IDEAS home Printed from https://ideas.repec.org/e/c/pri12.html
   My authors  Follow this author

Roberto Rigobon

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.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Alberto Cavallo & Brent Neiman & Roberto Rigobon, 2014. "The Price Impact of Joining a Currency Union: Evidence from Latvia," NBER Working Papers 20225, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. Zara et la convergence des prix en zone euro
      by ? in D'un champ l'autre on 2014-06-20 04:57:00

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Roberto Rigobon, 2003. "Identification Through Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 777-792, November.

    Mentioned in:

    1. > Econometrics > Time Series Models > VAR Models
  2. Alberto Cavallo & Roberto Rigobon, 2016. "The Billion Prices Project: Using Online Prices for Measurement and Research," Journal of Economic Perspectives, American Economic Association, vol. 30(2), pages 151-178, Spring.

    Mentioned in:

    1. > Econometrics > Big Data

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, September.

    Mentioned in:

    1. Stocks, bonds, money markets and exchange rates: measuring international Financial transmission (Journal of Applied Econometrics 2011) in ReplicationWiki ()

Working papers

  1. Florian Berg & Julian F. Koelbel & Anna Pavlova & Roberto Rigobon, 2022. "ESG Confusion and Stock Returns: Tackling the Problem of Noise," NBER Working Papers 30562, National Bureau of Economic Research, Inc.

    Cited by:

    1. Koji Takahashi & Sumiko Takaoka, 2023. "How much do firms need to satisfy employees? - Evidence from credit spreads and online employee reviews," BIS Working Papers 1111, Bank for International Settlements.
    2. Xuming Shangguan & Gengyan Shi & Zhou Yu, 2024. "ESG Performance and Enterprise Value in China: A Novel Approach via a Regulated Intermediary Model," Sustainability, MDPI, vol. 16(8), pages 1-18, April.
    3. Jin, Yurong & Yan, Jingzhou & Yan, Qianhui, 2024. "Unraveling ESG Ambiguity, Price Reaction, and Trading Volume," Finance Research Letters, Elsevier, vol. 61(C).
    4. Roman Kräussl & Tobi Oladiran & Denitsa Stefanova, 2024. "A review on ESG investing: Investors’ expectations, beliefs and perceptions," Journal of Economic Surveys, Wiley Blackwell, vol. 38(2), pages 476-502, April.
    5. Rojo-Suárez, Javier & Alonso-Conde, Ana B. & Gonzalez-Ruiz, Juan David, 2024. "Does sustainability improve financial performance? An analysis of Latin American oil and gas firms," Resources Policy, Elsevier, vol. 88(C).
    6. Wang, Xinyu & Zhao, Jing, 2023. "The green reputation: Corporate culture and environmental reputation risk," Finance Research Letters, Elsevier, vol. 58(PA).
    7. Luo, Deqing & Shan, Xun & Yan, Jingzhou & Yan, Qianhui, 2023. "Sustainable investment under ESG volatility and ambiguity," Economic Modelling, Elsevier, vol. 128(C).
    8. Gianluca Gucciardi & Elisa Ossola & Lucia Parisio & Matteo Pelagatti, 2024. "Common factors behind companies' Environmental ratings," Working Papers 536, University of Milano-Bicocca, Department of Economics.
    9. Long, Huaigang & Chiah, Mardy & Cakici, Nusret & Zaremba, Adam & Bilgin, Mehmet Huseyin, 2024. "ESG investing in good and bad times: An international study," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    10. Jin, Yurong & Yan, Jingzhou, 2024. "Sustainable investing with ESG ambiguous information," Economics Letters, Elsevier, vol. 241(C).
    11. Serge Darolles & Yuyi He & Gaëlle Le Fol, 2024. "Understanding the effect of ESG scores on stock returns using mediation theory," Post-Print hal-04594004, HAL.
    12. Ricci, Ornella & Santilli, Gianluca & Scardozzi, Giulia & Stentella Lopes, Francesco Saverio, 2024. "ESG resilience in conflictual times," Research in International Business and Finance, Elsevier, vol. 71(C).
    13. Li, Hao & Guo, Hui & Hao, Xinyao & Zhang, Xuan, 2023. "The ESG rating, spillover of ESG ratings, and stock return: Evidence from Chinese listed firms," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    14. Yikai Zhao & Jun Nagayasu & Xinyi Geng, 2024. "Measuring Climate Policy Uncertainty with LLMs: New Insights into Corporate Bond Credit Spreads," DSSR Discussion Papers 143, Graduate School of Economics and Management, Tohoku University.
    15. Michele Costa, 2023. "The evaluation of the effects of ESG scores on financial markets," Working Papers wp1189, Dipartimento Scienze Economiche, Universita' di Bologna.

  2. Bomin Jiang & Daniel E. Rigobon & Roberto Rigobon, 2021. "From Just in Time, to Just in Case, to Just in Worst-Case: Simple models of a Global Supply Chain under Uncertain Aggregate Shocks," NBER Working Papers 29345, National Bureau of Economic Research, Inc.

    Cited by:

    1. d'Artis Kancs, 2022. "Enhancing Resilience: Model-based Simulations," Papers 2212.11108, arXiv.org.
    2. Jeffrey Hadachek & Meilin Ma & Richard J. Sexton, 2024. "Market structure and resilience of food supply chains under extreme events," American Journal of Agricultural Economics, John Wiley & Sons, vol. 106(1), pages 21-44, January.
    3. Raphael Lafrogne-Joussier & Julien Martin & Isabelle Mejean, 2023. "Supply Shocks in Supply Chains: Evidence from the Early Lockdown in China," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 71(1), pages 170-215, March.
    4. d'Artis Kancs, 2024. "Uncertainty of Supply Chains: Risk and Ambiguity," EERI Research Paper Series EERI RP 2024/03, Economics and Econometrics Research Institute (EERI), Brussels.
    5. Taiji Furusawa & Lili Yan Ing, . "G20’s Roles in Improving the Resilience of Supply Chains," Chapters,, Economic Research Institute for ASEAN and East Asia (ERIA).
    6. Ian Dew‐Becker, 2023. "Tail Risk in Production Networks," Econometrica, Econometric Society, vol. 91(6), pages 2089-2123, November.
    7. Juan de Lucio & Carmen Díaz-Mora & Raúl Mínguez & Asier Minondo & Francisco Requena, 2023. "Do firms react to supply-chain disruptions?," Working Papers 2306, Department of Applied Economics II, Universidad de Valencia.
    8. Heiwai Tang & Xiuxiu Zheng, 2024. "How did China's zero Covid policy affect its exports?," Review of International Economics, Wiley Blackwell, vol. 32(2), pages 545-573, May.
    9. Michael Carolan, 2023. "Just-in-case transitions and the pursuit of resilient food systems: enumerative politics and what it means to make care count," Agriculture and Human Values, Springer;The Agriculture, Food, & Human Values Society (AFHVS), vol. 40(3), pages 1055-1066, September.
    10. LIANG, Licheng, 2023. "Resilience of Japanese Multinational Enterprises' Production Networks during the COVID-19 Pandemic," Discussion Paper Series 742, Institute of Economic Research, Hitotsubashi University.

  3. Diego Aparicio & Zachary Metzman & Roberto Rigobon, 2021. "The Pricing Strategies of Online Grocery Retailers," NBER Working Papers 28639, National Bureau of Economic Research, Inc.

    Cited by:

    1. Vladimir Fedoseev & Svetlana Fedoseeva, 2022. "Same DNA, same location, same price? Price differences across distribution e‐channels of a single online retailer," Agribusiness, John Wiley & Sons, Ltd., vol. 38(4), pages 874-884, October.
    2. Strasser, Georg & Wieland, Elisabeth & Macias, Paweł & Błażejowska, Aneta & Szafranek, Karol & Wittekopf, David & Franke, Jörn & Henkel, Lukas & Osbat, Chiara, 2023. "E-commerce and price setting: evidence from Europe," Occasional Paper Series 320, European Central Bank.
    3. Sullivan, Tom, 2022. "Price dispersion in the rideshare industry : a study of the Mexico City market," Warwick-Monash Economics Student Papers 40, Warwick Monash Economics Student Papers.
    4. John Asker & Chaim Fershtman & Ariel Pakes, 2024. "The impact of artificial intelligence design on pricing," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 33(2), pages 276-304, March.
    5. Kooli, Maher & Zhang, Aoran & Zhao, Yunfei, 2022. "How IPO firms' product innovation strategy affects the likelihood of post-IPO acquisitions?," Journal of Corporate Finance, Elsevier, vol. 72(C).
    6. Rhodes, Andrew & Zhou, Jidong, 2022. "Personalized Pricing and Competition," MPRA Paper 112988, University Library of Munich, Germany.
    7. Macias, Paweł & Stelmasiak, Damian & Szafranek, Karol, 2023. "Nowcasting food inflation with a massive amount of online prices," International Journal of Forecasting, Elsevier, vol. 39(2), pages 809-826.
    8. Aparicio, Diego & Rigobon, Roberto, 2023. "Quantum prices," Journal of International Economics, Elsevier, vol. 143(C).
    9. Huelden, Tobias & Jascisens, Vitalijs & Roemheld, Lars & Werner, Tobias, 2024. "Human-machine interactions in pricing: Evidence from two large-scale field experiments," DICE Discussion Papers 412, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
    10. Benjamin R. Shiller, 2022. "Discreet Personalized Pricing," CESifo Working Paper Series 10025, CESifo.
    11. Fiskara Indawan & Aryo Sasongko & Dian Rahmawati, 2023. "Price Setting Behavior In An Online Market," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 26(2), pages 192-220, May.
    12. Dedola, Luca & Ehrmann, Michael & Hoffmann, Peter & Lamo, Ana & Paz-Pardo, Gonzalo & Slacalek, Jiri & Strasser, Georg, 2023. "Digitalisation and the economy," Working Paper Series 2809, European Central Bank.
    13. Chen, I-Ju & Hsu, Po-Hsuan & Wang, Yanzhi, 2022. "Staggered boards and product innovations: Evidence from Massachusetts State Bill HB 5640," Research Policy, Elsevier, vol. 51(4).
    14. Diego Aparicio & Duncan Simester, 2022. "Price Frictions and the Success of New Products," Marketing Science, INFORMS, vol. 41(6), pages 1057-1073, November.

  4. Bomin Jiang & Roberto Rigobon & Munther A. Dahleh, 2020. "Contingent Linear Financial Networks," NBER Working Papers 26814, National Bureau of Economic Research, Inc.

    Cited by:

    1. Laleh Tafakori & Armin Pourkhanali & Riccardo Rastelli, 2022. "Measuring systemic risk and contagion in the European financial network," Empirical Economics, Springer, vol. 63(1), pages 345-389, July.

  5. Alberto Cavallo & Roberto Rigobon, 2016. "The Billion Prices Project: Using Online Prices for Measurement and Research," NBER Working Papers 22111, National Bureau of Economic Research, Inc.

    Cited by:

    1. Choi, Sangyup & Shin, Junhyeok & Yoo, Seung Yong, 2022. "Are government spending shocks inflationary at the zero lower bound? New evidence from daily data," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    2. Fernando Alvarez & Francesco Lippi & Juan Passadore, 2016. "Are State- and Time-Dependent Models Really Different?," NBER Chapters, in: NBER Macroeconomics Annual 2016, Volume 31, pages 379-457, National Bureau of Economic Research, Inc.
    3. Makoto Nirei & José A. Scheinkman, 2021. "Repricing Avalanches," CARF F-Series CARF-F-510, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    4. Choi, Sangyup & Shin, Junhyeok, 2022. "Bitcoin: An inflation hedge but not a safe haven," Finance Research Letters, Elsevier, vol. 46(PB).
    5. Linda J. Young & Michael Jacobsen, 2022. "Sample Design and Estimation When Using a Web-Scraped List Frame and Capture-Recapture Methods," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 27(2), pages 261-279, June.
    6. Cavallo, Alberto & Lippi, Francesco & Miyahara, Ken, 2023. "Large shocks travel fast," CEPR Discussion Papers 18413, C.E.P.R. Discussion Papers.
    7. Harchaoui, Tarek M. & Janssen, Robert V., 2018. "How can big data enhance the timeliness of official statistics?," International Journal of Forecasting, Elsevier, vol. 34(2), pages 225-234.
    8. Strasser, Georg & Wieland, Elisabeth & Macias, Paweł & Błażejowska, Aneta & Szafranek, Karol & Wittekopf, David & Franke, Jörn & Henkel, Lukas & Osbat, Chiara, 2023. "E-commerce and price setting: evidence from Europe," Occasional Paper Series 320, European Central Bank.
    9. Xu Chen & Chunhong Liu & Yao Jiang & Changchun Gao, 2021. "What Causes the Virtual Agglomeration of Creative Industries?," Sustainability, MDPI, vol. 13(16), pages 1-18, August.
    10. Brian Fabo & Sharon Sarah Belli, 2017. "(Un)beliveable wages? An analysis of minimum wage policies in Europe from a living wage perspective," IZA Journal of Labor Policy, Springer;Forschungsinstitut zur Zukunft der Arbeit GmbH (IZA), vol. 6(1), pages 1-11, December.
    11. David Staines, 2023. "Stochastic Equilibrium the Lucas Critique and Keynesian Economics," Papers 2312.16214, arXiv.org, revised Jun 2024.
    12. Fernando Alvarez & Francesco Lippi, 2020. "Temporary Price Changes, Inflation Regimes, and the Propagation of Monetary Shocks," American Economic Journal: Macroeconomics, American Economic Association, vol. 12(1), pages 104-152, January.
    13. Fernando Alvarez & Hervé Le Bihan & Francesco Lippi, 2016. "The Real Effects of Monetary Shocks in Sticky Price Models: A Sufficient Statistic Approach," American Economic Review, American Economic Association, vol. 106(10), pages 2817-2851, October.
    14. Kanika Mahajan & Shekhar Tomar, 2021. "COVID‐19 and Supply Chain Disruption: Evidence from Food Markets in India†," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(1), pages 35-52, January.
    15. Fernando Alvarez & Andrea Ferrara & Erwan Gautier & Hervé Le Bihan & Francesco Lippi, 2021. "Empirical Investigation of a Sufficient Statistic for Monetary Shocks," Working papers 839, Banque de France.
    16. Alexey S. Evseev & Rodion R. Latypov & Egor A. Postolit & Elena S. Sinelnikova-Muryleva, 2022. "Technical and Methodological Challenges of Collecting Price Data from Online Retailers [Технические И Методологические Проблемы Сбора Данных О Ценах Онлайн-Ритейлеров]," Russian Economic Development, Gaidar Institute for Economic Policy, issue 11, pages 36-45, November.
    17. Justin Longo & Alan Rodney Dobell, 2018. "The Limits of Policy Analytics: Early Examples and the Emerging Boundary of Possibilities," Politics and Governance, Cogitatio Press, vol. 6(4), pages 5-17.
    18. Alexey S. Evseev & Rodion R. Latypov & Egor A. Postolit & Elena S. Sinelnikova-Muryleva, 2022. "Техданные О Ценах Онлайн-Ритейлеров Обладают Огромной Ценностью С Точки Зрения Экономической Науки: Их Использование Позволяет Уточнять Прогнозы Инфляции И Предвосхищать Будущие Тенденции В Моменте, К," Russian Economic Development (in Russian), Gaidar Institute for Economic Policy, issue 11, pages 36-45, November.
    19. Davide Pettenuzzo & Riccardo Sabbatucci & Allan Timmermann, 2018. "High-frequency Cash Flow Dynamics," Working Papers 120, Brandeis University, Department of Economics and International Business School.
    20. Diego Aparicio & Roberto Rigobon, 2020. "Quantum Prices," NBER Working Papers 26646, National Bureau of Economic Research, Inc.
    21. John M. Abowd & Ian M. Schmutte & William Sexton & Lars Vilhuber, 2019. "Suboptimal Provision of Privacy and Statistical Accuracy When They are Public Goods," Papers 1906.09353, arXiv.org.
    22. Alberto F. Cavallo, 2016. "Are Online and Offline Prices Similar? Evidence from Large Multi-Channel Retailers," NBER Working Papers 22142, National Bureau of Economic Research, Inc.
    23. Kanika Mahajan & Shekhar Tomar, 2020. "Here Today, Gone Tomorrow: COVID-19 and Supply Chain Disruptions," Working Papers 28, Ashoka University, Department of Economics.
    24. Sayag, Doron & Snir, Avichai & Levy, Daniel, 2024. "Small Price Changes, Sales Volume, and Menu Cost," EconStor Preprints 285116, ZBW - Leibniz Information Centre for Economics.
    25. Diewert W. Erwin & Fox Kevin J., 2022. "Measuring Inflation under Pandemic Conditions," Journal of Official Statistics, Sciendo, vol. 38(1), pages 255-285, March.
    26. Tomaz Cajner & Leland D. Crane & Ryan A. Decker & Adrian Hamins-Puertolas & Christopher Kurz, 2019. "Improving the Accuracy of Economic Measurement with Multiple Data Sources: The Case of Payroll Employment Data," NBER Chapters, in: Big Data for Twenty-First-Century Economic Statistics, pages 147-170, National Bureau of Economic Research, Inc.
    27. Davide Pettenuzzo & Riccardo Sabbatucci & Allan Timmermann, 2020. "Cash Flow News and Stock Price Dynamics," Journal of Finance, American Finance Association, vol. 75(4), pages 2221-2270, August.
    28. Erica L. Groshen & Brian C. Moyer & Ana M. Aizcorbe & Ralph Bradley & David M. Friedman, 2017. "How Government Statistics Adjust for Potential Biases from Quality Change and New Goods in an Age of Digital Technologies: A View from the Trenches," Journal of Economic Perspectives, American Economic Association, vol. 31(2), pages 187-210, Spring.
    29. Patrick Bajari & Zhihao Cen & Victor Chernozhukov & Manoj Manukonda & Jin Wang & Ramon Huerta & Junbo Li & Ling Leng & George Monokroussos & Suhas Vijaykunar & Shan Wan, 2023. "Hedonic prices and quality adjusted price indices powered by AI," CeMMAP working papers 08/23, Institute for Fiscal Studies.
    30. Guillermo Carlomagno & Nicolas Eterovic & L. G. Hernández-Román, 2023. "Disentangling Demand and Supply Inflation Shocks from Chilean Electronic Payment Data," Working Papers Central Bank of Chile 986, Central Bank of Chile.
    31. Louis-Gaëtan Giraudet & Anna Petronevich & Laurent Faucheux, 2019. "How do lenders price energy efficiency? Evidence from personal consumption loans," Working papers 716, Banque de France.
    32. György Matolcsy & Márton Nagy & Dániel Palotai & Barnabás Virág, 2020. "Inflation in the Digital Age: Inflation Measurement and Bias in the 21st Century," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 19(1), pages 5-36.
    33. Mr. Balazs Csonto & Yuxuan Huang & Mr. Camilo E Tovar Mora, 2019. "Is Digitalization Driving Domestic Inflation?," IMF Working Papers 2019/271, International Monetary Fund.
    34. George Kapetanios & Fotis Papailias, 2018. "Big Data & Macroeconomic Nowcasting: Methodological Review," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2018-12, Economic Statistics Centre of Excellence (ESCoE).
    35. Hillen, Judith, 2018. "Web Scraping For Food Price Research," 58th Annual Conference, Kiel, Germany, September 12-14, 2018 275840, German Association of Agricultural Economists (GEWISOLA).
    36. Sebastien Carrere & Clement Mathieu & Francois Combarnous & Gabriel Kessker & Eric Rougier & Ariel Wilkis, 2022. "The middle class in Argentina: Dynamics, characteristics and implications for public policies," Post-Print hal-03773031, HAL.
    37. Macias, Paweł & Stelmasiak, Damian & Szafranek, Karol, 2023. "Nowcasting food inflation with a massive amount of online prices," International Journal of Forecasting, Elsevier, vol. 39(2), pages 809-826.
    38. Guyt, Jonne Y. & Datta, Hannes & Boegershausen, Johannes, 2024. "Unlocking the Potential of Web Data for Retailing Research," Journal of Retailing, Elsevier, vol. 100(1), pages 130-147.
    39. Alberto Cavallo & Gita Gopinath & Brent Neiman & Jenny Tang, 2019. "Tariff passthrough at the border and at the store: evidence from US trade policy," Working Papers 19-12, Federal Reserve Bank of Boston.
    40. Diego Daruich & Julian Kozlowski, 2019. "Uniform Pricing Within and Across Regions: New Evidence from Argentina," 2019 Meeting Papers 669, Society for Economic Dynamics.
    41. García, Juan R. & Pacce, Matías & Rodrigo, Tomasa & Ruiz de Aguirre, Pep & Ulloa, Camilo A., 2021. "Measuring and forecasting retail trade in real time using card transactional data," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1235-1246.
    42. Bluhm, Benjamin & Cutura, Jannic, 2020. "Econometrics at scale: Spark up big data in economics," SAFE Working Paper Series 266, Leibniz Institute for Financial Research SAFE.
    43. Fernando E. Alvarez & Francesco Lippi & Aleksei Oskolkov, 2020. "The Macroeconomics of Sticky Prices with Generalized Hazard Functions," NBER Working Papers 27434, National Bureau of Economic Research, Inc.
    44. Dertwinkel-Kalt, Markus & Köster, Mats, 2020. "Attention to online sales: The role of brand image concerns," DICE Discussion Papers 335, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
    45. Santiago E. Alvarez & Sarah M. Lein, 2020. "Tracking inflation on a daily basis," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 156(1), pages 1-13, December.
    46. Jennifer Peña & Elvira Prades, 2021. "Price setting in Chile: Micro evidence from consumer on-line prices during the social outbreak and Covid-19," Working Papers 2112, Banco de España.
    47. Manuel de Mier & Fernando Delbianco, 2023. "Cu\'anto es demasiada inflaci\'on? Una clasificaci\'on de reg\'imenes inflacionarios," Papers 2401.02428, arXiv.org.
    48. Alberto Cavallo & Oleksiy Kryvtsov, 2022. "What Can Stockouts Tell Us About Inflation? Evidence from Online Micro Data," NBER Chapters, in: NBER International Seminar on Macroeconomics 2022, National Bureau of Economic Research, Inc.
    49. Yim, Sung Taek & Son, Jong Chil & Lee, Jiwon, 2022. "Spread of E-commerce, prices and inflation dynamics: Evidence from online price big data in Korea," Journal of Asian Economics, Elsevier, vol. 80(C).
    50. Kenneth Clements & Jiawei Si & Long H. Vo, 2019. "The Law of One Food Price," Economics Discussion / Working Papers 19-09, The University of Western Australia, Department of Economics.
    51. Giuseppe Arbia & Vincenzo Nardelli, 2024. "Using Web-Data to Estimate Spatial Regression Models," International Regional Science Review, , vol. 47(2), pages 204-226, March.
    52. De Mier Manuel, 2023. "¿Cuánto es demasiada inflación? Una clasificación de regímenes inflacionarios," Asociación Argentina de Economía Política: Working Papers 4640, Asociación Argentina de Economía Política.
    53. Pille-Riin Aja & Louis-Gaëtan Giraudet & Sébastien Houde, 2024. "The (Non-)Disclosure of Energy Efficiency: The Case of Cooling Technologies across Africa," Post-Print hal-04456844, HAL.
    54. Okiriza Wibisono & Hidayah Dhini Ari & Anggraini Widjanarti & Alvin Andhika Zulen & Bruno Tissot, 2019. "The use of big data analytics and artificial intelligence in central banking – An overview," IFC Bulletins chapters, in: Bank for International Settlements (ed.), The use of big data analytics and artificial intelligence in central banking, volume 50, Bank for International Settlements.
    55. Beck, Günter W. & Carstensen, Kai & Menz, Jan-Oliver & Schnorrenberger, Richard & Wieland, Elisabeth, 2023. "Nowcasting consumer price inflation using high-frequency scanner data: Evidence from Germany," Discussion Papers 34/2023, Deutsche Bundesbank.
    56. David Lebow, 2023. "Modernizing the Consumer Price Index for the 21st Century," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 58(1), pages 71-73, January.
    57. Yilmazkuday, Hakan, 2021. "Oil price pass-through into consumer prices: Evidence from U.S. weekly data," Journal of International Money and Finance, Elsevier, vol. 119(C).
    58. Irving Fisher Committee, 2021. "New developments in central bank statistics around the world," IFC Bulletins, Bank for International Settlements, number 55.
    59. Nobuhiro Abe & Kimiaki Shinozaki, 2018. "Compilation of Experimental Price Indices Using Big Data and Machine Learning:A Comparative Analysis and Validity Verification of Quality Adjustments," Bank of Japan Working Paper Series 18-E-13, Bank of Japan.
    60. Giraudet, Louis-Gaëtan & Petronevich, Anna & Faucheux, Laurent, 2021. "Differentiated green loans," Energy Policy, Elsevier, vol. 149(C).
    61. Giuseppe Bruno & Hiren Jani & Rafael Schmidt & Bruno Tissot, 2020. "Computing platforms for big data analytics and artificial intelligence," IFC Reports 11, Bank for International Settlements.
    62. Dessertaine, Théo & Moran, José & Benzaquen, Michael & Bouchaud, Jean-Philippe, 2022. "Out-of-equilibrium dynamics and excess volatility in firm networks," Journal of Economic Dynamics and Control, Elsevier, vol. 138(C).
    63. S. Dupraz, 2017. "A Kinked-Demand Theory of Price Rigidity," Working papers 656, Banque de France.
    64. Aparicio, Diego & Rigobon, Roberto, 2023. "Quantum prices," Journal of International Economics, Elsevier, vol. 143(C).
    65. Tim Lloyd, 2017. "Forty Years of Price Transmission Research in the Food Industry: Insights, Challenges and Prospects," Journal of Agricultural Economics, Wiley Blackwell, vol. 68(1), pages 3-21, February.
    66. Bomin Jiang & Roberto Rigobon & Munther A. Dahleh, 2020. "Contingent Linear Financial Networks," NBER Working Papers 26814, National Bureau of Economic Research, Inc.
    67. Alturki, Sultan & Olson, Eric, 2022. "Oil sentiment and the U.S. inflation premium," Energy Economics, Elsevier, vol. 114(C).
    68. Elliott, M. & Galeotti., A. & Koh., A. & Li, W., 2021. "Market Segmentation Through Information," Janeway Institute Working Papers 2114, Faculty of Economics, University of Cambridge.
    69. Sonan Memon, 2022. "Inflation in Pakistan: High-Frequency Estimation and Forecasting," PIDE-Working Papers 2022:12, Pakistan Institute of Development Economics.
    70. Aparicio, Diego & Bertolotto, Manuel I., 2020. "Forecasting inflation with online prices," International Journal of Forecasting, Elsevier, vol. 36(2), pages 232-247.
    71. Orazem, Peter F. & Tran, Thu, 2020. "To Inform or Influence? The Difference between Data Released by Nonprofits and by the Government," Journal of Regional Analysis and Policy, Mid-Continent Regional Science Association, vol. 50(1), March.
    72. Yanele Nyamela & Vasilios Plakandaras & Rangan Gupta, 2020. "Frequency-dependent real-time effects of uncertainty in the United States: evidence from daily data," Applied Economics Letters, Taylor & Francis Journals, vol. 27(19), pages 1562-1566, November.
    73. Richard Davies, 2021. "Prices and inflation in the UK - A new dataset," CEP Occasional Papers 55, Centre for Economic Performance, LSE.
    74. Lucey, Brian M. & Sharma, Susan Sunila & Vigne, Samuel A., 2017. "Gold and inflation(s) – A time-varying relationship," Economic Modelling, Elsevier, vol. 67(C), pages 88-101.
    75. Robert Sinclair & Jess Diamond, 2022. "Basic food and drink price distributions transcend time and culture," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-7, December.
    76. Scheubel, Beatrice & Tafuro, Andrea & Vonessen, Benjamin, 2018. "Stigma? What stigma? A contribution to the debate on financial market effects of IMF lending," Working Paper Series 2198, European Central Bank.
    77. J. Peña & E. Prades, 2021. "Price setting in Chile: Micro evidence from consumer on-line prices during the social outbreak and Covid-19," Working Papers Central Bank of Chile 906, Central Bank of Chile.
    78. Sangyup Choi & Junhyeok Shin, 2020. "Brave New World? Bitcoin is not the New Gold: Understanding Cryptocurrency Price Dynamics," Working papers 2020rwp-167, Yonsei University, Yonsei Economics Research Institute.
    79. Hai Long Vo & Duc Hong Vo, 2023. "The purchasing power parity and exchange‐rate economics half a century on," Journal of Economic Surveys, Wiley Blackwell, vol. 37(2), pages 446-479, April.
    80. Attakrit Leckcivilize, 2019. "The Movement and Change in Online Price Within and Across Selected Major Retail Stores in Thailand," PIER Discussion Papers 105, Puey Ungphakorn Institute for Economic Research.
    81. Hubert Drazkowski & Sebastian Zalas, 2023. "The evolution of labor share in Poland. New evidence from firm-level data," GRAPE Working Papers 82, GRAPE Group for Research in Applied Economics.
    82. Markus Dertwinkel-Kalt & Mats Köster, 2017. "Salience and Online Sales: The Role of Brand Image Concerns," CESifo Working Paper Series 6787, CESifo.
    83. Margaret M. Jacobson & Christian Matthes & Todd B. Walker, 2022. "Inflation Measured Every Day Keeps Adverse Responses Away: Temporal Aggregation and Monetary Policy Transmission," Finance and Economics Discussion Series 2022-054, Board of Governors of the Federal Reserve System (U.S.).
    84. Diego Aparicio & Alberto Cavallo, 2018. "Targeted Price Controls on Supermarket Products," NBER Working Papers 24275, National Bureau of Economic Research, Inc.
    85. Robert C. Feenstra & Mingzhi Xu & Alexis Antoniades, 2017. "What is the Price of Tea in China? Towards the Relative Cost of Living in Chinese and U.S. Cities," NBER Working Papers 23161, National Bureau of Economic Research, Inc.
    86. Crystal G. Konny & Brendan K. Williams & David M. Friedman, 2019. "Big Data in the US Consumer Price Index: Experiences and Plans," NBER Chapters, in: Big Data for Twenty-First-Century Economic Statistics, pages 69-98, National Bureau of Economic Research, Inc.
    87. Ha,Jongrim & Ivanova,Anna & Ohnsorge,Franziska Lieselotte & Unsal Portillo Ocando,Derya Filiz, 2019. "Inflation : Concepts, Evolution, and Correlates," Policy Research Working Paper Series 8738, The World Bank.
    88. Diego Daruich & Julian Kozlowski, 2023. "Macroeconomic Implications of Uniform Pricing," American Economic Journal: Macroeconomics, American Economic Association, vol. 15(3), pages 64-108, July.
    89. Bogdan Oancea, 2023. "Automatic Product Classification Using Supervised Machine Learning Algorithms in Price Statistics," Mathematics, MDPI, vol. 11(7), pages 1-32, March.
    90. Leonardo Bonilla-Mejía & Leonardo Fabio Morales & Didier Hermida-Giraldo & Luz A. Flórez, 2020. "The Labor Market of Immigrants and Non-Immigrants Evidence from the Venezuelan Refugee Crisis," Borradores de Economia 1119, Banco de la Republica de Colombia.
    91. Gerke, Brian F. & McNeil, Michael A. & Tu, Thomas, 2017. "The International Database of Efficient Appliances (IDEA): A new tool to support appliance energy-efficiency deployment," Applied Energy, Elsevier, vol. 205(C), pages 453-464.
    92. David Easley & Marcos López de Prado & Maureen O’Hara & Zhibai Zhang & Wei Jiang, 2021. "Microstructure in the Machine Age [The risk of machine learning]," The Review of Financial Studies, Society for Financial Studies, vol. 34(7), pages 3316-3363.
    93. Ayoubkhani Daniel & Thomas Heledd, 2022. "Estimating Weights for Web-Scraped Data in Consumer Price Indices," Journal of Official Statistics, Sciendo, vol. 38(1), pages 5-21, March.
    94. Philip ME Garboden, 2019. "Sources and Types of Big Data for Macroeconomic Forecasting," Working Papers 2019-3, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
    95. Zhenkun Zhou & Zikun Song & Tao Ren, 2023. "A New Weighted Food CPI from Scanner Big Data in China," Papers 2310.04242, arXiv.org, revised Oct 2023.
    96. Keiichi Goshima & Hiroshi Ishijima & Mototsugu Shintani & Hiroki Yamamoto, 2019. "Forecasting Japanese inflation with a news-based leading indicator of economic activities," CARF F-Series CARF-F-458, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    97. W. Erwin Diewert & Kevin J. Fox, 2020. "Measuring Real Consumption and CPI Bias under Lockdown Conditions," NBER Working Papers 27144, National Bureau of Economic Research, Inc.
    98. Antonakakis, Nikolaos & Cunado, Juncal & Gil-Alana, Luis A. & Gupta, Rangan, 2016. "Is inflation persistence different in reality?," Economics Letters, Elsevier, vol. 148(C), pages 55-58.
    99. Dedola, Luca & Ehrmann, Michael & Hoffmann, Peter & Lamo, Ana & Paz-Pardo, Gonzalo & Slacalek, Jiri & Strasser, Georg, 2023. "Digitalisation and the economy," Working Paper Series 2809, European Central Bank.
    100. Gabriel Lyrio de Oliveira & Andre Luis Squarize Chagas & Denise Leyi Li, 2022. "Public Sector Procurements and Reference Prices Estimation with Small Samples in Brazil," Working Papers, Department of Economics 2022_02, University of São Paulo (FEA-USP).
    101. Ilaria Benedetti & Tiziana Laureti & Luigi Palumbo & Brandon M. Rose, 2022. "Computation of High-Frequency Sub-National Spatial Consumer Price Indexes Using Web Scraping Techniques," Economies, MDPI, vol. 10(4), pages 1-20, April.
    102. Diego Bodas & Juan R. García López & Tomasa Rodrigo López & Pep Ruiz de Aguirre & Camilo A. Ulloa & Juan Murillo Arias & Juan de Dios Romero Palop & Heribert Valero Lapaz & Matías J. Pacce, 2019. "Measuring retail trade using card transactional data," Working Papers 1921, Banco de España.
    103. Peter Mikek, 2023. "Financial deepening and income inequality: is there a financial Kuznetz curve in Latin America?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(1), pages 103-125, March.
    104. Apostolos Filippas & John J. Horton & Joseph M. Golden, 2019. "Reputation Inflation," NBER Working Papers 25857, National Bureau of Economic Research, Inc.
    105. Thibaut Duprey & Daniel E. Rigobon & Philip Schnattinger & Artur Kotlicki & Soheil Baharian & T. R. Hurd, 2022. "Business Closures and (Re)Openings in Real Time Using Google Places," Staff Working Papers 22-1, Bank of Canada.
    106. Cosar,Ahmet Kerem, 2022. "Overland Transport Costs : A Review," Policy Research Working Paper Series 10156, The World Bank.
    107. Ademmer, Martin & Beckmann, Joscha & Bode, Eckhardt & Boysen-Hogrefe, Jens & Funke, Manuel & Hauber, Philipp & Heidland, Tobias & Hinz, Julian & Jannsen, Nils & Kooths, Stefan & Söder, Mareike & Stame, 2021. "Big Data in der makroökonomischen Analyse," Kieler Beiträge zur Wirtschaftspolitik 32, Kiel Institute for the World Economy (IfW Kiel).
    108. David J. Hand, 2018. "Statistical challenges of administrative and transaction data," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 181(3), pages 555-605, June.
    109. Ben Powell & Guy Nason & Duncan Elliott & Matthew Mayhew & Jennifer Davies & Joe Winton, 2018. "Tracking and modelling prices using web‐scraped price microdata: towards automated daily consumer price index forecasting," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 181(3), pages 737-756, June.
    110. Amita Majumder & Ranjan Ray, 2020. "National and subnational purchasing power parity: a review," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 47(2), pages 103-124, June.
    111. Resce, Giuliano & Maynard, Diana, 2018. "What matters most to people around the world? Retrieving Better Life Index priorities on Twitter," Technological Forecasting and Social Change, Elsevier, vol. 137(C), pages 61-75.
    112. Jeffrey C. Chen & Abe Dunn & Kyle Hood & Alexander Driessen & Andrea Batch, 2019. "Off to the Races: A Comparison of Machine Learning and Alternative Data for Predicting Economic Indicators," NBER Chapters, in: Big Data for Twenty-First-Century Economic Statistics, pages 373-402, National Bureau of Economic Research, Inc.
    113. Dario Bonciani & Andrea Tafuro, 2018. "The Effects of Uncertainty Shocks on Daily Prices," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 14(1), pages 89-104, April.
    114. Beatrice D. Scheubel & Andrea Tafuro & Benjamin Vonessen, 2018. "STIGMA? WHAT STIGMA? A Contribution to the Debate on the Effectiveness of IMF Lending," CESifo Working Paper Series 7036, CESifo.
    115. Bogner Alexandra & Jerger Jürgen, 2023. "Big data in monetary policy analysis—a critical assessment," Economics and Business Review, Sciendo, vol. 9(2), pages 27-40, April.
    116. Yan Leng & Nakash Ali Babwany & Alex Pentland, 2021. "Unraveling the association between socioeconomic diversity and consumer price index in a tourism country," Palgrave Communications, Palgrave Macmillan, vol. 8(1), pages 1-10, December.
    117. Barış Soybilgen & M. Ege Yazgan & Hüseyin Kaya, 2023. "Nowcasting Turkish Food Inflation Using Daily Online Prices," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 19(2), pages 171-190, September.
    118. Brave, Scott A. & Butters, R. Andrew & Fogarty, Michael, 2022. "The perils of working with big data, and a SMALL checklist you can use to recognize them," Business Horizons, Elsevier, vol. 65(4), pages 481-492.
    119. Nadim Ahmad & Paul Schreyer, 2016. "Are GDP and Productivity Up to the Challenges of the Digital Economy?," International Productivity Monitor, Centre for the Study of Living Standards, vol. 30, pages 4-27, Spring.
    120. Atin Aboutorabi & Ga'etan de Rassenfosse, 2024. "Nowcasting R&D Expenditures: A Machine Learning Approach," Papers 2407.11765, arXiv.org.
    121. Robert Laskowski, 2022. "Differences between Online Prices and the Consumer Prices Index During Covid-19 in Germany," ACTA VSFS, University of Finance and Administration, vol. 16(1), pages 76-87.
    122. Zhenkun Zhou & Zikun Song & Tao Ren, 2022. "Predicting China's CPI by Scanner Big Data," Papers 2211.16641, arXiv.org, revised Oct 2023.
    123. Jagjit S. Chadha & Richard Barwell, 2019. "Renewing our Monetary Vows: Open Letters to the Governor of the Bank of England," National Institute of Economic and Social Research (NIESR) Occasional Papers 58, National Institute of Economic and Social Research.
    124. Alberto Cavallo & Guillermo Cruces & Ricardo Perez-Truglia, 2016. "Learning from Potentially Biased Statistics," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 47(1 (Spring), pages 59-108.
    125. Hillen, Judith & Fedoseeva, Svetlana, 2021. "E-commerce and the end of price rigidity?," Journal of Business Research, Elsevier, vol. 125(C), pages 63-73.
    126. Federico Sturzenegger, 2019. "Macri´s Macro: The meandering road to stability and growth," Working Papers 135, Universidad de San Andres, Departamento de Economia, revised Oct 2019.
    127. Alex Isakov & Rodion Latypov & Andrey Repin & Egor Postolit & Alexey Evseev & Elena Sinelnikova-Muryleva, 2021. "Hard Numbers: Open Consumer Price Database," Russian Journal of Money and Finance, Bank of Russia, vol. 80(1), pages 104-119, March.

  6. Rigobon, Roberto, 2016. "Contagion, spillover and interdependence," Bank of England working papers 607, Bank of England.

