, vol. 92(C).
    32. Tristan Jourde, 2022. "The Rising Interconnectedness of the Insurance Sector," Working papers 857, Banque de France.
    33. Shang, Jin & Hamori, Shigeyuki, 2021. "Do crude oil prices and the sentiment index influence foreign exchange rates differently in oil-importing and oil-exporting countries? A dynamic connectedness analysis," Resources Policy, Elsevier, vol. 74(C).
    34. Jiti Gao & Bin Peng & Yayi Yan, 2021. "Parameter Stability Testing for Multivariate Dynamic Time-Varying Models," Monash Econometrics and Business Statistics Working Papers 11/21, Monash University, Department of Econometrics and Business Statistics.
    35. Jean-Baptiste Hasse, 2020. "Systemic Risk: a Network Approach," Working Papers halshs-02893780, HAL.
    36. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
    37. Pagnottoni, Paolo, 2023. "Superhighways and roads of multivariate time series shock transmission: Application to cryptocurrency, carbon emission and energy prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 615(C).
    38. Ouyang, Zisheng & Zhou, Xuewei, 2023. "Multilayer networks in the frequency domain: Measuring extreme risk connectedness of Chinese financial institutions," Research in International Business and Finance, Elsevier, vol. 65(C).
    39. Chen, Yanhua & Li, Youwei & Pantelous, Athanasios & Stanley, Eugene, 2020. "Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach," MPRA Paper 101700, University Library of Munich, Germany.
    40. So Jung Hwang & Hyunduk Suh, 2018. "Analyzing Dynamic Connectedness in Korean Housing Markets," Inha University IBER Working Paper Series 2018-4, Inha University, Institute of Business and Economic Research.
    41. Tristan Jourde, 2022. "The rising interconnectedness of the insurance sector," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(2), pages 397-425, June.
    42. Jouchi Nakajima, 2020. "Discussion of “Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions”," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(1), pages 33-36, February.
    43. Li, Bingqing & Zhang, Xiaoyuan, 2024. "Systemic risk and financial networks," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 25-36.
    44. Chen, Yan & Wang, Gang-Jin & Zhu, You & Xie, Chi & Uddin, Gazi Salah, 2023. "Quantile connectedness and the determinants between FinTech and traditional financial institutions: Evidence from China," Global Finance Journal, Elsevier, vol. 58(C).
    45. Gong, Xiao-Li & Feng, Yong-Kang & Liu, Jian-Min & Xiong, Xiong, 2023. "Study on international energy market and geopolitical risk contagion based on complex network," Resources Policy, Elsevier, vol. 82(C).
    46. Zhou, Dong-hai & Liu, Xiao-xing, 2023. "Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    47. Samitas, Aristeidis & Kampouris, Elias & Kenourgios, Dimitris, 2020. "Machine learning as an early warning system to predict financial crisis," International Review of Financial Analysis, Elsevier, vol. 71(C).
    48. Bitetto, Alessandro & Cerchiello, Paola & Mertzanis, Charilaos, 2023. "Measuring financial soundness around the world: A machine learning approach," International Review of Financial Analysis, Elsevier, vol. 85(C).
    49. Wang, Gang-Jin & Chen, Yan & Zhu, You & Xie, Chi, 2024. "Systemic risk prediction using machine learning: Does network connectedness help prediction?," International Review of Financial Analysis, Elsevier, vol. 93(C).
    50. Zhou, Dong-hai & Liu, Xiao-xing & Tang, Chun & Yang, Guang-yi, 2023. "Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).

  10. Jean-Yves Gnabo & Luiz de Mello & Diego Moccero, 2008. "Interdependencies between Monetary Policy and Foreign Exchange Intervention under Inflation Targeting: The Case of Brazil and the Czech Republic," WIDER Working Paper Series RP2008-95, World Institute for Development Economic Research (UNU-WIDER).

    Cited by:

    1. Catalán-Herrera, Juan, 2016. "Foreign exchange market interventions under inflation targeting: The case of Guatemala," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 101-114.
    2. Chertman, Fernando & Hutchison, Michael & Zink, David, 2020. "Facing the Quadrilemma: Taylor rules, intervention policy and capital controls in large emerging markets," Journal of International Money and Finance, Elsevier, vol. 102(C).
    3. Milan Nedeljkovic & Christian Saborowski, 2018. "The Relative Effectiveness of Spot and Derivatives Based Intervention," CESifo Working Paper Series 7127, CESifo.

  11. Michel Beine & Oscar Bernal Diaz & Jean-Yves Gnabo & Christelle Lecourt, 2006. "Intervention policy of the BoJ: a unified approach," DULBEA Working Papers 06-15.RS, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Olivier Debande & Jean Luc De Meulemeester, 2008. "Quality and variety competition in higher education," DULBEA Working Papers 08-12.RS, ULB -- Universite Libre de Bruxelles.
    2. Bernal, Oscar & Oosterlinck, Kim & Szafarz, Ariane, 2010. "Observing bailout expectations during a total eclipse of the sun," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1193-1205, November.
    3. Rosa, Carlo, 2011. "The high-frequency response of exchange rates to monetary policy actions and statements," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 478-489, February.
    4. Selva Demiralp & Hakan Kara & Pinar Ozlu, 2011. "Monetary Policy Communication Under Inflation Targeting : Do Words Speak Louder Than Actions?," Working Papers 1118, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    5. Ariane Szafarz, 2007. "Hiring people-like-yourself: a representation of discrimination on the job market," Working Papers CEB 07-021.RS, ULB -- Universite Libre de Bruxelles.
    6. Pierre-Guillaume Méon & Friedrich Schneider & Laurent Weill, 2007. "Does taking the shadow economy into account matter to measure aggregate efficiency?," DULBEA Working Papers 07-18.RS, ULB -- Universite Libre de Bruxelles.
    7. Jean-Yves Gnabo & Luiz de Mello & Diego Moccero, 2008. "Interdependencies between Monetary Policy and Foreign Exchange Intervention under Inflation Targeting: The Case of Brazil and the Czech Republic," WIDER Working Paper Series RP2008-95, World Institute for Development Economic Research (UNU-WIDER).
    8. Kentaro Iwatsubo & Satoshi Kawanishi, 2011. "The Information Improving Channel of Exchange Rate Intervention: How Do Official Announcements Work?," Discussion Papers 1116, Graduate School of Economics, Kobe University.
    9. Michel Beine & Ariane Szafarz, 2006. "Size matters: Central bank interventions on the Yen/Dollar exchange rate," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 49(1), pages 5-20.
    10. Hassan Ayoub & Jérôme Creel & Etienne Farvaque, 2008. "Détermination du niveau des prix et finances: le cas du Liban 1965-2005," DULBEA Working Papers 08-10.RS, ULB -- Universite Libre de Bruxelles.
    11. Benoit Mahy & François Rycx & Mélanie Volral, 2008. "L'influence de la dispersion salariale sur la performance des grandes entreprises belges," ULB Institutional Repository 2013/13474, ULB -- Universite Libre de Bruxelles.
    12. Charles Plaigin, 2009. "Exploratory study on the presence of cultural and institutional growth spillovers," DULBEA Working Papers 09-03.RS, ULB -- Universite Libre de Bruxelles.
    13. Beckmann, Joscha & Belke, Ansgar & Kühl, Michael, 2013. "Foreign Exchange Market Interventions and the $-¥ Exchange Rate in the Long-Run," Ruhr Economic Papers 428, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    14. He Li & Zhixiang Yu & Chuanjie Zhang & Zhuang Zhang, 2017. "Determination of China’s foreign exchange intervention: evidence from the Yuan/Dollar market," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 34(1), pages 62-81, March.
    15. Matthias Bauer & Martin Zenker, 2012. "Minor Nuisance Around Foreign Exchange Markets - Lessons from the Stability and Growth Pact Debate," Global Financial Markets Working Paper Series 2012-32, Friedrich-Schiller-University Jena.
    16. Jérôme De Henau & Leila Maron & Danièle Meulders & Sile Padraigin O'Dorchai, 2007. "Travail et maternité en Europe: conditions de travail et politiques publiques," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 50(1), pages 63-88.
    17. Régis Blazy & Laurent Weill, 2007. "The impact of legal sanctions on moral hazard when debt contracts are renegotiable?," Working Papers CEB 07-012.RS, ULB -- Universite Libre de Bruxelles.
    18. Michel Beine & Oscar Bernal Diaz & Jean-Yves Gnabo & Christelle Lecourt, 2006. "Intervention policy of the BoJ: a unified approach," DULBEA Working Papers 06-15.RS, ULB -- Universite Libre de Bruxelles.
    19. Moura, Marcelo L. & Pereira, Fatima R. & Attuy, Guilherme de Moraes, 2013. "Currency Wars in Action: How Foreign Exchange Interventions Work in an Emerging Economy," Insper Working Papers wpe_304, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    20. Nikkinen, Jussi & Vähämaa, Sami, 2009. "Central bank interventions and implied exchange rate correlations," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 862-873, December.
    21. Pierre-Guillaume Méon & Ariane Szafarz, 2008. "Labor market discrimination as an agency cost," DULBEA Working Papers 08-19.RS, ULB -- Universite Libre de Bruxelles.
    22. Montserrat Ferré & Carolina Manzano, 2009. "When do central banks prefer to intervene secretly?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(4), pages 378-393.
    23. Henri Capron, 2007. "Politique de cohésion et développement régional," DULBEA Working Papers 07-16.RS, ULB -- Universite Libre de Bruxelles.
    24. Olga Bourachnikova, 2007. "Weighting function in the behavioral portfolio theory," DULBEA Working Papers 07-07.RS, ULB -- Universite Libre de Bruxelles.
    25. Robert Dixon & Zhichao Zhang & Yang Dai, 2016. "Exchange Rate Flexibility in China: Measurement, Regime Shifts and Driving Forces of Change," Review of International Economics, Wiley Blackwell, vol. 24(5), pages 875-892, November.
    26. Toshio Utsunomiya, 2013. "A new approach to the effect of intervention frequency on the foreign exchange market: evidence from Japan," Applied Economics, Taylor & Francis Journals, vol. 45(26), pages 3742-3759, September.
    27. Ilan Tojerow, 2008. "Industry Wage Differentials Rent Sharing and Gender in Belgium," Reflets et perspectives de la vie économique, De Boeck Université, vol. 0(3), pages 55-65.
    28. Henri Capron & Michele Cincera, 2007. "EU pre-competitive and near-the-market S&T collaborations," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 50(1), pages 135-159.
    29. Jean-Yves Gnabo & Christelle Lecourt, 2008. "Foreign Exchange Intervention Policy: With or Without Transparency? The Case of Japan," Economie Internationale, CEPII research center, issue 113, pages 5-34.
    30. Sile Padraigin O'Dorchai, 2008. "Pay inequality in 25 European countries," DULBEA Working Papers 0006, ULB -- Universite Libre de Bruxelles.
    31. Voutsinas, Konstantinos & Werner, Richard A., 2011. "New evidence on the effectiveness of "Quantitative Easing" in Japan," CFS Working Paper Series 2011/30, Center for Financial Studies (CFS).
    32. Cavusoglu Nevin, 2011. "Exchange Rates and the Effectiveness of Actual and Oral Official Interventions: A Survey on Findings, Issues and Policy Implications," Global Economy Journal, De Gruyter, vol. 10(4), pages 1-42, January.
    33. Joscha Beckmann & Michael Kühl, 2017. "The Role for Long-run Target Values of the Exchange Rate in the Bank of Japan's Policy Reaction Function," The World Economy, Wiley Blackwell, vol. 40(9), pages 1836-1865, September.
    34. Abdeslam Marfouk, 2008. "The African brain drain: scope and determinants," DULBEA Working Papers 08-07.RS, ULB -- Universite Libre de Bruxelles.
    35. Brause, Alexander, 2008. "Foreign exchange interventions in emerging market countries: New lessons from Argentina," W.E.P. - Würzburg Economic Papers 79, University of Würzburg, Department of Economics.