    Cited by:

    1. Colin Ellis, 2020. "Are Corporate Bond Defaults Contagious across Sectors?," IJFS, MDPI, vol. 8(1), pages 1-17, January.
    2. Fei Su & Lili Zhai & Yunyan Zhou & Zixi Zhuang & Feifan Wang, 2024. "Risk contagion in financial markets: A systematic review using bibliometric methods," Australian Economic Papers, Wiley Blackwell, vol. 63(1), pages 163-199, March.
    3. Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Doğan, Buhari & Adekoya, Oluwasegun B. & Wohar, Mark, 2024. "Asymmetric spillover effects in energy markets," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 470-502.
    4. Borri, Nicola & Giorgio, Giorgio di, 2022. "Systemic risk and the COVID challenge in the european banking sector," Journal of Banking & Finance, Elsevier, vol. 140(C).
    5. J. Paul Elhorst & Marco Gross & Eugen Tereanu, 2021. "Cross‐Sectional Dependence And Spillovers In Space And Time: Where Spatial Econometrics And Global Var Models Meet," Journal of Economic Surveys, Wiley Blackwell, vol. 35(1), pages 192-226, February.
    6. Rigana, Katerina & Wit, Ernst-Jan Camiel & Cook, Samantha, 2023. "A new way of measuring effects of financial crisis on contagion in currency markets," International Review of Financial Analysis, Elsevier, vol. 90(C).
    7. Lee, Seohyun, 2017. "Three essays on uncertainty: real and financial effects of uncertainty shocks," MPRA Paper 83617, University Library of Munich, Germany.
    8. BenSaïda, Ahmed & Litimi, Houda & Abdallah, Oussama, 2018. "Volatility spillover shifts in global financial markets," Economic Modelling, Elsevier, vol. 73(C), pages 343-353.
    9. Moinas, Sophie & Nguyen, Minh & Valente, Giorgio, 2017. "Funding Constraints and Market Illiquidity in the European Treasury Bond Market," TSE Working Papers 17-814, Toulouse School of Economics (TSE).
    10. Guidolin, Massimo & Hansen, Erwin & Pedio, Manuela, 2019. "Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach," Journal of Financial Markets, Elsevier, vol. 45(C), pages 83-114.
    11. Mensi, Walid & Ziadat, Salem Adel & Rababa'a, Abdel Razzaq Al & Vo, Xuan Vinh & Kang, Sang Hoon, 2024. "Oil, gold and international stock markets: Extreme spillovers, connectedness and its determinants," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 1-17.
    12. Wafa Miled & Zied Ftiti & Jean-Michel Sahut, 2022. "Spatial contagion between financial markets: new evidence of asymmetric measures," Annals of Operations Research, Springer, vol. 313(2), pages 1183-1220, June.
    13. Herculano, Miguel C., 2018. "The role of contagion in the transmission of financial stress," ESRB Working Paper Series 81, European Systemic Risk Board.
    14. BenSaïda, Ahmed, 2019. "Good and bad volatility spillovers: An asymmetric connectedness," Journal of Financial Markets, Elsevier, vol. 43(C), pages 78-95.
    15. Linas Jurksas & Deimante Teresiene & Rasa Kanapickiene, 2021. "Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions," Economies, MDPI, vol. 9(1), pages 1-22, March.
    16. Christian Gross & Pierre L. Siklos, 2019. "Analyzing credit risk transmission to the non-financial sector in Europe: A network approach," CAMA Working Papers 2019-43, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    17. 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).
    18. Nina Tessler & Itzhak Venezia, 2022. "A multicountry measure of comovement and contagion in international markets: definition and applications," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1307-1330, May.
    19. 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.
    20. Mugrabi, Farah Daniela, 2023. "Detecting and dating possibly distinct structural breaks in the covariance structure of financial assets," LIDAM Discussion Papers LFIN 2023001, Université catholique de Louvain, Louvain Finance (LFIN).
    21. Starkey, Christopher Michael & Tsafack, Georges, 2023. "Measuring financial contagion: Dealing with the volatility Bias in the correlation dynamics," International Review of Financial Analysis, Elsevier, vol. 90(C).
    22. Mensi, Walid & Reboredo, Juan C. & Ugolini, Andrea & Vo, Xuan Vinh, 2022. "Switching connectedness between real estate investment trusts, oil, and gold markets," Finance Research Letters, Elsevier, vol. 49(C).
    23. Munir Khamis & Dalal Aassouli, 2023. "The Eligibility of Green Bonds as Safe Haven Assets: A Systematic Review," Sustainability, MDPI, vol. 15(8), pages 1-27, April.
    24. Choi, Sun-Yong & Phiri, Andrew & Teplova, Tamara & Umar, Zaghum, 2024. "Connectedness between (un)conventional monetary policy and islamic and advanced equity markets: A returns and volatility spillover analysis," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 348-363.
    25. Paulo Matos & Antonio Costa & Cristiano da Silva, 2024. "On the Risk-based Contagion of G7 Banking System and the COVID-19 Pandemic," Global Business Review, International Management Institute, vol. 25(6), pages 1634-1654, December.
    26. Bonaccolto, Giovanni & Borri, Nicola & Consiglio, Andrea, 2023. "Breakup and default risks in the great lockdown," Journal of Banking & Finance, Elsevier, vol. 147(C).
    27. Sandoval Paucar, Giovanny, 2021. "A Conditional Correlation Analysis For The Colombian Stock Market," MPRA Paper 107963, University Library of Munich, Germany.
    28. Kangogo, Moses & Volkov, Vladimir, 2022. "Detecting signed spillovers in global financial markets: A Markov-switching approach," International Review of Financial Analysis, Elsevier, vol. 82(C).
    29. Garcia, Márcio & Guillen, Diogo & Ribeiro, Bernardo & Velloso, João, 2024. "International macroeconomic vulnerability," Journal of International Money and Finance, Elsevier, vol. 146(C).
    30. Sandoval Paucar, Giovanny, 2018. "Contagio Financiero: Una Breve Revisión De Literatura [Financial Contagio: A Review Literature]," MPRA Paper 89554, University Library of Munich, Germany.
    31. Bonga-Bonga, Lumengo & Mpoha, Salifya, 2024. "Spillover effects from China and the United States to Key Regional Emerging Markets: A dynamic analysis," International Review of Financial Analysis, Elsevier, vol. 91(C).
    32. Martin Ademmer & Wolfram Horn & Josefine Quast, 2022. "Stock market dynamics and the relative importance of domestic, foreign, and common shocks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 3911-3923, October.
    33. Sandoval Paucar, Giovanny, 2019. "Modelación de la correlación condicional para el mercado bursátil colombiano: una aplicación de DCC – MGARCH [Modeling of the conditional correlation for the Colombian stock market: a DCC applicati," MPRA Paper 92534, University Library of Munich, Germany, revised 04 Mar 2019.
    34. Davidson, Sharada Nia, 2020. "Interdependence or contagion: A model switching approach with a focus on Latin America," Economic Modelling, Elsevier, vol. 85(C), pages 166-197.
    35. Zhang, Qun & Zhang, Zhendong & Luo, Jiawen, 2024. "Asymmetric and high-order risk transmission across VIX and Chinese futures markets," International Review of Financial Analysis, Elsevier, vol. 93(C).
    36. Newaz, Mohammad Khaleq & Park, Jin Suk, 2019. "The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 79-94.
    37. Vácha, Lukáš & Šmolík, Filip & Baxa, Jaromír, 2019. "Comovement and disintegration of EU sovereign bond markets during the crisis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 541-556.

  7. Manuel Bertoloto & Alberto Cavallo & Roberto Rigobon, 2014. "Using Online Prices to Anticipate Official CPI Inflation," UTokyo Price Project Working Paper Series 031, University of Tokyo, Graduate School of Economics.

    Cited by:

    1. Isaiah Hull & Marten Löf & Markus Tibblin, 2017. "Price information collected online and short-term inflation forecasts / Scraped sales price information and short-term CPI forecasts," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Big Data, volume 44, Bank for International Settlements.

  8. Alberto Cavallo & Brent Neiman & Roberto Rigobon, 2014. "The Price Impact of Joining a Currency Union: Evidence from Latvia," NBER Working Papers 20225, National Bureau of Economic Research, Inc.

    Cited by:

    1. Alberto F. Cavallo, 2016. "Are Online and Offline Prices Similar? Evidence from Large Multi-Channel Retailers," NBER Working Papers 22142, National Bureau of Economic Research, Inc.
    2. Tuomas Kosonen & Jarkko Harju & Oskar Nordström Skans, 2017. "Firm types, price-setting strategies, and consumption-tax incidence," Working Papers 311, Työn ja talouden tutkimus LABORE, The Labour Institute for Economic Research LABORE.
    3. Mr. Balazs Csonto & Yuxuan Huang & Mr. Camilo E Tovar Mora, 2019. "Is Digitalization Driving Domestic Inflation?," IMF Working Papers 2019/271, International Monetary Fund.
    4. Sophie Piton, 2018. "Do Unit Labor Costs Matter? A Decomposition Exercise on European Data," PSE Working Papers halshs-01785345, HAL.
    5. Kazuko Kano & Takashi Kano, 2021. "Welfare Costs of Exchange Rate Fluctuations: Evidence from the 1972 Okinawa Reversion," CIRJE F-Series CIRJE-F-1179, CIRJE, Faculty of Economics, University of Tokyo.
    6. Marina Glushenkova & Marios Zachariadis, 2020. "How different are Monetary Unions to national economies according to prices?," University of Cyprus Working Papers in Economics 01-2020, University of Cyprus Department of Economics.
    7. Rõõm, Tairi & Meriküll, Jaanika, 2014. "One currency, one price? Euro changeover-related inflation in Estonia," Working Paper Series 1732, European Central Bank.
    8. Jia Hou, 2020. "Revisiting the trade effects of the euro: data sources and various samples," Empirical Economics, Springer, vol. 59(6), pages 2731-2777, December.
    9. Mike Nyawo & Neil Rankin, 2020. "Price adjustment after hyperinflation in Zimbabwe," African Development Review, African Development Bank, vol. 32(2), pages 240-256, June.
    10. T. G. Saji, 2019. "Can BRICS Form a Currency Union? An Analysis under Markov Regime-Switching Framework," Global Business Review, International Management Institute, vol. 20(1), pages 151-165, February.
    11. Nchake, Mamello A. & Edwards, Lawrence & Rankin, Neil, 2018. "Closer monetary union and product market integration in emerging economies: Evidence from the Common Monetary Area in Southern Africa," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 154-164.
    12. Luca Macedoni, 2021. "Has the Euro Shrunk the Band? Relative Purchasing Power Parity Convergence in a Currency Union," Scandinavian Journal of Economics, Wiley Blackwell, vol. 123(2), pages 593-620, April.
    13. Diego Daruich & Julian Kozlowski, 2023. "Macroeconomic Implications of Uniform Pricing," American Economic Journal: Macroeconomics, American Economic Association, vol. 15(3), pages 64-108, July.
    14. Cosimo Petracchi, 2021. "The Mussa Puzzle: A Generalization," Working Papers 2021-001, Brown University, Department of Economics.
    15. Liu, Yue, 2016. "Price dispersion across countries and the heterogeneous impacts of income differences," Economics Letters, Elsevier, vol. 140(C), pages 64-67.
    16. Papell, David H. & Prodan, Ruxandra, 2020. "Long-run purchasing power parity redux," Journal of International Money and Finance, Elsevier, vol. 109(C).
    17. Petar Soric, 2024. "The euro and inflation in Croatia: much ado about nothing?," Public Sector Economics, Institute of Public Finance, vol. 48(1), pages 1-37.
    18. Piton, Sophie, 2021. "Economic integration and unit labour costs," European Economic Review, Elsevier, vol. 136(C).
    19. Romero, Jaime & Cruz-Roche, Ignacio & Charron, Jean-Philippe, 2020. "The myth of price convergence under economic integration: A proposed explanation for the difference in food prices across European countries," European Management Journal, Elsevier, vol. 38(2), pages 267-276.

  9. Alberto Cavallo & Eduardo Cavallo & Roberto Rigobon, 2013. "Prices and Supply Disruptions during Natural Disasters," NBER Working Papers 19474, National Bureau of Economic Research, Inc.

    Cited by:

    1. Gabriel J. Felbermayr & Jasmin Katrin Gröschl & Benedikt Heid, 2020. "Quantifying the Supply and Demand Effects of Natural Disasters Using Monthly Trade Data," CESifo Working Paper Series 8798, CESifo.
    2. De Alwis, Diana, 2018. "Distributional impacts of disaster recovery: Sri Lankan households a decade after the 2004 Indian Ocean tsunami," Working Paper Series 20321, Victoria University of Wellington, School of Economics and Finance.
    3. Jhorland Ayala-Garcia & Sandy Dall?Erba & William C. Ridley, 2021. "Externalities of extreme natural disasters on local tax capacity," Documentos de Trabajo Sobre Economía Regional y Urbana 19386, Banco de la República, Economía Regional.
    4. William Ginn, 2022. "Climate Disasters and the Macroeconomy: Does State-Dependence Matter? Evidence for the US," Economics of Disasters and Climate Change, Springer, vol. 6(1), pages 141-161, March.
    5. Kanika Mahajan & Shekhar Tomar, 2021. "COVID‐19 and Supply Chain Disruption: Evidence from Food Markets in India†," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(1), pages 35-52, January.
    6. Parker, Miles, 2016. "The impact of disasters on inflation," Working Paper Series 1982, European Central Bank.
    7. Guy Barokas & Arie Sherman, 2024. "Does Consumer’s Happiness and Other Emotions Signaling Affect Seller’s Prices? Theory and Evidence From Six Field Studies," SAGE Open, , vol. 14(2), pages 21582440241, April.
    8. Etienne Gagnon & David López-Salido, 2020. "Small Price Responses to Large Demand Shocks," Journal of the European Economic Association, European Economic Association, vol. 18(2), pages 792-828.
    9. Alberto F. Cavallo, 2016. "Are Online and Offline Prices Similar? Evidence from Large Multi-Channel Retailers," NBER Working Papers 22142, National Bureau of Economic Research, Inc.
    10. Nino, Gustavo, 2024. "Disruption in Ground Transportation: The Effect of Landslides on Food Market Integration," 2024 Annual Meeting, July 28-30, New Orleans, LA 343594, Agricultural and Applied Economics Association.
    11. Xiaojia Bao & Puyang Sun & Jianan Li, 2023. "The impacts of tropical storms on food prices: Evidence from China," American Journal of Agricultural Economics, John Wiley & Sons, vol. 105(2), pages 576-596, March.
    12. Kanika Mahajan & Shekhar Tomar, 2020. "Here Today, Gone Tomorrow: COVID-19 and Supply Chain Disruptions," Working Papers 28, Ashoka University, Department of Economics.
    13. Bello, Omar, 2017. "Disasters, economic growth and fiscal response in the countries of Latin America and the Caribbean, 1972-2010," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), April.
    14. de Paula, Aureo & Hansman, Christopher & Hong, Harrison & Singh, Vishal, 2020. "A Sticky-Price View of Hoarding," CEPR Discussion Papers 14633, C.E.P.R. Discussion Papers.
    15. Pan, Xiaodan & Dresner, Martin & Li, Guang & Mantin, Benny, 2024. "Stocking up on hand sanitizer: Pandemic lessons for retailers and consumers," Journal of Retailing and Consumer Services, Elsevier, vol. 79(C).
    16. Yothin Jinjarak & Ilan Noy & Quy Ta, 2020. "How Shocks Affect International Reserves? A Quasi-Experiment of Earthquakes," CESifo Working Paper Series 8632, CESifo.
    17. Alex Nikolsko‐Rzhevskyy & Oleksandr Talavera & Nam Vu, 2023. "The flood that caused a drought," Economic Inquiry, Western Economic Association International, vol. 61(4), pages 965-981, October.
    18. Vydra Simon & Kantorowicz Jaroslaw, 2021. "Tracing Policy-relevant Information in Social Media: The Case of Twitter before and during the COVID-19 Crisis," Statistics, Politics and Policy, De Gruyter, vol. 12(1), pages 87-127, June.
    19. Can Ding & Li Liu & Yi Zheng & Jianxiu Liao & Wenxing Huang, 2022. "Role of Distribution Centers Disruptions in New Retail Supply Chain: An Analysis Experiment," Sustainability, MDPI, vol. 14(11), pages 1-17, May.
    20. Erwan Gautier & Christoph Grosse Steffen & Magali Marx & Paul Vertier, 2023. "Decomposing the Inflation Response to Weather-Related Disasters," Working papers 935, Banque de France.
    21. Ciccarelli, Matteo & Marotta, Fulvia, 2021. "Demand or supply? An empirical exploration of the effects of climate change on the macroeconomy," Working Paper Series 2608, European Central Bank.
    22. Haroon Mumtaz & Fulvia Marotta, 2023. "Vulnerability to Climate Change: Evidence from a Dynamic Factor Model," Working Papers 961, Queen Mary University of London, School of Economics and Finance.
    23. Matteo Ciccarelli & Fulvia Marotta, 2021. "Demand or Supply? An empirical exploration of the effects of climate change on the macroeconomy," Working Papers 933, Queen Mary University of London, School of Economics and Finance.
    24. Yang, Bixuan & Asche, Frank & Li, Tao, 2021. "Food Price Inflation and Demand Shocks: Evidence from Chinese Cities during the Covid-19 Epidemic," 2021 Annual Meeting, August 1-3, Austin, Texas 314067, Agricultural and Applied Economics Association.
    25. Alberto Cavallo & Roberto Rigobon, 2016. "The Billion Prices Project: Using Online Prices for Measurement and Research," Journal of Economic Perspectives, American Economic Association, vol. 30(2), pages 151-178, Spring.
    26. Diana Alwis, 2020. "Distributional Impacts of Disaster Recovery: Sri Lankan Households a Decade after the 2004 Indian Ocean Tsunami," Economics of Disasters and Climate Change, Springer, vol. 4(1), pages 195-222, April.
    27. Jennifer Peña & Elvira Prades, 2021. "Price setting in Chile: Micro evidence from consumer on-line prices during the social outbreak and Covid-19," Working Papers 2112, Banco de España.
    28. Alberto Cavallo & Oleksiy Kryvtsov, 2022. "What Can Stockouts Tell Us About Inflation? Evidence from Online Micro Data," NBER Chapters, in: NBER International Seminar on Macroeconomics 2022, National Bureau of Economic Research, Inc.
    29. Emmanuel Apergis & Nicholas Apergis, 2021. "The impact of COVID-19 on economic growth: evidence from a Bayesian Panel Vector Autoregressive (BPVAR) model," Applied Economics, Taylor & Francis Journals, vol. 53(58), pages 6739-6751, December.
    30. Jeroen Klomp & John Sseruyange, 2021. "Earthquakes and Economic Outcomes: Does Central Bank Independence Matter?," Open Economies Review, Springer, vol. 32(2), pages 335-359, April.
    31. Conteduca, Francesco Paolo & Panon, Ludovic, 2024. "Natural Disasters and Markups," MPRA Paper 123008, University Library of Munich, Germany.
    32. Ilan Noy & Shakked Noy, 2016. "The Ethical Content of the Economic Analysis of Disasters: Price Gouging and Post-Disaster Recovery," CESifo Working Paper Series 6253, CESifo.
    33. Abe, Naohito & Moriguchi, Chiaki & Inakura, Noriko, 2014. "The Impact of the Great East Japan Earthquake on Commodity Prices: New Evidence from High-Frequency Scanner Data," Research Center for Price Dynamics Working Paper Series 12, Research Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University.
    34. Xiaoxiang Li & Shuhan Zhang, 2021. "Does Slack Buffer? Market Performance after Environmental Shock," Sustainability, MDPI, vol. 13(17), pages 1-16, August.
    35. Beck, Günter W. & Carstensen, Kai & Menz, Jan-Oliver & Schnorrenberger, Richard & Wieland, Elisabeth, 2023. "Nowcasting consumer price inflation using high-frequency scanner data: Evidence from Germany," Discussion Papers 34/2023, Deutsche Bundesbank.
    36. Asjad Naqvi & Franziska Gaupp & Stefan Hochrainer-Stigler, 2020. "The risk and consequences of multiple breadbasket failures: an integrated copula and multilayer agent-based modeling approach," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 42(3), pages 727-754, September.
    37. Xiaodan Pan & Martin Dresner & Benny Mantin & Jun A. Zhang, 2020. "Pre‐Hurricane Consumer Stockpiling and Post‐Hurricane Product Availability: Empirical Evidence from Natural Experiments," Production and Operations Management, Production and Operations Management Society, vol. 29(10), pages 2350-2380, October.
    38. Chaitat Jirophat & Pym Manopimoke & Suparit Suwanik, 2022. "The Macroeconomic Effects of Climate Shocks in Thailand," PIER Discussion Papers 188, Puey Ungphakorn Institute for Economic Research.
    39. Jeanne, Olivier & Borensztein, Eduardo & Cavallo, Eduardo, 2015. "The Welfare Gains from Macro-Insurance Against Natural Disasters," CEPR Discussion Papers 10915, C.E.P.R. Discussion Papers.
    40. Yoshio Kajitani & Hirokazu Tatano, 2018. "Applicability of a spatial computable general equilibrium model to assess the short-term economic impact of natural disasters," Economic Systems Research, Taylor & Francis Journals, vol. 30(3), pages 289-312, July.
    41. Jorge Hugo Barrientos-Marín & Sebastian Ospina-Valencia & Sebastian Giraldo, 2020. "The economic cost of natural disasters the case of the tsunami and nuclear emergency in Japan in 2011," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 93, pages 225-260, Julio-Dic.
    42. Yizao Liu & Adam N. Rabinowitz, 2021. "The impact of the COVID‐19 pandemic on retail dairy prices," Agribusiness, John Wiley & Sons, Ltd., vol. 37(1), pages 108-121, January.
    43. Masashige Hamano & Wessel N. Vermeulen, 2017. "Adapting to within-country export barriers: Evidence from the Japan 2011 Tsunami," Working Papers 1706, Waseda University, Faculty of Political Science and Economics.
    44. Rithika Dulam & Kazuo Furuta & Taro Kanno, 2021. "Consumer Panic Buying: Realizing Its Consequences and Repercussions on the Supply Chain," Sustainability, MDPI, vol. 13(8), pages 1-24, April.
    45. Oscar Zapata, 2018. "Turning to God in Tough Times? Human Versus Material Losses from Climate Disasters in Canada," Economics of Disasters and Climate Change, Springer, vol. 2(3), pages 259-281, October.
    46. Bellocca, Gian Pietro Enzo & Poncela Blanco, Maria Pilar, 2024. "Extreme temperatures and the profitability of large European firms," DES - Working Papers. Statistics and Econometrics. WS 44217, Universidad Carlos III de Madrid. Departamento de Estadística.
    47. J. Peña & E. Prades, 2021. "Price setting in Chile: Micro evidence from consumer on-line prices during the social outbreak and Covid-19," Working Papers Central Bank of Chile 906, Central Bank of Chile.
    48. Schmidt, Robert C. & Westbrock, Bastian & Hoegen, Hendrik, 2023. "A simple model of panic buying," Journal of Economic Behavior & Organization, Elsevier, vol. 216(C), pages 268-286.
    49. Timothy J. Richards, 2022. "Agribusiness and policy failures," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 44(1), pages 350-363, March.
    50. Oladosu, Gbadebo, 2022. "Bubbles in US gasoline prices: Assessing the role of hurricanes and anti–price gouging laws," Journal of Commodity Markets, Elsevier, vol. 27(C).
    51. Serena Ng, 2017. "Opportunities and Challenges: Lessons from Analyzing Terabytes of Scanner Data," NBER Working Papers 23673, National Bureau of Economic Research, Inc.
    52. Anastasios Evgenidis & Masashige Hamano & Wessel N. Vermeulen, 2021. "Economic consequences of follow-up disasters: lessons from the 2011 Great East Japan Earthquake," Working Papers 2111, Waseda University, Faculty of Political Science and Economics.
    53. Scott R. Baker & Tucker S. McElroy & Xuguang S. Sheng, 2020. "Expectation Formation Following Large, Unexpected Shocks," The Review of Economics and Statistics, MIT Press, vol. 102(2), pages 287-303, May.
    54. Klomp, Jeroen, 2020. "Do natural disasters affect monetary policy? A quasi-experiment of earthquakes," Journal of Macroeconomics, Elsevier, vol. 64(C).
    55. Mark Edem Kunawotor & Godfred Alufar Bokpin & Patrick O. Asuming & Kofi A. Amoateng, 2022. "The Impacts of Extreme Weather Events on Inflation and the Implications for Monetary Policy in Africa," Progress in Development Studies, , vol. 22(2), pages 130-148, April.
    56. Sarker, Ruhul & Essam, Daryl, 2017. "A quantitative model for disruption mitigation in a supply chainAuthor-Name: Paul, Sanjoy Kumar," European Journal of Operational Research, Elsevier, vol. 257(3), pages 881-895.
    57. Claude Berrebi & Ariel Karlinsky & Hanan Yonah, 2021. "Individual and community behavioral responses to natural disasters," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 105(2), pages 1541-1569, January.
    58. Marshall Reinsdorf & Robert Hill, 2014. "The 32nd IARIW General Conference, Boston, Massachusetts, 2012: Editors’ Introduction," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 60(S2), pages 277-280, November.
    59. Hunter, Janet & Ogasawara, Kota, 2016. "Price shocks in disaster: the Great Kantō Earthquake in Japan,1923," Economic History Working Papers 68618, London School of Economics and Political Science, Department of Economic History.
    60. Abe, Naohito & Moriguchi, Chiaki & Inakura, Noriko, 2014. "The Effects of Natural Disasters on Prices and Purchasing Behaviors: The Case of the Great East Japan Earthquake," RCESR Discussion Paper Series DP14-1, Research Center for Economic and Social Risks, Institute of Economic Research, Hitotsubashi University.
    61. Hallegatte,Stephane & Jooste,Charl & Mcisaac,Florent John, 2022. "Macroeconomic Consequences of Natural Disasters : A Modeling Proposal and Application to Floodsand Earthquakes in Turkey," Policy Research Working Paper Series 9943, The World Bank.
    62. Melissa L. Finucane & Joie Acosta & Amanda Wicker & Katie Whipkey, 2020. "Short-Term Solutions to a Long-Term Challenge: Rethinking Disaster Recovery Planning to Reduce Vulnerabilities and Inequities," IJERPH, MDPI, vol. 17(2), pages 1-19, January.
    63. Alaa Fouad Momena & Kamal Hossain Gazi & Mostafijur Rahaman & Anna Sobczak & Soheil Salahshour & Sankar Prasad Mondal & Arijit Ghosh, 2024. "Ranking and Challenges of Supply Chain Companies Using MCDM Methodology," Logistics, MDPI, vol. 8(3), pages 1-32, September.
    64. Ciccarelli, Matteo & Marotta, Fulvia, 2024. "Demand or Supply? An empirical exploration of the effects of climate change on the macroeconomy," Energy Economics, Elsevier, vol. 129(C).

  10. Fernando Borraz & Alberto Cavallo & Roberto Rigobon & Leandro Zipitría, 2012. "Distance and Political Boundaries. Estimating Border Effects under Inequality Constraints," Documentos de trabajo 2012001, Banco Central del Uruguay.

    Cited by:

    1. Demet Yilmazkuday & Hakan Yilmazkuday, 2014. "The role of direct flights in trade costs," Globalization Institute Working Papers 179, Federal Reserve Bank of Dallas.
    2. Carozzi, Felipe & Borraz, Fernando & Gonzalez-Pampillon, Nicolas & Zipitria, Leandro, 2021. "Local Retail Prices, Product Varieties and Neighborhood Change," CEPR Discussion Papers 16371, C.E.P.R. Discussion Papers.
    3. Mamello A Nchake & Lawrence Edwards & Tresor N Kaya, 2019. "The Size of the Border and Product Market Integration Between Lesotho and South Africa: A Production–Consumption Approach," Journal of African Economies, Centre for the Study of African Economies, vol. 28(1), pages 70-88.
    4. Sam Jones & César Salazar, 2021. "Infrastructure Improvements and Maize Market Integration: Bridging the Zambezi in Mozambique," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(2), pages 620-642, March.
    5. Fernando Borraz & Joaquín Saldain, 2015. "Variance Decomposition of Prices in an Emerging Economy," Documentos de trabajo 2015001, Banco Central del Uruguay.
    6. Alberto F. Cavallo, 2016. "Are Online and Offline Prices Similar? Evidence from Large Multi-Channel Retailers," NBER Working Papers 22142, National Bureau of Economic Research, Inc.
    7. A. Kerem Cosar & Paul L. E. Grieco & Felix Tintelnot, 2015. "Borders, Geography, and Oligopoly: Evidence from the Wind Turbine Industry," The Review of Economics and Statistics, MIT Press, vol. 97(3), pages 623-637, July.
    8. Wang, Chenglong & Liu, Hui & Zhang, Mengtian & Wei, Zongcai, 2018. "The border effect on urban land expansion in China: The case of Beijing-Tianjin-Hebei region," Land Use Policy, Elsevier, vol. 78(C), pages 287-294.
    9. Yu, Huayi & Hou, Yujuan, 2021. "A tale of two districts: The impact of district consolidation on property values in Shanghai," Regional Science and Urban Economics, Elsevier, vol. 87(C).
    10. Jorge Diaz-Lanchas & Carlos Llano & José Luis Zofio, 2019. "A trade hierarchy of cities based on transport cost thresholds," JRC Working Papers on Territorial Modelling and Analysis 2019-02, Joint Research Centre.
    11. A. Nchake Mamello & Edwards Lawrence & N. Kaya Tresor, 2017. "Working Paper 272 - Price effects of borders between Lesotho and South Africa," Working Paper Series 2389, African Development Bank.
    12. Borraz, Fernando & Zipitría, Leandro, 2017. "Law of One Price, Distance, and Borders," GLO Discussion Paper Series 87, Global Labor Organization (GLO).
    13. Polyzos, Stathis & Samitas, Aristeidis & Katsaiti, Marina-Selini, 2020. "Who is unhappy for Brexit? A machine-learning, agent-based study on financial instability," International Review of Financial Analysis, Elsevier, vol. 72(C).
    14. César Salazar & Andrés Acuña‐Duarte & José Maria Gil, 2023. "Drought shocks and price adjustments in local food markets in Chile: Do product quality and marketing channel matter?," Agricultural Economics, International Association of Agricultural Economists, vol. 54(3), pages 349-363, May.
    15. Roberto Rigobon & Brent Neiman & Alberto Cavallo, 2013. "Product Introductions, Currency Unions, and the Real Exchange Rate," 2013 Meeting Papers 1357, Society for Economic Dynamics.
    16. Nchake, Mamello A. & Edwards, Lawrence & Rankin, Neil, 2018. "Closer monetary union and product market integration in emerging economies: Evidence from the Common Monetary Area in Southern Africa," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 154-164.
    17. Alberto Cavallo & Brent Neiman & Roberto Rigobon, 2014. "Currency Unions, Product Introductions, and the Real Exchange Rate," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 129(2), pages 529-595.
    18. Balaguer, Jacint & Ripollés, Jordi, 2018. "Disentangling the importance of international border effects. Some evidence from Portugal–Spain based on diesel retailers," Economic Modelling, Elsevier, vol. 72(C), pages 260-269.
    19. Borraz, Fernando & Carozzi, Felipe & Gonzalez Pampillon, Nicolas & Zipitría, Leandro, 2024. "Local retail prices, product variety and neighborhood change," LSE Research Online Documents on Economics 119854, London School of Economics and Political Science, LSE Library.
    20. Wang, Chenglong & Liu, Hui & Zhang, Mengtian, 2020. "Exploring the mechanism of border effect on urban land expansion: A case study of Beijing-Tianjin-Hebei region in China," Land Use Policy, Elsevier, vol. 92(C).
    21. Cosar,Ahmet Kerem, 2022. "Overland Transport Costs : A Review," Policy Research Working Paper Series 10156, The World Bank.
    22. Samitas, Aristeidis & Polyzos, Stathis & Siriopoulos, Costas, 2018. "Brexit and financial stability: An agent-based simulation," Economic Modelling, Elsevier, vol. 69(C), pages 181-192.
    23. Xuewei Wang & Shuangli Ding & Weidong Cao & Dalong Fan & Bin Tang, 2020. "Research on Network Patterns and Influencing Factors of Population Flow and Migration in the Yangtze River Delta Urban Agglomeration, China," Sustainability, MDPI, vol. 12(17), pages 1-19, August.
    24. Wang, Xiaolin & Lu, Xiangyi & Chen, Jun & Hu, Xiangping, 2024. "The border effects and choices of competitive strategies of the provincial natural gas markets in China," Resources Policy, Elsevier, vol. 89(C).
    25. Diaz-Lanchas, Jorge & Llano, Carlos & Zofío, José Luis, 2013. "Trade margins, transport cost thresholds and market areas: Municipal freight flows and urban hierarchy," Working Papers in Economic Theory 2013/10, Universidad Autónoma de Madrid (Spain), Department of Economic Analysis (Economic Theory and Economic History).

  11. Alberto Cavallo & Brent Neiman & Roberto Rigobon, 2012. "Currency Unions, Product Introductions, and the Real Exchange Rate," NBER Working Papers 18563, National Bureau of Economic Research, Inc.

    Cited by:

    1. Yuriy Gorodnichenko & Viacheslav Sheremirov & Oleksandr Talavera, 2018. "Price Setting in Online Markets: Does IT Click?," Journal of the European Economic Association, European Economic Association, vol. 16(6), pages 1764-1811.
    2. Andres Blanco & Javier Cravino, 2018. "Price Rigidities and Relative PPP," NBER Working Papers 24655, National Bureau of Economic Research, Inc.
    3. Francesco D'Acunto & Daniel Hoang & Michael Weber & Michael Weber, 2016. "Unconventional Fiscal Policy, Inflation Expectations, and Consumption Expenditure," CESifo Working Paper Series 5793, CESifo.
    4. Talavera, Oleksandr & Gorodnichenko, Yuriy, 2015. "Price setting in online markets: Basic facts, international comparisons, and cross-border integration," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112885, Verein für Socialpolitik / German Economic Association.
    5. Germán Reyes, 2024. "Coarse Wage-Setting and Behavioral Firms," CRC TR 224 Discussion Paper Series crctr224_2024_492, University of Bonn and University of Mannheim, Germany.
    6. Campos, Nauro F. & Jarko, Fidrmuc & Iikka, Korhonen, 2017. "Business cycle synchronisation in a currency union: Taking stock of the evidence," Bank of Finland Research Discussion Papers 28/2017, Bank of Finland.
    7. Francesco D’Acunto & Daniel Hoang & Michael Weber, 2016. "The Effect of Unconventional Fiscal Policy on Consumption Expenditure," NBER Working Papers 22563, National Bureau of Economic Research, Inc.
    8. Knobel, Alexander (Кнобель, Александр) & Chentsov, Alexander (Ченцов, Александр), 2018. "The Impact of Exchange Rates and Their Volatility on Russia's Foreign Trade, Taking into Account its Membership in EAEU [Влияние Обменных Курсов И Их Волатильности На Внешнюю Торговлю России С Учет," Working Papers 061824, Russian Presidential Academy of National Economy and Public Administration.
    9. Mei Dong & Toshiaki Shoji & Yuki Teranishi, 2021. "Product Cycles and Prices: a Search Foundation," Working Papers e161, Tokyo Center for Economic Research.
    10. Noha Emara & Daniela Zecheru, 2024. "Asymmetric threshold effects of digitization on inflation in emerging markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-32, December.
    11. Fernando Alvarez & Hervé Le Bihan & Francesco Lippi, 2016. "The Real Effects of Monetary Shocks in Sticky Price Models: A Sufficient Statistic Approach," American Economic Review, American Economic Association, vol. 106(10), pages 2817-2851, October.
    12. Tian Heong Chan & Shi-Ying Lim, 2023. "The Emergence of Novel Product Uses: An Investigation of Exaptations in IKEA Hacks," Management Science, INFORMS, vol. 69(5), pages 2870-2892, May.
    13. Diego Aparicio & Roberto Rigobon, 2020. "Quantum Prices," NBER Working Papers 26646, National Bureau of Economic Research, Inc.
    14. Martin Berka & Michael B. Devereux & Charles Engel, 2017. "Real Exchange Rates and Sectoral Productivity in the Eurozone," Working Papers 1, New Zealand Centre of Macroeconomics.
    15. Alberto F. Cavallo, 2016. "Are Online and Offline Prices Similar? Evidence from Large Multi-Channel Retailers," NBER Working Papers 22142, National Bureau of Economic Research, Inc.
    16. François Fontaine & Julien Martin & Isabelle Mejean, 2019. "Price Discrimination within and across EMU Markets: Evidence from French Exporters," NBER Working Papers 26246, National Bureau of Economic Research, Inc.
    17. Alberto Cavallo & Brent Neiman & Roberto Rigobon, 2014. "The Price Impact of Joining a Currency Union: Evidence from Latvia," NBER Working Papers 20225, National Bureau of Economic Research, Inc.
    18. Colicev, A. & Hoste, J. & Konings, J., 2024. "The Impact of a Large Depreciation on the Cost of Living of Rich and Poor Consumers," Cambridge Working Papers in Economics 2430, Faculty of Economics, University of Cambridge.
    19. Liu, Yue & Luo, Rong, 2024. "Entry cost, fixed cost and markup: Theory and evidence from the impact of corruption on prices," Economic Modelling, Elsevier, vol. 139(C).
    20. Raphael A. Auer & Andrei A. Levchenko & Philip Saure, 2017. "International Inflation Spillovers Through Input Linkages," Working Papers 655, Research Seminar in International Economics, University of Michigan.
    21. Marianne Baxter & Anthony Landry, 2012. "IKEA: product, pricing, and pass-through," Proceedings, Federal Reserve Bank of San Francisco, issue Nov, pages 1-32.
    22. Thomas Mertens & Tarek Hassan, 2017. "Currency Manipulation," 2017 Meeting Papers 175, Society for Economic Dynamics.
    23. Dvir, Eyal & Strasser, Georg, 2017. "Does marketing widen borders? Cross-country price dispersion in the European car market," Working Paper Series 2059, European Central Bank.
    24. Herz, Benedikt & Mejer, Malwina, 2021. "The effect of design protection on price and price dispersion: Evidence from automotive spare parts," International Journal of Industrial Organization, Elsevier, vol. 79(C).
    25. Oleg Itskhoki, 2021. "The Story of the Real Exchange Rate," Annual Review of Economics, Annual Reviews, vol. 13(1), pages 423-455, August.
    26. Diego Daruich & Julian Kozlowski, 2019. "Uniform Pricing Within and Across Regions: New Evidence from Argentina," 2019 Meeting Papers 669, Society for Economic Dynamics.
    27. Rudolfs Bems & Julian di Giovanni, 2016. "Income-Induced expenditure switching," Economics Working Papers 1534, Department of Economics and Business, Universitat Pompeu Fabra.
    28. William Miles, 2015. "Did the Classical Gold Standard Lead to Greater Price Level Convergence? A New Approach," Open Economies Review, Springer, vol. 26(2), pages 351-377, April.
    29. Nicholas Li, 2014. "Sticker Shock: The Causes of the Canada-US Price Differential," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 409, May.
    30. Marina Glushenkova & Andros Kourtellos & Marios Zachariadis, 2016. "Barriers to price convergence," University of Cyprus Working Papers in Economics 02-2016, University of Cyprus Department of Economics.
    31. Kazuko Kano & Takashi Kano, 2021. "Welfare Costs of Exchange Rate Fluctuations: Evidence from the 1972 Okinawa Reversion," CIRJE F-Series CIRJE-F-1179, CIRJE, Faculty of Economics, University of Tokyo.
    32. Long Hai Vo, 2023. "Understanding International Price and Consumption Disparities," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 69(2), pages 443-473, June.
    33. Tovonony Razafindrabe, 2017. "Nonlinearity and asymmetry in the exchange rate pass-through: What role for nominal price stickiness?," Post-Print halshs-01683803, HAL.
    34. Kenneth Clements & Jiawei Si & Long H. Vo, 2019. "The Law of One Food Price," Economics Discussion / Working Papers 19-09, The University of Western Australia, Department of Economics.
    35. Tarek A. Hassan & Thomas M. Mertens & Tony Zhang, 2016. "A Risk-based Theory of Exchange Rate Stabilization," NBER Working Papers 22790, National Bureau of Economic Research, Inc.
    36. Konstantin Egorov & Dmitry Mukhin, 2020. "Optimal Policy under Dollar Pricing," CESifo Working Paper Series 8272, CESifo.
    37. Baggs, Jen & Fung, Loretta & Lapham, Beverly, 2018. "Exchange rates, cross-border travel, and retailers: Theory and empirics," Journal of International Economics, Elsevier, vol. 115(C), pages 59-79.
    38. Marina Glushenkova & Marios Zachariadis, 2020. "How different are Monetary Unions to national economies according to prices?," University of Cyprus Working Papers in Economics 01-2020, University of Cyprus Department of Economics.
    39. Javier Cravino & Sam Haltenhof, 2020. "Real Exchange Rates, Income per Capita, and Sectoral Input Shares," The Review of Economics and Statistics, MIT Press, vol. 102(1), pages 180-194, March.
    40. Konstantin Egorov & Dmitry Mukhin, 2019. "Optimal Monetary Policy under Dollar Pricing," 2019 Meeting Papers 1510, Society for Economic Dynamics.
    41. Willy Chetwin & Tim Ng & Daan Steenkamp, 2013. "New Zealand’s short- and medium-term real exchange rate volatility: drivers and policy implications," Reserve Bank of New Zealand Analytical Notes series AN2013/03, Reserve Bank of New Zealand.
    42. Beck, Guenter W. & Kotz, Hans-Helmut & Zabelina, Natalia, 2020. "Price gaps at the border: Evidence from multi-country household scanner data," Journal of International Economics, Elsevier, vol. 127(C).
    43. Petracchi, Cosimo, 2022. "The Mussa puzzle: A generalization," European Economic Review, Elsevier, vol. 149(C).
    44. Weicheng Lian & Natalija Novta & Evgenia Pugacheva & Mr. Yannick Timmer & Petia Topalova, 2019. "The Price of Capital Goods: A Driver of Investment Under Threat," IMF Working Papers 2019/134, International Monetary Fund.
    45. Nicholas Li, 2021. "Borders, varieties and distribution costs: Evidence from a US–Canada retail chain," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 54(3), pages 949-985, November.
    46. Aparicio, Diego & Rigobon, Roberto, 2023. "Quantum prices," Journal of International Economics, Elsevier, vol. 143(C).
    47. Mouhamadou Sy, 2016. "Overborrowing and Balance of Payments Imbalances in a Monetary Union," Review of International Economics, Wiley Blackwell, vol. 24(1), pages 67-98, February.
    48. Daniel Murphy, 2019. "Demand complementarities and cross‐country price differences," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 52(1), pages 253-278, February.
    49. Choi, Jae Hoon & Song, Seongho, 2022. "Revisiting the PPP puzzle: Nominal exchange rate rigidity and region of inaction," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    50. Gita Gopinath, 2015. "The International Price System," NBER Working Papers 21646, National Bureau of Economic Research, Inc.
    51. Herz, Benedikt & Mejer, Malwina, 2020. "The effect of design protection on price and price dispersion: Evidence from automotive spare parts," MPRA Paper 109645, University Library of Munich, Germany, revised 01 Sep 2021.
    52. Burridge, Peter & Iacone, Fabrizio & Lazarová, Štěpána, 2015. "Spatial effects in a common trend model of US city-level CPI," Regional Science and Urban Economics, Elsevier, vol. 54(C), pages 87-98.
    53. Beck, Günter W. & Kotz, Hans-Helmut & Zabelina, Natalia, 2016. "Prices and consumer purchasing preferences at the border: Evidence from a multi-country household scanner data set," CFS Working Paper Series 536, Center for Financial Studies (CFS).
    54. Imura, Yuko, 2016. "Endogenous trade participation with price rigidities," Journal of International Economics, Elsevier, vol. 100(C), pages 14-33.
    55. Chen, Natalie & Juvenal, Luciana, 2013. "Quality, Trade, and Exchange Rate Pass-Through," CAGE Online Working Paper Series 165, Competitive Advantage in the Global Economy (CAGE).
    56. Messner, Teresa & Rumler, Fabio & Strasser, Georg, 2022. "Cross-country price and inflation dispersion: Retail network or national border," Single Market Economics Papers WP2022/11, Directorate-General for Internal Market, Industry, Entrepreneurship and SMEs (European Commission), Chief Economist Team.
    57. Daniel Penido de Lima Amorim & Marcelo Resende, 2024. "Exchange Rate Pass-Through to Brazilian E-Commerce Prices," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 16(1), pages 25-43, January.
    58. Hazell, Jonathon & Patterson, Christina & Sarsons, Heather & Taska, Bledi, 2023. "National Wage Setting," IZA Discussion Papers 16493, Institute of Labor Economics (IZA).
    59. Hai Long Vo & Duc Hong Vo, 2023. "The purchasing power parity and exchange‐rate economics half a century on," Journal of Economic Surveys, Wiley Blackwell, vol. 37(2), pages 446-479, April.
    60. Nchake, Mamello A. & Edwards, Lawrence & Rankin, Neil, 2018. "Closer monetary union and product market integration in emerging economies: Evidence from the Common Monetary Area in Southern Africa," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 154-164.
    61. SY Mouhamadou, 2015. "Working Paper 228 - Overborrowing and Balance of Payments Imbalances in a Monetary Union," Working Paper Series 2320, African Development Bank.
    62. Luca Macedoni, 2021. "Has the Euro Shrunk the Band? Relative Purchasing Power Parity Convergence in a Currency Union," Scandinavian Journal of Economics, Wiley Blackwell, vol. 123(2), pages 593-620, April.
    63. Mr. Luis M. Cubeddu & Signe Krogstrup & Gustavo Adler & Mr. Pau Rabanal & Mai Dao & Mrs. Swarnali A Hannan & Luciana Juvenal & Ms. Carolina Osorio-Buitron & Cyril Rebillard & Mr. Daniel Garcia-Macia &, 2019. "The External Balance Assessment Methodology: 2018 Update," IMF Working Papers 2019/065, International Monetary Fund.
    64. Germ'an Reyes, 2022. "Coarse Wage-Setting and Behavioral Firms," Papers 2206.01114, arXiv.org, revised Mar 2024.
    65. Diego Daruich & Julian Kozlowski, 2023. "Macroeconomic Implications of Uniform Pricing," American Economic Journal: Macroeconomics, American Economic Association, vol. 15(3), pages 64-108, July.
    66. Gerke, Brian F. & McNeil, Michael A. & Tu, Thomas, 2017. "The International Database of Efficient Appliances (IDEA): A new tool to support appliance energy-efficiency deployment," Applied Energy, Elsevier, vol. 205(C), pages 453-464.
    67. Néstor Duch-Brown & Lukasz Grzybowski & André Romahn & Frank Verboven, 2021. "Are online markets more integrated than traditional markets? Evidence from consumer electronics," Post-Print hal-03235901, HAL.
    68. Hoste, J. & Verboven, F., 2024. "Uncovering the Sources of Geographic Market Segmentation: Evidence from the EU and the US," Janeway Institute Working Papers 2408, Faculty of Economics, University of Cambridge.
    69. Rigbi, Oren, 2017. "The Effects of Mandatory Disclosure of Supermarket Prices," CEPR Discussion Papers 12381, C.E.P.R. Discussion Papers.
    70. Michael Bleaney & Mo Tian, 2019. "Flexible exchange rates and current account adjustment," Discussion Papers 2019/02, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    71. Fabio Pammolli & Armando Rungi, 2016. "Access to Medicines and European Market Integration," Working Papers 01/2016, IMT School for Advanced Studies Lucca, revised Jan 2016.
    72. Liu, Yue, 2016. "Price dispersion across countries and the heterogeneous impacts of income differences," Economics Letters, Elsevier, vol. 140(C), pages 64-67.
    73. Ariel Burstein & Gita Gopinath, 2013. "International Prices and Exchange Rates," NBER Working Papers 18829, National Bureau of Economic Research, Inc.
    74. Ademmer, Martin & Beckmann, Joscha & Bode, Eckhardt & Boysen-Hogrefe, Jens & Funke, Manuel & Hauber, Philipp & Heidland, Tobias & Hinz, Julian & Jannsen, Nils & Kooths, Stefan & Söder, Mareike & Stame, 2021. "Big Data in der makroökonomischen Analyse," Kieler Beiträge zur Wirtschaftspolitik 32, Kiel Institute for the World Economy (IfW Kiel).
    75. Chi-Young Choi & Anthony Murphy & Jyh-Lin Wu, 2017. "Segmentation of consumer markets in the US: What do intercity price differences tell us?," Canadian Journal of Economics, Canadian Economics Association, vol. 50(3), pages 738-777, August.
    76. Hong Feng & Youping Li & Jie Shuai, 2023. "Uniform Pricing as a Barrier to Entry," Journal of Industrial Economics, Wiley Blackwell, vol. 71(1), pages 176-191, March.
    77. Strasser, Georg, 2018. "Price convergence in the EU: What can we learn from the car market?," Research Bulletin, European Central Bank, vol. 46.
    78. Blanco, Andrés & Cravino, Javier, 2020. "Price rigidities and the relative PPP," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 104-116.
    79. Simon Cowan, 2018. "Regulating monopoly price discrimination," Journal of Regulatory Economics, Springer, vol. 54(1), pages 1-13, August.
    80. Stewart, Chris, 2023. "Re-evaluating whether absolute or relative purchasing power parity is being tested when using price indices," Economics Discussion Papers 2023-1, School of Economics, Kingston University London.