Articles

  1. Dulak, Thomas & Gnabo, Jean-Yves, 2024. "Climate litigation and financial markets: A disciplinary effect?," International Review of Financial Analysis, Elsevier, vol. 95(PB).

    Cited by:

    1. Misato Sato & Glen Gostlow & Catherine Higham & Joana Setzer & Frank Venmans, 2024. "Impacts of climate litigation on firm value," Nature Sustainability, Nature, vol. 7(11), pages 1461-1468, November.

  2. Girard, Alexandre & Gnabo, Jean-Yves & Londoño van Rutten, Rodrigo, 2023. "Firm performance and the crowd effect in lobbying competition," Finance Research Letters, Elsevier, vol. 53(C).

    Cited by:

    1. Girard, Alexandre & Gnabo, Jean-Yves & Londoño van Rutten, Rodrigo, 2023. "Corporate lobbying and firm performance variability," Finance Research Letters, Elsevier, vol. 58(PC).

  3. Geraci, Marco Valerio & Gnabo, Jean-Yves & Veredas, David, 2023. "Common short selling and excess comovement: Evidence from a sample of LSE stocks," Journal of Financial Markets, Elsevier, vol. 65(C).
    See citations under working paper version above.
  4. Eli Agba & Hamza Bennani & Jean-Yves Gnabo, 2022. "Assessing the sources of heterogeneity in eurozone response to unconventional monetary policy," Applied Economics, Taylor & Francis Journals, vol. 54(48), pages 5549-5574, October.
    See citations under working paper version above.
  5. Gnabo, Jean-Yves & Soudant, Joey, 2022. "Monetary policy and portfolio rebalancing: Evidence from European equity mutual funds," Journal of Financial Stability, Elsevier, vol. 63(C).

    Cited by:

    1. Vega-Gámez, Fernando & Alonso-González, Pablo J., 2024. "Home bias and the returns of strategic portfolios: Neither always so good nor so bad," Journal of Behavioral and Experimental Finance, Elsevier, vol. 42(C).
    2. Banerjee, Rhythm, 2024. "Shifting Tides: the Effect of Institutional Divestments on the Global Market," MPRA Paper 121922, University Library of Munich, Germany, revised 11 Apr 2024.
    3. Kouretas, Georgios P. & Papadopoulos, Athanasios P. & Tavlas, George S., 2022. "Financial risks, monetary policy in the QE era, and regulation," Journal of Financial Stability, Elsevier, vol. 63(C).

  6. Geraci, Marco Valerio & Gnabo, Jean-Yves, 2018. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1371-1390, June.
    See citations under working paper version above.
  7. Debarsy, Nicolas & Gnabo, Jean-Yves & Kerkour, Malik, 2017. "Sovereign wealth funds’ cross-border investments: Assessing the role of country-level drivers and spatial competition," Journal of International Money and Finance, Elsevier, vol. 76(C), pages 68-87.
    See citations under working paper version above.
  8. Bernal, Oscar & Gnabo, Jean-Yves & Guilmin, Grégory, 2016. "Economic policy uncertainty and risk spillovers in the Eurozone," Journal of International Money and Finance, Elsevier, vol. 65(C), pages 24-45.

    Cited by:

    1. Sangyup Choi & Davide Furceri, 2018. "Uncertainty and Cross-Border Banking Flows," Working papers 2018rwp-125, Yonsei University, Yonsei Economics Research Institute.
    2. Feng, Yun & Hou, Weijie & Song, Yuping, 2023. "Asymmetric contagion of jump risk in the Chinese financial sector: Monetary policy transmission matters," Economic Modelling, Elsevier, vol. 119(C).
    3. Kwabi, Frank O. & Boateng, Agyenim & Du, Min, 2020. "Impact of central bank independence and transparency on international equity portfolio allocation: A cross-country analysis," International Review of Financial Analysis, Elsevier, vol. 69(C).
    4. Han Gao & Minming Lan & Jie Li & Tianhang Zhou, 2024. "Economic policy uncertainty and local government debt: Evidence from China," Kyklos, Wiley Blackwell, vol. 77(4), pages 1103-1141, November.
    5. Muhammad Asif Khan & Masood Ahmed & József Popp & Judit Oláh, 2020. "US Policy Uncertainty and Stock Market Nexus Revisited through Dynamic ARDL Simulation and Threshold Modelling," Mathematics, MDPI, vol. 8(11), pages 1-20, November.
    6. Wael Hemrit, 2022. "Does insurance demand react to economic policy uncertainty and geopolitical risk? Evidence from Saudi Arabia," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 47(2), pages 460-492, April.
    7. Shahzad, Syed Jawad Hussain & Raza, Naveed & Balcilar, Mehmet & Ali, Sajid & Shahbaz, Muhammad, 2017. "Can economic policy uncertainty and investors sentiment predict commodities returns and volatility?," Resources Policy, Elsevier, vol. 53(C), pages 208-218.
    8. Huang, Wei-Qiang & Liu, Peipei, 2023. "Cross-market risk spillovers among sovereign CDS, stock, foreign exchange and commodity markets: An interacting network perspective," International Review of Financial Analysis, Elsevier, vol. 90(C).
    9. Svetlana Makarova, 2014. "Risk and Uncertainty: Macroeconomic Perspective," UCL SSEES Economics and Business working paper series 129, UCL School of Slavonic and East European Studies (SSEES).
    10. Uddin, Gazi Salah & Yahya, Muhammad & Park, Donghyun & Hedström, Axel & Tian, Shu, 2024. "Bond market spillover networks of ASEAN-4 markets: Is the global pandemic different?," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 1028-1044.
    11. Al-Thaqeb, Saud Asaad & Algharabali, Barrak Ghanim, 2019. "Economic policy uncertainty: A literature review," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
    12. MORIKAWA Masayuki, 2017. "Uncertainty over Production Forecasts: An empirical analysis using monthly firm survey data," Discussion papers 17081, Research Institute of Economy, Trade and Industry (RIETI).
    13. Gong, Di & Jiang, Tao & Li, Zhao & Wu, Weixing, 2022. "Optimal loan contracting under policy uncertainty: Theory and international evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    14. Costantini, Mauro & Sousa, Ricardo M., 2022. "What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality," Journal of International Money and Finance, Elsevier, vol. 122(C).
    15. Liosi, Konstantina, 2023. "The sources of economic uncertainty: Evidence from eurozone markets," Journal of Multinational Financial Management, Elsevier, vol. 69(C).
    16. Nguyen Phuc Canh & Nguyen Thanh Binh & Su Dinh Thanh & Christophe Schinckus, 2020. "Determinants of foreign direct investment inflows: The role of economic policy uncertainty," International Economics, CEPII research center, issue 161, pages 159-172.
    17. Xiao, Jihong & Wang, Yudong, 2021. "Investor attention and oil market volatility: Does economic policy uncertainty matter?," Energy Economics, Elsevier, vol. 97(C).
    18. Aamir Aijaz Syed & Muhammad Abdul Kamal & Assad Ullah & Simon Grima, 2022. "An Asymmetric Analysis of the Influence That Economic Policy Uncertainty, Institutional Quality, and Corruption Level Have on India’s Digital Banking Services and Banking Stability," Sustainability, MDPI, vol. 14(6), pages 1-21, March.
    19. Baumgärtner, Martin & Zahner, Johannes, 2024. "Talking fragmentation away – Decoding the ’whatever it takes’ effect," Economics Letters, Elsevier, vol. 234(C).
    20. Tien Nguyen & Dung Phuong Hoang & Thang Ngoc Doan, 2022. "On the uncertainty-global bank linkage nexus: The moderation of crises, financial regulations, and institutional quality," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(4), pages 623-645, October.
    21. Liu, Zhenhua & Zhang, Huiying & Ding, Zhihua & Lv, Tao & Wang, Xu & Wang, Deqing, 2022. "When are the effects of economic policy uncertainty on oil–stock correlations larger? Evidence from a regime-switching analysis," Economic Modelling, Elsevier, vol. 114(C).
    22. Sergio Consoli & Luca Tiozzo Pezzoli & Elisa Tosetti, 2021. "Emotions in Macroeconomic News and their Impact on the European Bond Market," Papers 2106.15698, arXiv.org.
    23. Karanasos, M. & Yfanti, S., 2021. "On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    24. Vural-Yavaş, Çiğdem, 2020. "Corporate risk-taking in developed countries: The influence of economic policy uncertainty and macroeconomic conditions," Journal of Multinational Financial Management, Elsevier, vol. 54(C).
    25. Ifedolapo Olabisi Olanipekun & Hasan Güngör & Godwin Olasehinde-Williams, 2019. "Unraveling the Causal Relationship Between Economic Policy Uncertainty and Exchange Market Pressure in BRIC Countries: Evidence From Bootstrap Panel Granger Causality," SAGE Open, , vol. 9(2), pages 21582440198, June.
    26. Christos Floros & Emilios Galariotis & Konstantinos Gkillas & Efstathios Magerakis & Constantin Zopounidis, 2024. "Time-varying firm cash holding and economic policy uncertainty nexus: a quantile regression approach," Annals of Operations Research, Springer, vol. 341(2), pages 859-895, October.
    27. Jiang, Yong & Al-Nassar, Nassar S. & Ren, Yi-Shuai & Ma, Chao-Qun & Yang, Xiao-Guang, 2024. "Tail connectedness between category-specific policy uncertainty, sovereign debt risk, and stock volatility during a high inflation period," Research in International Business and Finance, Elsevier, vol. 70(PB).
    28. Morikawa, Masayuki, 2019. "Uncertainty over production forecasts: An empirical analysis using monthly quantitative survey data," Journal of Macroeconomics, Elsevier, vol. 60(C), pages 163-179.
    29. Yang, Jizhe & Jiang, Tingfeng & Wen, Xingchun & Dai, Lu, 2024. "Time-varying and spillover effects of the macroeconomy on nonfinancial corporate financialization: Evidence from China," Journal of Asian Economics, Elsevier, vol. 90(C).
    30. Popescu, Alexandra & Turcu, Camelia, 2017. "Sovereign debt and systemic risk in the eurozone," Economic Modelling, Elsevier, vol. 67(C), pages 275-284.
    31. Hu, Zhijun & Kutan, Ali M. & Sun, Ping-Wen, 2018. "Is U.S. economic policy uncertainty priced in China's A-shares market? Evidence from market, industry, and individual stocks," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 207-220.
    32. Deng, Yuping & Wu, Yanrui & Xu, Helian, 2019. "Political turnover and firm pollution discharges: An empirical study," China Economic Review, Elsevier, vol. 58(C).
    33. Mensi, Walid & Ali, Syed Riaz Mahmood & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Multiscale dependence, spillovers, and connectedness between precious metals and currency markets: A hedge and safe-haven analysis," Resources Policy, Elsevier, vol. 77(C).
    34. Sangyup Choi & Davide Furceri & Yi Huang & Prakash Loungani, 2017. "Aggregate Uncertainty and Sectoral Productivity Growth: The Role of Credit Constraints," Working papers 2017rwp-109, Yonsei University, Yonsei Economics Research Institute.
    35. Gupta, Rangan & Lau, Chi-Keung (Marco) & Sheng, Xin, 2020. "Graph theory-based network analysis of regional uncertainties of the US Economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    36. Huang, MeiChi, 2024. "A greater crisis? Investigating MSA-level housing markets during the COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 71(C).
    37. Çiğdem Vural‐Yavaş, 2021. "Economic policy uncertainty, stakeholder engagement, and environmental, social, and governance practices: The moderating effect of competition," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 28(1), pages 82-102, January.
    38. Hazar Altınbaş & Vincenzo Pacelli & Edgardo Sica, 2022. "An Empirical Assessment of the Contagion Determinants in the Euro Area in a Period of Sovereign Debt Risk," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 8(2), pages 339-371, July.
    39. Ozili, Peterson K, 2022. "Economic policy uncertainty, bank nonperforming loans and loan loss provisions: are they correlated?," MPRA Paper 112381, University Library of Munich, Germany.
    40. M. Karanasos & S. Yfanti & J. Hunter, 2022. "Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises," Annals of Operations Research, Springer, vol. 313(2), pages 1077-1116, June.
    41. Su, Zhi & Fang, Tong & Yin, Libo, 2019. "Understanding stock market volatility: What is the role of U.S. uncertainty?," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 582-590.
    42. Garima Goel & Saumya Ranjan Dash & Mário Nuno Mata & António Bento Caleiro & João Xavier Rita & José António Filipe, 2021. "Economic Policy Uncertainty and Stock Return Momentum," JRFM, MDPI, vol. 14(4), pages 1-17, March.
    43. Lyu, Yongjian & Tuo, Siwei & Wei, Yu & Yang, Mo, 2021. "Time-varying effects of global economic policy uncertainty shocks on crude oil price volatility：New evidence," Resources Policy, Elsevier, vol. 70(C).
    44. Tangyong Liu & Xu Gong & Lizhi Tang, 2022. "The uncertainty spillovers of China's economic policy: Evidence from time and frequency domains," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4541-4555, October.
    45. Su, Xianfang, 2020. "Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    46. OGAWA Eiji & Pengfei LUO, 2021. "Macroeconomic Effects of Global Policy and Financial Risks," Discussion papers 21020, Research Institute of Economy, Trade and Industry (RIETI).
    47. Ozili, Peterson Kitakogelu, 2021. "Economic policy uncertainty: are there regional and country correlation?," MPRA Paper 105636, University Library of Munich, Germany.
    48. Yu, Xiaoling & Huang, Yirong, 2021. "The impact of economic policy uncertainty on stock volatility: Evidence from GARCH–MIDAS approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 570(C).
    49. Sergio Consoli & Luca Tiozzo Pezzoli & Elisa Tosetti, 2022. "Neural forecasting of the Italian sovereign bond market with economic news," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(S2), pages 197-224, December.
    50. Yang, Lu & Hamori, Shigeyuki, 2021. "Systemic risk and economic policy uncertainty: International evidence from the crude oil market," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 142-158.
    51. Hsieh, Hui-Ching & Boarelli, Sofia & Vu, Thi Huyen Chi, 2019. "The effects of economic policy uncertainty on outward foreign direct investment," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 377-392.
    52. Long, Shaobo & Zhang, Rui & Hao, Jing, 2022. "Asymmetric impact of Sino-US interest rate differentials and economic policy uncertainty ratio on RMB exchange rate," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    53. Mikhail Stolbov & Alexander Karminsky & Maria Shchepeleva, 2018. "Does Economic Policy Uncertainty Lead Systemic Risk? A Comparative Analysis of Selected European Countries," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 60(3), pages 332-360, September.
    54. Liu, Yulin & Sadiq, Muhammad & Wen, Fenghua & Cao, Zhiling, 2024. "Interbank deposits and bank systemic risk," International Review of Financial Analysis, Elsevier, vol. 96(PB).
    55. Campello, Murillo & Cortes, Gustavo S. & d’Almeida, Fabrício & Kankanhalli, Gaurav, 2022. "Exporting Uncertainty: The Impact of Brexit on Corporate America," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 57(8), pages 3178-3222, December.
    56. Asil Azimli, 2022. "Policy uncertainty sensitivity, COVID-19 and industry returns in the United States," Economics and Business Letters, Oviedo University Press, vol. 11(3), pages 107-117.
    57. Ma, Rufei & Liu, Zhenhua & Zhai, Pengxiang, 2022. "Does economic policy uncertainty drive volatility spillovers in electricity markets: Time and frequency evidence," Energy Economics, Elsevier, vol. 107(C).
    58. Huang, Jianbai & Dong, Xuesong & Zhang, Hongwei & Liu, Jia & Gao, Wang, 2022. "Dynamic and frequency-domain spillover among within and cross-country policy uncertainty, crude oil and gold market: Evidence from US and China," Resources Policy, Elsevier, vol. 78(C).
    59. Liu, Peipei & Huang, Wei-Qiang, 2022. "Modelling international sovereign risk information spillovers: A multilayer network approach," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    60. Ifedolapo Olabisi Olanipekun & Godwin Olasehinde-Williams & Hasan Güngör, 2019. "Impact of Economic Policy Uncertainty on Exchange Market Pressure," SAGE Open, , vol. 9(3), pages 21582440198, September.
    61. Ozili, Peterson Kitakogelu, 2021. "Economic policy uncertainty in banking: a literature review," MPRA Paper 108017, University Library of Munich, Germany.
    62. Hammoudeh, Shawkat & Uddin, Gazi Salah & Sousa, Ricardo M. & Wadström, Christoffer & Sharmi, Rubaiya Zaman, 2022. "Do pandemic, trade policy and world uncertainties affect oil price returns?," Resources Policy, Elsevier, vol. 77(C).
    63. Aftab, Muhammad & Phylaktis, Kate, 2022. "Economic integration and exchange market pressure in a policy uncertain world," Journal of International Money and Finance, Elsevier, vol. 128(C).
    64. Hung Xuan Do & Rabindra Nepal & Son Duy Pham & Tooraj Jamasb, 2023. "Electricity Market Crisis in Europe and Cross Border Price Effects: A Quantile Return Connectedness Analysis," CAMA Working Papers 2023-46, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    65. Marfatia, Hardik & Zhao, Wan-Li & Ji, Qiang, 2020. "Uncovering the global network of economic policy uncertainty," Research in International Business and Finance, Elsevier, vol. 53(C).
    66. Ye, Jiangfeng & Wan, Qunchao & Li, Ruida & Yao, Zhu & Huang, Dujuan, 2022. "How do R&D agglomeration and economic policy uncertainty affect the innovative performance of Chinese high-tech industry?," Technology in Society, Elsevier, vol. 69(C).
    67. Yao, Can-Zhong & Sun, Bo-Yi, 2018. "The study on the tail dependence structure between the economic policy uncertainty and several financial markets," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 245-265.
    68. Donny TANG, 2020. "What determines the portfolio investment flows to Central and Eastern European Countries in the European Union 2001-2017?," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(625), W), pages 21-42, Winter.
    69. Tong Fang & Deyu Miao & Zhi Su & Libo Yin, 2023. "Uncertainty‐driven oil volatility risk premium and international stock market volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 872-904, July.
    70. Jiang, Wei & Dong, Lingfei & Liu, Xutang & Zou, Liming, 2024. "Volatility spillovers among economic policy uncertainty, energy and carbon markets—The quantile time-frequency perspective," Energy, Elsevier, vol. 307(C).
    71. Liu, Peipei & Huang, Wei-Qiang, 2024. "Spatial analysis of sovereign risk from the perspective of EPU spillovers," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 427-443.
    72. Nguyen, Thanh Cong, 2021. "Economic policy uncertainty and bank stability: Does bank regulation and supervision matter in major European economies?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    73. Badics, Milan Csaba & Huszar, Zsuzsa R. & Kotro, Balazs B., 2023. "The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    74. Xiaoyang Chen & Liguo Zhou & Lin Wang & Yuelong Zheng, 2023. "Risk spillover in China’s real estate industry chain: a DCC-EGARCH-ΔCoVaR model," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-16, December.
    75. Huichen Jiang & Jun Zhang, 2020. "Discovering Systemic Risks of China's Listed Banks by CoVaR Approach in the Digital Economy Era," Mathematics, MDPI, vol. 8(2), pages 1-28, February.
    76. Valenzuela, Patricio & Mella, Javier & Claveria, Juan, 2024. "Economic uncertainty and credit risk: Evidence from international corporate bonds," Economics Letters, Elsevier, vol. 237(C).
    77. Grossmann, Axel & Ngo, Thanh, 2020. "Economic policy uncertainty and ADR mispricing," Journal of Multinational Financial Management, Elsevier, vol. 55(C).
    78. Jiang, Yonghong & Zhu, Zixuan & Tian, Gengyu & Nie, He, 2019. "Determinants of within and cross-country economic policy uncertainty spillovers: Evidence from US and China," Finance Research Letters, Elsevier, vol. 31(C).
    79. Filippidis, Michail & Filis, George & Kizys, Renatas, 2020. "Oil price shocks and EMU sovereign yield spreads," Energy Economics, Elsevier, vol. 86(C).
    80. Nguyen, Canh Phuc & Le, Thai-Ha & Su, Thanh Dinh, 2020. "Economic policy uncertainty and credit growth: Evidence from a global sample," Research in International Business and Finance, Elsevier, vol. 51(C).
    81. Lee, Jungho & Xu, Jianhuan, 2019. "Tax uncertainty and business activity," Journal of Economic Dynamics and Control, Elsevier, vol. 103(C), pages 158-184.
    82. Wen, Fenghua & Shui, Aojie & Cheng, Yuxiang & Gong, Xu, 2022. "Monetary policy uncertainty and stock returns in G7 and BRICS countries: A quantile-on-quantile approach," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 457-482.
    83. Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti, 2019. "Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility," CESifo Working Paper Series 8000, CESifo.
    84. Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.
    85. Hau, Liya & Zhu, Huiming & Yu, Yang & Yu, Dongwei, 2022. "Time-frequency coherence and quantile causality between trade policy uncertainty and rare earth prices: Evidence from China and the US," Resources Policy, Elsevier, vol. 75(C).
    86. Paul Rudel & Peter Tillmann, 2018. "News Shock Spillovers: How the Euro Area Responds to Expected Fed Policy," MAGKS Papers on Economics 201832, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).