  12. Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2012. "Measuring sovereign contagion in Europe," Working Paper 2012/05, Norges Bank.

    Cited by:

    1. Colin Ellis, 2020. "Are Corporate Bond Defaults Contagious across Sectors?," IJFS, MDPI, vol. 8(1), pages 1-17, January.
    2. Ioannis Chatziantoniou & David Gabauer, 2019. "EMU-Risk Synchronisation and Financial Fragility Through the Prism of Dynamic Connectedness," Working Papers in Economics & Finance 2019-07, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    3. Tola, Albi & Wälti, Sébastien, 2012. "Deciphering financial contagion in the euro area during the crisis," MPRA Paper 49251, University Library of Munich, Germany.
    4. Haddou, Samira, 2024. "Determinants of CDS in core and peripheral European countries: A comparative study during crisis and calm periods," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    5. Claeys, Peter & Vašíček, Bořek, 2014. "Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe," Working Paper Series 1666, European Central Bank.
    6. Gómez-Puig, Marta & Pieterse-Bloem, Mary & Sosvilla-Rivero, Simón, 2023. "Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets," Journal of Multinational Financial Management, Elsevier, vol. 68(C).
    7. Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis," Working Papers del Instituto Complutense de Estudios Internacionales 1501, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
    8. Lucey, Brian M. & Vigne, Samuel A. & Ballester, Laura & Barbopoulos, Leonidas & Brzeszczynski, Janusz & Carchano, Oscar & Dimic, Nebojsa & Fernandez, Viviana & Gogolin, Fabian & González-Urteaga, Ana , 2018. "Future directions in international financial integration research - A crowdsourced perspective," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 35-49.
    9. Borri, Nicola & Giorgio, Giorgio di, 2022. "Systemic risk and the COVID challenge in the european banking sector," Journal of Banking & Finance, Elsevier, vol. 140(C).
    10. Jean-Pierre Allegret & Hélène Raymond & Houda Rharrabti, 2014. "The impact of the global and eurozone crises on European banks stocks Some evidence of shift contagion," Working Papers hal-04141339, HAL.
    11. Drakos, Anastasios & Moratis, Georgios, 2024. "The impact of COVID-19 on sovereign contagion," Journal of Financial Stability, Elsevier, vol. 70(C).
    12. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "“Causality and Contagion in EMU Sovereign Debt Markets”," IREA Working Papers 201403, University of Barcelona, Research Institute of Applied Economics, revised Feb 2014.
    13. Pragidis, I.C. & Aielli, G.P. & Chionis, D. & Schizas, P., 2015. "Contagion effects during financial crisis: Evidence from the Greek sovereign bonds market," Journal of Financial Stability, Elsevier, vol. 18(C), pages 127-138.
    14. Di Tommaso, Caterina & Foglia, Matteo & Pacelli, Vincenzo, 2023. "The impact and the contagion effect of natural disasters on sovereign credit risk. An empirical investigation," International Review of Financial Analysis, Elsevier, vol. 87(C).
    15. Pfarrhofer, Michael, 2022. "Modeling tail risks of inflation using unobserved component quantile regressions," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
    16. Emanuele BACCHIOCCHI, 2015. "On the Identification of Interdependence and Contagion of Financial Crises," Departmental Working Papers 2015-12, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    17. Lu Yang & Lei Yang & Xue Cui, 2023. "Sovereign default network and currency risk premia," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-22, December.
    18. Jean-Pierre Allegret & Hélène Raymond & Houda Rharrabti, 2016. "The Impact of the Eurozone Crisis on European Banks Stocks Contagion or Interdependence?," Post-Print hal-01659719, HAL.
    19. Karkowska, Renata & Urjasz, Szczepan, 2021. "Connectedness structures of sovereign bond markets in Central and Eastern Europe," International Review of Financial Analysis, Elsevier, vol. 74(C).
    20. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
    21. Stolbov, Mikhail, 2014. "The causal linkages between sovereign CDS prices for the BRICS and major European economies," Economics Discussion Papers 2014-9, Kiel Institute for the World Economy (IfW Kiel).
    22. Fratzscher, Marcel & Rieth, Malte, 2015. "Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area," CEPR Discussion Papers 10370, C.E.P.R. Discussion Papers.
    23. Matteo Iacopini & Francesco Ravazzolo & Luca Rossini, 2022. "Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications," Papers 2211.16121, arXiv.org, revised Aug 2024.
    24. Massimiliano Caporin & Rangan Gupta & Francesco Ravazzolo, 2019. "Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach," Working Papers 201913, University of Pretoria, Department of Economics.
    25. Trabelsi, Mohamed Ali & Hmida, Salma, 2018. "Impact of the Credit Rating Revision on the Eurozone Stock Markets," MPRA Paper 89152, University Library of Munich, Germany, revised 2018.
    26. Georgios Bampinas & Theodore Panagiotidis & Panagiotis Politsidis, 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Post-Print hal-04164277, HAL.
    27. Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2015. "Sovereigns and banks in the euro area: A tale of two crises," Working Papers 15-01, Asociación Española de Economía y Finanzas Internacionales.
    28. David Cronin & Peter Dunne, 2019. "Have Sovereign Bond Market Relationships Changed in the Euro Area? Evidence from Italy," Intereconomics: Review of European Economic Policy, Springer;ZBW - Leibniz Information Centre for Economics;Centre for European Policy Studies (CEPS), vol. 54(4), pages 250-258, July.
    29. Dungey, Mardi & Flavin, Thomas J. & Lagoa-Varela, Dolores, 2020. "Are banking shocks contagious? Evidence from the eurozone," Journal of Banking & Finance, Elsevier, vol. 112(C).
    30. Ge, S., 2020. "A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model," Cambridge Working Papers in Economics 20114, Faculty of Economics, University of Cambridge.
    31. Gätjen, Rebekka & Schienle, Melanie, 2015. "Measuring connectedness of Euro area sovereign risk," SFB 649 Discussion Papers 2015-019, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    32. David Cronin, 2020. "Are Member States’ Budgetary Policies Adhering to the EU Fiscal Rules?," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, vol. 66(1), pages 47-64.
    33. Koijen, Ralph & Gabaix, Xavier, 2020. "Granular Instrumental Variables," CEPR Discussion Papers 15531, C.E.P.R. Discussion Papers.
    34. Henri Audigé, 2013. "A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis," Working Papers hal-04141224, HAL.
    35. Rigobon, Roberto, 2016. "Contagion, spillover and interdependence," Working Paper Series 1975, European Central Bank.
    36. David Greenlaw & James D. Hamilton & Peter Hooper & Frederic S. Mishkin, 2013. "Crunch Time: Fiscal Crises and the Role of Monetary Policy," NBER Working Papers 19297, National Bureau of Economic Research, Inc.
    37. Francisco Blasques & Siem Jan Koopman & Andre Lucas & Julia Schaumburg, 2014. "Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models," Tinbergen Institute Discussion Papers 14-107/III, Tinbergen Institute.
    38. Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "Volatility spillovers in EMU sovereign bond markets," Working Papers del Instituto Complutense de Estudios Internacionales 1504, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
    39. Susana Martins & Cristina Amado, 2018. "Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach," NIPE Working Papers 08/2018, NIPE - Universidade do Minho.
    40. BenSaïda, Ahmed, 2019. "Good and bad volatility spillovers: An asymmetric connectedness," Journal of Financial Markets, Elsevier, vol. 43(C), pages 78-95.
    41. De Bruyckere, Valerie & Gerhardt, Maria & Schepens, Glenn & Vander Vennet, Rudi, 2013. "Bank/sovereign risk spillovers in the European debt crisis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4793-4809.
    42. Zhang, Wenlong & Zhang, Gaiyan & Helwege, Jean, 2022. "Cross country linkages and transmission of sovereign risk: Evidence from China’s credit default swaps," Journal of Financial Stability, Elsevier, vol. 58(C).
    43. Dungey, Mardi & Gajurel, Dinesh, 2013. "Equity Market Contagion during the Global Financial Crisis: Evidence from the World’s Eight Largest Economies," Working Papers 17213, University of Tasmania, Tasmanian School of Business and Economics, revised 16 Oct 2013.
    44. David Gabauer & Rangan Gupta & Sayar Karmakar & Joshua Nielsen, 2022. "Stock Market Bubbles and the Forecastability of Gold Returns (and Volatility)," Working Papers 202228, University of Pretoria, Department of Economics.
    45. Ling, Aifan & Li, Jinlong & Zhang, Yugui, 2023. "Can firms with higher ESG ratings bear higher bank systemic tail risk spillover?—Evidence from Chinese A-share market," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    46. 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.
    47. Jamal Bouoiyour, Refk Selmi, 2019. "Brexit and CDS spillovers across UK and Europe," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 16(1), pages 105-124, June.
    48. Dimic, Nebojsa & Piljak, Vanja & Swinkels, Laurens & Vulanovic, Milos, 2021. "The structure and degree of dependence in government bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    49. Emilios C. Galariotis & Panagiota Makrichoriti & Spyros Spyrou, 2016. "Sovereign CDS Spread Determinants and Spill-Over Effects During Financial Crisis: A Panel VAR Approach," Post-Print hal-01358715, HAL.
    50. Carlos Vladimir Rodríguez-Caballero & Massimiliano Caporin, 2018. "A multilevel factor approach for the analysis of CDS commonality and risk contribution," CREATES Research Papers 2018-33, Department of Economics and Business Economics, Aarhus University.
    51. MacDonald, Ronald & Sogiakas, Vasilios & Tsopanakis, Andreas, 2018. "Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 17-36.
    52. Lukas Boeckelmann & Arthur Stalla-Bourdillon, 2021. "Structural Estimation of Time-Varying Spillovers:an Application to International Credit Risk Transmission," Working Papers hal-03338209, HAL.
    53. Le, Chau & Dickinson, David & Le, Anh, 2022. "Sovereign risk spillovers: A network approach," Journal of Financial Stability, Elsevier, vol. 60(C).
    54. Sun, Hang, 2016. "Crisis-Contingent Dynamics of Connectedness: An SVAR-Spatial-Network “Tripod” Model with Thresholds," Research Memorandum 032, Maastricht University, Graduate School of Business and Economics (GSBE).
    55. Dungey, Mardi H. & Flavin, Thomas & Sheenan, Lisa, 2020. "Banks and Sovereigns: Did Adversity Bring Them Closer?," QBS Working Paper Series 2020/05, Queen's University Belfast, Queen's Business School.
    56. Khalifa, Ahmed & Caporin, Massimiliano & Hammoudeh, Shawkat, 2017. "The relationship between oil prices and rig counts: The importance of lags," Energy Economics, Elsevier, vol. 63(C), pages 213-226.
    57. Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2012. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Working Papers 15030, University of Tasmania, Tasmanian School of Business and Economics, revised 29 Aug 2012.
    58. Ehrmann, Michael & Fratzscher, Marcel, 2017. "Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 26-44.
    59. Clancy, Daragh & Gabriele, Carmine & Žigraiová, Diana, 2022. "Sovereign bond market spillovers from crisis-time developments in Greece," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    60. Kohonen, Anssi, 2012. "Transmission of Government Default Risk in the Eurozone," MPRA Paper 43823, University Library of Munich, Germany.
    61. Allegret, Jean-Pierre & Raymond, Hélène & Rharrabti, Houda, 2017. "The impact of the European sovereign debt crisis on banks stocks. Some evidence of shift contagion in Europe," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 24-37.
    62. Goodness C. Aye & Christina Christou & Rangan Gupta & Christis Hassapis, 2024. "High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests," The Journal of Real Estate Finance and Economics, Springer, vol. 69(2), pages 253-276, August.
    63. 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.
    64. Caporin, Massimiliano, 2013. "Equity and CDS sector indices: Dynamic models and risk hedging," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 261-275.
    65. Ballester, Laura & Díaz-Mendoza, Ana Carmen & González-Urteaga, Ana, 2019. "A systematic review of sovereign connectedness on emerging economies," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 157-163.
    66. Peter Claeys & Borek Vasicek, 2012. "Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News," Working Papers 2012/07, Czech National Bank.
    67. Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2022. "Assessing the impact of policy and regulation interventions in European sovereign credit risk networks: What worked best?," Journal of International Economics, Elsevier, vol. 139(C).
    68. Kräussl, Roman & Lehnert, Thorsten & Stefanova, Denitsa, 2016. "The European sovereign debt crisis: What have we learned?," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 363-373.
    69. Greenwood-Nimmo, Matthew & Nguyen, Viet Hoang & Shin, Yongcheol, 2023. "What is mine is yours: Sovereign risk transmission during the European debt crisis," Journal of Financial Stability, Elsevier, vol. 65(C).
    70. Nina Tessler & Itzhak Venezia, 2022. "A multicountry measure of comovement and contagion in international markets: definition and applications," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1307-1330, May.
    71. G. Chiesa & J. M. Mansilla-Fern ndez, 2018. "Non-Performing Loans, Cost of Capital, and Lending Supply: Lessons from the Eurozone Banking Crisi," Working Papers wp1124, Dipartimento Scienze Economiche, Universita' di Bologna.
    72. Sewraj, Deeya & Gebka, Bartosz & Anderson, Robert D.J., 2019. "Day-of-the-week effects in financial contagion," Finance Research Letters, Elsevier, vol. 28(C), pages 221-226.
    73. Manuel Buchholz & Lena Tonzer, 2016. "Sovereign Credit Risk Co-Movements in the Eurozone: Simple Interdependence or Contagion?," International Finance, Wiley Blackwell, vol. 19(3), pages 246-268, December.
    74. Michael Ehrmann & Marcel Fratzscher, 2015. "Euro Area Government Bonds: Integration and Fragmentation during the Sovereign Debt Crisis," Discussion Papers of DIW Berlin 1479, DIW Berlin, German Institute for Economic Research.
    75. Beyer, Andreas & Alter, Adrian, 2013. "The dynamics of spillover effects during the European sovereign debt crisis," Working Paper Series 1558, European Central Bank.
    76. Guglielmo Maria Caporale & Stavroula Yfanti & Menelaos Karanasos & Jiaying Wu, 2024. "Financial integration and European tourism stocks," Chapters, in: Guglielmo M. Caporale (ed.), Handbook of Financial Integration, chapter 21, pages 495-538, Edward Elgar Publishing.
    77. Thomas Flavin & David Cronin & Lisa Sheenan, 2016. "Contagion in Eurozone Sovereign Bond Markets? The Good, the Bad and the Ugly," Economics Department Working Paper Series n267-16.pdf, Department of Economics, National University of Ireland - Maynooth.
    78. Moses Kangogo & Mardi Dungey & Vladimir Volkov, 2023. "Changing vulnerability in Asia: contagion and spillovers," Empirical Economics, Springer, vol. 64(5), pages 2315-2355, May.
    79. Alain MONFORT & Jean-Paul RENNE & Guillaume ROUSSELLET, 2020. "Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion," Working Papers 2020-01, Center for Research in Economics and Statistics.
    80. Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Yongcheol Shin, 2017. "What’s Mine Is Yours: Sovereign Risk Transmission during the European Debt Crisis," Melbourne Institute Working Paper Series wp2017n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    81. 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.
    82. Alter, Adrian & Beyer, Andreas, 2012. "The dynamics of spillover effects during the European sovereign debt turmoil," CFS Working Paper Series 2012/13, Center for Financial Studies (CFS).
    83. Addi, Abdelhamid & Bouoiyour, Jamal, 2023. "Interconnectedness and extreme risk: Evidence from dual banking systems," Economic Modelling, Elsevier, vol. 120(C).
    84. Bostan Ionel, 2014. "Juridical Tools of Governmental Nature Used to Mitigate Various Difficulties of the Financial and Budgetary System," Scientific Annals of Economics and Business, Sciendo, vol. 61(2), pages 133-148, December.
    85. 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.
    86. Ters, Kristyna & Urban, Jörg, 2018. "Intraday dynamics of credit risk contagion before and during the euro area sovereign debt crisis: Evidence from central Europe," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 123-142.
    87. Franch, Fabio & Nocciola, Luca & Vouldis, Angelos, 2024. "Temporal networks and financial contagion," Journal of Financial Stability, Elsevier, vol. 71(C).
    88. Marta Gómez-Puig & Mary Pieterse-Bloem & Simón Sosvilla-Rivero, 2022. ""Dynamic connectedness between credit and liquidity risks in EMU sovereign debt markets"," IREA Working Papers 202217, University of Barcelona, Research Institute of Applied Economics, revised Oct 2022.
    89. Fernández-Rodríguez, Fernando & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 126-145.
    90. Bomin Jiang & Roberto Rigobon & Munther A. Dahleh, 2020. "Contingent Linear Financial Networks," NBER Working Papers 26814, National Bureau of Economic Research, Inc.
    91. Michalis-Panayiotis Papafilis & Maria Psillaki & Dimitris Margaritis, 2019. "The Effect of the PSI in the Relationship Between Sovereign and Bank Credit Risk: Evidence from the Euro Area," Multinational Finance Journal, Multinational Finance Journal, vol. 23(3-4), pages 211-272, September.
    92. Bouri, Elie & Gupta, Rangan, 2021. "Predicting Bitcoin returns: Comparing the roles of newspaper- and internet search-based measures of uncertainty," Finance Research Letters, Elsevier, vol. 38(C).
    93. Caporin, Massimiliano & Natvik, Gisle J. & Ravazzolo, Francesco & Santucci de Magistris, Paolo, 2019. "The bank-sovereign nexus: Evidence from a non-bailout episode," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 181-196.
    94. Campos-Martins, Susana & Amado, Cristina, 2022. "Financial market linkages and the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 123(C).
    95. Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Causes and hazards of the euro area sovereign debt crisis: Pure and fundamentals-based contagion," Economic Modelling, Elsevier, vol. 56(C), pages 133-147.
    96. Marinela Adriana Finta & Bart Frijns & Alireza Tourani-Rad, 2019. "Time-varying contemporaneous spillovers during the European Debt Crisis," Empirical Economics, Springer, vol. 57(2), pages 423-448, August.
    97. Lubos Komarek & Kristyna Ters, 2016. "Intraday dynamics of euro area sovereign credit risk contagion," BIS Working Papers 573, Bank for International Settlements.
    98. Starkey, Christopher Michael & Tsafack, Georges, 2023. "Measuring financial contagion: Dealing with the volatility Bias in the correlation dynamics," International Review of Financial Analysis, Elsevier, vol. 90(C).
    99. Broto, Carmen & Pérez-Quirós, Gabriel, 2015. "Disentangling contagion among sovereign CDS spreads during the European debt crisis," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 165-179.
    100. Jan Bruha & Evžen Kocenda, 2017. "Financial Stability in Europe: Banking and Sovereign Risk," CESifo Working Paper Series 6453, CESifo.
    101. Blommestein, Hans & Eijffinger, Sylvester & Qian, Zongxin, 2016. "Regime-dependent determinants of Euro area sovereign CDS spreads," Journal of Financial Stability, Elsevier, vol. 22(C), pages 10-21.
    102. Giampaolo Gabbi & Alesia Kalbaska & Alessandro Vercelli, 2014. "Factors generating and transmitting the financial crisis: The role of incentives: securitization and contagion," Working papers wpaper56, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
    103. Buse, Rebekka & Schienle, Melanie, 2019. "Measuring connectedness of euro area sovereign risk," International Journal of Forecasting, Elsevier, vol. 35(1), pages 25-44.
    104. Cipollini, Andrea & Mikaliunaite, Ieva, 2020. "Macro-uncertainty and financial stress spillovers in the Eurozone," Economic Modelling, Elsevier, vol. 89(C), pages 546-558.
    105. Wen Chang, Hao & Chang, Tsangyao, 2023. "How oil price and exchange rate affect stock price in China using Bayesian Quantile_on_Quantile with GARCH approach," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    106. Balduzzi, Pierluigi & Brancati, Emanuele & Brianti, Marco & Schiantarelli, Fabio, 2020. "Populism, Political Risk and the Economy: Lessons from Italy," IZA Discussion Papers 12929, Institute of Labor Economics (IZA).
    107. Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2019. "Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis," ESRB Working Paper Series 90, European Systemic Risk Board.
    108. Graham Bird & Wenti Du & Thomas Willett, 2017. "Behavioral Finance and Efficient Markets: What does the Euro Crisis Tell us?," Open Economies Review, Springer, vol. 28(2), pages 273-295, April.
    109. Banerjee, Ameet Kumar & Pradhan, H.K. & Akhtaruzzaman, Md & Sensoy, Ahmet & Dann, Susan, 2024. "Anatomy of sovereign yield behaviour using textual news," Research in International Business and Finance, Elsevier, vol. 71(C).
    110. Andreas Chouliaras & Theoharry Grammatikos, 2017. "Extreme Returns in the European financial crisis," European Financial Management, European Financial Management Association, vol. 23(4), pages 728-760, September.
    111. Dinesh Gajurel & Mardi Dungey & Wenying Yao & Nagaratnam Jeyasreedharan, 2020. "Jump Risk in the US Financial Sector," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 331-349, September.
    112. Alemany, Aida & Ballester, Laura & González-Urteaga, Ana, 2015. "Volatility spillovers in the European bank CDS market," Finance Research Letters, Elsevier, vol. 13(C), pages 137-147.
    113. Gianluca Cafiso & Roberto Cellini, 2022. "Market-Induced Fiscal Discipline in Europe," 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 259-287, July.
    114. Capraru, Bogdan & Georgescu, George & Sprincean, Nicu, 2023. "Fiscal Rules, Independent Fiscal Institutions, and Sovereign Risk," Working Papers of Romania Fiscal Council 230201, Romania Fiscal Council.
    115. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "“EMU sovereign debt market crisis: Fundamentals-based or pure contagion?”," IREA Working Papers 201402, University of Barcelona, Research Institute of Applied Economics, revised May 2014.
    116. Chouliaras, Andreas & Grammatikos, Theoharry, 2013. "News Flow, Web Attention and Extreme Returns in the European Financial Crisis," MPRA Paper 51335, University Library of Munich, Germany.
    117. Silvapulle, Param & Fenech, Jean Pierre & Thomas, Alice & Brooks, Rob, 2016. "Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries," Economic Modelling, Elsevier, vol. 58(C), pages 83-92.
    118. López-Espinosa, Germán & Moreno, Antonio & Rubia, Antonio & Valderrama, Laura, 2017. "Sovereign tail risk," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 174-188.
    119. 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).
    120. Greenwood-Nimmo, Matthew & Huang, Jingong & Nguyen, Viet Hoang, 2019. "Financial sector bailouts, sovereign bailouts, and the transfer of credit risk," Journal of Financial Markets, Elsevier, vol. 42(C), pages 121-142.
    121. Muhammad Owais Qarni & Saqib Gulzar, 2020. "Intra-EMU and non-EMU, EU stock markets’ return spillover: evidence from ESDC," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(3), pages 543-577, August.
    122. De Santis, Roberto A. & Zimic, Srečko, 2017. "Spillovers among sovereign debt markets: identification by absolute magnitude restrictions," Working Paper Series 2055, European Central Bank.
    123. Dieter Smeets, 2016. "Financial Contagion During the European Sovereign Debt Crisis," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 4(2), pages 46-59, April.
    124. Umberto Muratori, 2014. "Contagion in the Euro Area Sovereign Bond Market," Social Sciences, MDPI, vol. 4(1), pages 1-17, December.
    125. Bonaccolto, Giovanni & Borri, Nicola & Consiglio, Andrea, 2023. "Breakup and default risks in the great lockdown," Journal of Banking & Finance, Elsevier, vol. 147(C).
    126. Foglia, Matteo & Addi, Abdelhamid & Wang, Gang-Jin & Angelini, Eliana, 2022. "Bearish Vs Bullish risk network: A Eurozone financial system analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    127. Sandoval Paucar, Giovanny, 2021. "A Conditional Correlation Analysis For The Colombian Stock Market," MPRA Paper 107963, University Library of Munich, Germany.
    128. Dirceu Pereira, 2018. "Financial Contagion in the BRICS Stock Markets: An empirical analysis of the Lehman Brothers Collapse and European Sovereign Debt Crisis," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 2(1), pages 1-44.
    129. Ge, Shuyi, 2023. "A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    130. Miguel Antón & Sergio Mayordomo & María Rodríguez-Moreno, 2017. "Dealing with dealers: sovereign CDS comovements," Working Papers 1723, Banco de España.
    131. Esma Nur Cinicioglu & Gül Huyugüzel Kışla & A. Özlem Önder & Y. Gülnur Muradoğlu, 2024. "The Changing Behavior of the European Credit Default Swap Spreads During the Covid-19 Pandemic: A Bayesian Network Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 63(3), pages 1213-1254, March.
    132. González-Sánchez, Mariano, 2018. "Causality in the EMU sovereign bond markets," Finance Research Letters, Elsevier, vol. 26(C), pages 281-290.
    133. Oussama Kchaou & Makram Bellalah & Sofiane Tahi, 2022. "Transmission of the Greek crisis on the sovereign debt markets in the euro area," Annals of Operations Research, Springer, vol. 313(2), pages 1117-1139, June.
    134. Giovanni Bonaccolto & Massimiliano Caporin, 2016. "The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective," JRFM, MDPI, vol. 9(3), pages 1-25, July.
    135. Wenying Yao & Mardi Dungey & Vitali Alexeev, 2020. "Modelling Financial Contagion Using High Frequency Data," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 314-330, September.
    136. Trabelsi, Mohamed Ali & Hmida, Salma, 2017. "A Dynamic Correlation Analysis of Financial Contagion: Evidence from the Eurozone Stock Markets," MPRA Paper 83718, University Library of Munich, Germany, revised 2017.
    137. Niţoi, Mihai & Pochea, Maria Miruna, 2019. "What drives European Union stock market co-movements?," Journal of International Money and Finance, Elsevier, vol. 97(C), pages 57-69.
    138. Ballester, Laura & Casu, Barbara & González-Urteaga, Ana, 2016. "Bank fragility and contagion: Evidence from the bank CDS market," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 394-416.
    139. Garcia, Márcio & Guillen, Diogo & Ribeiro, Bernardo & Velloso, João, 2024. "International macroeconomic vulnerability," Journal of International Money and Finance, Elsevier, vol. 146(C).
    140. Sandoval Paucar, Giovanny, 2018. "Contagio Financiero: Una Breve Revisión De Literatura [Financial Contagio: A Review Literature]," MPRA Paper 89554, University Library of Munich, Germany.
    141. Nadia Linciano & Luca Giordano & Paola Soccorso, 2013. "Sovereign risk premia in the Euro Area and the role of contagion," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 1, pages 85-114, January.
    142. Elie Bouri & Rangan Gupta & Shixuan Wang, 2019. "Contagion between Stock and Real Estate Markets: International Evidence from a Local Gaussian Correlation Approach," Working Papers 201917, University of Pretoria, Department of Economics.
    143. Tomohiro Ando & Matthew Greenwood-Nimmo & Yongcheol Shin, 2022. "Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks," Management Science, INFORMS, vol. 68(4), pages 2401-2431, April.
    144. Pagano, Michael S. & Sedunov, John, 2016. "A comprehensive approach to measuring the relation between systemic risk exposure and sovereign debt," Journal of Financial Stability, Elsevier, vol. 23(C), pages 62-78.
    145. Zhang, Hanyu & Dufour, Alfonso, 2024. "Managing portfolio risk during crisis times: A dynamic conditional correlation perspective," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 241-251.
    146. Kang, Hyunju & Suh, Hyunduk, 2015. "Reverse spillover: Evidence during emerging market financial turmoil in 2013–2014," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 97-115.
    147. Clancy, Daragh & Dunne, Peter G. & Filiani, Pasquale, 2019. "Liquidity and tail-risk interdependencies in the euro area sovereign bond market," Research Technical Papers 11/RT/19, Central Bank of Ireland.
    148. Pineda, Julián & Cortés, Lina M. & Perote, Javier, 2022. "Financial contagion drivers during recent global crises," Economic Modelling, Elsevier, vol. 117(C).
    149. Sedunov, John, 2021. "Federal reserve intervention and systemic risk during financial crises," Journal of Banking & Finance, Elsevier, vol. 133(C).
    150. Papafilis, Michalis-Panayiotis & Psillaki, Maria & Margaritis, Dimitris, 2015. "Interdependence between Sovereign and Bank CDS Spreads in Eurozone during the European Debt Crisis - The PSI Effect," MPRA Paper 68037, University Library of Munich, Germany.
    151. Ms. Franziska L Ohnsorge & Marcin Wolski & Ms. Yuanyan S Zhang, 2014. "Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices," IMF Working Papers 2014/081, International Monetary Fund.
    152. Henri Audigé, 2013. "A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis," EconomiX Working Papers 2013-2, University of Paris Nanterre, EconomiX.
    153. Michael A. Goldstein & Joseph McCarthy & Alexei G. Orlov, 2019. "The Core, Periphery, and Beyond: Stock Market Comovements among EU and Non‐EU Countries," The Financial Review, Eastern Finance Association, vol. 54(1), pages 5-56, February.
    154. Rangan Gupta & Mark E. Wohar, 2019. "Presidential Cycles In The Usa And The Dollar-Pound Exchange Rate: Evidence From Over Two Centuries," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(2), pages 151-163, June.
    155. William Irungu Nganga & Julien Chevallier & Simon Wagura Ndiritu, 2018. "Regime changes and fiscal sustainability in Kenya with comparative nonlinear Granger causalities across East-African countries," Working Papers halshs-01941226, HAL.
    156. Reboredo, Juan C. & Ugolini, Andrea, 2015. "Systemic risk in European sovereign debt markets: A CoVaR-copula approach," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 214-244.
    157. Fuertes, Ana-Maria & Kalotychou, Elena & Saka, Orkun, 2014. "ECB Policy and Eurozone Fragility: Was De Grauwe Right?," CEPS Papers 9414, Centre for European Policy Studies.
    158. Elie Bouri & Rangan Gupta & Shixuan Wang, 2022. "Nonlinear contagion between stock and real estate markets: International evidence from a local Gaussian correlation approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2089-2109, April.
    159. Cho-Hoi Hui & Chi-Fai Lo & Xiao-Fen Zheng & Tom Fong, 2015. "Measuring Contagion-Induced Funding Liquidity Risk in Sovereign Debt Markets," Working Papers 182015, Hong Kong Institute for Monetary Research.
    160. Fabrizio Durante & Enrico Foscolo & Alex Weissensteiner, 2017. "Dependence between Stock Returns of Italian Banks and the Sovereign Risk," Econometrics, MDPI, vol. 5(2), pages 1-14, June.
    161. Rangan Gupta & Mark E. Wohar, 2018. "Presidential Cycles in the United States and the Dollar-Pound Exchange Rate: Evidence from over Two Centuries of Data," Working Papers 201874, University of Pretoria, Department of Economics.
    162. Guidolin, Massimo & Pedio, Manuela, 2017. "Identifying and measuring the contagion channels at work in the European financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 117-134.
    163. Babalos, Vassilios & Stavroyiannis, Stavros, 2017. "Modelling correlation dynamics of EMU sovereign debt markets during the recent turmoil," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1021-1029.
    164. Berardi, Andrea, 2023. "Term premia and short rate expectations in the euro area," Journal of Empirical Finance, Elsevier, vol. 74(C).
    165. Blatt, Dominik & Candelon, Bertrand & Manner, Hans, 2015. "Detecting contagion in a multivariate time series system: An application to sovereign bond markets in Europe," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 1-13.
    166. Rutger-Jan Lange & Andre Lucas & Arjen H. Siegmann, 2016. "Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads," Tinbergen Institute Discussion Papers 16-064/IV, Tinbergen Institute.

  13. Rigobon, Roberto & Pavlova, Anna, 2011. "International Macro-Finance," CEPR Discussion Papers 8218, C.E.P.R. Discussion Papers.

    Cited by:

    1. Broner, Fernando & Didier, Tatiana & Erce, Aitor & Schmukler, Sergio L., 2013. "Gross capital flows: Dynamics and crises," Journal of Monetary Economics, Elsevier, vol. 60(1), pages 113-133.
    2. Isoré, Marlène, 2016. "International propagation of financial shocks in a search and matching environment," Bank of Finland Research Discussion Papers 28/2016, Bank of Finland.
    3. Martin D. D. Evans, 2017. "Exchange-Rate Dark Matter," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 4, pages 101-185, World Scientific Publishing Co. Pte. Ltd..
    4. Perri, Fabrizio & Kalemli-Özcan, Sebnem & Papaioannou, Elias, 2012. "Global Banks and Crisis Transmission," CEPR Discussion Papers 9044, C.E.P.R. Discussion Papers.
    5. Peiris, M. Udara & Tsomocos, Dimitrios P., 2015. "International monetary equilibrium with default," Journal of Mathematical Economics, Elsevier, vol. 56(C), pages 47-57.

  14. Alberto Cavallo & Roberto Rigobon, 2011. "The Distribution of the Size of Price Changes," NBER Working Papers 16760, National Bureau of Economic Research, Inc.

    Cited by:

    1. Yuriy Gorodnichenko & Viacheslav Sheremirov & Oleksandr Talavera, 2018. "Price Setting in Online Markets: Does IT Click?," Journal of the European Economic Association, European Economic Association, vol. 16(6), pages 1764-1811.
    2. Etienne Gagnon & David López-Salido & Nicolas Vincent, 2012. "Individual Price Adjustment along the Extensive Margin," NBER Chapters, in: NBER Macroeconomics Annual 2012, Volume 27, pages 235-281, National Bureau of Economic Research, Inc.
    3. Kota Watanabe & Tsutomu Watanabe, 2017. "Price Rigidity at Near-Zero Inflation Rates: Evidence from Japan," UTokyo Price Project Working Paper Series 076, University of Tokyo, Graduate School of Economics.
    4. Banerjee, Shesadri & Bhattacharya, Rudrani, 2017. "Micro-level Price Setting Behaviour in India: Evidence from Group and Sub-Group Level CPI-IW Data," Working Papers 17/217, National Institute of Public Finance and Policy.
    5. Alvarez, Fernando & Lippi, Francesco, 2012. "Price setting with menu cost for multi-product firms," CEPR Discussion Papers 8863, C.E.P.R. Discussion Papers.
    6. Choudhary, M. Ali & Faheem, Abdul & Hanif, M. Nadim & Naeem, Saima & Pasha, Farooq, 2016. "Price setting & price stickiness: A developing economy perspective," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 44-61.
    7. Defever, F. & Riaño, A., 2017. "Twin Peaks," Working Papers 17/02, Department of Economics, City University London.
    8. Patrick Bajari & Zhihao Cen & Victor Chernozhukov & Manoj Manukonda & Jin Wang & Ramon Huerta & Junbo Li & Ling Leng & George Monokroussos & Suhas Vijaykunar & Shan Wan, 2023. "Hedonic prices and quality adjusted price indices powered by AI," CeMMAP working papers 08/23, Institute for Fiscal Studies.
    9. Erwan Gautier & Ronan Le Saout, 2012. "The Dynamics of Gasoline Prices: Evidence from Daily French Micro Data," Working Papers hal-00759095, HAL.
    10. Mr. Balazs Csonto & Yuxuan Huang & Mr. Camilo E Tovar Mora, 2019. "Is Digitalization Driving Domestic Inflation?," IMF Working Papers 2019/271, International Monetary Fund.
    11. Alberto Cavallo & Roberto Rigobon, 2016. "The Billion Prices Project: Using Online Prices for Measurement and Research," Journal of Economic Perspectives, American Economic Association, vol. 30(2), pages 151-178, Spring.
    12. S. Dupraz, 2017. "A Kinked-Demand Theory of Price Rigidity," Working papers 656, Banque de France.
    13. Ahrens, Steffen & Sacht, Stephen, 2011. "Estimating a high-frequency New-Keynesian Phillips curve," Kiel Working Papers 1686, Kiel Institute for the World Economy (IfW Kiel).
    14. Erwan Gautier & Ronan Le Saout, 2015. "L'ajustement microéconomique des prix des carburants en France," Working Papers hal-01195759, HAL.
    15. Martin S. Eichenbaum & Nir Jaimovich & Sergio Rebelo & Josephine Smith, 2012. "How Frequent Are Small Price Changes?," NBER Working Papers 17956, National Bureau of Economic Research, Inc.
    16. Alberto Cavallo & Brent Neiman & Roberto Rigobon, 2014. "Currency Unions, Product Introductions, and the Real Exchange Rate," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 129(2), pages 529-595.
    17. Oriol Valles Codina, 2020. "Economic Production as Life: A Classical Approach to Computational Social Science," Working Papers 2001, New School for Social Research, Department of Economics.
    18. Alberto Cavallo, 2015. "Scraped Data and Sticky Prices," NBER Working Papers 21490, National Bureau of Economic Research, Inc.
    19. Kochen Federico, 2016. "Price-Setting in Mexico and the Real Effects of Monetary Shocks," Working Papers 2016-21, Banco de México.