  9. Bernal, Oscar & Girard, Alexandre & Gnabo, Jean-Yves, 2016. "The importance of conflicts of interest in attributing sovereign credit ratings," International Review of Law and Economics, Elsevier, vol. 47(C), pages 48-66.

    Cited by:

    1. Elnaz Gholipour & B'ela Vizv'ari & Zolt'an Lakner, 2020. "Reconstruction Rating Model of Sovereign Debt by Logical Analysis of Data," Papers 2011.14112, arXiv.org.
    2. Meier, Samira & Rodriguez Gonzalez, Miguel & Kunze, Frederik, 2021. "The global financial crisis, the EMU sovereign debt crisis and international financial regulation: lessons from a systematic literature review," International Review of Law and Economics, Elsevier, vol. 65(C).
    3. Sunal, Onur & Yağcı, Filiz, 2024. "The determinants of Turkish CDS volatility: An ARDL approach covering COVID period," The Quarterly Review of Economics and Finance, Elsevier, vol. 97(C).

  10. Gnabo, Jean-Yves & Moccero, Diego Nicolas, 2015. "Risk management, nonlinearity and aggressiveness in monetary policy: The case of the US Fed," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 281-294.

    Cited by:

    1. Eichler, Stefan & Lähner, Tom & Noth, Felix, 2016. "Regional Banking Instability and FOMC Voting," IWH Discussion Papers 15/2016, Halle Institute for Economic Research (IWH).
    2. Dibooglu, Sel & Erdogan, Seyfettin & Yildirim, Durmus Cagri & Cevik, Emrah Ismail, 2020. "Financial conditions and monetary policy in the US," Economic Systems, Elsevier, vol. 44(4).
    3. Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2018. "Risk Management-Driven Policy Rate Gap," Melbourne Institute Working Paper Series wp2018n10, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    4. Kontonikas, Alexandros & Nolan, Charles & Zekaite, Zivile, 2014. "Monetary Policy in Times of Financial Stress," SIRE Discussion Papers 2014-027, Scottish Institute for Research in Economics (SIRE).
    5. Drakos, Anastassios A. & Kouretas, Georgios P., 2015. "The conduct of monetary policy in the Eurozone before and after the financial crisis," Economic Modelling, Elsevier, vol. 48(C), pages 83-92.
    6. Besma Hkiri & Juncal Cunado & Mehmet Balcilar & Rangan Gupta, 2019. "Time-Varying Relationship between Conventional and Unconventional Monetary Policies and Risk Aversion: International Evidence from Time- and Frequency-Domains," Working Papers 201965, University of Pretoria, Department of Economics.
    7. Thomas Gomez & Giulia Piccillo, 2023. "Does U.S. Monetary Policy Respond to Macroeconomic Uncertainty?," CESifo Working Paper Series 10407, CESifo.
    8. Francois Gourio & Jonas Fisher, 2015. "Risk Management for Monetary Policy at the Zero Lower Bound," 2015 Meeting Papers 665, Society for Economic Dynamics.
    9. Efrem Castelnuovo & Giovanni Pellegrino, 2018. "Uncertainty-dependent Effects of Monetary Policy Shocks: A New Keynesian Interpretation," Melbourne Institute Working Paper Series wp2018n02, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    10. Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2017. "Uncertainty and Monetary Policy in Good and Bad Times," Melbourne Institute Working Paper Series wp2017n09, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    11. Charles Evans & Jonas Fisher & Francois Gourio & Spencer Krane, 2015. "Risk Management for Monetary Policy Near the Zero Lower Bound," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 46(1 (Spring), pages 141-219.
    12. Eichler, Stefan & Lähner, Tom & Noth, Felix, 2018. "Regional banking instability and FOMC voting," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 282-292.
    13. Ryan Banerjee & Aaron Mehrotra, 2023. "Unanticipated and Backward-Looking: Deflations and the Behavior of Inflation Expectations," International Journal of Central Banking, International Journal of Central Banking, vol. 19(4), pages 41-83, October.

  11. Gnabo, Jean-Yves & Hvozdyk, Lyudmyla & Lahaye, Jérôme, 2014. "System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 147-174.

    Cited by:

    1. Chan, Kam Fong & Bowman, Robert G. & Neely, Christopher J., 2017. "Systematic cojumps, market component portfolios and scheduled macroeconomic announcements," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 43-58.
    2. Barunik, Jozef & Vacha, Lukas, 2018. "Do co-jumps impact correlations in currency markets?," Journal of Financial Markets, Elsevier, vol. 37(C), pages 97-119.
    3. Paresh Kumar Narayan & Seema Narayan & Siroos Khademalomoom & Dinh Hoang Bach Phan, 2018. "Do Terrorist Attacks Impact Exchange Rate Behavior? New International Evidence," Economic Inquiry, Western Economic Association International, vol. 56(1), pages 547-561, January.
    4. Siroos Khademalomoom & Paresh Kumar Narayan & Susan Sunila Sharma, 2019. "Higher Moments and Exchange Rate Behavior," The Financial Review, Eastern Finance Association, vol. 54(1), pages 201-229, February.
    5. Arouri, Mohamed & M’saddek, Oussama & Nguyen, Duc Khuong & Pukthuanthong, Kuntara, 2019. "Cojumps and asset allocation in international equity markets," Journal of Economic Dynamics and Control, Elsevier, vol. 98(C), pages 1-22.
    6. Clements, Adam & Liao, Yin, 2017. "Forecasting the variance of stock index returns using jumps and cojumps," International Journal of Forecasting, Elsevier, vol. 33(3), pages 729-742.
    7. Christophe Boucher & Gilles de Truchis & Elena Ivona Dumitrescu & Sessi Tokpavi, 2017. "Testing for Extreme Volatility Transmission with Realized Volatility Measures," Working Papers hal-04141651, HAL.
    8. Christophe Boucher & Gilles de Truchis & Elena Dumitrescu & Sessi Tokpavi, 2017. "Testing for Extreme Volatility Transmission with Realized Volatility Measures," EconomiX Working Papers 2017-20, University of Paris Nanterre, EconomiX.
    9. Grobys, Klaus, 2023. "A finite-time singularity in the dynamics of the US equity market: Will the US equity market eventually collapse?," International Review of Financial Analysis, Elsevier, vol. 89(C).
    10. Semeyutin, Artur & Downing, Gareth, 2022. "Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors," International Review of Financial Analysis, Elsevier, vol. 81(C).
    11. Baruník Jozef & Fišer Pavel, 2024. "Co-Jumping of Treasury Yield Curve Rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(3), pages 481-506.
    12. Klaus Grobys, 2022. "On Survivor Stocks in the S&P 500 Stock Index," JRFM, MDPI, vol. 15(2), pages 1-24, February.

  12. Dewachter, Hans & Erdemlioglu, Deniz & Gnabo, Jean-Yves & Lecourt, Christelle, 2014. "The intra-day impact of communication on euro-dollar volatility and jumps," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 131-154.

    Cited by:

    1. Deniz Erdemlioglu & Nikola Gradojevic, 2020. "Heterogeneous investment horizons, risk regimes, and realized jumps," Post-Print hal-02995997, HAL.
    2. Dungey, Mardi & Erdemlioglu, Deniz & Matei, Marius & Yang, Xiye, 2018. "Testing for mutually exciting jumps and financial flights in high frequency data," Journal of Econometrics, Elsevier, vol. 202(1), pages 18-44.
    3. Ayadi, Mohamed A. & Ben Omrane, Walid & Das, Deepan Kumar, 2024. "Macroeconomic news, senior officials' speeches, and emerging currency markets: An intraday analysis of price jump reaction," Emerging Markets Review, Elsevier, vol. 60(C).
    4. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2015. "Which continuous-time model is most appropriate for exchange rates?," Post-Print hal-01457402, HAL.
    5. Serdengeçti, Süleyman & Sensoy, Ahmet & Nguyen, Duc Khuong, 2021. "Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    6. Li, Xiaoping & Wang, Nan & Duan, Jihong & Shi, Wenming, 2024. "Exchange rate stability and expectation management under heterogeneous expectations," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    7. Ehrmann, Michael & Osbat, Chiara & Stráský, Jan & Uusküla, Lenno, 2013. "The euro exchange rate during the European sovereign debt crisis - dancing to its own tune?," Working Paper Series 1532, European Central Bank.
    8. Hasan Fehmi Baklaci & Tezer Yelkenci, 2022. "Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(2), pages 267-314, June.
    9. Mirkov, Nikola & Pozdeev, Igor & Söderlind, Paul, 2019. "Verbal interventions and exchange rate policies: The case of Swiss franc cap," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 42-54.
    10. Matthieu Picault & Thomas Renault, 2017. "Words are not all created equal: A new measure of ECB communication," Post-Print hal-03205121, HAL.
    11. Sensoy, Ahmet & Serdengeçti, Süleyman, 2020. "Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market," International Review of Financial Analysis, Elsevier, vol. 68(C).
    12. Julian A. Parra-Polania & Andrés Sánchez-Jabba & Miguel Sarmiento, 2022. "Oral FX Interventions in Emerging Markets: the Colombian case," Borradores de Economia 1194, Banco de la Republica de Colombia.
    13. Bibinger, Markus & Winkelmann, Lars, 2014. "Common price and volatility jumps in noisy high-frequency data," SFB 649 Discussion Papers 2014-037, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    14. Yao, Wenying & Tian, Jing, 2015. "The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements," Working Papers 2015-05, University of Tasmania, Tasmanian School of Business and Economics.
    15. Michael Ehrmann & Jonathan Talmi, 2016. "Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility," Staff Working Papers 16-37, Bank of Canada.
    16. Guo, Junjie & Guo, Yumei & Miao, Shan & Pang, Xin, 2021. "An investigation of semantic similarity in PBOC’s communication on RMB volatility," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 441-455.
    17. Boudt, Kris & Neely, Christopher J. & Sercu, Piet & Wauters, Marjan, 2019. "The response of multinationals’ foreign exchange rate exposure to macroeconomic news," Journal of International Money and Finance, Elsevier, vol. 94(C), pages 32-47.
    18. Galvis Ciro, Juan Camilo & Oliveira de Moraes, Claudio & Anzoátegui Zapata, Juan Camilo, 2017. "Efectos de los anuncios de política monetaria sobre la volatilidad de la tasa de cambio: un análisis para Colombia, 2008-2015," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 87, pages 67-95, March.
    19. Niţoi, Mihai & Pochea, Maria-Miruna & Radu, Ştefan-Constantin, 2023. "Unveiling the sentiment behind central bank narratives: A novel deep learning index," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
    20. Ayadi, Mohamed A. & Ben Omrane, Walid & Wang, Jiayu & Welch, Robert, 2022. "Senior official speech attributes and foreign exchange risk around business cycles," International Review of Financial Analysis, Elsevier, vol. 80(C).
    21. Dooruj Rambaccussing & Craig Menzies & Andrzej Kwiatkowski, 2022. "Look who’s Talking: Individual Committee members’ impact on inflation expectations," Dundee Discussion Papers in Economics 305, Economic Studies, University of Dundee.
    22. Juan Galvis & Claudio de Moraes & Juan Anzoátegui, 2017. "Effects of monetary policy announcements on exchange rate volatility: an analysis for Colombia, 2008-2015," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 87, pages 67-95, Julio - D.
    23. Robert Dixon & Zhichao Zhang & Yang Dai, 2016. "Exchange Rate Flexibility in China: Measurement, Regime Shifts and Driving Forces of Change," Review of International Economics, Wiley Blackwell, vol. 24(5), pages 875-892, November.
    24. Becksndale Masawi & Sukanto Bhattacharya & Terry Boulter, 2018. "Does the Information Content of Central Bank Speeches Impact on the Level of Exchange Rate? A Comparative Study of Canadian and Australian Central Bank Communications," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-27, March.
    25. Olga S. Kuznetsova & Sofiya R. Ulyanova, 2016. "The Impact Of A Central Bank’S Verbal Interventions On Stock Exchange Indices In A Resource Based Economy: The Evidence From Russia," HSE Working papers WP BRP 155/EC/2016, National Research University Higher School of Economics.
    26. Dungey, Mardi & Matei, Marius & Treepongkaruna, Sirimon, 2020. "Examining stress in Asian currencies: A perspective offered by high frequency financial market data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    27. Parra-Polanía, Julián & Sánchez-Jabba, Andrés & Sarmiento, Miguel, 2024. "Are FX communications effective? Evidence from emerging markets," Emerging Markets Review, Elsevier, vol. 59(C).
    28. Telegin, O., 2022. "Bank of Russia regular communications and volatility short-term effects in financial markets," Journal of the New Economic Association, New Economic Association, vol. 54(2), pages 130-155.
    29. Lars Winkelmann & Markus Bibinger & Tobias Linzert, 2016. "ECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(4), pages 613-629, June.
    30. Lucian Liviu Albu & Radu Lupu & Adrian Cantemir Călin, 2016. "Impact Of FOMC Official Speeches on the Intraday Dynamics of CDS Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 5-12, June.

  13. Bernal, Oscar & Gnabo, Jean-Yves & Guilmin, Grégory, 2014. "Assessing the contribution of banks, insurance and other financial services to systemic risk," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 270-287.

    Cited by:

    1. Wang, Bo & Xiao, Yang, 2023. "Risk spillovers from China's and the US stock markets during high-volatility periods: Evidence from East Asianstock markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
    2. Belke, Ansgar & Kronen, Dominik, 2017. "The impact of uncertainty on macro variables: An SVAR-based empirical analysis for EU countries," Ruhr Economic Papers 699, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    3. Tang, Qihe & Tong, Zhiwei & Xun, Li, 2022. "Insurance risk analysis of financial networks vulnerable to a shock," European Journal of Operational Research, Elsevier, vol. 301(2), pages 756-771.
    4. Hai-Chuan Xu & Fredj Jawadi & Jie Zhou & Wei-Xing Zhou, 2023. "Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework," Empirical Economics, Springer, vol. 65(1), pages 93-110, July.
    5. Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhang, Wei, 2019. "Financial systemic risk measurement based on causal network connectedness analysis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 290-307.
    6. Mauro Bernardi & Leopoldo Catania, 2015. "Switching-GAS Copula Models With Application to Systemic Risk," Papers 1504.03733, arXiv.org, revised Jan 2016.
    7. Ayhan Orhan & Vahit Ferhan Benli & Rui Alexandre Castanho, 2020. "Assessing the Systemic Risk Between American and European Financial Systems," Prague Economic Papers, Prague University of Economics and Business, vol. 2020(6), pages 649-671.
    8. Mikhail Stolbov, 2017. "Assessing systemic risk and its determinants for advanced and major emerging economies: the case of ΔCoVaR," International Economics and Economic Policy, Springer, vol. 14(1), pages 119-152, January.
    9. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2023. "Options-based systemic risk, financial distress, and macroeconomic downturns," LSE Research Online Documents on Economics 119289, London School of Economics and Political Science, LSE Library.
    10. Mathias Mandla Manguzvane & John Weirstrass Muteba Mwamba, 2020. "GAS Copula models on who’s systemically important in South Africa: Banks or Insurers?," Empirical Economics, Springer, vol. 59(4), pages 1573-1604, October.
    11. Yang, Lu & Yang, Lei & Ho, Kung-Cheng & Hamori, Shigeyuki, 2020. "Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach," Journal of Asian Economics, Elsevier, vol. 68(C).
    12. Liu, Xiaochun, 2017. "Measuring systemic risk with regime switching in tails," Economic Modelling, Elsevier, vol. 67(C), pages 55-72.
    13. Dissem, Sonia & Lobez, Frederic, 2020. "Correlation between the 2014 EU-wide stress tests and the market-based measures of systemic risk," Research in International Business and Finance, Elsevier, vol. 51(C).
    14. Fang, Libing & Sun, Boyang & Li, Huijing & Yu, Honghai, 2018. "Systemic risk network of Chinese financial institutions," Emerging Markets Review, Elsevier, vol. 35(C), pages 190-206.
    15. Algieri, Bernardina & Leccadito, Arturo, 2017. "Assessing contagion risk from energy and non-energy commodity markets," Energy Economics, Elsevier, vol. 62(C), pages 312-322.
    16. Drakos, Anastassios A. & Kouretas, Georgios P., 2015. "Bank ownership, financial segments and the measurement of systemic risk: An application of CoVaR," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 127-140.
    17. Marion Dupire & Christian Haddad & Regine Slagmulder, 2022. "The Importance of Board Risk Oversight in Times of Crisis," Journal of Financial Services Research, Springer;Western Finance Association, vol. 61(3), pages 319-365, June.
    18. Fang, Libing & Chen, Baizhu & Yu, Honghai & Qian, Yichuo, 2018. "Identifying systemic important markets from a global perspective: Using the ADCC ΔCoVaR approach with skewed-t distribution," Finance Research Letters, Elsevier, vol. 24(C), pages 137-144.
    19. Reboredo, Juan C. & Ugolini, Andrea, 2015. "Downside/upside price spillovers between precious metals: A vine copula approach," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 84-102.
    20. Bernardi, Mauro & Maruotti, Antonello & Petrella, Lea, 2017. "Multiple risk measures for multivariate dynamic heavy–tailed models," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 1-32.
    21. Ghulam, Yaseen & Doering, Jana, 2018. "Spillover effects among financial institutions within Germany and the United Kingdom," Research in International Business and Finance, Elsevier, vol. 44(C), pages 49-63.
    22. Li, Xiafei & Wei, Yu, 2018. "The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method," Energy Economics, Elsevier, vol. 74(C), pages 565-581.
    23. Peng, Wei & Hu, Shichao & Chen, Wang & Zeng, Yu-feng & Yang, Lu, 2019. "Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 137-149.
    24. Reboredo, Juan C. & Ugolini, Andrea, 2015. "A vine-copula conditional value-at-risk approach to systemic sovereign debt risk for the financial sector," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 98-123.
    25. Warshaw, Evan, 2019. "Extreme dependence and risk spillovers across north american equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 237-251.
    26. Mensi, Walid & Rehman, Mobeen Ur & Vo, Xuan Vinh, 2021. "Risk spillovers and diversification between oil and non-ferrous metals during bear and bull market states," Resources Policy, Elsevier, vol. 72(C).
    27. John Weirstrass Muteba Mwamba & Ehounou Serge Eloge Florentin Angaman, 2021. "Modeling System Risk in the South African Insurance Sector: A Dynamic Mixture Copula Approach," IJFS, MDPI, vol. 9(2), pages 1-17, May.
    28. Pierre Nkou Mananga & Shiqiang Lin & Hairui Zhang, 2023. "A network approach to interbank contagion risk in South Africa," Working Papers 11052, South African Reserve Bank.
    29. Zehri, Chokri, 2021. "Stock market comovements: Evidence from the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
    30. Adachi-Sato, Meg & Vithessonthi, Chaiporn, 2017. "Bank systemic risk and corporate investment: Evidence from the US," International Review of Financial Analysis, Elsevier, vol. 50(C), pages 151-163.
    31. Javier Ojea Ferreiro, 2018. "Contagion spillovers between sovereign and financial European sector from a Delta CoVaR approach," Documentos de Trabajo del ICAE 2018-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    32. Rahman, Md Lutfur & Troster, Victor & Uddin, Gazi Salah & Yahya, Muhammad, 2022. "Systemic risk contribution of banks and non-bank financial institutions across frequencies: The Australian experience," International Review of Financial Analysis, Elsevier, vol. 79(C).
    33. Roman Garcia & Dimitri Lorenzani & Daniel Monteiro & Francesco Perticari & Bořek Vašíček & Lukas Vogel, 2021. "Financial Spillover and Contagion Risks in the Euro Area in 2007-2019," European Economy - Discussion Papers 137, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    34. Skouralis, Alexandros, 2021. "The role of systemic risk spillovers in the transmission of Euro Area monetary policy," ESRB Working Paper Series 129, European Systemic Risk Board.
    35. Jokivuolle, Esa & Tunaru, Radu & Vioto, Davide, 2018. "Testing the systemic risk differences in banks," Bank of Finland Research Discussion Papers 13/2018, Bank of Finland.
    36. Ojea Ferreiro, Javier, 2019. "Disentangling the role of the exchange rate in oil-related scenarios for the European stock market," Working Paper Series 2296, European Central Bank.
    37. Jin, Justin Y. & Ma, Mary L.Z. & Song, Victor & Guo, Mengyang, 2021. "Banks’ loan charge-offs and macro-level risk," Journal of Behavioral and Experimental Finance, Elsevier, vol. 32(C).
    38. Martin Eling & David Antonius Pankoke, 2016. "Systemic Risk in the Insurance Sector: A Review and Directions for Future Research," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 19(2), pages 249-284, September.
    39. Covi, Giovanni & Huser, Anne-Caroline, 2024. "Measuring capital at risk with financial contagion: two-sector model with banks and insurers," Bank of England working papers 1081, Bank of England.
    40. Lea Petrella & Alessandro G. Laporta & Luca Merlo, 2019. "Cross-Country Assessment of Systemic Risk in the European Stock Market: Evidence from a CoVaR Analysis," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 146(1), pages 169-186, November.
    41. Miguel Rivera-Castro & Andrea Ugolini & Juan Arismendi Z, 2016. "Tail Systemic Risk And Banking Network Contagion: Evidence From the Brazilian Banking System," ICMA Centre Discussion Papers in Finance icma-dp2016-05, Henley Business School, University of Reading.
    42. Hossein Dastkhan, 2021. "Network‐based early warning system to predict financial crisis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 594-616, January.
    43. Yufei Cao, 2021. "Modeling the dependence structure and systemic risk of all listed insurance companies in the Chinese insurance market," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 24(4), pages 367-399, December.
    44. Eita, Joel Hinaunye & Ngobese, Sibusiso Blessing & Muteba Mwamba, John Weirstrass, 2020. "An empirical analysis of systemic and macroeconomic risk in South Africa: an application of the quantile regression," MPRA Paper 101493, University Library of Munich, Germany.
    45. Tian, Maoxi & Guo, Fei & Niu, Rong, 2022. "Risk spillover analysis of China’s financial sectors based on a new GARCH copula quantile regression model," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    46. M. Bernardi & L. Petrella, 2014. "Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors," Papers 1401.6408, arXiv.org, revised Apr 2014.
    47. Rivera-Castro, Miguel A. & Ugolini, Andrea & Arismendi Zambrano, Juan, 2018. "Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network," Emerging Markets Review, Elsevier, vol. 35(C), pages 164-189.
    48. Acedański, Jan & Karkowska, Renata, 2022. "Instability spillovers in the banking sector: A spatial econometrics approach," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    49. Alexandros Skouralis, 2023. "The Role of Systemic Risk Spillovers in the Transmission of Euro Area Monetary Policy," Open Economies Review, Springer, vol. 34(5), pages 1079-1106, November.
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    71. Reber, Beat, 2017. "Does mispricing, liquidity or third-party certification contribute to IPO downside risk?," International Review of Financial Analysis, Elsevier, vol. 51(C), pages 25-53.
    72. Yangmin Ke & Chongguang Li & Andrew M. McKenzie & Ping Liu, 2019. "Risk Transmission between Chinese and U.S. Agricultural Commodity Futures Markets—A CoVaR Approach," Sustainability, MDPI, vol. 11(1), pages 1-18, January.
    73. Xiao, Yang, 2020. "The risk spillovers from the Chinese stock market to major East Asian stock markets: A MSGARCH-EVT-copula approach," International Review of Economics & Finance, Elsevier, vol. 65(C), pages 173-186.
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    75. Hanif, Waqas & Areola Hernandez, Jose & Troster, Victor & Kang, Sang Hoon & Yoon, Seong-Min, 2022. "Nonlinear dependence and spillovers between cryptocurrency and global/regional equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
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    80. Liu, Xiaochun, 2017. "Unfolded risk-return trade-offs and links to Macroeconomic Dynamics," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 1-19.
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    83. Abuzayed, Bana & Al-Fayoumi, Nedal, 2021. "Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
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  14. Jean-Yves Gnabo & J�rôme Lahaye & S�bastien Laurent & Christelle Lecourt, 2012. "Do jumps mislead the FX market?," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1521-1532, October.

    Cited by:

    1. Serdengeçti, Süleyman & Sensoy, Ahmet & Nguyen, Duc Khuong, 2021. "Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    2. Dewachter, Hans & Erdemlioglu, Deniz & Gnabo, Jean-Yves & Lecourt, Christelle, 2014. "The intra-day impact of communication on euro-dollar volatility and jumps," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 131-154.