  15. Roberto Rigobon, 2010. "Commodity Prices Pass-Through," Working Papers Central Bank of Chile 572, Central Bank of Chile.

    Cited by:

    1. Siami-Namini, Sima & Hudson, Darren & Trindade, A. Alexandre & Lyford, Conrad, 2018. "Commodity Prices, Monetary Policy and the Taylor Rule," 2018 Annual Meeting, February 2-6, 2018, Jacksonville, Florida 266722, Southern Agricultural Economics Association.
    2. Bekkers, Eddy & Brockmeier, Martina & Francois, Joseph & Yang, Fan, 2017. "Local Food Prices and International Price Transmission," World Development, Elsevier, vol. 96(C), pages 216-230.
    3. Atsushi Sekine & Takayuki Tsuruga, 2014. "Effects of Commodity Price Shocks on Inflation: A Cross Country Analysis," Discussion papers e-13-006, Graduate School of Economics Project Center, Kyoto University.
    4. Ilham Haouas & Raimundo Soto, 2012. "Has the UAE Escaped the Oil Curse?," Documentos de Trabajo 412, Instituto de Economia. Pontificia Universidad Católica de Chile..
    5. Janine Aron & Kenneth Creamer & John Muellbauer & Neil Rankin, 2014. "Exchange Rate Pass-Through to Consumer Prices in South Africa: Evidence from Micro-Data," Journal of Development Studies, Taylor & Francis Journals, vol. 50(1), pages 165-185, January.
    6. Jasmien De Winne & Gert Peersman, 2016. "Macroeconomic Effects Of Disruptions In Global Food Commodity Markets: Evidence For The United States," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 16/924, Ghent University, Faculty of Economics and Business Administration.
    7. Cano-Sánz, Carlos Gustavo & Vallejo-Mejía, César & Caicedo-García, Edgar & Amador-Torres, Juan Sebastián, 2013. "El mercado mundial del café y su efecto en Colombia," Chapters, in: Rincón-Castro, Hernán & Velasco, Andrés M. (ed.), Flujos de capitales, choques externos y respuestas de política en países emergentes, chapter 10, pages 409-454, Banco de la Republica de Colombia.
    8. Rebeca Jiménez-Rodríguez & Amalia Morales-Zumaquero, 2022. "Commodity price pass-through along the pricing chain," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 158(1), pages 109-125, February.
    9. Atsushi Sekine, 2015. "Effects of mineral-commodity price shocks on monetary policy in developed countries," Applied Economics, Taylor & Francis Journals, vol. 47(31), pages 3332-3346, July.
    10. Carlos Gustavo Cano Sanz & Cesar Vallejo Mejía & Edgar Caicedo García & Juan Sebastian Amador Torres, 2012. "El mercado mundial del café y su impacto en Colombia," Borradores de Economia 9612, Banco de la Republica.
    11. Byrne, Joseph P & Fazio, Giorgio & Fiess, Norbert, 2010. "Optimism and commitment: An elementary theory of bargaining and war," SIRE Discussion Papers 2010-102, Scottish Institute for Research in Economics (SIRE).
    12. Michael Pedersen, 2015. "Propagation of Shocks to Food and Energy Prices: A Cross-Country Analysis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(4), pages 272-289, August.
    13. Byrne, Joseph P. & Fazio, Giorgio & Fiess, Norbert, 2013. "Primary commodity prices: Co-movements, common factors and fundamentals," Journal of Development Economics, Elsevier, vol. 101(C), pages 16-26.
    14. Arango-Thomas, Luis Eduardo & Chavarro-Sanchez, Ximena & González-Molano, Eliana Rocío, 2013. "Precios de bienes primarios e inflación en Colombia," Chapters, in: Rincón-Castro, Hernán & Velasco, Andrés M. (ed.), Flujos de capitales, choques externos y respuestas de política en países emergentes, chapter 12, pages 487-532, Banco de la Republica de Colombia.
    15. Abbas, Syed Kanwar & Lan, Hao, 2020. "Commodity price pass-through and inflation regimes," Energy Economics, Elsevier, vol. 92(C).
    16. Michael Pedersen, 2011. "Propagation of Shocks to Food and Energy Prices: an International Comparison," Working Papers Central Bank of Chile 648, Central Bank of Chile.

  16. Tatiana Didier & Roberto Rigobon & Sergio L. Schmukler, 2010. "Unexploited Gains from International Diversification: Patterns of Portfolio Holdings Around the World," NBER Working Papers 16629, National Bureau of Economic Research, Inc.

    Cited by:

    1. Matteo Maggiori & Brent Neiman & Jesse Schreger, 2018. "International Currencies and Capital Allocation," NBER Working Papers 24673, National Bureau of Economic Research, Inc.
    2. Claudio Raddatz & Sergio L. Schmukler, 2011. "On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios," NBER Chapters, in: Global Financial Crisis, National Bureau of Economic Research, Inc.
    3. Sergio Schmukler & Tatiana Didier, 2013. "The Financing and Growth of Firms in China and India: Evidence from Capital Markets," 2013 Meeting Papers 98, Society for Economic Dynamics.
    4. Opazo, Luis & Raddatz, Claudio & Schmukler, Sergio L., 2014. "Institutional investors and long-term investment : evidence from Chile," Policy Research Working Paper Series 6922, The World Bank.
    5. Nathan Converse & Enrico Mallucci, 2019. "Differential Treatment in the Bond Market: Sovereign Risk and Mutual Fund Portfolios," International Finance Discussion Papers 1261, Board of Governors of the Federal Reserve System (U.S.).
    6. Hanno Lustig & Andreas Stathopoulos & Adrien Verdelhan, 2013. "The Term Structure of Currency Carry Trade Risk Premia," NBER Working Papers 19623, National Bureau of Economic Research, Inc.
    7. Nathan Converse & Eduardo Levy Yeyati & Tomas Williams, 2021. "How ETFs amplify the global financial cycle in emerging markets," Working Papers 57, Red Nacional de Investigadores en Economía (RedNIE).
    8. Gennaro Bernile & Vineet Bhagwat & Ambrus Kecskés & Phuong‐Anh Nguyen, 2021. "Are the risk attitudes of professional investors affected by personal catastrophic experiences?," Financial Management, Financial Management Association International, vol. 50(2), pages 455-486, June.
    9. Claudio Raddatz & Sergio L. Schmukler & Tomas Williams, 2015. "International Asset Allocations and Capital Flows: The Benchmark Effect," Working Papers 042015, Hong Kong Institute for Monetary Research.
    10. Bengui, Julien & Nguyen, Ha, 2011. "Consumption baskets and currency choice in international borrowing," Policy Research Working Paper Series 5870, The World Bank.
    11. John Ammer & Sara B. Holland & David C. Smith & Francis E. Warnock, 2012. "U.S. International Equity Investment," NBER Working Papers 17839, National Bureau of Economic Research, Inc.
    12. Vahagn Galstyan & Adnan Velic, 2017. "International Investment Patterns: The Case of German Sectors," Trinity Economics Papers tep0217, Trinity College Dublin, Department of Economics, revised Mar 2018.
    13. Tatiana Didier & Sergio L Schmukler, 2014. "Debt Markets in Emerging Economies: Major Trends," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 56(2), pages 200-228, June.
    14. Andreas Stathopoulos & Adrien Verdelhan & Hanno Lustig, 2017. "Nominal Exchange Rate Stationarity and Long-Term Bond Returns," 2017 Meeting Papers 1633, Society for Economic Dynamics.
    15. Mr. Gaston Gelos, 2011. "International Mutual Funds, Capital Flow Volatility, and Contagion – A Survey," IMF Working Papers 2011/092, International Monetary Fund.
    16. Ferriani, Fabrizio, 2021. "From taper tantrum to Covid-19: Portfolio flows to emerging markets in periods of stress," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    17. Lai, Wan-Ni, 2016. "Do academic investment insights benefit society?," Research in International Business and Finance, Elsevier, vol. 38(C), pages 172-176.
    18. Didier, Tatiana & Moretti, Matias & Schmukler, Sergio L., 2015. "The changing patterns of financial integration in Latin America," Policy Research Working Paper Series 7190, The World Bank.
    19. Ilan Cooper & Liang Ma & Paulo Maio, 2022. "What Does the Cross‐Section Tell About Itself? Explaining Equity Risk Premia with Stock Return Moments," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 73-118, February.
    20. Converse, Nathan, 2018. "Uncertainty, capital flows, and maturity mismatch," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 260-275.
    21. Didier, Tatiana & Schmukler, Sergio L., 2013. "Financial development in Latin America and the Caribbean : stylized facts and the road ahead," Policy Research Working Paper Series 6582, The World Bank.

  17. Rigobon, Roberto & Pavlova, Anna, 2008. "The Role of Portfolio Constraints in the International Propagation of Shocks," CEPR Discussion Papers 6647, C.E.P.R. Discussion Papers.

    Cited by:

    1. Fernando Broner & Guido Lorenzoni & Sergio Schmuckler, 2006. "Why Do Emerging Economies Borrow Short Term?," 2006 Meeting Papers 841, Society for Economic Dynamics.
    2. Coeurdacier, Nicolas & Guibaud, Stéphane, 2011. "International portfolio diversification is better than you think," Journal of International Money and Finance, Elsevier, vol. 30(2), pages 289-308, March.
    3. Michael B Devereux & James Yetman, 2009. "Leverage Constraints and the International Transmission of Shocks," RBA Research Discussion Papers rdp2009-08, Reserve Bank of Australia.
    4. Hugonnier, Julien, 2012. "Rational asset pricing bubbles and portfolio constraints," Journal of Economic Theory, Elsevier, vol. 147(6), pages 2260-2302.
    5. Bacchetta, Philippe & van Wincoop, Eric, 2013. "Sudden spikes in global risk," Journal of International Economics, Elsevier, vol. 89(2), pages 511-521.
    6. Huang, Chai Liang, 2020. "International stock market co-movements following US financial globalization," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 788-814.
    7. Agudelo, Diego A. & Múnera, Daimer J., 2023. "Who are the vectors of contagion? Evidence from emerging markets," International Review of Financial Analysis, Elsevier, vol. 87(C).
    8. Pami Dua & Divya Tuteja, 2021. "Regime Shifts in the Behaviour of International Currency and Equity Markets: A Markov-Switching Analysis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 309-336, December.
    9. Domenico Ferraro & Kenneth S. Rogoff & Barbara Rossi, 2012. "Can Oil Prices Forecast Exchange Rates?," NBER Working Papers 17998, National Bureau of Economic Research, Inc.
    10. Arogundade, Sodiq & Biyase, Mduduzi & Eita, Joel Hinaunye, 2022. "Do Sovereign Credit Ratings Matter for Foreign Direct Investment: Evidence from Sub-Sahara African Countries," MPRA Paper 115404, University Library of Munich, Germany.
    11. Mardi Dungey & George Milunovich & Susan Thorp, 2008. "Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH," NCER Working Paper Series 22, National Centre for Econometric Research.
    12. Buffa, Andrea M. & Hodor, Idan, 2023. "Institutional investors, heterogeneous benchmarks and the comovement of asset prices," Journal of Financial Economics, Elsevier, vol. 147(2), pages 352-381.
    13. Gromb, Denis & Vayanos, Dimitri, 2018. "The dynamics of financially constrained arbitrage," LSE Research Online Documents on Economics 84081, London School of Economics and Political Science, LSE Library.
    14. Ehling, Paul & Heyerdahl-Larsen, Christian, 2015. "Complete and incomplete financial markets in multi-good economies," Journal of Economic Theory, Elsevier, vol. 160(C), pages 438-462.
    15. Rey, Hélène & Coeurdacier, Nicolas, 2012. "Home Bias in Open Economy Financial Macroeconomics," CEPR Discussion Papers 8746, C.E.P.R. Discussion Papers.
    16. Büyükşahin, Bahattin & Robe, Michel A., 2014. "Speculators, commodities and cross-market linkages," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 38-70.
    17. Banti, C, 2015. "Illiquidity in the stock and FX markets: an investigation of their cross-market dynamics," Essex Finance Centre Working Papers 15626, University of Essex, Essex Business School.
    18. Chen, Sheng-Syan & Chen, Hsien-Yi & Chang, Chong-Chuo & Yang, Shu-Ling, 2016. "The relation between sovereign credit rating revisions and economic growth," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 90-100.
    19. Arvind Krishnamurthy & Zhiguo He, 2009. "A Model of Capital and Crises," 2009 Meeting Papers 85, Society for Economic Dynamics.
    20. Sumudu W. Watugala, 2015. "Economic Uncertainty and Commodity Futures Volatility," Working Papers 15-14, Office of Financial Research, US Department of the Treasury.
    21. Toni Ahnert & Christoph Bertsch, 2015. "A Wake-Up-Call Theory of Contagion," Staff Working Papers 15-14, Bank of Canada.
    22. Nicolae Gârleanu & Stavros Panageas & Jianfeng Yu, 2013. "Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion," NBER Working Papers 19381, National Bureau of Economic Research, Inc.
    23. Chabakauri, Georgy & Han, Brandon Yueyang, 2020. "Collateral constraints and asset prices," Journal of Financial Economics, Elsevier, vol. 138(3), pages 754-776.
    24. Heeho Kim & Sanguk Kwon & Youn Seol, 2022. "Currency Bias of Sovereign Wealth Fund Investments," Korean Economic Review, Korean Economic Association, vol. 38, pages 415-443.
    25. Heaton, John C. & Lucas, Deborah & McDonald, Robert L., 2010. "Is mark-to-market accounting destabilizing? Analysis and implications for policy," Journal of Monetary Economics, Elsevier, vol. 57(1), pages 64-75, January.
    26. Itskhoki, Oleg & Mukhin, Dmitry, 2021. "Exchange rate disconnect in general equilibrium," LSE Research Online Documents on Economics 112140, London School of Economics and Political Science, LSE Library.
    27. Edmond, Chris & Weill, Pierre-Olivier, 2012. "Aggregate implications of micro asset market segmentation," Journal of Monetary Economics, Elsevier, vol. 59(4), pages 319-335.
    28. Vayanos, Dimitri & Vila, Jean-Luc, 2021. "A preferred-habitat model of the term structure of interest rates," LSE Research Online Documents on Economics 106509, London School of Economics and Political Science, LSE Library.
    29. Albuquerque, Rui & Watugala, Sumudu, 2011. "Trade Credit and International Return Comovement," CEPR Discussion Papers 8222, C.E.P.R. Discussion Papers.
    30. Yothin Jinjarak & Huanhuan Zheng, 2010. "Financial panic and emerging market funds," Applied Financial Economics, Taylor & Francis Journals, vol. 20(23), pages 1793-1805.
    31. Harjoat Bhamra & Nicolas Coeurdacier & Stéphane Guibaud, 2014. "A Dynamic Equilibrium Model of Imperfectly Integrated Financial Markets," SciencePo Working papers Main hal-03393013, HAL.
    32. Lundblad, Christian T & Jotikasthira, Chotibhak, 2009. "Asset fire sales and purchases and the international transmission of financial shocks," CEPR Discussion Papers 7595, C.E.P.R. Discussion Papers.
    33. Tommaso Trani, 2013. "Country Portfolios with Heterogeneous Pledgeability," Faculty Working Papers 02/13, School of Economics and Business Administration, University of Navarra.
    34. Michael B Devereux & James Yetman, 2010. "Financial deleveraging and the international transmission of shocks," BIS Papers chapters, in: Bank for International Settlements (ed.), The international financial crisis and policy challenges in Asia and the Pacific, volume 52, pages 274-298, Bank for International Settlements.
    35. Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2015. "Measuring sovereign contagion in Europe," SAFE Working Paper Series 103, Leibniz Institute for Financial Research SAFE.
    36. Sangyup Choi, 2018. "The Impact of US Financial Uncertainty Shocks on Emerging Market Economies: An International Credit Channel," Open Economies Review, Springer, vol. 29(1), pages 89-118, February.
    37. Chabakauri, Georgy, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
    38. Dungey, Mardi & Milunovich, George & Thorp, Susan, 2010. "Unobservable shocks as carriers of contagion," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1008-1021, May.
    39. Vayanos, Dimitri & Wang, Jiang, 2012. "Market liquidity - theory and empirical evidence," LSE Research Online Documents on Economics 119044, London School of Economics and Political Science, LSE Library.
    40. Pami Dua & Divya Tuteja, 2016. "Contagion in International Stock and Currency Markets During Recent Crisis Episodes," Working papers 258, Centre for Development Economics, Delhi School of Economics.
    41. Yuting Fan & Ha Nguyen & Rong Qian, 2022. "Collateralized borrowing around the world: Insights from the World Bank Enterprise Surveys," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2420-2437, April.
    42. Pavlova, Anna & Rigobon, Roberto, 2010. "An asset-pricing view of external adjustment," Journal of International Economics, Elsevier, vol. 80(1), pages 144-156, January.
    43. Cabrales, Antonio; Gale, Douglas; Gottardi, Piero, 2015. "Financial Contagion in Networks," Economics Working Papers ECO2015/01, European University Institute.
    44. Charles Engel & Steve Pak Yeung Wu, 2023. "Liquidity and Exchange Rates: An Empirical Investigation," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 90(5), pages 2395-2438.
    45. Chabakauri, Georgy & Rytchkov, Oleg, 2021. "Asset pricing with index investing," Journal of Financial Economics, Elsevier, vol. 141(1), pages 195-216.
    46. Christian Heyerdahl-Larsen & Philipp Illeditsch, 2018. "Demand Disagreement," 2018 Meeting Papers 607, Society for Economic Dynamics.
    47. Buss, Adrian & Uppal, Raman & Vilkov, Grigory, 2015. "Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs," SAFE Working Paper Series 41, Leibniz Institute for Financial Research SAFE, revised 2015.
    48. Hansen, Simon Lysbjerg, 2015. "Cross-sectional asset pricing with heterogeneous preferences and beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 125-151.
    49. Chabakauri, Georgy, 2012. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 119046, London School of Economics and Political Science, LSE Library.
    50. E. Grizickas Sapkute & M. A. Sánchez-Granero & M. N. López García & J. E. Trinidad Segovia, 2022. "The impact of regulation-based constraints on portfolio selection: The Spanish case," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-14, December.
    51. Stavros Panageas, 2009. "Bailouts, the Incentive to Manage Risk, and Financial Crises," NBER Working Papers 15058, National Bureau of Economic Research, Inc.
    52. de Bandt,O. & Malik, S., 2010. "Is there Evidence of Shift-Contagion in International Housing Markets?," Working papers 295, Banque de France.
    53. Paul Ehling & Christian Heyerdahl-Larsen, 2014. "Correlations," Working Papers 1413, Banco de España.
    54. Dua, Pami & Tuteja, Divya, 2016. "Financial crises and dynamic linkages across international stock and currency markets," Economic Modelling, Elsevier, vol. 59(C), pages 249-261.
    55. Alexander Guembel & Oren Sussman, 2020. "The Pecking Order of Segmentation and Liquidity-Injection Policies in a Model of Contagious Crises," Post-Print hal-02929541, HAL.
    56. Aït-Sahalia, Yacine & Cacho-Diaz, Julio & Laeven, Roger J.A., 2015. "Modeling financial contagion using mutually exciting jump processes," Journal of Financial Economics, Elsevier, vol. 117(3), pages 585-606.
    57. Sebastian Edwards & Francis A. Longstaff & Alvaro Garcia Marin, 2015. "The U.S. Debt Restructuring of 1933: Consequences and Lessons," NBER Working Papers 21694, National Bureau of Economic Research, Inc.
    58. Awartani, Basel & Aktham, Maghyereh & Cherif, Guermat, 2016. "The connectedness between crude oil and financial markets: Evidence from implied volatility indices," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 56-69.
    59. Shin, Hyun Song & Acharya, Viral & Yorulmazer, Tanju, 2009. "A Theory of Slow-Moving Capital and Contagion," CEPR Discussion Papers 7147, C.E.P.R. Discussion Papers.
    60. Chen, Sheng-Syan & Chen, Hsien-Yi & Chang, Chong-Chuo & Yang, Shu-Ling, 2013. "How do sovereign credit rating changes affect private investment?," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4820-4833.
    61. Nicolas Coeurdacier & Stéphane Guibaud, 2008. "A dynamic equilibrium of imperfectly integrated financial markets," Working Papers hal-03602487, HAL.
    62. Damien PUY, 2013. "Institutional Investors Flows and the Geography of Contagion," Economics Working Papers ECO2013/06, European University Institute.
    63. Peter Bank & Ibrahim Ekren & Johannes Muhle‐Karbe, 2021. "Liquidity in competitive dealer markets," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 827-856, July.
    64. Tommaso Trani, 2011. "Trade in secured debt, adjustment in haircuts and international portfolios," IHEID Working Papers 13-2011, Economics Section, The Graduate Institute of International Studies.
    65. Maggiori, Matteo, 2021. "International Macroeconomics With Imperfect Financial Markets," SocArXiv z8g6r, Center for Open Science.
    66. Sara Eugeni, 2019. "Exchange rate volatility and cooperation in an incomplete markets' economy," Department of Economics Working Papers 2019_02, Durham University, Department of Economics.
    67. Paulo Matos & Antonio Costa & Cristiano da Silva, 2024. "On the Risk-based Contagion of G7 Banking System and the COVID-19 Pandemic," Global Business Review, International Management Institute, vol. 25(6), pages 1634-1654, December.
    68. López-Suárez, Carlos Felipe & Razo-Garcia, Raul, 2017. "Speculative attacks in a two-peg model," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 234-256.
    69. Makoto Nirei & Julián Caballero & Vladyslav Sushko, 2015. "Bank capital shock propagation via syndicated interconnectedness," BIS Working Papers 484, Bank for International Settlements.
    70. Puy, Damien, 2016. "Mutual funds flows and the geography of contagion," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 73-93.
    71. Yu, Changhua, 2015. "Evaluating international financial integration in a center-periphery economy," Journal of International Economics, Elsevier, vol. 95(1), pages 129-144.
    72. Tommaso Trani, 2012. "Funding under Borrowing Limits in International Portfolios," IHEID Working Papers 01-2012, Economics Section, The Graduate Institute of International Studies, revised 14 Feb 2012.
    73. Maghyereh, Aktham I. & Awartani, Basel & Bouri, Elie, 2016. "The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes," Energy Economics, Elsevier, vol. 57(C), pages 78-93.
    74. Grégoire, Vincent, 2020. "The rise of passive investing and index-linked comovement," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    75. Chaban, Maxym, 2024. "Exchange rate dynamics and consumption of traded goods," Journal of Macroeconomics, Elsevier, vol. 80(C).
    76. Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
    77. Chabakauri, Georgy & Rytchkov, Oleg, 2014. "Asset pricing with index investing," LSE Research Online Documents on Economics 60739, London School of Economics and Political Science, LSE Library.
    78. A. Can Inci & H.C. Li & Joseph McCarthy, 2011. "Measuring flight to quality: a local correlation analysis," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 10(1), pages 69-87, February.
    79. Guembel, Alexander & Sussman, Oren, 2014. "A Welfare Analysis of Fragmented Liquidity Markets," IDEI Working Papers 832, Institut d'Économie Industrielle (IDEI), Toulouse.
    80. Platonov, Konstantin, 2024. "Confidence spillovers, financial contagion, and stagnation," Journal of International Money and Finance, Elsevier, vol. 148(C).
    81. Aleksandra Babii, 2019. "Exchange Rates Co-movement and International Trade," 2019 Meeting Papers 1150, Society for Economic Dynamics.
    82. Lorenzoni, Guido, 2014. "International Financial Crises," Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.), Handbook of International Economics, edition 1, volume 4, chapter 0, pages 689-740, Elsevier.
    83. Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," 2012 Meeting Papers 636, Society for Economic Dynamics.
    84. Paulo Matos & Cristiano Da Silva & Antonio Costa, 2022. "On the relationship between COVID-19 and G7 banking co-movements," Economics Bulletin, AccessEcon, vol. 42(2), pages 793-801.
    85. Chabakauri, Georgy, 2015. "Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints," Journal of Monetary Economics, Elsevier, vol. 75(C), pages 21-34.
    86. Sumudu W. Watugala, 2019. "Economic uncertainty, trading activity, and commodity futures volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(8), pages 921-945, August.
    87. Devereux, Michael B. & Saito, Makoto & Yu, Changhua, 2020. "International capital flows, portfolio composition, and the stability of external imbalances," Journal of International Economics, Elsevier, vol. 127(C).

  18. Cavallo, Eduardo A. & Powell, Andrew & Rigobón, Roberto, 2008. "Do Credit Rating Agencies Add Value?: Evidence from the Sovereign Rating Business Institutions," IDB Publications (Working Papers) 1634, Inter-American Development Bank.

    Cited by:

    1. Davor Kunovac & Rafael Ravnik, 2017. "Are Sovereign Credit Ratings Overrated?," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 59(2), pages 210-242, June.
    2. Alsakka, Rasha & ap Gwilym, Owain, 2013. "Rating agencies’ signals during the European sovereign debt crisis: Market impact and spillovers," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 144-162.
    3. Juan J. Cruces & Christoph Trebesch, 2011. "Sovereign Defaults: The Price of Haircuts," CESifo Working Paper Series 3604, CESifo.
    4. Hassan, Gazi & Wu, Eliza, 2012. "Sovereign country rating, growth volatility and financial crisis," MPRA Paper 40085, University Library of Munich, Germany.
    5. Johannes W. Fedderke, 2013. "Promotion and Relegation between Country Risk Classes as Maintained by Country Risk Rating Agencies," Working Papers 376, Economic Research Southern Africa.
    6. Velloso, Helvia & Bustillo, Inés & Perrotti, Daniel E., 2018. "Sovereign credit ratings in Latin America and the Caribbean: Trends and impact on debt spreads," Studies and Perspectives – ECLAC Office in Washington 44336, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    7. Papageorgiou, Theofanis & Michaelides, Panayotis G. & Tsionas, Efthymios G., 2016. "Business cycle determinants and fiscal policy: A Panel ARDL approach for EMU," The Journal of Economic Asymmetries, Elsevier, vol. 13(C), pages 57-68.
    8. Perraudin, William & Powell, Andrew & Yang, Peng, 2016. "Multilateral Development Bank Ratings and Preferred Creditor Status," IDB Publications (Working Papers) 7686, Inter-American Development Bank.
    9. Jens Hilscher & Yves Nosbusch, 2007. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Money Macro and Finance (MMF) Research Group Conference 2006 114, Money Macro and Finance Research Group, revised 24 Apr 2007.
    10. Zoran Ivanovic & Sinisa Bogdan & Suzana Baresa, 2015. "Modeling and Estimating Shadow Sovereign Ratings," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 9(3), September.
    11. Nazim Belhocine & Mr. Salvatore Dell'Erba, 2013. "The Impact of Debt Sustainability and the Level of Debt on Emerging Markets Spreads," IMF Working Papers 2013/093, International Monetary Fund.

  19. Gita Gopinath & Oleg Itskhoki & Roberto Rigobon, 2007. "Currency Choice and Exchange Rate Pass-through," NBER Working Papers 13432, National Bureau of Economic Research, Inc.

    Cited by:

    1. Fischer, Andreas & Sauré, Philip, 2016. "The speed of the exchange rate pass-through," CEPR Discussion Papers 11195, C.E.P.R. Discussion Papers.
    2. Choi, Sangyup & Shin, Junhyeok & Yoo, Seung Yong, 2022. "Are government spending shocks inflationary at the zero lower bound? New evidence from daily data," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    3. Ligthart, Jenny E. & Werner, Sebastian E.V., 2012. "Has the euro affected the choice of invoicing currency?," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1551-1573.
    4. Gopinath, Gita & Itskhoki, Oleg & Rigobon, Roberto, 2010. "Currency Choice and Exchange Rate Pass-through," Scholarly Articles 30703874, Harvard University Department of Economics.
    5. Jean M. Imbs & Haroon Mumtaz & Morten O. Ravn & Hélène Rey, 2010. "One TV, One Price?," Scandinavian Journal of Economics, Wiley Blackwell, vol. 112(4), pages 753-781, December.
    6. Dainauskas, Justas, 2023. "Time-varying exchange rate pass-through into terms of trade," LSE Research Online Documents on Economics 120000, London School of Economics and Political Science, LSE Library.
    7. Gregor Bäurle & Daniel Kaufmann, 2014. "Exchange rate and price dynamics in a small open economy - the role of the zero lower bound and monetary policy regimes," Working Papers 2014-10, Swiss National Bank.
    8. Breinlich, Holger & Leromain, Elsa & Novy, Dennis & Sampson, Thomas, 2019. "Exchange Rates and Consumer Prices: Evidence from Brexit," CAGE Online Working Paper Series 447, Competitive Advantage in the Global Economy (CAGE).
    9. Andres Blanco & Javier Cravino, 2018. "Price Rigidities and Relative PPP," NBER Working Papers 24655, National Bureau of Economic Research, Inc.
    10. Goldberg, Linda S. & Tille, Cédric, 2009. "Micro, Macro, and Strategic Forces in International Trade Invoicing," CEPR Discussion Papers 7534, C.E.P.R. Discussion Papers.
    11. Ryan Chahrour & Rosen Valchev, 2023. "The Dollar in an Era of International Retrenchment," NBER Working Papers 31405, National Bureau of Economic Research, Inc.
    12. Corsetti, G. & Crowley, M. & Han, L., 2018. "Invoicing and the Dynamics of Pricing-to-market - Evidence from UK Export Prices around the Brexit Referendum," Cambridge Working Papers in Economics 1860, Faculty of Economics, University of Cambridge.
    13. Muellbauer, John & Sinclair, Peter & Aron, Janine & Farrell, Greg, 2010. "Exchange Rate Pass-through and Monetary Policy in South Africa," CEPR Discussion Papers 8153, C.E.P.R. Discussion Papers.
    14. Ha,Jongrim & Stocker,Marc & Yilmazkuday,Hakan, 2019. "Inflation and Exchange Rate Pass-Through," Policy Research Working Paper Series 8780, The World Bank.
    15. Drenik, Andrés & Perez, Diego J., 2021. "Domestic price dollarization in emerging economies," Journal of Monetary Economics, Elsevier, vol. 122(C), pages 38-55.
    16. Xing Guo & Pablo Ottonello & Diego J. Perez, 2023. "Monetary Policy and Redistribution in Open Economies," Journal of Political Economy Macroeconomics, University of Chicago Press, vol. 1(1), pages 191-241.
    17. Enders, Zeno & Buzaushina, Almira & Hoffmann, Mathias, 2014. "International Financial Market Integration, Asset Compositions and the Falling Exchange Rate Pass-Through," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100444, Verein für Socialpolitik / German Economic Association.
    18. Makoto Shimizu & Joon‐Heon Song, 2022. "Effects of exchange rates and invoiced currencies on trade: Evidence from South Korea," The World Economy, Wiley Blackwell, vol. 45(6), pages 1997-2031, June.
    19. Angella Faith Montfaucon, 2022. "Invoicing Currency and Symmetric Pass-Through of Exchange Rates and Tariffs: Evidence from Malawian Imports from the EU," International Economics, CEPII research center, issue 169, pages 191-207.
    20. Mina Kim & Deokwoo Nam & Jian Wang & Jason J. Wu, 2013. "International trade price stickiness and exchange rate pass-through in micro data: a case study on U.S.–China trade," Globalization Institute Working Papers 135, Federal Reserve Bank of Dallas.
    21. Varela, Liliana & Salomao, Juliana, 2018. "Exchange Rate Exposure and Firm Dynamics," CEPR Discussion Papers 12654, C.E.P.R. Discussion Papers.
    22. Lewis, Logan T., 2014. "Exports versus multinational production under nominal uncertainty," Journal of International Economics, Elsevier, vol. 94(2), pages 371-386.
    23. Etienne Gagnon & Benjamin R. Mandel & Robert J. Vigfusson, 2012. "Missing Import Price Changes and Low Exchange Rate Pass-Through," International Finance Discussion Papers 1040, Board of Governors of the Federal Reserve System (U.S.).
    24. Sebastian Link, 2019. "The Price and Employment Response of Firms to the Introduction of Minimum Wages," CESifo Working Paper Series 7575, CESifo.
    25. Vieira Marques Da Costa, Rui & Dhingra, Swati & Machin, Stephen, 2024. "New dawn fades: trade, labour and the Brexit exchange rate depreciation," LSE Research Online Documents on Economics 124542, London School of Economics and Political Science, LSE Library.
    26. Richard Fabling & Lynda Sanderson, 2013. "Export performance, invoice currency, and heterogeneous exchange rate pass-through," Treasury Working Paper Series 13/03, New Zealand Treasury.
    27. Hellerstein, Rebecca & Villas-Boas, Sofia B., 2010. "Outsourcing and pass-through," Journal of International Economics, Elsevier, vol. 81(2), pages 170-183, July.
    28. Marco Flaccadoro, 2022. "Exchange rate pass-through in small, open, commodity-exporting economies: lessons from Canada," Temi di discussione (Economic working papers) 1368, Bank of Italy, Economic Research and International Relations Area.
    29. Margarida Duarte & Michael Dotsey, 2011. "How Important is the Currency Denomination of Exports in Open Economy Models?," 2011 Meeting Papers 380, Society for Economic Dynamics.
    30. Raphaël Auer & Thomas Chaney, 2009. "Exchange Rate Pass-Through in a Competitive Model of Pricing-to-Market," Post-Print hal-03389284, HAL.
    31. Cheung, Yin-Wong & Sengupta, Rajeswari, 2012. "Impact of exchange rate movements on exports: an analysis of Indian non-financial sector firms," MPRA Paper 43118, University Library of Munich, Germany.
    32. Yuri Ponomarev & Pavel Trunin & Alexei Uluykaev, 2014. "Exchange Rate Pass-through in Russia," Working Papers 0099, Gaidar Institute for Economic Policy, revised 2014.
    33. Linda S. Goldberg, 2022. "Global Liquidity: Drivers, Volatility and Toolkits," Speech 95155, Federal Reserve Bank of New York.
    34. Raphael Auer & Raphael Schoenle, 2012. "Market structure and exchange rate pass-through," Globalization Institute Working Papers 130, Federal Reserve Bank of Dallas.
    35. Anatoli Colicev & Joris Hoste & Jozef Konings, 2019. "Exchange Rate Pass-through after a Large Depreciation," Working Papers 201914, University of Liverpool, Department of Economics.
    36. Knobel, Alexander (Кнобель, Александр) & Chentsov, Alexander (Ченцов, Александр), 2018. "The Impact of Exchange Rates and Their Volatility on Russia's Foreign Trade, Taking into Account its Membership in EAEU [Влияние Обменных Курсов И Их Волатильности На Внешнюю Торговлю России С Учет," Working Papers 061824, Russian Presidential Academy of National Economy and Public Administration.
    37. Pleskachev, Yury (Плескачев, Юрий) & Ponomarev, Yury (Пономарев, Юрий), 2017. "Import Price Rigidity and Invoice Currency in Russia [Валюта Контракта И Жесткость Цен На Импортные Товары В России]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 3, pages 80-99, June.
    38. Mark Bils & Peter J. Klenow & Benjamin A. Malin, 2012. "Reset Price Inflation and the Impact of Monetary Policy Shocks," American Economic Review, American Economic Association, vol. 102(6), pages 2798-2825, October.
    39. Jose De Gregorio & Pablo Garcia & Emiliano Luttini & Marco Rojas, 2023. "From Dominant to Producer Currency Pricing: Dynamics of Chilean Exports," Working Papers wp543, University of Chile, Department of Economics.
    40. Andrew Atkeson & Ariel Burstein, 2007. "Pricing-to-market, trade costs, and international relative prices," Working Paper Series 2007-26, Federal Reserve Bank of San Francisco.
    41. Nidhaleddine Ben Cheikh & Christophe Rault, 2015. "Recent Estimates of Exchange Rate Pass-Through to Import Prices in the Euro Area," CESifo Working Paper Series 5341, CESifo.
    42. Aaditya Mattoo & Prachi Mishra & Arvind Subramanian, 2012. "A China Round of Multilateral Trade Negotiations," Working Paper Series WP12-4, Peterson Institute for International Economics.
    43. Mary Amiti & Oleg Itskhoki & Jozef Konings, 2012. "Importers, Exporters, and Exchange Rate Disconnect," NBER Working Papers 18615, National Bureau of Economic Research, Inc.
    44. Maertens Odria, Luís Ricardo & Castillo, Paul & Rodriguez, Gabriel, 2012. "Does the exchange rate pass-through into prices change when inflation targeting is adopted? The Peruvian case study between 1994 and 2007," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1154-1166.
    45. Breitenlechner, Max & Georgiadis, Georgios & Schumann, Ben, 2022. "What goes around comes around: How large are spillbacks from US monetary policy?," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 45-60.
    46. Antonia Lòpez-Villavicencio & Marc Pourroy, 2019. "Inflation target and (a)symmetries in the oil price pass-through to inflation," Post-Print hal-02082415, HAL.
    47. Ken Miyajima, 2020. "Exchange rate volatility and pass‐through to inflation in South Africa," African Development Review, African Development Bank, vol. 32(3), pages 404-418, September.
    48. Mr. Arvind Subramanian & Ms. Prachi Mishra & Aaditya Mattoo, 2012. "Spillover Effects of Exchange Rates: A Study of the Renminbi," IMF Working Papers 2012/088, International Monetary Fund.
    49. Tosapol Apaitan & Pym Manopimoke & Nuwat Nookhwun & Jettawat Pattararangrong, 2021. "Heterogeneity in Exchange Rate Pass-through to Import Prices in Thailand: Evidence from Micro Data," PIER Discussion Papers 167, Puey Ungphakorn Institute for Economic Research.
    50. Renzo Alvarez & Amin Shoja & Syed Uddin & Hakan Yilmazkuday, 2018. "Daily Exchange Rate Pass-through into Micro Prices," Working Papers 1803, Florida International University, Department of Economics.
    51. Etienne Gagnon & Benjamin R. Mandel & Robert J. Vigfusson, 2012. "The hitchhiker’s guide to missing import price changes and pass-through," Staff Reports 537, Federal Reserve Bank of New York.
    52. Abdelraouf, Nadine & Noureldin, Diaa, 2022. "The impact of the exchange rate regime on the dispersion of the price-change distribution: Evidence from a large panel of countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    53. Habib, Maurizio Michael & Stracca, Livio & Venditti, Fabrizio, 2020. "The fundamentals of safe assets," Journal of International Money and Finance, Elsevier, vol. 102(C).
    54. Andrea Fracasso & Angelo Secchi & Chiara Tomasi, 2022. "Export pricing and exchange rate expectations under uncertainty," PSE-Ecole d'économie de Paris (Postprint) halshs-03673148, HAL.
    55. Christian Hellwig & Ariel Burstein, 2007. "Prices and Market Shares in a Menu Cost Model," 2007 Meeting Papers 327, Society for Economic Dynamics.
    56. Hwang, Yu-Ning & Turnovsky, Stephen J., 2013. "Exchange rate pass-through and the effects of tariffs on economic performance and welfare," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 81-102.
    57. Chen, Natalie & Chung, Wanyu & Novy, Dennis, 2019. "Vehicle currency pricing and exchange rate pass-through," LSE Research Online Documents on Economics 102748, London School of Economics and Political Science, LSE Library.
    58. Hjortsø, Ida & Forbes, Kristin & Nenova, Tsvetelina, 2018. "The Shocks Matter: Improving our Estimates of Exchange Rate Pass-Through," CEPR Discussion Papers 13037, C.E.P.R. Discussion Papers.
    59. Ranajoy Bhattacharyya & Jaydeep Mukherjee, 2014. "Do Exchange Rates Affect Exports in India?," South Asian Journal of Macroeconomics and Public Finance, , vol. 3(2), pages 175-193, December.
    60. Bolatto, Stefano & Grazzi, Marco & Tomasi, Chiara, 2022. "Export modes and firms’ adjustments to exchange rate movements," European Economic Review, Elsevier, vol. 141(C).
    61. Yuwan Duan & Yanping Zhao & Jakob Haan, 2020. "Exchange Rate Pass-through in China: A Cost-Push Input-Output Price Model," Open Economies Review, Springer, vol. 31(3), pages 513-528, July.
    62. Lian An & Mark A. Wynne & Ren Zhang, 2020. "Shock-Dependent Exchange Rate Pass-Through: Evidence Based on a Narrative Sign Approach," Globalization Institute Working Papers 379, Federal Reserve Bank of Dallas.
    63. Antonia Lopez Villavicencio & Valérie Mignon, 2019. "Exchange rate pass-through to import prices: Accounting for changes in the Eurozone trade structure," Working Papers hal-04141874, HAL.
    64. Chung, Wanyu, 2016. "Imported inputs and invoicing currency choice: Theory and evidence from UK transaction data," Journal of International Economics, Elsevier, vol. 99(C), pages 237-250.
    65. Shirota, Toyoichiro, 2017. "Not All Exchange Rate Movements Are Alike : Exchange Rate Persistence and Pass-Through to Consumer Prices," Discussion paper series. A 311, Graduate School of Economics and Business Administration, Hokkaido University.
    66. Goldberg, Linda S. & Tille, Cédric, 2013. "A bargaining theory of trade invoicing and pricing," CEPR Discussion Papers 9447, C.E.P.R. Discussion Papers.
    67. Martin, Philippe & Mayer, Thierry & Berman, Nicolas, 2009. "How do different exporters react to exchange rate changes? Theory, empirics and aggregate implications," CEPR Discussion Papers 7493, C.E.P.R. Discussion Papers.
    68. Georgios Georgiadis & Ben Schumann, 2019. "Dominant-Currency Pricing and the Global Output Spillovers from U.S. Dollar Appreciation," Globalization Institute Working Papers 368, Federal Reserve Bank of Dallas.
    69. Camatte, Hadrien & Daudin, Guillaume & Faubert, Violaine & Rifflart, Christine, 2023. "Estimating the elasticity of consumer prices to the exchange rate: An accounting approach," Journal of International Money and Finance, Elsevier, vol. 137(C).
    70. Berger, David & Faust, Jon & Rogers, John H. & Steverson, Kai, 2012. "Border prices and retail prices," Journal of International Economics, Elsevier, vol. 88(1), pages 62-73.
    71. Brent Neiman, 2010. "A State-Dependent Model of Intermediate Goods Pricing," NBER Working Papers 16283, National Bureau of Economic Research, Inc.
    72. Delgado, Martha Elena & Herreño, Juan & Hofstetter, Marc & Pedemonte, Mathieu, 2024. "The Causal Effects of Expected Depreciations," Documentos CEDE 21114, Universidad de los Andes, Facultad de Economía, CEDE.
    73. Lodge, David & Pérez, Javier J. & Albrizio, Silvia & Everett, Mary & De Bandt, Olivier & Georgiadis, Georgios & Ca' Zorzi, Michele & Lastauskas, Povilas & Carluccio, Juan & Parrága, Susana & Carvalho,, 2021. "The implications of globalisation for the ECB monetary policy strategy," Occasional Paper Series 263, European Central Bank.
    74. Barbara Schuster & Siavash Radpour, 2022. "No "Great Resignation" for Older Workers- Mass Job Loss Drove the Retirement Surge," SCEPA publication series. 2022-01, Schwartz Center for Economic Policy Analysis (SCEPA), The New School.
    75. Davor Kunovac & Mariarosaria Comunale, 2017. "Exchange Rate Pass-Through in the Euro Area," Working Papers 46, The Croatian National Bank, Croatia.
    76. Ferrari Minesso, Massimo & Gräb, Johannes, 2022. "E pluribus plures: shock dependency of the USD pass-through to real and financial variables," Working Paper Series 2684, European Central Bank.
    77. Colicev, A. & Hoste, J. & Konings, J., 2024. "The Impact of a Large Depreciation on the Cost of Living of Rich and Poor Consumers," Cambridge Working Papers in Economics 2430, Faculty of Economics, University of Cambridge.
    78. Mikhail Dmitriev & Jonathan Hoddenbagh, 2019. "Optimal Monetary Policy in Small Open Economies: Producer Currency Pricing," Working Papers wp2019_10_01, Department of Economics, Florida State University.
    79. Gita Gopinath & Oleg Itskhoki, 2010. "In search of real rigidities," Working Papers 10-9, Federal Reserve Bank of Boston.
    80. Mehl, Arnaud & Eichengreen, Barry & Chiţu, Livia, 2014. "Network effects, homogeneous goods and international currency choice: new evidence on oil markets from an older era," Working Paper Series 1651, European Central Bank.
    81. Davide Arioldi & Luigi Ventura & Mark David Witte, 2022. "Network‐adjusted market share and the currency denomination of trade," The World Economy, Wiley Blackwell, vol. 45(8), pages 2560-2592, August.
    82. Peter J. Klenow & Jonathan L. Willis, 2006. "Real rigidities and nominal price changes," Research Working Paper RWP 06-03, Federal Reserve Bank of Kansas City.
    83. Idrisov, Georgy (Идрисов, Георгий) & Ponomarev, Yury (Пономарев, Юрий) & Pleskachev, Yury Andreevich (Плескачев, Юрий Андреевич), 2016. "Analysis of Joint Exchange Rate Pass-Through and Import Duty Rates in the Russian Economy [Анализ Совместного Эффекта Переноса Обменного Курса И Ввозных Пошлин В Цены В Российской Экономике]," Working Papers 1666, Russian Presidential Academy of National Economy and Public Administration.
    84. Md Deluair Hossen, 2023. "Exchange Rate Pass-Through and Data Frequency: Firm-Level Evidence from Bangladesh," Papers 2303.04101, arXiv.org.
    85. Zou, Zongsen & Zhang, Yu & Wang, Meng & Wang, Xiuling, 2022. "Do export quality and destination income matter for exchange rate pass-through? Evidence from China," Economic Modelling, Elsevier, vol. 117(C).
    86. Dagoumas, Athanasios S. & Polemis, Michael L., 2020. "Carbon pass-through in the electricity sector: An econometric analysis," Energy Economics, Elsevier, vol. 86(C).
    87. Hamano, Masashige & Pappadà, Francesco, 2020. "Firm turnover in the export market and the case for fixed exchange rate regime," Bank of Finland Research Discussion Papers 1/2020, Bank of Finland.
    88. Olivier J. Blanchard, 2008. "The State of Macro," NBER Working Papers 14259, National Bureau of Economic Research, Inc.
    89. Konstantin Styrin & Oleg Zamulin, 2012. "Exchange rate pass-through, monetary policy, and variability of exchange rates," Working Papers w0178, New Economic School (NES).
    90. Núñez, Héctor M. & Otero, Jesús & Trujillo-Barrera, Andrés, 2023. "Wholesale price rigidities and exchange rate pass-through: Evidence from daily data of agricultural products," International Economics, Elsevier, vol. 176(C).
    91. Solórzano, Diego, 2023. "Heterogeneous exchange rate pass-through in Mexico: What drives it?," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(4).
    92. Marianne Baxter & Anthony Landry, 2012. "IKEA: product, pricing, and pass-through," Proceedings, Federal Reserve Bank of San Francisco, issue Nov, pages 1-32.
    93. Takanori Adachi & Michal Fabinger, 2017. "Multi-Dimensional Pass-Through, Incidence, and the Welfare Burden of Taxation in Oligopoly," CIRJE F-Series CIRJE-F-1043, CIRJE, Faculty of Economics, University of Tokyo.
    94. Siklos, Pierre L. & Stefan, Martin, 2021. "Exchange rate shocks in multicurrency interbank markets," Journal of Financial Stability, Elsevier, vol. 55(C).
    95. Alexandrov, Alexei & Bedre-Defolie, Özlem, 2017. "LeChatelier–Samuelson principle in games and pass-through of shocks," Journal of Economic Theory, Elsevier, vol. 168(C), pages 44-54.
    96. Janine Aron & Kenneth Creamer & John Muellbauer & Neil Rankin, 2014. "Exchange Rate Pass-Through to Consumer Prices in South Africa: Evidence from Micro-Data," Journal of Development Studies, Taylor & Francis Journals, vol. 50(1), pages 165-185, January.
    97. Gita Gopinath & Jeremy C. Stein, 2018. "Banking, Trade, and the making of a Dominant Currency," NBER Working Papers 24485, National Bureau of Economic Research, Inc.
    98. Drago Bergholt & Tommy Sveen, 2014. "Sectoral interdependence and business cycle synchronization in small open economies," Working Paper 2014/04, Norges Bank.
    99. Xie, Oliver, 2024. "Financial Hedging and Optimal Currency of Invoicing," SocArXiv v8zdk, Center for Open Science.
    100. Carrière-Swallow, Yan & Firat, Melih & Furceri, Davide & Jiménez, Daniel, 2023. "State-Dependent Exchange Rate Pass-Through," Working papers 106, Red Investigadores de Economía.
    101. Drago Bergholt, 2015. "Foreign shocks," Working Paper 2015/15, Norges Bank.
      • Drago Bergholt, 2015. "Foreign Shocks," Working Papers No 11/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    102. Varela, Liliana & Alfaro, Laura & Calani, Mauricio, 2021. "Granular Corporate Hedging Under Dominant Currency," CEPR Discussion Papers 16232, C.E.P.R. Discussion Papers.
    103. Beladi, Hamid & Chakrabarti, Avik & Marjit, Sugata, 2010. "Exchange rate pass-through: A generalization," Journal of Mathematical Economics, Elsevier, vol. 46(4), pages 493-504, July.
    104. ITO Takatoshi & KOIBUCHI Satoshi & SATO Kiyotaka & SHIMIZU Junko, 2015. "Choice of Invoice Currency in Global Production and Sales Networks: The case of Japanese overseas subsidiaries," Discussion papers 15080, Research Institute of Economy, Trade and Industry (RIETI).
    105. Prashant Parab, 2022. "Exchange rate pass-through in India," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2022-012, Indira Gandhi Institute of Development Research, Mumbai, India.
    106. Emter, Lorenz & McQuade, Peter & Pradhan, Swapan-Kumar & Schmitz, Martin, 2024. "Determinants of currency choice in cross-border bank loans," Working Paper Series 2918, European Central Bank.
    107. Enrique G. Mendoza & Vivian Z. Yue, 2012. "A General Equilibrium Model of Sovereign Default and Business Cycles," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 127(2), pages 889-946.
    108. Corbo, Vesna & Di Casola, Paola, 2018. "Conditional exchange rate pass-through: evidence from Sweden," Working Paper Series 352, Sveriges Riksbank (Central Bank of Sweden).
    109. Gita Gopinath, 2012. "Comment on "Individual Price Adjustment along the Extensive Margin"," NBER Chapters, in: NBER Macroeconomics Annual 2012, Volume 27, pages 282-292, National Bureau of Economic Research, Inc.
    110. Malik Curuk & Suphi Sen, 2018. "Climate Policy and Resource Extraction with Variable Markups and Imperfect Substitute," ifo Working Paper Series 278, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    111. Malamud, Semyon & Eren, Egemen, 2018. "Dominant Currency Debt," CEPR Discussion Papers 13391, C.E.P.R. Discussion Papers.
    112. Beckmann, Joscha & Comunale, Mariarosaria, 2021. "Exchange rate fluctuations and the financial channel in emerging economies," BOFIT Discussion Papers 11/2021, Bank of Finland Institute for Emerging Economies (BOFIT).
    113. Kristin Forbes & Ida Hjortsoe & Tsvetelina Nenova, 2020. "International Evidence on Shock-Dependent Exchange Rate Pass-Through," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 68(4), pages 721-763, December.
    114. Daniel Kaufmann & Tobias Renkin, 2019. "Export Prices, Markups, and Currency Choice after a Large Appreciation," IRENE Working Papers 19-07, IRENE Institute of Economic Research.
    115. Pavel Trunin & Sergey Narkevich, 2013. "Prospects for the Russian Ruble to Become Regional Reserve Currency," Working Papers 118, Gaidar Institute for Economic Policy, revised 2015.
    116. Martin, Julien & Lyonnet, Victor & Mejean, Isabelle, 2016. "Invoicing Currency and Financial Hedging," CEPR Discussion Papers 11700, C.E.P.R. Discussion Papers.
    117. Federico Trionfetti & Julien Jinz & Matthieu Crozet, 2024. "Exchange Rate Pass-Around," AMSE Working Papers 2412, Aix-Marseille School of Economics, France.
    118. Agnès Bénassy-Quéré, 2015. "The euro as an international currency," Working Papers halshs-01144371, HAL.
    119. Alberto Cavallo & Gita Gopinath & Brent Neiman & Jenny Tang, 2019. "Tariff passthrough at the border and at the store: evidence from US trade policy," Working Papers 19-12, Federal Reserve Bank of Boston.
    120. Mikkel Plagborg-Moller & Gita Gopinath & Emine Boz, 2017. "Global Trade and the Dollar," 2017 Meeting Papers 1041, Society for Economic Dynamics.
    121. Carlos Carvalho & Fernanda Nechio, 2008. "Aggregation and the PPP puzzle in a sticky-price model," Staff Reports 351, Federal Reserve Bank of New York.
    122. Berthou, Antoine & Horny, Guillaume & Mésonnier, Jean-Stéphane, 2022. "The real effects of invoicing exports in dollars," Journal of International Economics, Elsevier, vol. 135(C).
    123. Freitag, Andreas & Lein, Sarah, 2022. "Endogenous Product Adjustment and Exchange Rate Pass-Through," CEPR Discussion Papers 17250, C.E.P.R. Discussion Papers.
    124. Mototsugu Shintani & Akiko Terada-Hagiwara & Tomoyoshi Yabu, 2012. "Exchange rate pass-through and inflation: a nonlinear time series analysis," Vanderbilt University Department of Economics Working Papers 12-00008, Vanderbilt University Department of Economics.
    125. Christina Anderl & Guglielmo Maria Caporale, 2022. "Nonlinearities in the Exchange Rate Pass-Through: The Role of Inflation Expectations," CESifo Working Paper Series 9544, CESifo.
    126. Nikhil Patel, 2016. "International Trade Finance and the Cost Channel of Monetary Policy in Open Economies," BIS Working Papers 539, Bank for International Settlements.
    127. Raphael A. Auer & Thomas Chaney, 2008. "Cost Pass Through in a Competitive Model of Pricing-to-Market," Working Papers 2008-06, Swiss National Bank.
    128. Chen, Meng-Wei & Lu, Cuicui & Tian, Yuan, 2021. "Export price and quality adjustment: The role of financial stress and exchange rate," Economic Modelling, Elsevier, vol. 96(C), pages 336-345.
    129. Sebastian Heise, 2018. "Firm-to-Firm Relationships and Price Rigidity: Theory and Evidence," 2018 Meeting Papers 937, Society for Economic Dynamics.
    130. Mr. Daniel Leigh & Weicheng Lian & Mr. Marcos Poplawski Ribeiro & Rachel Szymanski & Viktor Tsyrennikov & Hong Yang, 2017. "Exchange Rates and Trade: A Disconnect?," IMF Working Papers 2017/058, International Monetary Fund.
    131. Boz, Emine & Casas, Camila & Georgiadis, Georgios & Gopinath, Gita & Le Mezo, Helena & Mehl, Arnaud & Nguyen, Tra, 2022. "Patterns of invoicing currency in global trade: New evidence," Journal of International Economics, Elsevier, vol. 136(C).
    132. Auer, Raphael, 2015. "Exchange Rate Pass-Through, Domestic Competition, and Inflation: Evidence from the 2005/08 Revaluation of the Renminbi," CEPR Discussion Papers 10344, C.E.P.R. Discussion Papers.
    133. Raphael A. Auer & Thomas Chaney & Philip U. Sauré, 2012. "Quality Pricing-to-Market," Working Papers 2012-11, Swiss National Bank.
    134. John Lewis & Jumana Saleheen, 2018. "Tailwinds from the East: how has the rising share of imports from emerging markets affected import prices?," Cambridge Journal of Economics, Cambridge Political Economy Society, vol. 42(5), pages 1343-1365.
    135. William L. Gamber, 2021. "Entry, Variable Markups, and Business Cycles," Finance and Economics Discussion Series 2021-077, Board of Governors of the Federal Reserve System (U.S.).
    136. Yan Carrière‐Swallow & Nicolás E. Magud & Juan F. Yépez, 2021. "Exchange rate flexibility, the real exchange rate, and adjustment to terms‐of‐trade shocks," Review of International Economics, Wiley Blackwell, vol. 29(2), pages 439-483, May.
    137. Haroon Mumtaz & Ozlem Oomen & Jian Wang, 2011. "Exchange rate pass-through into U.K. import prices: evidence from disaggregated data," Staff Papers, Federal Reserve Bank of Dallas, issue June.
    138. Barattieri, Alessandro & Cacciatore, Matteo & Ghironi, Fabio, 2021. "Protectionism and the business cycle," Journal of International Economics, Elsevier, vol. 129(C).
    139. Linda S. Goldberg, 2011. "The international role of the dollar: Does it matter if this changes?," Staff Reports 522, Federal Reserve Bank of New York.
    140. María Victoria Landaberry & Miguel Mello, 2019. "Inherited Dollarization: Persistence of US Dollar Pricing in Consumer Goods Markets," Documentos de trabajo 2019005, Banco Central del Uruguay.
    141. An, Lian & Wynne, Mark A. & Zhang, Ren, 2021. "Shock-dependent exchange rate pass-through: Evidence based on a narrative sign approach for Japan," Journal of International Money and Finance, Elsevier, vol. 118(C).
    142. Tovonony Razafindrabe, 2017. "Nonlinearity and asymmetry in the exchange rate pass-through: What role for nominal price stickiness?," Post-Print halshs-01683803, HAL.
    143. Anna Burova & Konstantin Egorov & Dmitry Mukhin, 2022. "Foreign Currency Debt and Exchange Rate Pass-Through," Bank of Russia Working Paper Series wps93, Bank of Russia.
    144. Ding, Shusheng & Zheng, Dandan & Cui, Tianxiang & Du, Min, 2023. "The oil price-inflation nexus: The exchange rate pass- through effect," Energy Economics, Elsevier, vol. 125(C).
    145. Chen, Zhe & Hong, Junjie & Sun, Xiaonan, 2019. "Exchange Rate Risk and Trade Mode Choice in the Processing Trade: Evidence from Chinese Data," AGI Working Paper Series 2019-09, Asian Growth Research Institute.
    146. Yuichi Kichikawa & Hiroshi Iyetomi & Hideaki Aoyama & Yoshi Fujiwara & Hiroshi Yoshikawa, 2020. "Interindustry linkages of prices—Analysis of Japan’s deflation," PLOS ONE, Public Library of Science, vol. 15(2), pages 1-26, February.
    147. Mary Amiti & Oleg Itskhoki & Jozef Konings, 2022. "Dominant Currencies: How Firms Choose Currency Invoicing and Why it Matters," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 137(3), pages 1435-1493.
    148. Drenik, Andrés & Perez, Diego J., 2020. "Price setting under uncertainty about inflation," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 23-38.
    149. Hjort, Jonas & Li, Xuan & Sarsons, Heather, 2020. "Across-Country Wage Compression in Multinationals," CEPR Discussion Papers 14465, C.E.P.R. Discussion Papers.
    150. Takanori Adachi & Michal Fabinger, 2017. "Multi-Dimensional Pass-Through and Welfare Measures under Imperfect Competition," Papers 1702.04967, arXiv.org, revised Dec 2018.
    151. Konstantin Egorov & Dmitry Mukhin, 2020. "Optimal Policy under Dollar Pricing," CESifo Working Paper Series 8272, CESifo.
    152. Strasser, Georg, 2013. "Exchange rate pass-through and credit constraints," Journal of Monetary Economics, Elsevier, vol. 60(1), pages 25-38.
    153. Gita Gopinath & Oleg Itskhoki & Brent Neiman, 2011. "Trade Prices and the Global Trade Collapse of 2008-2009," NBER Working Papers 17594, National Bureau of Economic Research, Inc.
    154. Jonas Hjort & Xuan Li & Heather Sarsons, 2020. "Random-Coefficients Logit Demand Estimation with Zero-Valued Market Shares," Working Papers 2020-15, Becker Friedman Institute for Research In Economics.
    155. Castellares, Renzo & Toma, Hiroshi, 2020. "Effects of a mandatory local currency pricing law on the exchange rate pass-through," Journal of International Money and Finance, Elsevier, vol. 106(C).
    156. Danilo Leiva-Leon & Eva Ortega & Jaime Martínez-Martín, 2019. "Exchange rate shocks and inflation comovement in the euro area," Working Papers 1934, Banco de España.
    157. Isaac Baley & Andrés Blanco, 2016. "Menu Costs, Uncertainty Cycles, and the Propagation of Nominal Shocks," Working Papers 918, Barcelona School of Economics.
    158. Stephane Dees & Matthias Burgert & Nicolas Parent, 2013. "Import price dynamics in major advanced economies and heterogeneity in exchange rate pass-through," Empirical Economics, Springer, vol. 45(2), pages 789-816, October.
    159. Cao, Shutao & Dong, Wei & Tomlin, Ben, 2015. "Pricing-to-market, currency invoicing and exchange rate pass-through to producer prices," Journal of International Money and Finance, Elsevier, vol. 58(C), pages 128-149.
    160. Olivier de Bandt & Tovonony Razafindrabe, 2014. "Exchange rate pass-through to import prices in the Euro-area: A multi-currency investigation," International Economics, CEPII research center, issue 138, pages 63-77.
    161. Yamin Ahmad & Olena Mykhaylova, 2015. "Exploring International Differences in Inflation Dynamics," Working Papers 15-01, UW-Whitewater, Department of Economics, revised Mar 2017.
    162. Abbott, Philip & Wu, Ce & Tarp, Finn, 2014. "Transmission of World Prices to the Vietnamese Economy," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 29, pages 624-656.
    163. David Baqaee & Emmanuel Farhi & Kunal Sangani, 2021. "The Supply-Side Effects of Monetary Policy," NBER Working Papers 28345, National Bureau of Economic Research, Inc.
    164. Demir, Ishak, 2019. "International Spillovers of U.S. Monetary Policy," LEAF Working Paper Series 19-02, University of Lincoln, Lincoln International Business School, Lincoln Economics and Finance Research Group (LEAF).
    165. Nagengast, Arne J. & Bursian, Dirk & Menz, Jan-Oliver, 2021. "Dynamic pricing and exchange rate pass-through: Evidence from transaction-level data," European Economic Review, Elsevier, vol. 133(C).
    166. Pennings, Steven, 2017. "Pass-through of competitors' exchange rates to US import and producer prices," Journal of International Economics, Elsevier, vol. 105(C), pages 41-56.
    167. Beatriz de Blas & Katheryn N. Russ, 2010. "Teams of rivals: endogenous markups in a Ricardian world," Globalization Institute Working Papers 67, Federal Reserve Bank of Dallas.
    168. Chen, Chaoyi & Polemis, Michael & Stengos, Thanasis, 2019. "Can exchange rate pass-through explain the asymmetric gasoline puzzle? Evidence from a pooled panel threshold analysis of the EU," Energy Economics, Elsevier, vol. 81(C), pages 1-12.
    169. Firanchuk, Alexander, 2018. "Imported Intermediate Goods and Incomplete Exchange Rate Pass-Through into Export Prices," EconStor Preprints 182400, ZBW - Leibniz Information Centre for Economics.
    170. García-Cicco, Javier & García-Schmidt, Mariana, 2020. "Revisiting the exchange rate pass through: A general equilibrium perspective," Journal of International Economics, Elsevier, vol. 127(C).
    171. Marco Garofalo & Giovanni Rosso & Roger Vicquery, 2024. "Dominant Currency Pricing Transition," Discussion Papers 2419, Centre for Macroeconomics (CFM).
    172. Drago Bergholt, 2014. "Foreign shocks in an estimated multi-sector model," Working Papers No 4/2014, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    173. Kristian Behrens & Sergei Kichko & Philip Ushchev, 2024. "ε‐ces preferences and trade," Review of International Economics, Wiley Blackwell, vol. 32(4), pages 1567-1586, September.
    174. YOSHIKAWA Hiroshi & AOYAMA Hideaki & IYETOMI Hiroshi & FUJIWARA Yoshi, 2015. "Deflation/Inflation Dynamics: Analysis based on micro prices," Discussion papers 15026, Research Institute of Economy, Trade and Industry (RIETI).
    175. Tovonony Razafindrabe, 2014. "A multi-country DSGE model with incomplete Exchange Rate Passthrough: application for the Euro area," Working Papers 2014-83, Department of Research, Ipag Business School.
    176. Takanori ADACHI & Michal Fabinger, 2021. "Pass-Through and the Welfare Effects of Taxation under Imperfect Competition: A General Analysis," Discussion papers e-21-003, Graduate School of Economics , Kyoto University.
    177. Barry Eichengreen & Camille Macaire & Arnaud Mehl & Eric Monnet & Alain Naef, 2022. "Is Capital Account Convertibility Required for the Renminbi to Acquire Reserve Currency Status?," Working papers 892, Banque de France.
    178. Elías Albagli & Mauricio Calani & Metodij Hadzi-Vaskov & Mario Marcel & Mr. Luca A Ricci, 2020. "Comfort in Floating: Taking Stock of Twenty Years of Freely-Floating Exchange Rate in Chile," IMF Working Papers 2020/100, International Monetary Fund.
    179. Michele Bernini & Chiara Tomasi, 2014. "Exchange rate pass-through and product heterogeneity: does quality matter on the import side?," Working Papers 2014020, The University of Sheffield, Department of Economics.
    180. Georgiadis, Georgios & Gräb, Johannes & Khalil, Makram, 2019. "Global value chain participation and exchange rate pass-through," Working Paper Series 2327, European Central Bank.
    181. Punnoose Jacob & Lenno Uuskula, 2016. "Deep habits and exchange rate pass-through," CAMA Working Papers 2016-17, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    182. Antoine Berthou, 2023. "International sanctions and the dollar: Evidence from trade invoicing," Working papers 924, Banque de France.
    183. Eichengreen, Barry, 2020. "Why hasn’t the impact of the trade war been greater?," Journal of Policy Modeling, Elsevier, vol. 42(4), pages 820-828.
    184. Jonathan Kearns & Nikhil Patel, 2016. "Does the financial channel of exchange rates offset the trade channel?," BIS Quarterly Review, Bank for International Settlements, December.
    185. Fauceglia, Dario & Shingal, Anirudh & Wermelinger, Martin, 2012. ""Natural hedging" of exchange rate risk: The role of imported input prices," MPRA Paper 39438, University Library of Munich, Germany.
    186. Salamat Ali, 2017. "Exchange Rate Effects on Agricultural Exports: Firm-level Evidence from Pakistan," Discussion Papers 2017-09, University of Nottingham, GEP.
    187. Greg Kaplan, 2016. "Comment on "Are State and Time Dependent Models Really Different?"," NBER Chapters, in: NBER Macroeconomics Annual 2016, Volume 31, pages 465-474, National Bureau of Economic Research, Inc.
    188. Beatriz de Blas & Katheryn N. Russ, 2015. "Understanding Markups in the Open Economy," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(2), pages 157-180, April.
    189. Shalva Mkhatrishvili & Wim Boonstra, 2022. "What we know on Central Bank Digital Currencies (so far)," NBG Working Papers 01/2022, National Bank of Georgia.
    190. Boz, Emine & Casas, Camila & Georgiadis, Georgios & Gopinath, Gita & Le Mezo, Helena & Mehl, Arnaud & Nguyen, Tra, 2020. "Patterns in invoicing currency in global trade," Working Paper Series 2456, European Central Bank.
    191. Gita Gopinath, 2015. "The International Price System," NBER Working Papers 21646, National Bureau of Economic Research, Inc.
    192. Raphael Schoenle & Raphael Auer, 2012. "Market Structure and Pass-Through," 2012 Meeting Papers 61, Society for Economic Dynamics.
    193. López-Villavicencio, Antonia & Pourroy, Marc, 2019. "Does inflation targeting always matter for the ERPT? A robust approach," Journal of Macroeconomics, Elsevier, vol. 60(C), pages 360-377.
    194. Sengupta, Darpajit & Sinha Roy, Saikat, 2020. "Exchange Rate Pass-through: An exploration on India’s automobile sector," MPRA Paper 102533, University Library of Munich, Germany.
    195. Giuliano, Fernando & Luttini, Emiliano, 2020. "Import prices and invoice currency: Evidence from Chile," Journal of International Money and Finance, Elsevier, vol. 106(C).
    196. Yohannes Ayele & L. Alan Winters, 2020. "How Do Exchange Rate Depreciations Affect Trade and Prices? A Survey and Lessons about UK Experience after June 2016," Working Paper Series 1420, Department of Economics, University of Sussex Business School.
    197. Bartram, Söhnke M. & Bodnar, Gordon M., 2012. "Crossing the lines: The conditional relation between exchange rate exposure and stock returns in emerging and developed markets," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 766-792.
    198. Povoledo, Laura, 2012. "Modelling the sectoral allocation of labour in open economy models," MPRA Paper 40344, University Library of Munich, Germany.
    199. Imura, Yuko, 2016. "Endogenous trade participation with price rigidities," Journal of International Economics, Elsevier, vol. 100(C), pages 14-33.
    200. Kólver Hernández & Asli Leblebicioglu, 2008. "A Regime Switching Analysis of Exchange Rate Pass-through," Working Papers 08-17, University of Delaware, Department of Economics.
    201. Chen, Natalie & Juvenal, Luciana, 2013. "Quality, Trade, and Exchange Rate Pass-Through," CAGE Online Working Paper Series 165, Competitive Advantage in the Global Economy (CAGE).
    202. Crowley, Meredith A. & Corsetti, Giancarlo & Han, Lu & Song, Huasheng, 2019. "Markets and Markup: A New Empirical Framework and Evidence on Exporters from China," CEPR Discussion Papers 13904, C.E.P.R. Discussion Papers.
    203. Miguel Lebre de Freitas, 2023. "Forecasting inflation with excess liquidity and excess depreciation: the case of Angola," Economic Change and Restructuring, Springer, vol. 56(1), pages 473-514, February.
    204. Menzie Chinn, 2014. "Global supply chains and macroeconomic relationships in Asia," Chapters, in: Benno Ferrarini & David Hummels (ed.), Asia and Global Production Networks, chapter 8, pages 249-286, Edward Elgar Publishing.
    205. Williams Corey J. M., 2023. "Unraveling Producer Price Inflation Pass-Through: Quantification, Structural Breaks, and Causal Direction," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, vol. 17(1), pages 1-16, January.
    206. Valery Charnavoki, 2017. "Retail Sales of Durable Goods, Inventories and Imports after Large Devaluations," 2017 Meeting Papers 402, Society for Economic Dynamics.
    207. Matthias Göcke & Svetlana Fedoseeva, 2016. "Optimal Monopolist Export Pricing with Dynamic Demand and Learning Curve Effects," Open Economies Review, Springer, vol. 27(3), pages 447-469, July.
    208. Olivier de Bandt & Tovonony Razafindrabe, 2014. "Does nominal rigidity mislead our perception of the exchange rate pass-through?," EconomiX Working Papers 2014-36, University of Paris Nanterre, EconomiX.
    209. Mark David Witte, 2009. "When is a Global Currency Optimal?," Global Economic Review, Taylor & Francis Journals, vol. 38(1), pages 1-11.
    210. Miles Parker, 2016. "How exporters set prices: evidence from a large behavioural survey," Reserve Bank of New Zealand Discussion Paper Series DP2016/01, Reserve Bank of New Zealand.
    211. Martin S. Eichenbaum & Nir Jaimovich & Sergio Rebelo & Josephine Smith, 2012. "How Frequent Are Small Price Changes?," NBER Working Papers 17956, National Bureau of Economic Research, Inc.
    212. Choi, Yoonho & Choi, E. Kwan, 2018. "Unemployment and optimal exchange rate in an open economy," Economic Modelling, Elsevier, vol. 69(C), pages 82-90.
    213. Corbo, Vesna & Di Casola, Paola, 2020. "Drivers of consumer prices and exchange rates in small open economies," Working Paper Series 387, Sveriges Riksbank (Central Bank of Sweden).
    214. Vivian Z. Yue & Enrique G. Mendoza, 2009. "A Solution to the Default Risk-Business Cycle Disconnect," 2009 Meeting Papers 76, Society for Economic Dynamics.
    215. ITO Takatoshi & KOIBUCHI Satoshi & SATO Kiyotaka & SHIMIZU Junko, 2013. "Choice of Invoicing Currency: New evidence from a questionnaire survey of Japanese export firms," Discussion papers 13034, Research Institute of Economy, Trade and Industry (RIETI).
    216. Xiangyun Xu & Peng Guo, 2012. "Exchange rate appreciation expectation, importer's behavior and choice of invoicing currency," China Finance Review International, Emerald Group Publishing Limited, vol. 2(3), pages 231-245, June.
    217. Roberto Rigobon & Brent Neiman & Alberto Cavallo, 2013. "Product Introductions, Currency Unions, and the Real Exchange Rate," 2013 Meeting Papers 1357, Society for Economic Dynamics.
    218. Alsamara, Mouyad & Mrabet, Zouhair & Hatemi-J, Abdulnasser, 2020. "Pass-through of import cost into consumer prices and inflation in GCC countries: Evidence from a nonlinear autoregressive distributed lags model," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 89-101.
    219. Raphael Auer & Ariel Burstein & Sarah M. Lein, 2021. "Exchange Rates and Prices: Evidence from the 2015 Swiss Franc Appreciation," NBER Working Papers 28404, National Bureau of Economic Research, Inc.
    220. Ben Tomlin & Loretta Fung, 2010. "The Effect of Exchange Rate Movements on Heterogeneous Plants: A Quantile Regression Analysis," Staff Working Papers 10-25, Bank of Canada.
    221. Macchiavello, Rocco, 2010. "Development Uncorked: Reputation Acquisition in the New Market for Chilean Wines in the UK," CEPR Discussion Papers 7698, C.E.P.R. Discussion Papers.
    222. Marlene Amstad & Beatrice Weder di Mauro, 2017. "Long-run effects of exchange rate appreciation: Another puzzle?," Aussenwirtschaft, University of St. Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research, vol. 68(01), pages 63-82, December.
    223. Logan T. Lewis, 2014. "Menu Costs, Trade Flows, and Exchange Rate Volatility," International Finance Discussion Papers 1102, Board of Governors of the Federal Reserve System (U.S.).
    224. Yao Amber Li & Chen Carol Zhao, 2016. "Price Adjustment to Exchange Rates and Forward-looking Exporters: Evidence from USA–China Trade," Review of International Economics, Wiley Blackwell, vol. 24(5), pages 1023-1049, November.
    225. Lukas Boer & Malte Rieth, 2024. "The Macroeconomic Consequences of Import Tariffs and Trade Policy Uncertainty," IMF Working Papers 2024/013, International Monetary Fund.
    226. Konings, Jozef & Amiti, Mary & Itskhoki, Oleg, 2016. "International Shocks and Domestic Prices: How Large Are Strategic Complementarities?," CEPR Discussion Papers 11182, C.E.P.R. Discussion Papers.
    227. Barry Eichengreen & Camille Macaire & Arnaud Mehl & Eric Monnet & Alain Naef, 2024. "Currency internationalization with Chinese characteristics: Is capital‐account convertibility required for the renminbi to acquire reserve‐currency status?," International Finance, Wiley Blackwell, vol. 27(2), pages 102-128, August.
    228. Michael Malenbaum, 2018. "Exchange Rate Pass-Through and the Role of Market Shares," Journal of Industry, Competition and Trade, Springer, vol. 18(2), pages 151-185, June.
    229. A. Berthou & G. Horny & J-S. Mésonnier, 2018. "Dollar Funding and Firm-Level Exports," Working papers 666, Banque de France.
    230. Tarron Khemraj & Sherry Yu, 2023. "Inflation Dynamics and Quantitative Easing," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 49(4), pages 613-638, October.
    231. Devereux, Michael B. & Dong, Wei & Tomlin, Ben, 2017. "Importers and exporters in exchange rate pass-through and currency invoicing," Journal of International Economics, Elsevier, vol. 105(C), pages 187-204.
    232. Mallick, Sushanta & Marques, Helena, 2012. "Pricing to market with trade liberalization: The role of market heterogeneity and product differentiation in India’s exports," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 310-336.
    233. Alberto Cavallo & Brent Neiman & Roberto Rigobon, 2014. "Currency Unions, Product Introductions, and the Real Exchange Rate," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 129(2), pages 529-595.
    234. Law, Kai Po Jenny & Satoh, Eiji & Yoshimi, Taiyo, 2018. "Exchange rate pass-through at the individual product level: Implications for financial market integration," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 261-271.
    235. Bussiére, Matthieu & Peltonen, Tuomas, 2008. "Exchange rate pass-through in the global economy: the role of emerging market economies," BOFIT Discussion Papers 25/2008, Bank of Finland Institute for Emerging Economies (BOFIT).
    236. Alain Kabundi & Asi Mbelu, 2016. "Has the Exchange Rate Pass-Through changed in South Africa?," Working Papers 649, Economic Research Southern Africa.
    237. Fromlet, Pia, 2013. "Exchange Rates, Wages, and Export Price Dynamics," Working Papers 132, National Institute of Economic Research.
    238. Nguyen, Thi-Ngoc Anh & Sato, Kiyotaka, 2019. "Firm predicted exchange rates and nonlinearities in pricing-to-market," Journal of the Japanese and International Economies, Elsevier, vol. 53(C), pages 1-1.
    239. Giulietti, Monica & Otero, Jesús & Waterson, Michael, 2020. "Rigidities and adjustments of daily prices to costs: Evidence from supermarket data," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    240. Anthony Landry, 2009. "State-dependent pricing, local-currency pricing, and exchange rate pass-through," Globalization Institute Working Papers 39, Federal Reserve Bank of Dallas.
    241. Drago Bergholt, 2014. "Monetary Policy in Oil Exporting Economies," Working Papers No 5/2014, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    242. Ly Dai Hung, 2022. "Economic Growth and Inflation Tradeoffs within Global Stagflation: Evidence in Vietnam Economy," Working Papers hal-03774248, HAL.
    243. Ben Cheikh, Nidhaleddine & Ben Zaied, Younes & Ben Ameur, Hachmi, 2023. "Recent developments in exchange rate pass-through: What have we learned from uncertain times?," Journal of International Money and Finance, Elsevier, vol. 131(C).
    244. Tony Zhang, 2022. "Monetary Policy Spillovers through Invoicing Currencies," Journal of Finance, American Finance Association, vol. 77(1), pages 129-161, February.
    245. Mr. Yan Carriere-Swallow & Mr. Nicolas E Magud & Juan Yepez, 2018. "No Pain, All Gain? Exchange Rate Flexibility and the Expenditure-Switching Effect," IMF Working Papers 2018/213, International Monetary Fund.
    246. Dainauskas, Justas, 2023. "Time-varying exchange rate pass-through into terms of trade," Journal of International Money and Finance, Elsevier, vol. 137(C).
    247. Gita Gopinath & Oleg Itskhoki, 2008. "Frequency of Price Adjustment and Pass-through," NBER Working Papers 14200, National Bureau of Economic Research, Inc.
    248. Pinelopi Koujianou Goldberg & Rebecca Hellerstein, 2008. "A Structural Approach to Explaining Incomplete Exchange-Rate Pass-Through and Pricing-to-Market," American Economic Review, American Economic Association, vol. 98(2), pages 423-429, May.
    249. Abdelmalack, Camila Ciss & Campos, Camila F.S., 2020. "CPI Exchange Rate Pass-Through Decomposition and Distribution Margins: The Case of Brazil versus Advanced Economies," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 74(1), March.
    250. Chen, Chaoyi & Polemis, Michael & Stengos, Thanasis, 2018. "On the Examination of Competition in the Petroleum Industry: A Pooled Panel Threshold Analysis," MPRA Paper 89671, University Library of Munich, Germany.
    251. Hülya Saygılı, 2023. "Invoicing currency, exchange rate pass‐through, and value‐added trade: The case of Turkey," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4401-4419, October.
    252. Beirne, John & Renzhi, Nuobu & Panthi, Pradeep, 2024. "Exchange rate pass-through in emerging Asia and exposure to external shocks," Economic Analysis and Policy, Elsevier, vol. 81(C), pages 1608-1624.
    253. Fiedler Salomon & Jannsen Nils & Reitz Stefan & Wolters Maik, 2016. "Is Globalization Reducing the Ability of Central Banks to Control Inflation? A Literature Review with an Application to the Euro Area," Review of Economics, De Gruyter, vol. 67(3), pages 231-253, December.
    254. John Lewis, 2020. "Exchange rate passthrough at the micro and macro levels in a small open economy: Evidence from several million unit values," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 53(3), pages 1274-1291, August.
    255. Ghosh, Amit, 2013. "Exchange rate pass through, macro fundamentals and regime choice in Latin America," Journal of Macroeconomics, Elsevier, vol. 35(C), pages 163-171.
    256. Ben Cheikh, Nidhaleddine & Ben Zaied, Younes, 2020. "Revisiting the pass-through of exchange rate in the transition economies: New evidence from new EU member states," Journal of International Money and Finance, Elsevier, vol. 100(C).
    257. Hiroshi Yoshikawa & Hideaki Aoyama & Yoshi Fujiwara & Hiroshi Iyetomi, 2015. "Deflation/Inflation Dynamics: Analysis based on Micro Prices ," CIRJE F-Series CIRJE-F-959, CIRJE, Faculty of Economics, University of Tokyo.
    258. Frederic S. Mishkin, 2008. "Exchange Rate Pass-Through And Monetary Policy," NBER Working Papers 13889, National Bureau of Economic Research, Inc.
    259. Hu, Chenghao, 2024. "Finance dependence and exchange rate pass-through: Empirical evidence from China," Emerging Markets Review, Elsevier, vol. 58(C).
    260. Emi Nakamura & Jón Steinsson, 2009. "Lost in Transit: Product Replacement Bias and Pricing to Market," NBER Working Papers 15359, National Bureau of Economic Research, Inc.
    261. Winters, L Alan & Fernandes, Ana P., 2018. "The effect of exchange rate shocks on firm-level exports: evidence from the Brexit vote," CEPR Discussion Papers 13253, C.E.P.R. Discussion Papers.
    262. Idris Abdullahi Abdulqadir, 2022. "The nonlinearity of exchange rate pass‐through on currency invoice: A quantile, generalized method of moments and threshold effect‐test from sub‐Sahara African economies," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1473-1494, January.
    263. Hock Tsen Wong, 2017. "Exchange rate volatility and bilateral exports of Malaysia to Singapore, China, Japan, the USA and Korea," Empirical Economics, Springer, vol. 53(2), pages 459-492, September.
    264. David Berger & Joseph Vavra, 2017. "Shocks vs. Responsiveness: What Drives Time-Varying Dispersion?," NBER Working Papers 23143, National Bureau of Economic Research, Inc.
    265. Yuqing Xing, 2010. "The Yuan’s Exchange Rates and Pass-through Effects on the Prices of Japanese and US Imports," Trade Working Papers 22802, East Asian Bureau of Economic Research.
    266. Senay, Ozge & Sutherland, Alan, 2010. "Local Currency Pricing, Foreign Monetary Shocks and Exchange Rate Policy," SIRE Discussion Papers 2010-18, Scottish Institute for Research in Economics (SIRE).
    267. A. Berthou & E. Dhyne, 2018. "Exchange Rate Movements, Firm-Level Exports and Heterogeneity," Working papers 660, Banque de France.
    268. Li, Jie & Lan, Liping & Ouyang, Zhigang, 2020. "Credit constraints, currency depreciation and international trade," Journal of International Money and Finance, Elsevier, vol. 104(C).
    269. Benguria, Felipe & Wagner, Rodrigo, 2024. "Trade invoicing currencies and exchange rate pass-through: The introduction of the euro as a natural experiment," Journal of International Economics, Elsevier, vol. 150(C).
    270. Montfaucon, Angella Faith & Sato, Kiyotaka & Shrestha, Nagendra & Parsons, Craig, 2021. "Exchange rate pass-through and invoicing currency choice between fixed and floating exchange rate regimes: Evidence from Malawi’s transaction-level data," Economic Analysis and Policy, Elsevier, vol. 72(C), pages 562-577.
    271. Eva Ortega & Chiara Osbat, 2020. "Exchange rate pass-through in the euro area and EU countries," Occasional Papers 2016, Banco de España.
    272. Hirakata, Naohisa & Iwasaki, Yuto & Kawai, Masahiro, 2014. "Emerging Economies' Supply Shocks and Japan's Price Deflation: International Transmissions in a Three-Country DSGE Model," ADBI Working Papers 459, Asian Development Bank Institute.
    273. Michael B. Devereux & Ben Tomlin & Wei Dong, 2015. "Exchange Rate Pass-Through, Currency of Invoicing and Market Share," NBER Working Papers 21413, National Bureau of Economic Research, Inc.
    274. Ponomarev, Yuriy (Пономарев, Юрий) & Rey, Aleksey (Рей, Алексей) & Radchenko, Darya (Радченко, Дарья), 2018. "Investigation of the Relationship between the Intensity of International Trade and the Volatility of Paired Exchange Rates of the Russian Federation and its Trading Partners [Исследование Взаимосвя," Working Papers 061823, Russian Presidential Academy of National Economy and Public Administration.
    275. Daisuke Ikeda, 2020. "Digital Money as a Unit of Account and Monetary Policy in Open Economies," IMES Discussion Paper Series 20-E-15, Institute for Monetary and Economic Studies, Bank of Japan.
    276. Isaac Baley & Andrés Blanco, 2019. "Firm Uncertainty Cycles and the Propagation of Nominal Shocks," American Economic Journal: Macroeconomics, American Economic Association, vol. 11(1), pages 276-337, January.
    277. Dong, Changgui & Wiser, Ryan & Rai, Varun, 2018. "Incentive pass-through for residential solar systems in California," Energy Economics, Elsevier, vol. 72(C), pages 154-165.
    278. Aleksandr V. Gevorkyan & Tarron Khemraj, 2022. "Dominant Currency Shocks and Foreign Exchange Pressure in the Periphery," SCEPA working paper series. 2022-01, Schwartz Center for Economic Policy Analysis (SCEPA), The New School.
    279. Ayman Mnasri & Beverly Lapham, 2023. "A competitive search approach to exchange rate pass-through," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 76(1), pages 153-201, July.
    280. Ariel Burstein & Gita Gopinath, 2013. "International Prices and Exchange Rates," NBER Working Papers 18829, National Bureau of Economic Research, Inc.
    281. Liu, Tao & Lu, Dong & Zhang, Ruifeng, 2017. "Currency choice in international trade: a new monetarist approach and firm-level evidence," MPRA Paper 79149, University Library of Munich, Germany.
    282. Sanyal, Anirban, 2023. "Caught in the Crossfire: How Trade Policy Uncertainty Impacts Global Trade," EconStor Preprints 272825, ZBW - Leibniz Information Centre for Economics.
    283. Kochen Federico & Sámano Daniel, 2016. "Price-Setting and Exchange Rate Pass-Through in the Mexican Economy: Evidence from CPI Micro Data," Working Papers 2016-13, Banco de México.
    284. Sebastian Heise, 2019. "Firm-to-Firm Relationships and the Pass-Through of Shocks: Theory and Evidence," Staff Reports 896, Federal Reserve Bank of New York.
    285. James Graham & Alistair Read, 2023. "House Prices, Monetary Policy and Commodities: Evidence from Australia," The Economic Record, The Economic Society of Australia, vol. 99(324), pages 1-31, March.
    286. Pablo D Fajgelbaum & Pinelopi K Goldberg & Patrick J Kennedy & Amit K Khandelwal, 2020. "The Return to Protectionism," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 135(1), pages 1-55.
    287. Goldberg, Linda S. & Tille, Cédric, 2016. "Micro, macro, and strategic forces in international trade invoicing: Synthesis and novel patterns," Journal of International Economics, Elsevier, vol. 102(C), pages 173-187.
    288. KICHIKAWA Yuichi & AOYAMA Hideaki & FUJIWARA Yoshi & IYETOMI Hiroshi & YOSHIKAWA Hiroshi, 2018. "Analysis of Inflation/Deflation: Clusters of micro prices matter!," Discussion papers 18055, Research Institute of Economy, Trade and Industry (RIETI).
    289. Kalina Manova & Zhiwei Zhang, 2009. "Export Prices Across Firms and Destinations," NBER Working Papers 15342, National Bureau of Economic Research, Inc.
    290. Fernandes, Ana P. & Winters, L. Alan, 2021. "Exporters and shocks: The impact of the Brexit vote shock on bilateral exports to the UK," Journal of International Economics, Elsevier, vol. 131(C).
    291. Huang, Zhigang & Li, Jie, 2023. "Incomplete Exchange Rate Pass-through and International Monetary Policy Cooperation," Macroeconomic Dynamics, Cambridge University Press, vol. 27(2), pages 399-431, March.
    292. Chou, K.W., 2019. "Re-examining the time-varying nature and determinants of exchange rate pass-through into import prices," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 331-351.
    293. Berner, Eike, 2011. "Exchange rate pass-through: New evidence from German micro data," Economics Working Papers 2011-01, Christian-Albrechts-University of Kiel, Department of Economics.
    294. Yilmazkuday, Hakan, 2022. "Unequal Exchange Rate Pass-Through Across Income Groups," Macroeconomic Dynamics, Cambridge University Press, vol. 26(3), pages 682-725, April.
    295. Narkevich, Siarhei & Trunin, Pavel, 2013. "Prospects for the Russian Ruble as a Regional Reserve Currency," Published Papers dok2, Russian Presidential Academy of National Economy and Public Administration.
    296. Antoniades, Alexis, 2015. "Heterogeneous Firms, Quality, and Trade," Journal of International Economics, Elsevier, vol. 95(2), pages 263-273.
    297. Süleyman Hilmi Kal & Muhsin Çiftçi, 2022. "Market structure and exchange rate pass‐through in the Turkish manufacturing industry: Evidence from sectoral data," Bulletin of Economic Research, Wiley Blackwell, vol. 74(4), pages 995-1016, October.
    298. Mina Kim & Deokwoo Nam & Jian Wang & Jason Wu, 2013. "International Trade Price Stickiness and Exchange Rate and Pass-Through in Micro Data: A Case Study on US-China Trade," Working Papers 202013, Hong Kong Institute for Monetary Research.
    299. Sergey Narkevich & Pavel Trunin, 2012. "Reserve Currencies: Factors of Evolution and their Role in the World Economy," Research Paper Series, Gaidar Institute for Economic Policy, issue 162P.
    300. Joseph Vavra & David Berger, 2013. "Pass-through Across Products and Time," 2013 Meeting Papers 452, Society for Economic Dynamics.
    301. Andrea Lassmann, 2013. "Exchange Rate Transmission and Export Activity at the Firm Level," KOF Working papers 13-331, KOF Swiss Economic Institute, ETH Zurich.
    302. Yuko Imura, 2013. "Endogenous Trade Participation with Incomplete Exchange Rate Pass-Through," Staff Working Papers 13-30, Bank of Canada.
    303. Jiménez-Rodríguez, Rebeca & Morales-Zumaquero, Amalia, 2016. "A new look at exchange rate pass-through in the G-7 countries," Journal of Policy Modeling, Elsevier, vol. 38(5), pages 985-1000.
    304. Camila Casas, 2019. "Industry heterogeneity and exchange rate pass-through," BIS Working Papers 787, Bank for International Settlements.
    305. Mohamed Tidjane Kinda & Hamidou Barry, 2021. "Exchange rate pass‐through to import prices: Evidence from a heterogeneous panel of West African countries," Review of Development Economics, Wiley Blackwell, vol. 25(4), pages 2454-2472, November.
    306. Juan Esteban Carranza & Camila Casas & Alejandra Ximena González-Ramírez, 2020. "The Colombian peso depreciation of 2014-2015 and the adjustment of trade in the manufacturing sector," Borradores de Economia 1125, Banco de la Republica de Colombia.
    307. Antoine BERTHOU & Jean-Stéphane MÉSONNIER & Guillaume HORNY, 2018. "Dollar funding and French exports to the United States: lessons from the 2011 dollar crunch," Rue de la Banque, Banque de France, issue 62, May.
    308. Waldyr Areosa & Marta Areosa, 2012. "The Signaling Effect of Exchange Rates: pass-through under dispersed information," Working Papers Series 282, Central Bank of Brazil, Research Department.
    309. Huang, Xiaobing, 2017. "Exchange rate movements and export market dynamics: Evidence from China," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 11, pages 1-27.
    310. Corbo, Vesna & Di Casola, Paola, 2022. "Drivers of consumer prices and exchange rates in small open economies," Journal of International Money and Finance, Elsevier, vol. 122(C).
    311. Bussière, M. & Delle Chiaie, S. & Peltonen, T. A., 2013. "Exchange Rate Pass-Through in the Global Economy," Working papers 424, Banque de France.
    312. Tamta Sopromadze & Giorgi Barbakadze & Shalva Mkhatrishvili, 2021. "Dominant Currency Paradigm: Financial Dollarization View," NBG Working Papers 01/2021, National Bank of Georgia.
    313. Rodnyansky, A., 2018. "(Un)Competitive Devaluations and Firm Dynamics," Cambridge Working Papers in Economics 1888, Faculty of Economics, University of Cambridge.
    314. Lawrence Edwards & Ayanda Hlatshwayo, 2020. "Exchange rates and firm export performance in South Africa," WIDER Working Paper Series wp-2020-1, World Institute for Development Economic Research (UNU-WIDER).
    315. Andres Drenik, 2017. "Pricing in Multiple Currencies in Domestic Markets," 2017 Meeting Papers 1418, Society for Economic Dynamics.
    316. Schmitz, Emerson, 2019. "Essays on banking and international trade," Other publications TiSEM 74748bf6-7c16-4e08-a6a6-e, Tilburg University, School of Economics and Management.
    317. Emerson Erik Schmitz, 2019. "The impact of Brexit uncertainties on international trade : Evidence from Belgium," Working Paper Research 380, National Bank of Belgium.
    318. Enrique G. Mendoza & Vivian Z. Yue, 2008. "A Solution to the Disconnect between Country Risk and Business Cycle Theories," NBER Working Papers 13861, National Bureau of Economic Research, Inc.
    319. Raphael Schoenle & Raphael Auer, 2014. "The Mode of Competition between Foreign and Domestic Goods, Pass-Through, and External Adjustment," 2014 Meeting Papers 1059, Society for Economic Dynamics.
    320. Blanco, Andrés & Cravino, Javier, 2020. "Price rigidities and the relative PPP," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 104-116.
    321. Witte, Mark David, 2009. "The currency denomination of external European Union imports after European Union expansion," Economic Systems, Elsevier, vol. 33(3), pages 245-258, September.
    322. Gopinath, Gita & Itskhoki, Oleg & Neiman, Brent, 2012. "Trade Prices and the Global Trade Collapse of 2008–09," Scholarly Articles 11988099, Harvard University Department of Economics.
    323. Sonam Choudhry & Abhinav Narayanan & Anshul, 2024. "Dynamics of Price Transmission: Evidence from India’s Import Basket," Foreign Trade Review, , vol. 59(2), pages 252-278, May.
    324. Braakmann, Nils & Gao, Bo & Maioli, Sara, 2020. "VAT rebates as trade policy: Evidence from China," China Economic Review, Elsevier, vol. 63(C).
    325. Beatriz de Blas & Katheryn Russ, 2010. "Understanding Markups in the Open Economy under Bertrand Competition," NBER Working Papers 16587, National Bureau of Economic Research, Inc.
    326. Chan Wang & Heng-fu Zou, 2013. "Optimal monetary policy in open economies: the role of reference currency in vertical production and trade," CEMA Working Papers 586, China Economics and Management Academy, Central University of Finance and Economics.
    327. Sanyal, Anirban, 2021. "Impact of US-China Trade War on Indian External Trade," EconStor Preprints 242250, ZBW - Leibniz Information Centre for Economics.
    328. Castellares, Renzo, 2017. "Condiciones de mercado y calidad como determinantes del traspaso del tipo de cambio," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 33, pages 29-41.