  15. Gnabo, Jean-Yves & Teiletche, Jérôme, 2009. "Foreign-exchange intervention strategies and market expectations: insights from Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 432-446, July.

    Cited by:

    1. Jukka Sihvonen & Sami Vähämaa, 2014. "Forward‐Looking Monetary Policy Rules and Option‐Implied Interest Rate Expectations," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(4), pages 346-373, April.
    2. Santiago García-Verdú & Manuel Ramos-Francia, 2014. "Interventions and Expected Exchange Rates in Emerging Market Economies," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-34.
    3. Kentaro Iwatsubo & Satoshi Kawanishi, 2011. "The Information Improving Channel of Exchange Rate Intervention: How Do Official Announcements Work?," Discussion Papers 1116, Graduate School of Economics, Kobe University.
    4. Dewachter, Hans & Erdemlioglu, Deniz & Gnabo, Jean-Yves & Lecourt, Christelle, 2014. "The intra-day impact of communication on euro-dollar volatility and jumps," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 131-154.
    5. Vithessonthi, Chaiporn & Tongurai, Jittima, 2014. "The spillover effects of unremunerated reserve requirements: Evidence from Thailand," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 338-351.
    6. Nikkinen, Jussi & Vähämaa, Sami, 2009. "Central bank interventions and implied exchange rate correlations," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 862-873, December.
    7. Srđan Marinković, 2014. "Non-Parametric Sign Test And Paired Samples Test Of Effectiveness Of Official Fx Intervention," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 59(202), pages 107-130, July – Se.
    8. Zhang, Zhichao & Li, He & Zhang, Chuanjie, 2017. "Oral intervention in China: Efficacy of Chinese exchange rate communications," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 24-34.
    9. Yushi Yoshida & Jan C. Rülke, 2009. "On-Going versus Completed Interventions and Yen/Dollar Expectations - Evidence from Disaggregated Survey Data," Discussion Papers 35, Kyushu Sangyo University, Faculty of Economics, revised Dec 2009.

  16. Bernal, Oscar & Gnabo, Jean-Yves, 2009. "Announcements, financial operations or both? Generalizing central banks' FX reaction functions," Journal of the Japanese and International Economies, Elsevier, vol. 23(4), pages 367-394, December.

    Cited by:

    1. Olivier Debande & Jean Luc De Meulemeester, 2008. "Quality and variety competition in higher education," DULBEA Working Papers 08-12.RS, ULB -- Universite Libre de Bruxelles.
    2. Jean-Yves Gnabo & Luiz de Mello & Diego Moccero, 2008. "Interdependencies between Monetary Policy and Foreign Exchange Intervention under Inflation Targeting: The Case of Brazil and the Czech Republic," WIDER Working Paper Series RP2008-95, World Institute for Development Economic Research (UNU-WIDER).
    3. Jean Luc De Meulemeester, 2007. "L'économie de l'éducation fait-elle des progrès? Une perspective d'histoire de la pensée économique," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 50(1), pages 89-111.
    4. Hassan Ayoub & Jérôme Creel & Etienne Farvaque, 2008. "Détermination du niveau des prix et finances: le cas du Liban 1965-2005," DULBEA Working Papers 08-10.RS, ULB -- Universite Libre de Bruxelles.
    5. Benoit Mahy & François Rycx & Mélanie Volral, 2008. "L'influence de la dispersion salariale sur la performance des grandes entreprises belges," ULB Institutional Repository 2013/13474, ULB -- Universite Libre de Bruxelles.
    6. Jérôme De Henau & Leila Maron & Danièle Meulders & Sile Padraigin O'Dorchai, 2007. "Travail et maternité en Europe: conditions de travail et politiques publiques," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 50(1), pages 63-88.
    7. Régis Blazy & Laurent Weill, 2007. "The impact of legal sanctions on moral hazard when debt contracts are renegotiable?," Working Papers CEB 07-012.RS, ULB -- Universite Libre de Bruxelles.
    8. Caroline Gerschlager, 2008. "Foolishness and identity: Amartya Sen and Adam Smith," DULBEA Working Papers 08-03.RS, ULB -- Universite Libre de Bruxelles.
    9. Daniel Ordoñez‐Callamand & Mauricio Villamizar‐Villegas & Luis F. Melo‐Velandia, 2018. "Foreign exchange intervention revisited: A new way of estimating censored models," International Finance, Wiley Blackwell, vol. 21(2), pages 195-213, June.
    10. Olga Bourachnikova, 2007. "Weighting function in the behavioral portfolio theory," DULBEA Working Papers 07-07.RS, ULB -- Universite Libre de Bruxelles.
    11. Ilan Tojerow, 2008. "Industry Wage Differentials Rent Sharing and Gender in Belgium," Reflets et perspectives de la vie économique, De Boeck Université, vol. 0(3), pages 55-65.
    12. Abdeslam Marfouk, 2008. "The African brain drain: scope and determinants," DULBEA Working Papers 08-07.RS, ULB -- Universite Libre de Bruxelles.
    13. Zhang, Zhichao & Li, He & Zhang, Chuanjie, 2017. "Oral intervention in China: Efficacy of Chinese exchange rate communications," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 24-34.

  17. Gnabo, Jean-Yves & Laurent, Sébastien & Lecourt, Christelle, 2009. "Does transparency in central bank intervention policy bring noise to the FX market?: The case of the Bank of Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 94-111, February.

    Cited by:

    1. Oscar Bernal Diaz & Jean-Yves Gnabo, 2007. "Talks, financial operations or both? Generalizing central banks' FX reaction functions," DULBEA Working Papers 07-03.RS, ULB -- Universite Libre de Bruxelles.
    2. Ricardo T. Fernholz, 2015. "Exchange Rate Manipulation And Constructive Ambiguity," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(4), pages 1323-1348, November.
    3. Kentaro Iwatsubo & Satoshi Kawanishi, 2011. "The Information Improving Channel of Exchange Rate Intervention: How Do Official Announcements Work?," Discussion Papers 1116, Graduate School of Economics, Kobe University.
    4. Dewachter, Hans & Erdemlioglu, Deniz & Gnabo, Jean-Yves & Lecourt, Christelle, 2014. "The intra-day impact of communication on euro-dollar volatility and jumps," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 131-154.
    5. Laurent, Sébastien & Lecourt, Christelle & Palm, Franz C., 2016. "Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 383-400.
    6. Stephanos Papadamou & Moïse Sidiropoulos & Eleftherios Spyromitros, 2014. "Does central bank transparency affect stock market volatility?," Post-Print hal-03692261, HAL.
    7. Michel Beine & Oscar Bernal Diaz & Jean-Yves Gnabo & Christelle Lecourt, 2006. "Intervention policy of the BoJ: a unified approach," DULBEA Working Papers 06-15.RS, ULB -- Universite Libre de Bruxelles.
    8. Jean-Yves Gnabo & J�rôme Lahaye & S�bastien Laurent & Christelle Lecourt, 2012. "Do jumps mislead the FX market?," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1521-1532, October.
    9. Robert Dixon & Zhichao Zhang & Yang Dai, 2016. "Exchange Rate Flexibility in China: Measurement, Regime Shifts and Driving Forces of Change," Review of International Economics, Wiley Blackwell, vol. 24(5), pages 875-892, November.
    10. Chang, Mei-Ching & Suardi, Sandy & Chang, Yuanchen, 2017. "Foreign exchange intervention in Asian countries: What determine the odds of success during the credit crisis?," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 370-390.
    11. Jean-Yves Gnabo & Christelle Lecourt, 2008. "Foreign Exchange Intervention Policy: With or Without Transparency? The Case of Japan," Economie Internationale, CEPII research center, issue 113, pages 5-34.
    12. Bernal, Oscar & Gnabo, Jean-Yves, 2009. "Announcements, financial operations or both? Generalizing central banks' FX reaction functions," Journal of the Japanese and International Economies, Elsevier, vol. 23(4), pages 367-394, December.

  18. Jean-Yves Gnabo & Christelle Lecourt, 2008. "Foreign Exchange Intervention Policy: With or Without Transparency? The Case of Japan," Economie Internationale, CEPII research center, issue 113, pages 5-34.

    Cited by:

    1. Abdul Rishad & Sanjeev Gupta & Akhil Sharma, 2021. "Official Intervention and Exchange Rate Determination: Evidence from India," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 13(3), pages 357-379, September.

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