  20. Roberto Rigobon & Oleg Itskhoki & Gita Gopinath, 2007. "Passthrough at the Dock: Pricing to Currency and to Market?," 2007 Meeting Papers 794, Society for Economic Dynamics.

    Cited by:

    1. Andrew Atkeson & Ariel Burstein, 2007. "Pricing-to-market, trade costs, and international relative prices," Working Paper Series 2007-26, Federal Reserve Bank of San Francisco.
    2. Broda, Christian & Rigobon, Roberto, 2007. "Comments," LSE Research Online Documents on Economics 123407, London School of Economics and Political Science, LSE Library.
    3. Bartram, Söhnke M. & Bodnar, Gordon M., 2012. "Crossing the lines: The conditional relation between exchange rate exposure and stock returns in emerging and developed markets," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 766-792.

  21. Anna Pavlova & Roberto Rigobon, 2007. "An Asset-Pricing View of External Adjustment," NBER Working Papers 13468, National Bureau of Economic Research, Inc.

    Cited by:

    1. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2014. "Uncovered Equity Parity and Rebalancing in International Portfolios," International Finance Discussion Papers 1103, Board of Governors of the Federal Reserve System (U.S.).
    2. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock, 2009. "Current Account Sustainability and Relative Reliability," NBER Chapters, in: NBER International Seminar on Macroeconomics 2008, pages 67-109, National Bureau of Economic Research, Inc.
    3. Ghironi, Fabio & Lee, Jaewoo & Rebucci, Alessandro, 2015. "The valuation channel of external adjustment," Journal of International Money and Finance, Elsevier, vol. 57(C), pages 86-114.
    4. Josep Lluís CARRION-I-SILVESTRE & Mariam CAMARERO & Josep LLUÍS CARRION-I-SILVESTRE & Cecilio TAMARIT, 2010. "External Imbalances in a Monetary Union. Does the Lawson Doctrine Apply to Europe?," EcoMod2010 259600036, EcoMod.
    5. Gustavo Adler & Mr. Daniel Garcia-Macia, 2018. "The Stabilizing Role of Net Foreign Asset Returns," IMF Working Papers 2018/079, International Monetary Fund.
    6. Croce, Mariano & Colacito, Ric & Liu, Yang & Shaliastovich, Ivan, 2018. "Volatility Risk Pass-Through," CEPR Discussion Papers 13325, C.E.P.R. Discussion Papers.
    7. Coeurdacier, Nicolas & Kollmann, Robert Miguel W. K. & Martin, Philippe J., 2008. "International portfolios, capital accumulation and foreign assets dynamics," Discussion Paper Series 1: Economic Studies 2008,19, Deutsche Bundesbank.
    8. Cédric Tille & Eric Van Wincoop, 2007. "International capital flows," Staff Reports 280, Federal Reserve Bank of New York.
    9. Ehling, Paul & Heyerdahl-Larsen, Christian, 2015. "Complete and incomplete financial markets in multi-good economies," Journal of Economic Theory, Elsevier, vol. 160(C), pages 438-462.
    10. Rey, Hélène & Coeurdacier, Nicolas, 2012. "Home Bias in Open Economy Financial Macroeconomics," CEPR Discussion Papers 8746, C.E.P.R. Discussion Papers.
    11. Kanda Naknoi & YiLi Chien, 2013. "The Risk Premium and Long-Run Global Imbalances," 2013 Meeting Papers 55, Society for Economic Dynamics.
    12. Eugeni, Sara, 2015. "Nominal Exchange Rates and Net Foreign Assets' Dynamics: the Stabilization Role of Valuation Effects," MPRA Paper 63549, University Library of Munich, Germany.
    13. Broner, Fernando & Didier, Tatiana & Erce, Aitor & Schmukler, Sergio L., 2013. "Gross capital flows: Dynamics and crises," Journal of Monetary Economics, Elsevier, vol. 60(1), pages 113-133.
    14. Andrews, Spencer & Colacito, Riccardo & Croce, Mariano M. & Gavazzoni, Federico, 2024. "Concealed carry," Journal of Financial Economics, Elsevier, vol. 159(C).
    15. Makram Khalil, 2017. "Cross-Border Portfolio Diversification under Trade Linkages," MNB Working Papers 2017/2, Magyar Nemzeti Bank (Central Bank of Hungary).
    16. Tommaso Trani, 2013. "Country Portfolios with Heterogeneous Pledgeability," Faculty Working Papers 02/13, School of Economics and Business Administration, University of Navarra.
    17. Stepanchuk, Serhiy & Tsyrennikov, Viktor, 2015. "Portfolio and welfare consequences of debt market dominance," Journal of Monetary Economics, Elsevier, vol. 74(C), pages 89-101.
    18. YiLi Chien & Hanno Lustig & Kanda Naknoi, 2015. "Why Are Exchange Rates So Smooth? A Household Finance Explanation," Working Papers 2015-39, Federal Reserve Bank of St. Louis.
    19. Devereux, Michael B. & Sutherland, Alan, 2010. "Valuation effects and the dynamics of net external assets," Journal of International Economics, Elsevier, vol. 80(1), pages 129-143, January.
    20. Matteo Maggiori, 2013. "The U.S. Dollar Safety Premium," 2013 Meeting Papers 75, Society for Economic Dynamics.
    21. Maggiori, Matteo, 2021. "International Macroeconomics With Imperfect Financial Markets," SocArXiv z8g6r, Center for Open Science.
    22. Sara Eugeni, 2019. "Exchange rate volatility and cooperation in an incomplete markets' economy," Department of Economics Working Papers 2019_02, Durham University, Department of Economics.
    23. Ly-Dai, Hung, 2014. "Global Imbalances with Safe Assets in Eurozone," MPRA Paper 90238, University Library of Munich, Germany, revised May 2018.
    24. Chaban, Maxym, 2024. "Exchange rate dynamics and consumption of traded goods," Journal of Macroeconomics, Elsevier, vol. 80(C).
    25. Mr. Akito Matsumoto & Mr. Charles Engel, 2009. "International Risk Sharing: Through Equity Diversification or Exchange Rate Hedging?," IMF Working Papers 2009/138, International Monetary Fund.
    26. Masahiro Endoh, 2012. "Return Differentials of Foreign Investment among OECD Countries," Keio/Kyoto Joint Global COE Discussion Paper Series 2012-016, Keio/Kyoto Joint Global COE Program.
    27. Nicolas Coeurdacier, 2011. "Limited participation and International Risk-Sharing," 2011 Meeting Papers 613, Society for Economic Dynamics.
    28. Andrea Civelli, 2016. "Excess Returns, Average Returns and the Adjustment Mechanism of the External Position of a Country," Review of International Economics, Wiley Blackwell, vol. 24(2), pages 226-252, May.

  22. Roberto Rigobon, 2007. "Through the Pass-Through: Measuring Central Bank Credibility," CID Working Papers 143, Center for International Development at Harvard University.

    Cited by:

    1. Janine Aron & Kenneth Creamer & John Muellbauer & Neil Rankin, 2014. "Exchange Rate Pass-Through to Consumer Prices in South Africa: Evidence from Micro-Data," Journal of Development Studies, Taylor & Francis Journals, vol. 50(1), pages 165-185, January.
    2. Charl Jooste & Yaseen Jhaveri, 2014. "The Determinants of Time-Varying Exchange Rate Pass-Through in South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 82(4), pages 603-615, December.
    3. Harris Maduku & Irrshad Kaseeram, 2018. "An Empirical Analysis of Exchange Rate Pass-Through to Prices in South Africa (2002-2016)," Journal of Economics and Behavioral Studies, AMH International, vol. 10(5), pages 187-194.

  23. Roberto Rigobon & Brian Sack, 2006. "Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices," NBER Working Papers 12420, National Bureau of Economic Research, Inc.

    Cited by:

    1. Lahura, Erick, 2012. "Midiendo los efectos de la política monetaria a través de las expectativas de mercado," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 23, pages 39-52.
    2. Markku Lanne, 2009. "Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases," Economics Bulletin, AccessEcon, vol. 29(3), pages 2231-2240.
    3. Paiardini, Paola, 2014. "The impact of economic news on bond prices: Evidence from the MTS platform," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 302-322.
    4. Arango, Luis E. & Pantoja, Javier & Velásquez, Carlos, 2023. "A content analysis of the Central Bank's press releases in Colombia," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(3).
    5. Karali, Berna & Isengildina Massa, Olga & Irwin, Scott H., 2018. "Does Noise in Market Expectations Dilute Price Reactions to USDA Reports?," 2018 Annual Meeting, August 5-7, Washington, D.C. 273973, Agricultural and Applied Economics Association.
    6. Nicolas Boitout & Imane El Ouadghiri & Valérie Mignon, 2016. "On the impact of macroeconomic news surprises on Treasury-bond returns," Post-Print hal-01386014, HAL.
    7. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013. "Econometric modeling of exchange rate volatility and jumps," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 16, pages 373-427, Edward Elgar Publishing.
    8. Christopher J. Neely, 2011. "A survey of announcement effects on foreign exchange volatility and jumps," Review, Federal Reserve Bank of St. Louis, vol. 93(Sep), pages 361-385.
    9. Marcio Garcia & Marcelo Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014. "The impact of macroeconomic announcements in the Brazilian futures markets," Textos para discussão 623, Department of Economics PUC-Rio (Brazil).
    10. Banerjee, Ameet Kumar & Pradhan, H.K., 2022. "Intraday analysis of macroeconomic news surprises, and asymmetries in Indian benchmark bond," Finance Research Letters, Elsevier, vol. 45(C).
    11. Thomas Gilbert & Chiara Scotti & Georg Strasser & Clara Vega, 2015. "Is the Intrinsic Value of Macroeconomic News Announcements Related to their Asset Price Impact?," Finance and Economics Discussion Series 2015-46, Board of Governors of the Federal Reserve System (U.S.).
    12. Marlene Amstad & Andreas M. Fischer, 2009. "Do macroeconomic announcements move inflation forecasts?," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 507-518.
    13. Hanousek, Jan & Kocenda, Evzen & Kutan, Ali M., 2009. "The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data," Journal of Financial Stability, Elsevier, vol. 5(2), pages 199-219, June.
    14. Christoph E. Boehm & T. Niklas Kroner, 2023. "The US, Economic News, and the Global Financial Cycle," NBER Working Papers 30994, National Bureau of Economic Research, Inc.
    15. Hardik A. Marfatia & Rangan Gupta & Stephen M. Miller, 2020. "125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets," Working papers 2020-12, University of Connecticut, Department of Economics.
    16. Lin, Hai & Lo, Ingrid & Qiao, Rui, 2021. "Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market," Journal of Banking & Finance, Elsevier, vol. 133(C).
    17. Fornari, Fabio, 2010. "Assessing the compensation for volatility risk implicit in interest rate derivatives," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 722-743, September.
    18. Michael D. Bauer, 2011. "Nominal interest rates and the news," Working Paper Series 2011-20, Federal Reserve Bank of San Francisco.
    19. Frankel, Jeffrey & Saiki, Ayako, 2016. "Does It Matter If Statistical Agencies Frame the Month's CPI Report on a 1-Month or 12-Month Basis?," Working Paper Series 16-011, Harvard University, John F. Kennedy School of Government.
    20. Matthew Raskin, 2013. "The effects of the Federal Reserve's date-based forward guidance," Finance and Economics Discussion Series 2013-37, Board of Governors of the Federal Reserve System (U.S.).
    21. Evzen Kocenda & Jan Hanousek, 2010. "Foreign News and Spillovers in Emerging European Stock Markets," William Davidson Institute Working Papers Series wp983, William Davidson Institute at the University of Michigan.
    22. León, Ángel & Sebestyén, Szabolcs, 2012. "New measures of monetary policy surprises and jumps in interest rates," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2323-2343.
    23. Luis E. Arango & Javier Pantoja & Carlos Velásquez, 2017. "Effects of the central bank’s communications in Colombia. A content analysis," Borradores de Economia 1024, Banco de la Republica de Colombia.
    24. Imane El Ouadghiri & Valerie Mignon & Nicolas Boitout, 2014. "On the impact of macroeconomic news surprises on Treasury-bond yields," EconomiX Working Papers 2014-20, University of Paris Nanterre, EconomiX.
    25. Griller, Stefan & Huber, Florian & Pfarrhofer, Michael, 2024. "Financial markets and legal challenges to unconventional monetary policy," European Economic Review, Elsevier, vol. 163(C).
    26. Bomin Jiang & Roberto Rigobon & Munther A. Dahleh, 2020. "Contingent Linear Financial Networks," NBER Working Papers 26814, National Bureau of Economic Research, Inc.
    27. Christopher F Baum & Alexander Kurov & Marketa W. Halova, 2013. "What do Chinese Macro Announcements Tell Us About the World Economy?," Boston College Working Papers in Economics 834, Boston College Department of Economics, revised 01 Jun 2015.
    28. Aulerich, Nicole M. & Irwin, Scott H. & Nelson, Carl H., 2007. "The Impact of Measurement Error on Estimates of the Price Reaction to USDA Crop Reports," 2007 Conference, April 16-17, 2007, Chicago, Illinois 37579, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    29. Rosa, Carlo, 2014. "The high-frequency response of energy prices to U.S. monetary policy: Understanding the empirical evidence," Energy Economics, Elsevier, vol. 45(C), pages 295-303.
    30. Ghent, Andra, 2007. "Why do markets react badly to good news? Evidence from Fed Funds Futures," MPRA Paper 1708, University Library of Munich, Germany.
    31. Imane El Ouadghiri, 2015. "Heterogeneity in Macroeconomic News Expectations: A disaggregate level analysis," EconomiX Working Papers 2015-17, University of Paris Nanterre, EconomiX.
    32. S. Rubun Dey & Christopher J. Neely, 2010. "A survey of announcement effects on foreign exchange returns," Review, Federal Reserve Bank of St. Louis, vol. 92(Sep), pages 417-464.
    33. Hamadi, Hassan & Bassil, Charbel & Nehme, Tamara, 2017. "News surprises and volatility spillover among agricultural commodities: The case of corn, wheat, soybean and soybean oil," Research in International Business and Finance, Elsevier, vol. 41(C), pages 148-157.
    34. Grzegorz Andruszkiewicz & Mark Davis & Sébastien Lleo, 2013. "Taming animal spirits: risk management with behavioural factors," Annals of Finance, Springer, vol. 9(2), pages 145-166, May.
    35. Dahlia Ervina, 2015. "Macroeconomic News and Price Discovery in Indonesian Government Bond Market," Information Management and Business Review, AMH International, vol. 7(4), pages 98-107.
    36. Keiichi Goshima & Yusuke Kumano, 2018. "Monetary Policy Announcement and Algorithmic News Trading in the Foreign Exchange Market," IMES Discussion Paper Series 18-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
    37. Jan Hanousek & Evžen Kočenda, 2010. "Vliv vnitrodenních makroekonomických zpráv na akciové trhy nových států EU [Effect of Intraday Information Flow on the Emerging European Stock Markets]," Politická ekonomie, Prague University of Economics and Business, vol. 2010(4), pages 435-457.
    38. Gilbert, Thomas & Scotti, Chiara & Strasser, Georg & Vega, Clara, 2017. "Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 78-95.
    39. Michael P. Clements, 2014. "Anticipating Early Data Revisions to US GDP and the Effects of Releases on Equity Markets," ICMA Centre Discussion Papers in Finance icma-dp2014-06, Henley Business School, University of Reading.
    40. Aymen Belgacem, 2009. "Fundamentals, Macroeconomic Announcements and Asset Prices," EconomiX Working Papers 2009-16, University of Paris Nanterre, EconomiX.
    41. Sandoval Paucar, Giovanny, 2021. "A Conditional Correlation Analysis For The Colombian Stock Market," MPRA Paper 107963, University Library of Munich, Germany.
    42. Nkwoma, Inekwe John, 2017. "Futures-Based Measures Of Monetary Policy And Jump Risk," Macroeconomic Dynamics, Cambridge University Press, vol. 21(2), pages 384-405, March.
    43. Fornari, Fabio, 2008. "Assessing the compensation for volatility risk implicit in interest rate derivatives," Working Paper Series 859, European Central Bank.
    44. Sultan Alturki & Alexander Kurov, 2022. "Market inefficiencies surrounding energy announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 172-188, January.
    45. Steiner, Christian & Groß, Anne & Entorf, Horst, 2009. "Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data," ZEW Discussion Papers 09-010, ZEW - Leibniz Centre for European Economic Research.
    46. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
    47. Sandoval Paucar, Giovanny, 2018. "Contagio Financiero: Una Breve Revisión De Literatura [Financial Contagio: A Review Literature]," MPRA Paper 89554, University Library of Munich, Germany.
    48. Nowak, Sylwia & Andritzky, Jochen & Jobst, Andreas & Tamirisa, Natalia, 2011. "Macroeconomic fundamentals, price discovery, and volatility dynamics in emerging bond markets," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2584-2597, October.
    49. Marcel Fratzscher, 2008. "US shocks and global exchange rate configurations [‘Micro effects of macro announcements: Real-time price discovery in foreign exchange’]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 23(54), pages 364-409.
    50. Degiannakis, Stavros & Filis, George & Tsemperlidis, Stefanos, 2018. "Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component," MPRA Paper 94176, University Library of Munich, Germany.
    51. Marfatia, Hardik A. & Gupta, Rangan & Miller, Stephen, 2020. "125 ​Years of time-varying effects of fiscal policy on financial markets," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 303-320.
    52. Bernd Hayo & Sascha Mierzwa, 2020. "Stock Market Reactions to Legislated Tax Changes: Evidence from the United States, Germany, and the United Kingdom," MAGKS Papers on Economics 202047, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    53. Aymen Belgacem, 2009. "Fundamentals, Macroeconomic Announcements and Asset Prices," Working Papers hal-04140878, HAL.
    54. Santos, Francisco Luna & Garcia, Márcio Gomes Pinto & Medeiros, Marcelo Cunha, 2016. "The High Frequency Impact of Macroeconomic Announcements in the Brazilian Futures Markets," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 36(2), November.
    55. Michala Moravcová, 2018. "The Impact of German Macroeconomic News on Emerging European Forex Markets," Prague Economic Papers, Prague University of Economics and Business, vol. 2018(5), pages 505-521.
    56. Hao, Rubin & Liao, Guanmin & Ding, Wenhong & Guan, Wei, 2022. "The informativeness of regional GDP announcements: Evidence from China," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 78-99.
    57. Imane El Ouadghiri, 2015. "Heterogeneity in Macroeconomic News Expectations: A disaggregate level analysis," Working Papers hal-04141409, HAL.

  24. Gita Gopinath & Roberto Rigobon, 2006. "Sticky Borders," NBER Working Papers 12095, National Bureau of Economic Research, Inc.

    Cited by:

    1. Fischer, Andreas & Sauré, Philip, 2016. "The speed of the exchange rate pass-through," CEPR Discussion Papers 11195, C.E.P.R. Discussion Papers.
    2. Gopinath, Gita & Itskhoki, Oleg & Rigobon, Roberto, 2010. "Currency Choice and Exchange Rate Pass-through," Scholarly Articles 30703874, Harvard University Department of Economics.
    3. Jean M. Imbs & Haroon Mumtaz & Morten O. Ravn & Hélène Rey, 2010. "One TV, One Price?," Scandinavian Journal of Economics, Wiley Blackwell, vol. 112(4), pages 753-781, December.
    4. Giancarlo Corsetti & Luca Dedola & Sylvain Leduc, 2010. "Optimal monetary policy in open economies," Working Paper Series 2010-13, Federal Reserve Bank of San Francisco.
    5. Kang, Hyunju, 2015. "Currency invoicing and state-dependent pricing," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 50-59.
    6. Ganelli, Giovanni & Tervala, Juha, 2015. "Value of WTO trade agreements in a New Keynesian model," Journal of Macroeconomics, Elsevier, vol. 45(C), pages 347-362.
    7. Juha Tervala, 2011. "Learning by Devaluating: A Supply-Side Effect of Competitive Devaluation," Discussion Papers 67, Aboa Centre for Economics.
    8. Lewis, Logan T., 2014. "Exports versus multinational production under nominal uncertainty," Journal of International Economics, Elsevier, vol. 94(2), pages 371-386.
    9. Volker Nitsch, 2007. "Die Another Day: Duration in German Import Trade," DEGIT Conference Papers c012_037, DEGIT, Dynamics, Economic Growth, and International Trade.
    10. Richard Fabling & Lynda Sanderson, 2013. "Export performance, invoice currency, and heterogeneous exchange rate pass-through," Treasury Working Paper Series 13/03, New Zealand Treasury.
    11. Hellerstein, Rebecca & Villas-Boas, Sofia B., 2010. "Outsourcing and pass-through," Journal of International Economics, Elsevier, vol. 81(2), pages 170-183, July.
    12. Raphaël Auer & Thomas Chaney, 2009. "Exchange Rate Pass-Through in a Competitive Model of Pricing-to-Market," Post-Print hal-03389284, HAL.
    13. Alberto Cavallo & Roberto Rigobon, 2011. "The Distribution of the Size of Price Changes," NBER Working Papers 16760, National Bureau of Economic Research, Inc.
    14. Matějka, Filip, 2015. "Rigid pricing and rationally inattentive consumer," Journal of Economic Theory, Elsevier, vol. 158(PB), pages 656-678.
    15. Raphael Auer & Raphael Schoenle, 2012. "Market structure and exchange rate pass-through," Globalization Institute Working Papers 130, Federal Reserve Bank of Dallas.
    16. Sun, Puyang & Hou, Xinyu & Tan, Yong, 2017. "Export Rivalry and Exchange Rate Pass-Through," MPRA Paper 83369, University Library of Munich, Germany.
    17. Andrew Atkeson & Ariel Burstein, 2007. "Pricing-to-market, trade costs, and international relative prices," Working Paper Series 2007-26, Federal Reserve Bank of San Francisco.
    18. Andrade, P. & Fourel, V. & Ghysels, E. & Idier, I., 2013. "The financial content of inflation risks in the euro area," Working papers 437, Banque de France.
    19. Christopher J. Gust & Sylvain Leduc & Nathan Sheets, 2008. "The adjustment of global external balances: does partial exchange rate pass-through to trade prices matter?," Working Paper Series 2008-16, Federal Reserve Bank of San Francisco.
    20. Mark Witte & Rachel Williams, 2014. "Duopolists’ Retail Pricing Behavior in Multiple Markets," Journal of Industry, Competition and Trade, Springer, vol. 14(1), pages 67-81, March.
    21. Hwang, Yu-Ning & Turnovsky, Stephen J., 2013. "Exchange rate pass-through and the effects of tariffs on economic performance and welfare," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 81-102.
    22. Julio J. Rotemberg, 2010. "Altruistic Dynamic Pricing with Customer Regret," Scandinavian Journal of Economics, Wiley Blackwell, vol. 112(4), pages 646-672, December.
    23. Noton, Carlos, 2009. "Structural Estimation of Price Adjustment Costs in the European Car Market," Department of Economics, Working Paper Series qt29643386, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    24. Coenen, Günter & McAdam, Peter & Straub, Roland, 2008. "Tax reform and labour-market performance in the euro area: A simulation-based analysis using the New Area-Wide Model," Journal of Economic Dynamics and Control, Elsevier, vol. 32(8), pages 2543-2583, August.
    25. Philippe Andrade, 2010. "Competition and Pass-through on international markets: Firm-level evidence from VAT shocks," 2010 Meeting Papers 820, Society for Economic Dynamics.
    26. Hu, Cui & Parsley, David & Tan, Yong, 2021. "Exchange rate induced export quality upgrading: A firm-level perspective," Economic Modelling, Elsevier, vol. 98(C), pages 336-348.
    27. Pierpaolo Benigno & Ester Faia, 2010. "Globalization, Pass-Through and Inflation Dynamic," NBER Working Papers 15842, National Bureau of Economic Research, Inc.
    28. Martin, Philippe & Mayer, Thierry & Berman, Nicolas, 2009. "How do different exporters react to exchange rate changes? Theory, empirics and aggregate implications," CEPR Discussion Papers 7493, C.E.P.R. Discussion Papers.
    29. Berger, David & Faust, Jon & Rogers, John H. & Steverson, Kai, 2012. "Border prices and retail prices," Journal of International Economics, Elsevier, vol. 88(1), pages 62-73.
    30. Brent Neiman, 2010. "A State-Dependent Model of Intermediate Goods Pricing," NBER Working Papers 16283, National Bureau of Economic Research, Inc.
    31. Saroj Bhattara & Gauti Eggertsson & Raphael Schoenle, 2012. "Is Increased Price Flexibility Stabilizing? Redux," Working Papers 41, Brandeis University, Department of Economics and International Business School.
    32. Edwards, Lawrence & Lawrence, Robert Z., 2011. "AGOA Rules: The Intended and Unintended Consequences of Special Fabric Provisions," Working Paper Series rwp11-002, Harvard University, John F. Kennedy School of Government.
    33. Raphael Schoenle, 2017. "International Menu Costs and Price Dynamics," Review of International Economics, Wiley Blackwell, vol. 25(3), pages 578-606, August.
    34. Gita Gopinath & Oleg Itskhoki, 2010. "In search of real rigidities," Working Papers 10-9, Federal Reserve Bank of Boston.
    35. José Anson & Mauro Boffa & Matthias Helble, 2014. "A Short-Run Analysis of Exchange Rates and International Trade with an Application to Australia, New Zealand, and Japan," Macroeconomics Working Papers 24048, East Asian Bureau of Economic Research.
    36. Charles Engel, 2009. "Pass-Through, Exchange Rates, and Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(s1), pages 177-185, February.
    37. Tscheke, Jan, 2016. "Operational Hedging of Exchange Rate Risks," Discussion Papers in Economics 30227, University of Munich, Department of Economics.
    38. Neiman, Brent, 2010. "Stickiness, synchronization, and passthrough in intrafirm trade prices," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 295-308, April.
    39. Marianne Baxter & Anthony Landry, 2012. "IKEA: product, pricing, and pass-through," Proceedings, Federal Reserve Bank of San Francisco, issue Nov, pages 1-32.
    40. Saroj Bhattarai & Raphael Schoenle, 2010. "Multiproduct Firms and Price-Setting: Theory and Evidence from U.S. Producer Prices," Working Papers 1245, Princeton University, Department of Economics, Center for Economic Policy Studies..
    41. Alon Binyamini & Assaf Razin, 2008. "Inflation-Output Tradeoff As Equilibrium Outcome of Globalization," Israel Economic Review, Bank of Israel, vol. 6(1), pages 109-134.
    42. Gita Gopinath & Emine Boz & Camila Casas & Federico J. Díez & Pierre-Olivier Gourinchas & Mikkel Plagborg-Møller, 2020. "Dominant Currency Paradigm," American Economic Review, American Economic Association, vol. 110(3), pages 677-719, March.
    43. Gita Gopinath, 2012. "Comment on "Individual Price Adjustment along the Extensive Margin"," NBER Chapters, in: NBER Macroeconomics Annual 2012, Volume 27, pages 282-292, National Bureau of Economic Research, Inc.
    44. Carlos A. Ibarra, 2013. "Capital Flows and Private Investment in Mexico," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, vol. 0(3, Cierre), pages 65-99.
    45. Mikkel Plagborg-Moller & Gita Gopinath & Emine Boz, 2017. "Global Trade and the Dollar," 2017 Meeting Papers 1041, Society for Economic Dynamics.
    46. Carlos Carvalho & Fernanda Nechio, 2008. "Aggregation and the PPP puzzle in a sticky-price model," Staff Reports 351, Federal Reserve Bank of New York.
    47. Raphael A. Auer & Thomas Chaney, 2008. "Cost Pass Through in a Competitive Model of Pricing-to-Market," Working Papers 2008-06, Swiss National Bank.
    48. Gita Gopinath & Pierre-Olivier Gourinchas & Chang-Tai Hsieh & Nicholas Li, 2011. "International Prices, Costs, and Markup Differences," American Economic Review, American Economic Association, vol. 101(6), pages 2450-2486, October.
    49. Sebastian Heise, 2018. "Firm-to-Firm Relationships and Price Rigidity: Theory and Evidence," 2018 Meeting Papers 937, Society for Economic Dynamics.
    50. Auer, Raphael, 2015. "Exchange Rate Pass-Through, Domestic Competition, and Inflation: Evidence from the 2005/08 Revaluation of the Renminbi," CEPR Discussion Papers 10344, C.E.P.R. Discussion Papers.
    51. Bouvet, Florence & Ma, Alyson C. & Van Assche, Ari, 2017. "Tariff and exchange rate pass-through for Chinese exports: A firm-level analysis across customs regimes," China Economic Review, Elsevier, vol. 46(C), pages 87-96.
    52. Raphael A. Auer & Thomas Chaney & Philip U. Sauré, 2012. "Quality Pricing-to-Market," Working Papers 2012-11, Swiss National Bank.
    53. Rose, Andrew K., 2007. "A stable international monetary system emerges: Inflation targeting is Bretton Woods, reversed," Journal of International Money and Finance, Elsevier, vol. 26(5), pages 663-681, September.
    54. Huang, Xiaobing, 2017. "Exchange rate movements and export market dynamics: Evidence from China," Economics Discussion Papers 2017-13, Kiel Institute for the World Economy (IfW Kiel).
    55. Charles Engel, 2010. "Exchange rate policies," BIS Papers chapters, in: Bank for International Settlements (ed.), The international financial crisis and policy challenges in Asia and the Pacific, volume 52, pages 229-250, Bank for International Settlements.
    56. Klenow, Peter J. & Malin, Benjamin A., 2010. "Microeconomic Evidence on Price-Setting," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 6, pages 231-284, Elsevier.
    57. Fernando Borraz & Leandro Zipitria, 2011. "Price Setting in Retailing: the Case of Uruguay," Documentos de Trabajo (working papers) 0211, Department of Economics - dECON.
    58. Tovonony Razafindrabe, 2017. "Nonlinearity and asymmetry in the exchange rate pass-through: What role for nominal price stickiness?," Post-Print halshs-01683803, HAL.
    59. Strasser, Georg, 2013. "Exchange rate pass-through and credit constraints," Journal of Monetary Economics, Elsevier, vol. 60(1), pages 25-38.
    60. Gita Gopinath & Oleg Itskhoki & Brent Neiman, 2011. "Trade Prices and the Global Trade Collapse of 2008-2009," NBER Working Papers 17594, National Bureau of Economic Research, Inc.
    61. Gust, Christopher & Leduc, Sylvain & Vigfusson, Robert, 2010. "Trade integration, competition, and the decline in exchange-rate pass-through," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 309-324, April.
    62. Emi Nakamura & Jón Steinsson, 2008. "Five Facts about Prices: A Reevaluation of Menu Cost Models," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 123(4), pages 1415-1464.
    63. Stephane Dees & Matthias Burgert & Nicolas Parent, 2013. "Import price dynamics in major advanced economies and heterogeneity in exchange rate pass-through," Empirical Economics, Springer, vol. 45(2), pages 789-816, October.
    64. Cao, Shutao & Dong, Wei & Tomlin, Ben, 2015. "Pricing-to-market, currency invoicing and exchange rate pass-through to producer prices," Journal of International Money and Finance, Elsevier, vol. 58(C), pages 128-149.
    65. Pennings, Steven, 2017. "Pass-through of competitors' exchange rates to US import and producer prices," Journal of International Economics, Elsevier, vol. 105(C), pages 41-56.
    66. Alvarez González, Luis Julián, 2008. "What Do Micro Price Data Tell Us on the Validity of the New Keynesian Phillips Curve?," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 2, pages 1-36.
    67. Tovonony Razafindrabe, 2014. "A multi-country DSGE model with incomplete Exchange Rate Passthrough: application for the Euro area," Working Papers 2014-83, Department of Research, Ipag Business School.
    68. Tervala, Juha, 2014. "China, the Dollar Peg and U.S. Monetary Policy," MPRA Paper 53223, University Library of Munich, Germany.
    69. Michele Bernini & Chiara Tomasi, 2014. "Exchange rate pass-through and product heterogeneity: does quality matter on the import side?," Working Papers 2014020, The University of Sheffield, Department of Economics.
    70. Fauceglia, Dario & Shingal, Anirudh & Wermelinger, Martin, 2012. ""Natural hedging" of exchange rate risk: The role of imported input prices," MPRA Paper 39438, University Library of Munich, Germany.
    71. Martínez-García Enrique, 2010. "A Model of the Exchange Rate with Informational Frictions," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-39, January.
    72. Gita Gopinath, 2015. "The International Price System," NBER Working Papers 21646, National Bureau of Economic Research, Inc.
    73. Raphael Schoenle & Raphael Auer, 2012. "Market Structure and Pass-Through," 2012 Meeting Papers 61, Society for Economic Dynamics.
    74. Imura, Yuko, 2016. "Endogenous trade participation with price rigidities," Journal of International Economics, Elsevier, vol. 100(C), pages 14-33.
    75. Chen, Natalie & Juvenal, Luciana, 2013. "Quality, Trade, and Exchange Rate Pass-Through," CAGE Online Working Paper Series 165, Competitive Advantage in the Global Economy (CAGE).
    76. Olivier de Bandt & Tovonony Razafindrabe, 2014. "Does nominal rigidity mislead our perception of the exchange rate pass-through?," EconomiX Working Papers 2014-36, University of Paris Nanterre, EconomiX.
    77. de Bandt, Olivier & Banerjee, Anindya & Kozluk, Tomasz, 2007. "Measuring Long-Run Exchange Rate Pass-Through," Economics Discussion Papers 2007-32, Kiel Institute for the World Economy (IfW Kiel).
    78. Roberto Rigobon & Brent Neiman & Alberto Cavallo, 2013. "Product Introductions, Currency Unions, and the Real Exchange Rate," 2013 Meeting Papers 1357, Society for Economic Dynamics.
    79. Wei Sun & Kuhelika De, 2019. "Real Exchange Rate, Monetary Policy, And The U.S. Economy: Evidence From A Favar Model," Economic Inquiry, Western Economic Association International, vol. 57(1), pages 552-568, January.
    80. Chan Wang & Heng-fu Zou, 2015. "Optimal Monetary Policy Under a Global Dollar Standard: The Effect of Vertical Trade and Production," Open Economies Review, Springer, vol. 26(1), pages 121-137, February.
    81. Devereux, Michael B. & Dong, Wei & Tomlin, Ben, 2017. "Importers and exporters in exchange rate pass-through and currency invoicing," Journal of International Economics, Elsevier, vol. 105(C), pages 187-204.
    82. Mallick, Sushanta & Marques, Helena, 2012. "Pricing to market with trade liberalization: The role of market heterogeneity and product differentiation in India’s exports," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 310-336.
    83. Andrea Nobili & Stefano Neri, 2006. "The transmission of monetary policy shocks from the US to the euro area," Temi di discussione (Economic working papers) 606, Bank of Italy, Economic Research and International Relations Area.
    84. Mirko Abbritti & Tommaso Trani, 2014. "Search and Bargaining in the Product Market and Price Rigidities," Faculty Working Papers 09/14, School of Economics and Business Administration, University of Navarra.
    85. Alon Binyamini & Assaf Razin, 2007. "Flattened Inflation-Output Tradeoff and Enhanced Anti-Inflation Policy as an Equilibrium Outcome of Globalization," Working Papers 232007, Hong Kong Institute for Monetary Research.
    86. María-Dolores, Ramon, 2009. "How different is the exchange rate pass-through in new member states of the EU? Some potential explanatory factors," UMUFAE Economics Working Papers 4698, DIGITUM. Universidad de Murcia.
    87. Gita Gopinath & Oleg Itskhoki, 2008. "Frequency of Price Adjustment and Pass-through," NBER Working Papers 14200, National Bureau of Economic Research, Inc.
    88. Stefania Garetto, 2014. "Firms’ Heterogeneity and Incomplete Pass-Through," Boston University - Department of Economics - Working Papers Series WP2014-006, Boston University - Department of Economics.
    89. Kenneth S. Rogoff, 2006. "Impact of globalization on monetary policy," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 265-305.
    90. Frederic S. Mishkin, 2008. "Exchange Rate Pass-Through And Monetary Policy," NBER Working Papers 13889, National Bureau of Economic Research, Inc.
    91. Emi Nakamura & Jón Steinsson, 2009. "Lost in Transit: Product Replacement Bias and Pricing to Market," NBER Working Papers 15359, National Bureau of Economic Research, Inc.
    92. David Berger & Joseph Vavra, 2017. "Shocks vs. Responsiveness: What Drives Time-Varying Dispersion?," NBER Working Papers 23143, National Bureau of Economic Research, Inc.
    93. Rose, Andrew, 2006. "A Stable International Monetary System Emerges: Bretton Woods, Reversed," CEPR Discussion Papers 5854, C.E.P.R. Discussion Papers.
    94. Senay, Ozge & Sutherland, Alan, 2010. "Local Currency Pricing, Foreign Monetary Shocks and Exchange Rate Policy," SIRE Discussion Papers 2010-18, Scottish Institute for Research in Economics (SIRE).
    95. Hirakata, Naohisa & Iwasaki, Yuto & Kawai, Masahiro, 2014. "Emerging Economies' Supply Shocks and Japan's Price Deflation: International Transmissions in a Three-Country DSGE Model," ADBI Working Papers 459, Asian Development Bank Institute.
    96. Michael B. Devereux & Ben Tomlin & Wei Dong, 2015. "Exchange Rate Pass-Through, Currency of Invoicing and Market Share," NBER Working Papers 21413, National Bureau of Economic Research, Inc.
    97. Balázs Murakozy, 2015. "How do exporters react to the prices of their competitors?," CERS-IE WORKING PAPERS 1532, Institute of Economics, Centre for Economic and Regional Studies.
    98. Ariel Burstein & Gita Gopinath, 2013. "International Prices and Exchange Rates," NBER Working Papers 18829, National Bureau of Economic Research, Inc.
    99. Garetto, Stefania, 2016. "Firms' heterogeneity, incomplete information, and pass-through," Journal of International Economics, Elsevier, vol. 101(C), pages 168-179.
    100. Liu, Qing & Shi, Kang & Wu, Zhouheng & Xu, Juanyi, 2014. "Oil price stabilization and global welfare," Journal of Development Economics, Elsevier, vol. 111(C), pages 246-260.
    101. Mario J. Crucini & Christopher I. Telmer, 2012. "Microeconomic Sources of Real Exchange Rate Variability," NBER Working Papers 17978, National Bureau of Economic Research, Inc.
    102. Cook, Jonathan Aaron, 2014. "The effect of firm-level productivity on exchange rate pass-through," Economics Letters, Elsevier, vol. 122(1), pages 27-30.
    103. Stefania Garetto, 2016. "Firms’ Heterogeneity, Incomplete Information, and Pass-Through," Boston University - Department of Economics - Working Papers Series wp2016-004, Boston University - Department of Economics.
    104. Forlati, Chiara, 2015. "On the benefits of a monetary union: Does it pay to be bigger?," Journal of International Economics, Elsevier, vol. 97(2), pages 448-463.
    105. Joseph Vavra & David Berger, 2013. "Pass-through Across Products and Time," 2013 Meeting Papers 452, Society for Economic Dynamics.
    106. Lederman, Daniel, 2011. "Large devaluations, foreign direct investment and exports : a speculative note," Policy Research Working Paper Series 5619, The World Bank.
    107. Raphael Schoenle & Raphael Auer, 2014. "The Mode of Competition between Foreign and Domestic Goods, Pass-Through, and External Adjustment," 2014 Meeting Papers 1059, Society for Economic Dynamics.
    108. Gopinath, Gita & Itskhoki, Oleg & Neiman, Brent, 2012. "Trade Prices and the Global Trade Collapse of 2008–09," Scholarly Articles 11988099, Harvard University Department of Economics.
    109. Kolver Hernandez & Aslı Leblebicioğlu, 2012. "A regime-switching analysis of pass-through," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 148(3), pages 523-552, September.
    110. Andrew Ojede, 2015. "Exchange Rate Shocks and U.S. Services and Agricultural Exports: Which Export Sector is More Affected?," The International Trade Journal, Taylor & Francis Journals, vol. 29(3), pages 228-250, August.
    111. Cadot, Olivier, 2014. "Pricing to Market as a Revelator of Policy-Induced Market Power," Papers 796, World Trade Institute.

  25. Fernando A. Broner & Roberto Rigobon, 2005. "Why are Capital Flows so Much More Volatile in Emerging Than in Developed Countries?," Working Papers Central Bank of Chile 328, Central Bank of Chile.

    Cited by:

    1. Broto, Carmen & Díaz-Cassou, Javier & Erce, Aitor, 2011. "Measuring and explaining the volatility of capital flows to emerging countries," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1941-1953, August.
    2. Diego Bastourre & Jorge Carrera & Javier Ibarlucia, 2008. "Commodity Prices in Argentina. What Does Move the Wind?," Money Affairs, CEMLA, vol. 0(1), pages 1-30, January-J.
    3. Carmen Broto & Javier Díaz-Cassou & Aitor Erce-Domínguez, 2008. "The Sources of Capital Flows Volatility: Empirical Evidence for Emerging Countries," Money Affairs, CEMLA, vol. 0(1), pages 93-128, January-J.
    4. Chong, Terence Tai Leung & Zhu, Tingting & Rafiq, M.S., 2013. "Are Prices Sticky in Large Developing Economies? An Empirical Comparison of China and India," MPRA Paper 60985, University Library of Munich, Germany.
    5. Dong He & Lillian Cheung & Wenlang Zhang & Tommy Wu, 2012. "How would Capital Account Liberalization Affect China's Capital Flows and the Renminbi Real Exchange Rates?," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 20(6), pages 29-54, November.
    6. Shen, Hewei, 2022. "Financial integration and the correlation between international debt and equity flows," Journal of International Money and Finance, Elsevier, vol. 122(C).
    7. Gan-Ochir Doojav & Borkhuu Gotovsuren & Tsenddorj Dorjpurev, 2012. "Financial Contagion and Volatile Capital Flows," Occasional Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number occ56.
    8. Remberto Rhenals & Alejandro Torres, 2007. "Volatilidad de los flujos de capital hacia los países en desarrollo: evidencia para América Latina, 1970-2002," Revista Lecturas de Economía, Universidad de Antioquia, CIE, December.
    9. Lian Liu & Yuming Cui & Changrong Lu, 2020. "Empirical study on intra‐regional bond investment: an application to East Asia," Asian-Pacific Economic Literature, The Crawford School, The Australian National University, vol. 34(1), pages 63-75, May.
    10. Nadia Doytch, 2022. "FDI: Hot or Cold Money? The Behaviour of Sectoral FDI Inflows and Outflows Over Periods of Growth Accelerations and Decelerations," Foreign Trade Review, , vol. 57(3), pages 324-350, August.
    11. Fernando Broner & Jaume Ventura, 2015. "Rethinking the Effects of Financial Liberalization," Working Papers 509, Barcelona School of Economics.
    12. Silvio Contessi & Pierangelo DePace & Johanna L. Francis, 2008. "The cyclical properties of disaggregated capital flows," Working Papers 2008-041, Federal Reserve Bank of St. Louis.
    13. Grzegorz Tchorek & Michał Brzozowski & Paweł Śliwiński, 2017. "Determinants of capital flows to emerging and advanced economies between 1990 and 2011," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 16(1), pages 17-48, April.
    14. Trung, Nguyen Ba, 2019. "The spillover effects of US economic policy uncertainty on the global economy: A global VAR approach," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 90-110.
    15. Jean-Pierre Allegret & Alain Sand-Zantman, 2007. "Modeling the impact of real and financial shocks on Mercosur: the role of the exchange rate regime," Post-Print halshs-00261994, HAL.
    16. Rogelio V. Mercado & Cyn-Young Park, 2011. "What Drives Different Types of Capital Flows and their Volatilities in Developing Asia?," International Economic Journal, Taylor & Francis Journals, vol. 25(4), pages 655-680, December.
    17. Pagliari, Maria Sole & Ahmed Hannan, Swarnali, 2024. "The volatility of capital flows in emerging markets: Measures and determinants," Journal of International Money and Finance, Elsevier, vol. 145(C).
    18. Ana Fostel & Graciela Laura Kaminsky, 2008. "Latin America´s Access to International Capital Markets: Good Behavior or Global Liquidity?," Central Banking, Analysis, and Economic Policies Book Series, in: Kevin Cowan & Sebastián Edwards & Rodrigo O. Valdés & Norman Loayza (Series Editor) & Klaus Schmidt- (ed.),Current Account and External Financing, edition 1, volume 12, chapter 4, pages 117-158, Central Bank of Chile.
    19. Kazeem Abimbola Sanusi & Forget Mingiri Kapingura, 2022. "Drivers of capital inflow: Does global uncertainty matter?," Cogent Business & Management, Taylor & Francis Journals, vol. 9(1), pages 2124596-212, December.
    20. Ftiti, Zied & Ben Ameur, Hachmi & Louhichi, Wael & Anastasiou, Dimitris & Awijen, Haithem, 2024. "Revisiting capital flow drivers: Regional dynamics, constraints, and geopolitical influences," Journal of International Money and Finance, Elsevier, vol. 142(C).
    21. Bárbara Ulloa & Carlos Saavedra & Carola Moreno, 2015. "A Microstructure Approach to Gross Portfolio Inflows. The Case of Chile," Working Papers Central Bank of Chile 760, Central Bank of Chile.
    22. Opperman, Pieter & Adjasi, Charles Komla Delali, 2017. "The determinants of private capital flow volatility in Sub-Saharan African countries," Research in International Business and Finance, Elsevier, vol. 42(C), pages 312-320.
    23. Schmidt, Torsten & Zwick, Lina, 2013. "Uncertainty and Episodes of Extreme Capital Flows in the Euro Area," Ruhr Economic Papers 461, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    24. Partha Sen, 2007. "Capital Inflows, Financial Repression And Macroeconomic Policy In India Since The Reforms," Working papers 157, Centre for Development Economics, Delhi School of Economics.
    25. Masahiro Inoguchi, 2020. "Factors driving International Capital Flows and the Change after the Global Financial Crisis," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 16(2), pages 163-196, February.
    26. Fritzi Koehler-Geib, 2006. "Uncertainty about the fundamentals and the occurrence of sudden stops of capital flows: Theory and Empirics," Working Papers 018, Bavarian Graduate Program in Economics (BGPE).
    27. Jean-Pierre Allegret & Alain Sand-Zantman, 2007. "Transmission des chocs et mécanismes d'ajustement dans le Mercosur," Revue de l'OFCE, Presses de Sciences-Po, vol. 101(2), pages 355-392.
    28. Damien PUY, 2013. "Institutional Investors Flows and the Geography of Contagion," Economics Working Papers ECO2013/06, European University Institute.
    29. Henri Audigé, 2014. "Net flows to emerging markets’ funds and the U.S. monetary policy after the subprime crisis," EconomiX Working Papers 2014-23, University of Paris Nanterre, EconomiX.
    30. Manuel R. Agosin & Juan Díaz-Maureira & Mohit Karnani, 2016. "Sudden stops of capital flows: Do foreign assets behave differently from foreign liabilities?," Working Papers wp436, University of Chile, Department of Economics.
    31. Kuziva Mamvura & Mabutho Sibanda & Rajendra Rajaram, 2020. "Causal Dynamics among Foreign Portfolio Investment Volatility, Financial Deepening and Capital Markets in Low Income Countries," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 70(1-2), pages 20-38, January-J.
    32. Gozgor, Giray & Erzurumlu, Yaman O., 2010. "Causality relations between foreign direct investment and portfolio investment volatility," MPRA Paper 34352, University Library of Munich, Germany.
    33. Ahmet Ihsan Kaya & Lutfi Erden, 2023. "Capital‐flow volatility in emerging markets: A panel GARCH approach," International Finance, Wiley Blackwell, vol. 26(2), pages 172-188, August.
    34. Rebecca Neumann & Ron Penl, 2008. "Volatile capital flows: Interactions between de jure and de facto financial liberalization," Economics Bulletin, AccessEcon, vol. 6(3), pages 1-10.
    35. Juan Carlos Castañeda Fuentes & Juan Carlos Catalán Herrera, 2008. "Emigrant Remittances and the Real Exchange rate in Guatemala: an Adjustment-Costs Story," Money Affairs, CEMLA, vol. 0(1), pages 31-71, January-J.
    36. Stefanos Ioannou, 2017. "Credit Rating Downgrades and Sudden Stops of Capital Flows in the Eurozone," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 1-36, October.
    37. Neumann, Rebecca M. & Penl, Ron & Tanku, Altin, 2009. "Volatility of capital flows and financial liberalization: Do specific flows respond differently?," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 488-501, June.
    38. Xiomara Archibald & Denny Lewis-Bynoe & Winston Moore, 2008. "Labour Market Flexibility in Small Island Developing States," Money Affairs, CEMLA, vol. 0(1), pages 73-91, January-J.
    39. Hussain, Shahzad & Akbar, Muhammad & Malik, Qaisar & Ahmad, Tanveer & Abbas, Nasir, 2021. "Downside Systematic Risk in Pakistani Stock Market: Role of Corporate Governance, Financial Liberalization and Investor Sentiment," CAFE Working Papers 14, Centre for Accountancy, Finance and Economics (CAFE), Birmingham City Business School, Birmingham City University.
    40. Mahadeva Lavan, 2014. "Why does natural resource abundance not always lead to better outcomes? Limited financial development versus political impatience," The B.E. Journal of Macroeconomics, De Gruyter, vol. 14(1), pages 341-377, January.
    41. Fernando Broner & Jaume Ventura, 2016. "Rethinking the Effects of Financial Globalization," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 131(3), pages 1497-1542.
    42. Mr. Paolo Mauro & Mr. Andrei A Levchenko, 2006. "Do Some Forms of Financial Flows Help Protect From Sudden Stops?," IMF Working Papers 2006/202, International Monetary Fund.

  26. Sebastian Edwards & Roberto Rigobon, 2005. "Capital Controls, Exchange Rate Volatility and External Vulnerability," NBER Working Papers 11434, National Bureau of Economic Research, Inc.

    Cited by:

    1. Ilan Noy & Tam B. Vu, 2007. "Capital Account Liberalization and Foreign Direct Investment," Working Papers 200708, University of Hawaii at Manoa, Department of Economics.
    2. Juan José Echavarría & Luis Fernando Melo Velandia & Santiago Téllez & Mauricio Villamizar, 2013. "The Impact of Pre-announced Day-to-day Interventions on the Colombian Exchange Rate," Borradores de Economia 10767, Banco de la Republica.
    3. Wolff, Christian & Straetmans, Stefan & Versteeg, Roald, 2008. "Are Capital Controls in the Foreign Exchange Market Effective?," CEPR Discussion Papers 6727, C.E.P.R. Discussion Papers.
    4. Nicolas E. Magud & Carmen M. Reinhart & Kenneth S. Rogoff, 2011. "Capital Controls: Myth and Reality--A Portfolio Balance Approach," CEMA Working Papers 608, China Economics and Management Academy, Central University of Finance and Economics.
    5. International Monetary Fund, 2009. "Colombia: Selected Issues," IMF Staff Country Reports 2009/024, International Monetary Fund.
    6. Reinhart, Carmen & Magud, Nicolas, 2007. "Capital controls: An evaluation," MPRA Paper 14097, University Library of Munich, Germany.
    7. Nicolas Magud & Carmen Reinhart & Kenneth Rogoff, 2005. "Capital Controls: Myth and Reality A Portfolio Balance Approach to Capital Controls," University of Oregon Economics Department Working Papers 2006-10, University of Oregon Economics Department.
    8. Franklin Huaita & Manuel Agosín Trumper, 2007. "Why Should Emerging-Market Countries (Still) Concern Themselves With Capital Inflows?," Working Papers wp268, University of Chile, Department of Economics.
    9. Mr. Benedict J. Clements & Herman Kamil, 2009. "Are Capital Controls Effective in the 21st Century? the Recent Experience of Colombia," IMF Working Papers 2009/030, International Monetary Fund.
    10. Thomas I. Palley, 2009. "Rethinking the Economics of Capital Mobilityand Capital Controls," IMK Working Paper 01-2009, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    11. Sebastián Edwards, 2007. "The Relationship between Exchange Rates and Inflation Targeting Revisited," Central Banking, Analysis, and Economic Policies Book Series, in: Frederic S. Miskin & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.),Monetary Policy under Inflation Targeting, edition 1, volume 11, chapter 10, pages 373-413, Central Bank of Chile.
    12. Melecky, Martin, 2008. "An alternative framework for foreign exchange risk management of sovereign debt," Policy Research Working Paper Series 4458, The World Bank.
    13. Sebastian Edwards, 2006. "The Relationship Between Exchange Rates and Inflation Targeting Revisited," Working Papers Central Bank of Chile 409, Central Bank of Chile.
    14. Rogoff, Kenneth & Wei, Shang-Jin & Prasad, Eswar & Kose, M. Ayhan, 2009. "Financial Globalization and Economic Policies," CEPR Discussion Papers 7117, C.E.P.R. Discussion Papers.
    15. Guglielmo Maria Caporale & Thouraya Hadj Amor & Christophe Rault, 2011. "Sources of Real Exchange Rate Volatility and International Financial Integration: A Dynamic GMM Panel Approach," CESifo Working Paper Series 3645, CESifo.
    16. Reinhart, Carmen, 2006. "What is next for financial globalization: Some perspective gained from the experience of capital flows to emerging market economies," MPRA Paper 13400, University Library of Munich, Germany.
    17. Paola Morales-Acevedo, 2019. "Spillover Effects of Foreign Monetary Policy on the Foreign Indebtedness of Banks and Corporations," IHEID Working Papers 17-2019, Economics Section, The Graduate Institute of International Studies, revised 05 Nov 2019.
    18. Concha, Alvaro & Galindo, Arturo José & Vasquez, Diego, 2011. "An assessment of another decade of capital controls in Colombia: 1998–2008," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 319-338.
    19. Apoorv Bhargava & Romain Bouis & Annamaria Kokenyne & Manuel Perez-Archila & Umang Rawat & Ms. Ratna Sahay, 2023. "Do Capital Controls Limit Inflow Surges?," IMF Working Papers 2023/050, International Monetary Fund.
    20. Vanessa Da Costa Val Munhoz & Gilberto Libânio, 2011. "Revisitando Os Controles De Capitais:Notas Teóricas E Evidências Empíricas," Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting] 202, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].

  27. Ehrmann, Michael & Fratzscher, Marcel & Rigobon, Roberto, 2005. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Working Paper Series 452, European Central Bank.

    Cited by:

    1. Bruce Morley, 2009. "A Comparison of Two Alternative Monetary Approaches to Exchange Rate Determination over the Long-Run," International Econometric Review (IER), Econometric Research Association, vol. 1(2), pages 63-76, April.
    2. Beltratti, Andrea & Morana, Claudio, 2010. "International house prices and macroeconomic fluctuations," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 533-545, March.
    3. Lise Clain-Chamosset-Yvrard & Takashi Kamihigashi, 2015. "International Transmission of Bubble Crashes in a Two-Country Overlapping Generations," Discussion Paper Series DP2015-43, Research Institute for Economics & Business Administration, Kobe University.
    4. Marfatia, Hardik A., 2017. "A fresh look at integration of risks in the international stock markets: A wavelet approach," Review of Financial Economics, Elsevier, vol. 34(C), pages 33-49.
    5. Fabio C. Bagliano & Claudio Morana, 2006. "International Macroeconomic Dynamics: a Factor Vector Autoregressive Approach," ICER Working Papers 41-2006, ICER - International Centre for Economic Research.
    6. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, September.
    7. Bredin, Don & Hyde, Stuart & Reilly, Gerard O., 2010. "Monetary policy surprises and international bond markets," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 988-1002, October.
    8. Lütkepohl, Helmut & Netšunajev, Aleksei, 2017. "Structural vector autoregressions with heteroskedasticity: A review of different volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 2-18.
    9. Bredin, Don & Hyde, Stuart & O'Reilly, Gerard, 2005. "European Monetary Policy Surprises: The Aggregate and Sectoral Stock Market Response," Research Technical Papers 10/RT/05, Central Bank of Ireland.
    10. Ivan Indriawan & Feng Jiao & Yiuman Tse, 2019. "The impact of the US stock market opening on price discovery of government bond futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 779-802, July.
    11. Gustavo Adler & Ms. Carolina Osorio-Buitron, 2017. "Tipping the Scale? The Workings of Monetary Policy through Trade," IMF Working Papers 2017/142, International Monetary Fund.
    12. Jean-Baptiste Gossé & Cyriac Guillaumin, 2011. "The impact of external shocks on the eurozone: a structural VAR model," Working Papers hal-00610024, HAL.
    13. Belke, Ansgar & Dubova, Irina, 2017. "International spillovers in global asset markets," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168087, Verein für Socialpolitik / German Economic Association.
    14. Parhizgari, A.M. & Pavlova, I., 2007. "Post-euro EU and US interest rates and foreign exchange rates: Are they in harmony or in disarray," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(5), pages 616-636, December.
    15. Yip, Pick Schen & Lau, Wee-Yeap & Brooks, Robert, 2024. "Portfolio balance effect of the U.S. QE between commodities and financial assets in commodity-exporting countries," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    16. Felices, Guillermo & Grisse, Christian & Yang, Jing, 2009. "International financial transmission: emerging and mature markets," Bank of England working papers 373, Bank of England.
    17. Harm Bandholz & Jorg Clostermann & Franz Seitz, 2009. "Explaining the US bond yield conundrum," Applied Financial Economics, Taylor & Francis Journals, vol. 19(7), pages 539-550.
    18. Marfatia, Hardik A., 2015. "Monetary policy's time-varying impact on the US bond markets: Role of financial stress and risks," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 103-123.
    19. Grobys, Klaus, 2015. "Are volatility spillovers between currency and equity market driven by economic states? Evidence from the US economy," Economics Letters, Elsevier, vol. 127(C), pages 72-75.
    20. Moura, Marcelo L. & Gaião, Rafael Ladeira, 2012. "Impact of macroeconomic surprises on the brazilian yield curve and expected inflation," Insper Working Papers wpe_288, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    21. Massimo Guidolin & Manuela Pedio, 2019. "Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes," BAFFI CAREFIN Working Papers 19118, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    22. Frederic S. Mishkin, 2008. "Globalization, Macroeconomic Performance, and Monetary Policy," NBER Working Papers 13948, National Bureau of Economic Research, Inc.
    23. POPOVICI, Oana Cristina, 2015. "A Volatility Analysis Of The Euro Currency And The Bond Market," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 19(1), pages 67-79.
    24. Taeyoon Sung & Jong-Hee Kim, 2016. "Unconventional Monetary Policy, Global Liquidity Circulation, and Inflation Divergence around the World," The Developing Economies, Institute of Developing Economies, vol. 54(1), pages 6-26, March.
    25. Fabio C. Bagliano & Claudio Morana, 2007. "Business Cycle Comovement in the G-7: Common Shocks or Common Transmission Mechanisms?," Carlo Alberto Notebooks 40, Collegio Carlo Alberto.
    26. Abdul Hakim & Michael McAleer, 2010. "Modelling the interactions across international stock, bond and foreign exchange markets," Applied Economics, Taylor & Francis Journals, vol. 42(7), pages 825-850.
    27. Bartkiewicz Piotr, 2018. "The Impact of Quantitative Easing on Emerging Markets – Literature Review," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(4), pages 67-76, December.
    28. Joshua Hausman & Jon Wongswan, 2006. "Global asset prices and FOMC announcements," International Finance Discussion Papers 886, Board of Governors of the Federal Reserve System (U.S.).
    29. Dimitrios Louzis, 2015. "Measuring spillover effects in Euro area financial markets: a disaggregate approach," Empirical Economics, Springer, vol. 49(4), pages 1367-1400, December.
    30. Tamim Bayoumi & Trung Bui, 2011. "Apocalypse Then: The Evolution of the North Atlantic Economy and the Global Crisis," RBA Annual Conference Volume (Discontinued), in: Hugo Gerard & Jonathan Kearns (ed.),The Australian Economy in the 2000s, Reserve Bank of Australia.
    31. Jean-Baptiste Gossé & Cyriac Guillaumin, 2010. "L'impact des chocs externes sur et dans la zone euro : un modèle VAR structurel," Working Papers hal-00493384, HAL.
    32. Matthias Fengler & Winfried Koeniger & Stephan Minger, 2024. "The Transmission of Monetary Policy to the Cost of Hedging," CESifo Working Paper Series 11556, CESifo.
    33. Rigobón, Roberto, 2019. "Contagion, spillover, and interdependence," LSE Research Online Documents on Economics 123173, London School of Economics and Political Science, LSE Library.
    34. Suleyman Hilmi Kal & Ferhat Arslaner & Nuran Arslaner, 2015. "The Dynamic Relationship Between Stock, Bond and Foreign Exchange Markets," Working Papers 1512, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    35. Costola, Michele & Lorusso, Marco, 2021. "Spillovers among Energy Commodities and the Russian Stock Market," MPRA Paper 108990, University Library of Munich, Germany.
    36. Clements, A.E. & Hurn, A.S. & Volkov, V.V., 2015. "Volatility transmission in global financial markets," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 3-18.
    37. Eraslan, Sercan & Ali, Faek Menla, 2017. "Financial crises and the dynamic linkages between stock and bond returns," Discussion Papers 17/2017, Deutsche Bundesbank.
    38. Ca' Zorzi, Michele & Dedola, Luca & Georgiadis, Georgios & Jarociński, Marek & Stracca, Livio & Strasser, Georg, 2020. "Monetary policy and its transmission in a globalised world," Working Paper Series 2407, European Central Bank.
    39. Chuliá, Helena & Guillén, Montserrat & Uribe, Jorge M., 2017. "Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis," Emerging Markets Review, Elsevier, vol. 31(C), pages 32-46.
    40. Thanda Sithole & Beatrice D. Simo-Kengne & Modeste Some, 2017. "The role of financial conditions in transmitting external shocks to South Africa," International Economics, CEPII research center, issue 150, pages 36-56.
    41. Ehrmann, Michael & Eijffinger, Sylvester & Fratzscher, Marcel, 2010. "The role of central bank transparency for guiding private sector forecasts," Working Paper Series 1146, European Central Bank.
    42. Jongrim Ha & Inhwan So, 2017. "Which Monetary Shocks Matter in Small Open Economies? Evidence from SVARs," Working Papers 2017-2, Economic Research Institute, Bank of Korea.
    43. Dungey, Mardi & Fry, Renee & Gonzalez-Hermosillo, Brenda & Martin, Vance L., 2007. "Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises," The North American Journal of Economics and Finance, Elsevier, vol. 18(2), pages 155-174, August.
    44. Kurov, Alexander & Olson, Eric & Zaynutdinova, Gulnara R., 2022. "When does the fed care about stock prices?," Journal of Banking & Finance, Elsevier, vol. 142(C).
    45. Bekaert, Geert & Hoerova, Marie & Xu, Nancy R., 2023. "Risk, monetary policy and asset prices in a global world," Working Paper Series 2879, European Central Bank.
    46. Pelin Berkmen & Eduardo A. Cavallo, 2007. "Exchange Rate Policy and Liability Dollarization: An Empirical Study," IMF Working Papers 2007/033, International Monetary Fund.
    47. Marcel Fratzscher & Daniel Schneider & Ine Van Robays, 2013. "Oil Prices, Exchange Rates and Asset Prices," CESifo Working Paper Series 4264, CESifo.
    48. Marcio Garcia & Marcelo Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014. "The impact of macroeconomic announcements in the Brazilian futures markets," Textos para discussão 623, Department of Economics PUC-Rio (Brazil).
    49. Guidolin, Massimo & Hyde, Stuart, 2008. "Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 293-312, October.
    50. Baker, Scott R. & Bloom, Nicholas & Davis, Steven J. & Sammo, Marco C., 2021. "What triggers stock market jumps?," LSE Research Online Documents on Economics 113913, London School of Economics and Political Science, LSE Library.
    51. Fratzscher, Marcel & Rieth, Malte, 2015. "Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area," CEPR Discussion Papers 10370, C.E.P.R. Discussion Papers.
    52. Lucía Cuadro Sáez & Marcel Fratzscher & Christian Thimann, 2007. "The transmission of emerging market shocks to global equity markets," Working Papers 0727, Banco de España.
    53. Takashi Miyazaki & Shigeyuki Hamori, 2016. "The determinants of a simultaneous crash in gold and stock markets: An ordered logit approach," Discussion Papers 1603, Graduate School of Economics, Kobe University.
    54. Yildirim, Zekeriya, 2016. "Global financial conditions and asset markets: Evidence from fragile emerging economies," Economic Modelling, Elsevier, vol. 57(C), pages 208-220.
    55. Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza, 2018. "The interactions between price discovery, liquidity and algorithmic trading for U.S.-Canadian cross-listed shares," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 136-152.
    56. Carrillo-Maldonado, Paul & Díaz-Cassou, Javier, 2023. "An anatomy of external shocks in the Andean region," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    57. DUMITRESCU, Sorin, 2015. "European Equity Market Return, Volatility And Liquidity Spillover Dynamics During The Eurozone Debt Crisis," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 19(2), pages 30-50.
    58. Diana Tunaru & Frank J. Fabozzi, 2021. "Not everyone is a follower: The behaviour of interest rate and equity markets within major economies relative to the United States," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2335-2350, April.
    59. Ramona Dumitriu & Razvan Stefanescu, 2016. "Impact of the NYSE Shocks on the European Developed Capital Markets," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 327-334.
    60. Manu K. S. & Surekha Nayak & Rameesha Kalra, 2022. "Through the Lens of Recession 2.0: Diversification Dynamics Between the Leading Asian Stock Markets," Vision, , vol. 26(2), pages 181-192, June.
    61. Netésunajev, Aleksei & Winkelmann, Lars, 2016. "International dynamics of inflation expectations," SFB 649 Discussion Papers 2016-019, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    62. Pedrono, Justine, 2022. "The currency channel of the global bank leverage cycle," Journal of International Money and Finance, Elsevier, vol. 126(C).
    63. Jean Boivin & Marc P. Giannoni, 2007. "Global Forces and Monetary Policy Effectiveness," NBER Chapters, in: International Dimensions of Monetary Policy, pages 429-478, National Bureau of Economic Research, Inc.
    64. Georgios Georgiadis & Martina Jancokova, 2017. "Financial Globalisation, Monetary Policy Spillovers and Macro-modelling: Tales from 1001 Shocks," Globalization Institute Working Papers 314, Federal Reserve Bank of Dallas.
    65. Georgios Magkonis & Andreas Tsopanakis, 2018. "The Financial Connectedness between Eurozone Core and Periphery: A Disaggregated View," Working Papers in Economics & Finance 2018-03, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    66. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Fed’s unconventional monetary policy and risk spillover in the US financial markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 42-52.
    67. Jongrim Ha, 2021. "Financial market spillovers of U.S. monetary policy shocks," Review of International Economics, Wiley Blackwell, vol. 29(5), pages 1221-1274, November.
    68. Rigobon, Roberto, 2016. "Contagion, spillover and interdependence," Working Paper Series 1975, European Central Bank.
    69. Till Strohsal & Christian R. Proaño & Jürgen Wolters, 2017. "Assessing the Cross-Country Interaction of Financial Cycles: Evidence from a Multivariate Spectral Analysis of the US and the UK," IMK Working Paper 182-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    70. Simone Auer, 2023. "Financial globalization and monetary transmission," Review of International Economics, Wiley Blackwell, vol. 31(2), pages 721-760, May.
    71. Xiaodong Du and Lihong Lu McPhail, 2012. "Inside the Black Box: the Price Linkage and Transmission between Energy and Agricultural Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
    72. Frederic S. Mishkin, 2009. "Globalization, Macroeconomic Performance, and Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(s1), pages 187-196, February.
    73. Michael Ehrmann & Marcel Fratzscher, 2009. "Global Financial Transmission of Monetary Policy Shocks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 739-759, December.
    74. Clostermann, Jörg & Seitz, Franz, 2005. "Are bond markets really overpriced: The case of the US," Arbeitsberichte – Working Papers 11, Technische Hochschule Ingolstadt (THI).
    75. Ata Ozkaya & Omer Altun, 2024. "Domestic and Global Causes for Exchange Rate Volatility: Evidence From Turkey," SAGE Open, , vol. 14(2), pages 21582440241, April.
    76. Reboredo, Juan C. & Ugolini, Andrea, 2020. "Price connectedness between green bond and financial markets," Economic Modelling, Elsevier, vol. 88(C), pages 25-38.
    77. Michael Ehrmann & Marcel Fratzscher & Refet S. Gürkaynak & Eric T. Swanson, 2007. "Convergence and anchoring of yield curves in the Euro area," Working Paper Series 2007-24, Federal Reserve Bank of San Francisco.
    78. HA, JONGRIM & Kim, Dohan & Kose, Ayhan M., 2024. "Resolving Puzzles of Monetary Policy Transmission in Emerging Markets," MPRA Paper 122624, University Library of Munich, Germany.
    79. Qin, Duo & Cagas, Marie Anne & Ducanes, Geoffrey & Magtibay-Ramos, Nedelyn & Quising, Pilipinas F., 2007. "Measuring Regional Market Integration in Developing Asia: a Dynamic Factor Error Correction Model (DF-ECM) Approach," Working Papers on Regional Economic Integration 8, Asian Development Bank.
    80. Alexandridis, G. & Sahoo, S. & Visvikis, I., 2017. "Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 98(C), pages 82-104.
    81. Apanard Penny Angkinand & James R. Barth & Hyeongwoo Kim, 2010. "Spillover Effects from the US Financial Crises: Some Time-Series Evidence from National Stock Returns," Chapters, in: Benton E. Gup (ed.), The Financial and Economic Crises, chapter 2, Edward Elgar Publishing.
    82. Michał Adam, 2013. "Spillovers and contagion in the sovereign CDS market," Bank i Kredyt, Narodowy Bank Polski, vol. 44(6), pages 571-604.
    83. Mardi Dungey & Denise R Osborn, 2009. "Modelling International Linkages for Large Open Economies: US and Euro Area," Centre for Growth and Business Cycle Research Discussion Paper Series 121, Economics, The University of Manchester.
    84. Refet S. Gürkaynak & Jonathan H. Wright, 2013. "Identification and Inference Using Event Studies," Manchester School, University of Manchester, vol. 81, pages 48-65, September.
    85. Andrey Duván Rincón-Torres & Kimberly Rojas-Silva & Juan Manuel Julio-Román, 2021. "The Interdependence of FX and Treasury Bonds Markets: The Case of Colombia," Borradores de Economia 1171, Banco de la Republica de Colombia.
    86. Mr. Marco Terrones & Mr. Ayhan Kose & Mr. Stijn Claessens, 2011. "Financial Cycles: What? How? When?," IMF Working Papers 2011/076, International Monetary Fund.
    87. Jarociński, Marek, 2022. "Central bank information effects and transatlantic spillovers," Journal of International Economics, Elsevier, vol. 139(C).
    88. BenSaïda, Ahmed, 2019. "Good and bad volatility spillovers: An asymmetric connectedness," Journal of Financial Markets, Elsevier, vol. 43(C), pages 78-95.
    89. Bernard Michael Gilroy & Alexander Golderbein & Christian Peitz & Nico Stöckmann, 2018. "Incentives for the finance sector: How the ECB affects banks' business assembling," Working Papers CIE 116, Paderborn University, CIE Center for International Economics.
    90. Sugimoto, Kimiko & Matsuki, Takashi & Yoshida, Yushi, 2014. "The global financial crisis: An analysis of the spillover effects on African stock markets," Emerging Markets Review, Elsevier, vol. 21(C), pages 201-233.
    91. Lakdawala, Aeimit & Moreland, Timothy & Schaffer, Matthew, 2021. "The international spillover effects of US monetary policy uncertainty," Journal of International Economics, Elsevier, vol. 133(C).
    92. Dodd, Olga & Frijns, Bart & Indriawan, Ivan & Pascual, Roberto, 2023. "US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 301-320.
    93. Lukas Boeckelmann & Arthur Stalla-Bourdillon, 2021. "Structural Estimation of Time-Varying Spillovers:an Application to International Credit Risk Transmission," Working Papers hal-03338209, HAL.
    94. Vincent Fleuriet & Catherine Lubochinsky, 2006. "Equity markets and financial stability : regulatory issues," Revue d'Économie Financière, Programme National Persée, vol. 82(1), pages 231-240.
    95. Ehrmann, Michael & Fratzscher, Marcel, 2017. "Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 26-44.
    96. Lu, Fei & Ma, Feng & Guo, Qiang, 2023. "Less is more? New evidence from stock market volatility predictability," International Review of Financial Analysis, Elsevier, vol. 89(C).
    97. Justine Pedrono, 2022. "The Currency Channel of the Global Bank Leverage Cycle," Working papers 870, Banque de France.
    98. Axel A Weber & Rafael Gerke & Andreas Worms, 2009. "Has the monetary transmission process in the euro area changed? Evidence vased on VAR estimates," BIS Working Papers 276, Bank for International Settlements.
    99. Yarovaya, Larisa & Brzeszczyński, Janusz & Goodell, John W. & Lucey, Brian & Lau, Chi Keung Marco, 2022. "Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    100. Kadilli, Anjeza & Krishnakumar, Jaya, 2022. "Smooth Transition Simultaneous Equation Models," Journal of Economic Dynamics and Control, Elsevier, vol. 145(C).
    101. Audrey Allegret & Jean-Pierre Allegret & Dalia Ibrahim, 2023. "Financial asymmetries between Euro area and the United States: An International Political Economy Perspective," Post-Print hal-04036046, HAL.
    102. Fernandez-Perez, Adrian & Frijns, Bart & Tourani-Rad, Alireza, 2016. "Contemporaneous interactions among fuel, biofuel and agricultural commodities," Energy Economics, Elsevier, vol. 58(C), pages 1-10.
    103. Kuik, Onno & Zhou, Fujin & Ciullo, Alessio & Brusselaers, Jan, 2022. "How vulnerable is Europe to severe climate-related natural disasters abroad? A dynamic CGE analysis of the international financial and economic impacts of a large hurricane in the southern USA," Conference papers 333438, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    104. Lütkepohl, Helmut & Velinov, Anton, 2014. "Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity," SFB 649 Discussion Papers 2014-009, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    105. Gustavo Adler & Carolina Osorio Buitron, 2019. "Policy mix and the U.S. trade balance," International Finance, Wiley Blackwell, vol. 22(2), pages 138-154, August.
    106. Helmut Lütkepohl & Aleksei Netšunajev, 2015. "Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models," CESifo Working Paper Series 5308, CESifo.
    107. Coleman, Andrew & Karagedikli, Özer, 2012. "The relative size of exchange rate and interest rate responses to news: An empirical investigation," The North American Journal of Economics and Finance, Elsevier, vol. 23(1), pages 1-19.
    108. Tamgac, Unay, 2021. "Emerging market exchange rates during quantitative tapering: The effect of US and domestic news," Research in International Business and Finance, Elsevier, vol. 57(C).
    109. Alexander Chudik & Marcel Fratzscher, 2012. "Liquidity, risk and the global transmission of the 2007–08 financial crisis and the 2010–11 sovereign debt crisis title," Globalization Institute Working Papers 107, Federal Reserve Bank of Dallas.
    110. Elsayed, Ahmed H. & Ahmed, Habib & Husam Helmi, Mohamad, 2023. "Determinants of financial stability and risk transmission in dual financial system: Evidence from the COVID pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    111. Mesly, Olivier & Chkir, Imed & Racicot, François-Éric, 2019. "Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?," Economic Modelling, Elsevier, vol. 78(C), pages 11-31.
    112. Belke, Ansgar & Dubova, Irina & Volz, Ulrich, 2017. "Bond Yield Spillovers from Major Advanced Economies to Emerging Asia," GLO Discussion Paper Series 41, Global Labor Organization (GLO).
    113. Marco Cipriani & Sven Fischer & Antonio Guarino & Giovanni Guazzarotti & Federico Tagliati, 2015. "Informational contagion in the laboratory," Staff Reports 715, Federal Reserve Bank of New York.
    114. Mehl, Arnaud, 2006. "The yield curve as a predictor and emerging economies," Working Paper Series 691, European Central Bank.
    115. Johansson, Anders C., 2010. "Stock and Bond Relationships in Asia," Working Paper Series 2010-14, Stockholm School of Economics, China Economic Research Center.
    116. ter Ellen, Saskia & Jansen, Edvard & Midthjell, Nina Larsson, 2020. "ECB Spillovers and domestic monetary policy effectiveness in small open economies," European Economic Review, Elsevier, vol. 121(C).
    117. Hafedh Bouakez & Denis Larocque & Michel Normandin, 2018. "Separating the wheat from the chaff: A disaggregate analysis of the effects of public spending in the US," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 51(2), pages 361-390, May.
    118. Jongrim Ha, 2020. "Nonlinear transmission of U.S. monetary policy shocks to international financial markets," International Finance, Wiley Blackwell, vol. 23(3), pages 350-369, December.
    119. Fengler, Matthias & Polivka, Jeannine, 2021. "Proxy-identification of a structural MGARCH model for asset returns," Economics Working Paper Series 2103, University of St. Gallen, School of Economics and Political Science, revised Oct 2024.
    120. Andrea Beltratti & Claudio Morana, 2008. "International shocks and national house prices," ICER Working Papers - Applied Mathematics Series 14-2008, ICER - International Centre for Economic Research.
    121. Piotr Jaworski & Kamil Liberadzki & Marcin Liberadzki, 2017. "Contagion And Divergence On Sovereign Bond Markets," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 6(4), pages 39-68.
    122. Zhang, Yi & Zhou, Long & Wu, Baoxiu & Liu, Fang, 2024. "Tail risk transmission from the United States to emerging stock Markets: Empirical evidence from multivariate quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
    123. Chang Shu & Dong He & Honglin Wang & Jinyue Dong, 2015. "The influence of Chinese and US financial markets on Asia-Pacific," BIS Papers chapters, in: Bank for International Settlements (ed.), Cross-border Financial Linkages: Challenges for Monetary Policy and Financial Stability, volume 82, pages 7-24, Bank for International Settlements.
    124. Ozili, Peterson K, 2025. "Exchange rate and financial inclusion," MPRA Paper 123292, University Library of Munich, Germany.
    125. Herwartz, Helmut & Morales-Arias, Leonardo, 2010. "An empirical analysis of the relationship between US monetary policy and international asset prices," Kiel Working Papers 1581, Kiel Institute for the World Economy (IfW Kiel).
    126. Küçükkocaoğlu, Güray & Ünalmış, Deren & Ünalmış, İbrahim, 2013. "How do banks' stock returns respond to monetary policy committee announcements in Turkey? Evidence from traditional versus new monetary policy episodes," Economic Modelling, Elsevier, vol. 35(C), pages 536-545.
    127. Wang, Kai-Li & Fawson, Christopher & Chen, Mei-Ling & Wu, An-Chi, 2014. "Characterizing information flows among spot, deliverable forward and non-deliverable forward exchange rate markets: A cross-country comparison," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 115-137.
    128. Ariño, Miguel A. & Canela, Miguel A., 2006. "Study of the dollar-euro exchange rate," IESE Research Papers D/620, IESE Business School, revised 30 Mar 2006.
    129. Ji, Qiang & Liu, Bing-Yue & Cunado, Juncal & Gupta, Rangan, 2020. "Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    130. Eric Martial Etoundi Atenga & Mbodja Mougoué, 2021. "Return and volatility spillovers to African equity markets and their determinants," Empirical Economics, Springer, vol. 61(2), pages 883-918, August.
    131. Balazs Egert & Lubos Komarek, 2005. "Foreign Exchange Interventions and Interest Rate Policy in the Czech Republic: Hand in Glove?," Working Papers 2005/07, Czech National Bank.
    132. Fengler, Matthias & Polivka, Jeanine, 2022. "Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model," VfS Annual Conference 2022 (Basel): Big Data in Economics 264010, Verein für Socialpolitik / German Economic Association.
    133. Murat Duran & Gulserim Ozcan & Pinar Ozlu & Deren Unalmis, 2010. "Measuring the Impact of Monetary Policy on Asset Prices in Turkey (Turkiye�de Para Politikasinin Finansal Varlik Fiyatlari Uzerine Etkisi)," Working Papers 1017, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    134. Bruno Ćorić & Lena Malešević Perović & Vladimir Šimić, 2016. "Openness and the Strength of Monetary Transmission: International Evidence," Acta Oeconomica, Akadémiai Kiadó, Hungary, vol. 66(4), pages 639-659, December.
    135. Liow, Kim Hiang, 2015. "Volatility spillover dynamics and relationship across G7 financial markets," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 328-365.
    136. Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2021. "The impact of Euro through time: Exchange rate dynamics under different regimes," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1375-1408, January.
    137. Liao, Jia & Qian, Qi & Xu, Xiangyun, 2018. "Whether the fluctuation of China’s financial markets have impact on global commodity prices?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1030-1040.
    138. Chen, Bin-xia & Sun, Yan-lin, 2024. "Financial market connectedness between the U.S. and China: A new perspective based on non-linear causality networks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
    139. Òscar Jordà & Moritz Schularick & Alan M. Taylor & Felix Ward, 2018. "Global Financial Cycles and Risk Premiums," Working Paper Series 2018-5, Federal Reserve Bank of San Francisco.
    140. Zheng, Xuyun & Pan, Zheng, 2022. "Responding to import surges: Price transmission from international to local soybean markets," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 584-597.
    141. Marinela Adriana Finta & Bart Frijns & Alireza Tourani-Rad, 2019. "Time-varying contemporaneous spillovers during the European Debt Crisis," Empirical Economics, Springer, vol. 57(2), pages 423-448, August.
    142. Lise Clain-Chamosset-Yvrard & Takashi Kamihigashi, 2017. "International transmission of bubble crashes in a two-country overlapping generations model," Post-Print hal-01505766, HAL.
    143. Ellis B. Heath & Seth J. Kopchak, 2015. "The Response of the Mexican Equity Market to US Monetary Surprises," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(2), pages 87-111, August.
    144. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95, October –.
    145. Y.L. Cheung & Y.W. Cheung & K.C. Ng, 2003. "East Asian Equity Markets, Financial Crises, and the Japanese Currency," Working Papers 032003, Hong Kong Institute for Monetary Research.
    146. Dimitrios P. Louzis, 2013. "Measuring return and volatility spillovers in euro area financial markets," Working Papers 154, Bank of Greece.
    147. Marco Cipriani & Graciela L. Kaminsky, 2006. "Volatility in International Financial Market Issuance: The Role of the Financial Center," NBER Working Papers 12587, National Bureau of Economic Research, Inc.
    148. Murat Duran & Pinar Ozlu & Deren Unalmis, 2010. "TCMB Faiz Kararlarinin Hisse Senedi Piyasalari Uzerine Etkisi," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 10(2), pages 23-32.
    149. Pourkhanali, Armin & Tafakori, Laleh & Bee, Marco, 2023. "Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect," International Review of Financial Analysis, Elsevier, vol. 89(C).
    150. Kai-Li Wang & Mei-Ling Chen, 2007. "The dynamics in the spot, futures, and call options with basis asymmetries: an intraday analysis in a generalized multivariate GARCH-M MSKST framework," Review of Quantitative Finance and Accounting, Springer, vol. 29(4), pages 371-394, November.
    151. Winkelmann, Lars & Netsunajev, Aleksei, 2015. "International Transmissions of Inflation Expectations in a Markov Switching Structural VAR Model," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112900, Verein für Socialpolitik / German Economic Association.
    152. Agnieszka Gehringer & Thomas Mayer, 2019. "Understanding low interest rates: evidence from Japan, Euro Area, United States and United Kingdom," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(1), pages 28-53, February.
    153. Gnagne, Pascal Xavier & Bonga-Bonga, Lumengo, 2020. "The Impact of Exchange Rate Volatility on the Security Markets in BRICS Economies," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 73(1), pages 21-50.
    154. Zhenzhong Fan & Xing Chen, 2024. "The Impact of Unconventional Monetary Policy on China’s Economic and Financial Cycle: Application of a Structural Vector Autoregression Model Based on High-Frequency Data," Mathematics, MDPI, vol. 12(13), pages 1-25, June.
    155. Gordon, Leo-Rey, 2015. "The Absorption Ratio as an Indicator for Macro-prudential Monitoring in Jamaica," MPRA Paper 69966, University Library of Munich, Germany.
    156. Gonzalez-Hermosillo Gonzalez, B.M., 2008. "Transmission of shocks across global financial markets : The role of contagion and investors' risk appetite," Other publications TiSEM d684f3c7-7ad8-4e93-88cf-a, Tilburg University, School of Economics and Management.
    157. Vítor Manuel de Sousa Gabriel & David Rodeiro‐Pazos, 2018. "Do Short‐ and Long‐Term Environmental Investments Follow the Same Path?," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 25(1), pages 14-28, January.
    158. Herwartz, Helmut & Roestel, Jan, 2022. "Asset prices, financial amplification and monetary policy: Structural evidence from an identified multivariate GARCH model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    159. Keun Yeong Lee, 2023. "The synchronization between Korea's and Japan's business cycles," Asian Economic Journal, East Asian Economic Association, vol. 37(4), pages 435-465, December.
    160. Forti Grazzini, Caterina & Rieth, Malte, 2017. "Interest Rates and Exchange Rates in Normal and Crisis Times," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168281, Verein für Socialpolitik / German Economic Association.
    161. Emanuele BACCHIOCCHI & Luca FANELLI, 2012. "Identification in structural vector autoregressive models with structural changes," Departmental Working Papers 2012-16, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    162. Christian Grisse, 2020. "The effect of monetary policy on the Swiss franc: an SVAR approach," Working Papers 2020-02, Swiss National Bank.
    163. Mr. Tamim Bayoumi & Mr. Trung T Bui, 2012. "Global Bonding: Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets?," IMF Working Papers 2012/298, International Monetary Fund.
    164. Rebecca Hellerstein, 2011. "Global bond risk premiums," Staff Reports 499, Federal Reserve Bank of New York.
    165. Peter Claeys & Rosina Moreno & Jordi Suriñach, 2010. "Fiscal Policy and Interest Rates: The Role of Financial and Economic Integration," Advances in Spatial Science, in: Antonio Páez & Julie Gallo & Ron N. Buliung & Sandy Dall'erba (ed.), Progress in Spatial Analysis, pages 311-336, Springer.
    166. Fratzscher, Marcel & Chudik, Alexander, 2012. "Liquidity, risk and the global transmission of the 2007-08 financial crisis and the 2010-2011 sovereign debt crisis," Working Paper Series 1416, European Central Bank.
    167. Sandoval Paucar, Giovanny, 2018. "Efectos de desbordamiento sobre los mercados financieros de Colombia. Identificación a través de la heterocedasticidad [Spillovers effects on financial markets of Colombia. Identification through h," MPRA Paper 90422, University Library of Munich, Germany.
    168. Shaen Corbet, 2014. "The Contagion Effects of Sovereign Downgrades: Evidence from the European Financial Crisis," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 83-92.
    169. Vincent Fleuriet & Catherine Lubochinsky, 2006. "Marchés d’actions et stabilité financière : les enjeux de la régulation," Revue d'Économie Financière, Programme National Persée, vol. 82(1), pages 251-261.
    170. Bonga-Bonga, Lumengo & Gnagne, Pascal Xavier, 2017. "The impact of exchange rate volatility on capital flows in BRICS economies," MPRA Paper 84773, University Library of Munich, Germany.
    171. Lise Claini-Chamosset-Yvrard & Takashi Kamihigashi, 2015. "International Transmission of Bubble Crashes: Stationary Sunspot Equilibria in a Two-Country Overlapping Generations Model," Discussion Paper Series DP2015-21, Research Institute for Economics & Business Administration, Kobe University.
    172. Fratzscher, Marcel & Stracca, Livio, 2009. "Does it pay to have the euro? Italy’s politics and financial markets under the lira and the euro," Working Paper Series 1064, European Central Bank.
    173. Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
    174. De Santis, Roberto A. & Zimic, Srečko, 2017. "Spillovers among sovereign debt markets: identification by absolute magnitude restrictions," Working Paper Series 2055, European Central Bank.
    175. Neharika Sobti, 2018. "Domestic intermarket linkages: measuring dynamic return and volatility connectedness among Indian financial markets," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 45(4), pages 325-344, December.
    176. Michael Hachula & Malte Rieth, 2017. "Identifying Speculative Demand Shocks in Commodity Futures Markets through Changes in Volatility," Discussion Papers of DIW Berlin 1646, DIW Berlin, German Institute for Economic Research.
    177. Pami Dua & Divya Tuteja, 2013. "Interdependence Of International Financial Market-- The Case Of India And U.S," Working papers 223, Centre for Development Economics, Delhi School of Economics.
    178. Abad, Pilar & Alsakka, Rasha & ap Gwilym, Owain, 2018. "The influence of rating levels and rating convergence on the spillover effects of sovereign credit actions," Journal of International Money and Finance, Elsevier, vol. 85(C), pages 40-57.
    179. Sandoval Paucar, Giovanny, 2021. "A Conditional Correlation Analysis For The Colombian Stock Market," MPRA Paper 107963, University Library of Munich, Germany.
    180. Weber, Enzo, 2007. "Who leads financial markets?," SFB 649 Discussion Papers 2007-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    181. Jong-Hee Kim, 2017. "Monetary policy spillovers and currency crisis in comparative perspective: East Asia before the 1997 crisis and Eastern Europe after tapering," The World Economy, Wiley Blackwell, vol. 40(12), pages 2752-2770, December.
    182. Guray Kucukkocaoglu & Deren Unalmis & Ibrahim Unalmis, 2013. "How do Banks� Stock Returns Respond to Monetary Policy Committee Announcements in Turkey? Evidence from Traditional versus New Monetary Policy Episodes," Working Papers 1330, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    183. Ashvin Ahuja & Suchot Piamchol & Bunnaree Punnarach & Tientip Subhanij, 2008. "Globalization and Monetary Policy Effectiveness," Working Papers 2008-05, Monetary Policy Group, Bank of Thailand.
    184. Luigi Bonatti & Andrea Fracasso & Roberto Tamborini, 2021. "Monetary and Fiscal Spillovers Across the Atlantic: The Role of Financial Markets," DEM Working Papers 2021/09, Department of Economics and Management.
    185. Fratzscher, Marcel & Straub, Roland, 2009. "Asset prices and current account fluctuations in G7 economies," Working Paper Series 1014, European Central Bank.
    186. Helmut Lütkepohl, 2012. "Identifying Structural Vector Autoregressions via Changes in Volatility," Discussion Papers of DIW Berlin 1259, DIW Berlin, German Institute for Economic Research.
    187. Fabio Fornari, 2005. "The rise and fall of US dollar interest rate volatility: evidence from swaptions," BIS Quarterly Review, Bank for International Settlements, September.
    188. Xiaodong Du & Lihong Lu McPhail, 2012. "Inside the Black Box: the Price Linkage and Transmission between Energy and Agricultural Markets," The Energy Journal, , vol. 33(2), pages 171-194, April.
    189. Philippas, Dionisis & Siriopoulos, Costas, 2013. "Putting the “C” into crisis: Contagion, correlations and copulas on EMU bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 161-176.
    190. Yip, Pick Schen & Brooks, Robert & Do, Hung Xuan & Vo, Xuan Vinh, 2022. "What drives cross-market correlations during the United States Q.E.?," International Review of Financial Analysis, Elsevier, vol. 83(C).
    191. N. K. Kishor & H. A. Marfatia, 2013. "Does federal funds futures rate contain information about the treasury bill rate?," Applied Financial Economics, Taylor & Francis Journals, vol. 23(16), pages 1311-1324, August.
    192. Michael Pfarrhofer & Anna Stelzer, 2019. "High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks," Papers 1912.03158, arXiv.org, revised Dec 2024.
    193. Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Nedelyn Magtibay-Ramos & Pilipinas F. Quising, 2006. "Measuring Regional Market Integration by Dynamic Factor Error Correction Model (DF-ECM) Approach - The Case of Developing Asia," Working Papers 565, Queen Mary University of London, School of Economics and Finance.
    194. de Jong, Pieter J. & Swanson, Peggy E., 2006. "The Euro deposit market in a global perspective," Global Finance Journal, Elsevier, vol. 16(3), pages 354-365, March.
    195. Sandoval Paucar, Giovanny, 2018. "Contagio Financiero: Una Breve Revisión De Literatura [Financial Contagio: A Review Literature]," MPRA Paper 89554, University Library of Munich, Germany.
    196. Sleibi, Yacoub & Casalin, Fabrizio & Fazio, Giorgio, 2023. "Unconventional monetary policies and credit co-movement in the Eurozone," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    197. Mr. Tamim Bayoumi & Mr. Trung T Bui, 2011. "Unforeseen Events Wait Lurking: Estimating Policy Spillovers From U.S. to Foreign Asset Prices," IMF Working Papers 2011/183, International Monetary Fund.
    198. Fratzscher, Marcel & Chudik, Alexander, 2011. "Identifying the global transmission of the 2007-09 financial crisis in a GVAR Model," Working Paper Series 1285, European Central Bank.
    199. Britta Niehof, 2014. "Spillover Effects in Government Bond Spreads: Evidence from a GVAR Model," MAGKS Papers on Economics 201458, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    200. Bernd Hayo & Britta Niehof, 2011. "Identification Through Heteroscedasticity in a Multicountry and Multimarket Framework," MAGKS Papers on Economics 201124, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    201. Vikram Rai & Lena Suchanek, 2014. "The Effect of the Federal Reserve’s Tapering Announcements on Emerging Markets," Staff Working Papers 14-50, Bank of Canada.
    202. Arestis, Philip & Phelps, Peter, 2017. "Financial market implications of monetary policy coincidences: Evidence from the UK and Euro Area government-bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 49(C), pages 88-102.
    203. Dovern, Jonas & van Roye, Björn, 2014. "International transmission and business-cycle effects of financial stress," Journal of Financial Stability, Elsevier, vol. 13(C), pages 1-17.
    204. Shu, Chang & He, Dong & Dong, Jinyue & Wang, Honglin, 2018. "Regional pull vs global push factors: China and US influence on Asian financial markets," Journal of International Money and Finance, Elsevier, vol. 87(C), pages 112-132.
    205. Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Marina (Турунцева, Марина), 2015. "Theoretical Aspects of Modeling of the SVAR [Теоретические Аспекты Моделирования Svar]," Published Papers mak8, Russian Presidential Academy of National Economy and Public Administration.
    206. Aslanidis, Nektarios & Martinez, Oscar, 2021. "Correlation regimes in international equity and bond returns," Economic Modelling, Elsevier, vol. 97(C), pages 397-410.
    207. Martin Ademmer & Wolfram Horn & Josefine Quast, 2022. "Stock market dynamics and the relative importance of domestic, foreign, and common shocks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 3911-3923, October.
    208. Zakipour-Saber, Shayan, 2019. "Forecasting in the euro area: The role of the US long rate," Economic Letters 5/EL/19, Central Bank of Ireland.
    209. Murat Duran & Refet Gurkaynak & Pinar Ozlu & Deren Unalmis, 2010. "TCMB Faiz Kararlarinin Piyasa Faizleri Ve Hisse Senedi Piyasalari Uzerine Etkisi," CBT Research Notes in Economics 1008, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    210. Massimo Guidolin & Stuart Hyde, 2008. "Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK," Working Papers 2008-005, Federal Reserve Bank of St. Louis.
    211. Domenico Lombardi, Pierre Siklos, Samantha St. Amand, 2018. "Asset Price Spillovers From Unconventional Monetary Policy: A Global Empirical Perspective," LCERPA Working Papers 0109, Laurier Centre for Economic Research and Policy Analysis, revised 30 Jan 2018.
    212. Michael Hachula & Malte Rieth, 2020. "Estimating the Impact of Financial Investments on Agricultural Futures Prices using Changes in Volatility," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(3), pages 759-785, May.
    213. Juan Manuel Candelo-Viafara & Andrés Felipe Oviedo-Gómez, 2020. "Efecto derrame del mercado internacional en las economías latinoamericanas: los casos de Chile, Brasil, Colombia y México," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia, vol. 39(70), pages 107-138, July.
    214. Raza, Hamid & Wu, Weiou, 2018. "Quantile dependence between the stock, bond and foreign exchange markets – Evidence from the UK," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 286-296.
    215. Maruska Vizek, 2019. "The Sovereign Bond Markets Return And Volatility Spillovers," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, vol. 28(2), pages 597-610, december.
    216. Andreou, Elena & Matsi, Maria & Savvides, Andreas, 2013. "Stock and foreign exchange market linkages in emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 248-268.
    217. Davidson, Sharada Nia, 2020. "Interdependence or contagion: A model switching approach with a focus on Latin America," Economic Modelling, Elsevier, vol. 85(C), pages 166-197.
    218. Bruce Morley, 2009. "Exchange Rates and Stock Prices in the Long Run and Short Run," Department of Economics Working Papers 5/09, University of Bath, Department of Economics.
    219. Valdes, Rodrigo, 2017. "What drives the regional integration of agribusiness stocks? Evidence in worldwide perspective," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258265, Agricultural and Applied Economics Association.
    220. Unalmis, Deren & Unalmis, Ibrahim, 2015. "The Effects of Conventional and Unconventional Monetary Policy Surprises on Asset Markets in the United States," MPRA Paper 62585, University Library of Munich, Germany.
    221. James D. Shilling & C.F. Sirmans & Barrett A. Slade, 2017. "Spatial Correlation in Expected Returns in Commercial Real Estate Markets and the Role of Core Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 54(3), pages 297-337, April.
    222. Tingting Lan & Liuguo Shao & Hua Zhang & Caijun Yuan, 2023. "The impact of pandemic on dynamic volatility spillover network of international stock markets," Empirical Economics, Springer, vol. 65(5), pages 2115-2144, November.
    223. Mardi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin, 2005. "Shocks And Systemic Influences: Contagion In Global Equity Markets In 1998," CAMA Working Papers 2005-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    224. Massaporn Cheuathonghua & Chaiyuth Padungsaksawasdi & Pattana Boonchoo & Jittima Tongurai, 2019. "Extreme spillovers of VIX fear index to international equity markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(1), pages 1-38, March.
    225. Ma, Xiuying & Yang, Zhihua & Xu, Xiangyun & Wang, Chengqi, 2018. "The impact of Chinese financial markets on commodity currency exchange rates," Global Finance Journal, Elsevier, vol. 37(C), pages 186-198.
    226. Výrost, Tomas & Lyócsa, Štefan & Baumöhl, Eduard, 2019. "Network-based asset allocation strategies," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 516-536.
    227. Dahlquist, Magnus & Hasseltoft, Henrik, 2013. "International Bond Risk Premia," Journal of International Economics, Elsevier, vol. 90(1), pages 17-32.
    228. Santos, Francisco Luna & Garcia, Márcio Gomes Pinto & Medeiros, Marcelo Cunha, 2016. "The High Frequency Impact of Macroeconomic Announcements in the Brazilian Futures Markets," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 36(2), November.
    229. Pierdzioch, Christian & Schertler, Andrea, 2005. "Investing in European Stock Markets for High-Technology Firms," Kiel Working Papers 1265, Kiel Institute for the World Economy (IfW Kiel).

  28. Rigobon, Roberto & Pavlova, Anna, 2005. "Wealth Transfers, Contagion and Portfolio Constraints," CEPR Discussion Papers 5117, C.E.P.R. Discussion Papers.

    Cited by:

    1. Fernando Broner & Guido Lorenzoni & Sergio Schmuckler, 2006. "Why Do Emerging Economies Borrow Short Term?," 2006 Meeting Papers 841, Society for Economic Dynamics.
    2. Pavlova, Anna & Rigobon, Roberto, 2004. "Asset Prices and Exchange Rates," Working papers 4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    3. Basak, Suleyman & Cass, David & Licari, Juan Manuel & Pavlova, Anna, 2008. "Multiplicity in general financial equilibrium with portfolio constraints," Journal of Economic Theory, Elsevier, vol. 142(1), pages 100-127, September.
    4. Berrada, Tony & Hugonnier, Julien & Rindisbacher, Marcel, 2007. "Heterogeneous preferences and equilibrium trading volume," Journal of Financial Economics, Elsevier, vol. 83(3), pages 719-750, March.
    5. Suleyman Basak & David Cass & Juan Manuel Licari & Anna Pavlova, 2006. "Multiplicity in General Financial Equilibrium with Portfolio Constraints, Second Version," PIER Working Paper Archive 06-020, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 17 Jul 2006.
    6. Pavlova, Anna & Rigobon, Roberto, 2010. "An asset-pricing view of external adjustment," Journal of International Economics, Elsevier, vol. 80(1), pages 144-156, January.
    7. Stavros Panageas, 2009. "Bailouts, the Incentive to Manage Risk, and Financial Crises," NBER Working Papers 15058, National Bureau of Economic Research, Inc.
    8. Suleyman Basak & David Cass & Juan Manuel Licari & Anna Pavlova, 2006. "Multiplicity and Sunspots in General Financial Equilibrium with Portfolio Constraints," PIER Working Paper Archive 06-012, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

  29. Roberto Rigobon & Marcio Garcia, 2004. "A Risk Management Approach to Emerging Market’s Sovereign Debt Sustainability with an application to Brazilian data," Econometric Society 2004 Latin American Meetings 24, Econometric Society.

    Cited by:

    1. Eduardo A. Cavallo & Mr. Eduardo Borensztein & Mr. Patricio A Valenzuela, 2008. "Debt Sustainability under Catastrophic Risk: The Case for Government Budget Insurance," IMF Working Papers 2008/044, International Monetary Fund.
    2. Mr. Evan C Tanner & Mr. Kevin J Carey, 2005. "The Perils of Tax Smoothing: Sustainable Fiscal Policy with Random Shocks to Permanent Output," IMF Working Papers 2005/207, International Monetary Fund.
    3. Triches, Divanildo & Sleimann Bertussi, Luis Antônio, 2017. "Multicointegração e sustentabilidade da política fiscal no Brasil com regime de quebras estruturais (1997-2015)," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 71(3), September.
    4. Mr. E. H. Gardner & Mr. Julian Di Giovanni, 2008. "A Simple Stochastic Approach to Debt Sustainability Applied to Lebanon," IMF Working Papers 2008/097, International Monetary Fund.
    5. Luiz de Mello, 2008. "Estimating a fiscal reaction function: the case of debt sustainability in Brazil," Applied Economics, Taylor & Francis Journals, vol. 40(3), pages 271-284.
    6. Andrea Fracasso, 2006. "The role of foreign and domestic factors in the evolution of the Brazilian EMBI spread and debt dynamics," IHEID Working Papers 22-2007, Economics Section, The Graduate Institute of International Studies, revised Jul 2007.
    7. Mehak Ejaz & Kalim Hyder, 2019. "A Fan Chart Approach to Debt Sustainability in Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 24(2), pages 1-23, July-Dec.
    8. Martin Melecky, 2012. "Choosing The Currency Structure Of Foreign‐Currency Debt: A Review Of Policy Approaches," Journal of International Development, John Wiley & Sons, Ltd., vol. 24(2), pages 133-151, March.
    9. International Monetary Fund, 2006. "Jamaica: Selected Issues," IMF Staff Country Reports 2006/157, International Monetary Fund.
    10. Mr. Philippe D Karam & Mr. Douglas Hostland, 2006. "Specification of a Stochastic Simulation Model for Assessing Debt Sustainability in Emerging Market Economies," IMF Working Papers 2006/268, International Monetary Fund.
    11. Ben Hassine Khalladi, Hela, 2019. "Public Debt Sustainability Assessment: A Stochastic Approach for Tunisia," MPRA Paper 93892, University Library of Munich, Germany.
    12. Mário Jorge Mendonça & Cláudio H. dos Santos, 2008. "Revisitando a Função de Reação Fiscal no Brasil Pós-Real: Uma Abordagem de Mudanças de Regime," Discussion Papers 1337, Instituto de Pesquisa Econômica Aplicada - IPEA.
    13. Hevia, Constantino, 2012. "Using pooled information and bootstrap methods to assess debt sustainability in low income countries," Policy Research Working Paper Series 5978, The World Bank.
    14. Gabriel Di Bella, 2008. "A Stochastic Framework for Public Debt Sustainability Analysis," IMF Working Papers 2008/058, International Monetary Fund.
    15. Carrera, Claudia Martínez & Vergara, Rodrigo, 2012. "Fiscal Sustainability: The Impact of Real Exchange Rate Shocks on Debt Valuation, Interest Rates and GDP Growth," World Development, Elsevier, vol. 40(9), pages 1762-1783.
    16. Chamon, Marcos & Mauro, Paolo, 2006. "Pricing growth-indexed bonds," Journal of Banking & Finance, Elsevier, vol. 30(12), pages 3349-3366, December.
    17. Alloza, Mario & Andrés, Javier & Pérez, Javier J. & Rojas, Juan A., 2020. "Implicit public debt thresholds: An operational proposal," Journal of Policy Modeling, Elsevier, vol. 42(6), pages 1408-1424.
    18. Mário Jorge Cardoso de Mendonça & Cláudio Hamilton Matos dos Santos, 2008. "Revisitando a Função de Reação Fiscal no Brasil Pós-Real: Uma Abordagem de Mudanças de Regime," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807171729460, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    19. Shalva Mkhatrishvili & Zviad Zedginidze, 2015. "Modeling Macro-Fiscal Interlinkages: Case of Georgia," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 7(1), pages 15-41, March.
    20. Eduardo Levy Yeyati & Federico Sturzenegger, 2007. "A Balance-Sheet Approach to Fiscal Sustainability," CID Working Papers 150, Center for International Development at Harvard University.
    21. Betty Daniel & Christos Shiamptanis, 2008. "Fiscal Risk in a Monetary Union," Discussion Papers 08-12, University at Albany, SUNY, Department of Economics.
    22. Graciela Laura Kaminsky & Pablo Vega-García, 2013. "Systemic and Idiosyncratic Sovereign Debt Crises," NBER Chapters, in: Sovereign Debt and Financial Crises, National Bureau of Economic Research, Inc.
    23. Jelena Stankevičienė & Sergej Rosov, 2013. "Implementation of Multi-Objective Evaluation Method in Public Debt Risk Management," Entrepreneurial Business and Economics Review, Centre for Strategic and International Entrepreneurship at the Cracow University of Economics., vol. 1(4), pages 7-19.
    24. Mr. Evan C Tanner & Issouf Samaké, 2006. "Probabilistic Sustainability of Public Debt: A Vector Autoregression Approach for Brazil, Mexico, and Turkey," IMF Working Papers 2006/295, International Monetary Fund.
    25. Ábel, István & Kóbor, Ádám, 2011. "Növekedés, deficit és adósság - fenntartható keretben [Growth, deficit and debt - in a sustainable framework]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 511-528.
    26. Sabina Khurram Jafri, 2008. "External Debt Sustainability Analysis for Pakistan: Outlook for the Medium Term," SBP Working Paper Series 27, State Bank of Pakistan, Research Department.
    27. Genberg, Hans & Sulstarova, Astrit, 2008. "Macroeconomic volatility, debt dynamics, and sovereign interest rate spreads," Journal of International Money and Finance, Elsevier, vol. 27(1), pages 26-39, February.
    28. Joris TIELENS & Bas VAN AARLE & Jan VAN HOVE, 2014. "Effects of Eurobonds: a stochastic sovereign debt sustainability analysis for Portugal, Ireland and Greece," Working Papers of Department of Economics, Leuven ces14.10, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
    29. Viviane Luporini, 2014. "Sustainability Of Brazilian Fiscalpolicy, Once Again: Corrective Policy Response Over Time," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 064, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    30. Mauro Ferreira, 2007. "Debt Maturity in a Small Open Economy Under Inflation Target," EcoMod2007 23900024, EcoMod.
    31. Udaibir S. Das & Maria A. Oliva & Takahiro Tsuda, 2012. "Sovereign Risk: A Macro-Financial Perspective," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 8(3), pages 367-392, August.
    32. Eduardo A. Cavallo & Patricio Valenzuela & Eduardo Borensztein, 2007. "La Sostenibilidad de Deuda frente a Riesgo de Catastrofes Naturales," Research Department Publications 4523, Inter-American Development Bank, Research Department.
    33. Hostland, Doug & Karam, Philippe, 2006. "Assessing debt sustainability in emerging market economies using stochastic simulation methods," Policy Research Working Paper Series 3821, The World Bank.
    34. Paloma Acevedo & Enrique Alberola & Carmen Broto, 2007. "Local debt expansion... vulnerability reduction? An assessment for six crises-prone countries," Working Papers 0733, Banco de España.
    35. Pedro Maia & Márcio Gomes Pinto Garcia, 2011. "A gerência recente do endividamento público brasileiro," Textos para discussão 595, Department of Economics PUC-Rio (Brazil).
    36. Wang, Alan T. & Yang, Sheng-Yung & Yang, Nien-Tzu, 2013. "Information transmission between sovereign debt CDS and other financial factors – The case of Latin America," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 586-601.
    37. Andrea Pescatori & Amadou N R Sy, 2007. "Are Debt Crises Adequately Defined?," IMF Staff Papers, Palgrave Macmillan, vol. 54(2), pages 306-337, June.
    38. Rai da Silva Chicoli & Siegfried Bender, 2019. "Estimation of maximum debt for emerging countries: An analysis by fiscal reaction function," Working Papers, Department of Economics 2019_44, University of São Paulo (FEA-USP).
    39. Ostry, Jonathan D. & Debrun, Xavier & Willems, Tim & Wyplosz, Charles, 2019. "Public Debt Sustainability," CEPR Discussion Papers 14010, C.E.P.R. Discussion Papers.
    40. Baum, Anja & Eyraud, Luc & Hodge, Andrew & Jarmuzek, Mariusz & Kim, Young & Mbaye, Samba & Ture, Elif, 2018. "How to calibrate fiscal rules : a primer," MPRA Paper 86423, University Library of Munich, Germany.
    41. Aleksandar Zdravkovic & Aleksandra Bradic-Martinovic, 2012. "Public Debt Sustainability in Western Balkan Countries," Book Chapters, in: Paulino Teixeira & António Portugal Duarte & Srdjan Redzepagic & Dejan Eric (ed.), European Integration Process in Western Balkan Countries, edition 1, volume 1, chapter 24, pages 472-492, Institute of Economic Sciences.
    42. Hans J. Blommestein & Javier Santiso, 2007. "New Strategies for Emerging Domestic Sovereign Bond Markets," OECD Development Centre Working Papers 260, OECD Publishing.
    43. Das, Udaibir S. & Oliva, Maria A. & Tsuda, Takahiro, 2012. "Sovereign Risk: A Macro-Financial Perspective," ADBI Working Papers 383, Asian Development Bank Institute.
    44. Tomáš Urbanovský, 2017. "Granger Causalities Between Interest Rate, Price Level, Money Supply and Real Gdp in the Czech Republic," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 65(2), pages 745-757.
    45. Ricardo Ramalhete Moreira, 2017. "Pro-cyclical fiscal policy in Brazil: long- and short-term relationships using cointegration and error correction model (2005-2015)," International Journal of Economic Policy in Emerging Economies, Inderscience Enterprises Ltd, vol. 10(2), pages 171-184.
    46. Török László, 2022. "Breakdown of Government Debt into Components in Euro Area Countries," JRFM, MDPI, vol. 15(2), pages 1-13, February.
    47. Carmen Altés, 2008. "Turismo y desarrollo en México," Research Department Publications 2008, Inter-American Development Bank, Research Department.
    48. Betty C. Daniel & Christos Shiamptanis, 2010. "Sovereign Default Risk in a Monetary Union," Working Papers 2010-3, Central Bank of Cyprus.
    49. Lima, Luiz Renato Regis de Oliveira & Sampaio, Raquel Menezes Bezerra & Gaglianone, Wagner Piazza, 2006. "Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 631, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    50. Markus Eller & Jarmila Urvová, 2012. "How Sustainable Are Public Debt Levels in Emerging Europe?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 48-79.
    51. Paloma Acevedo & Enrique Alberola & Carmen Broto, 2008. "Local debt expansion and vulnerability reduction: an assessment for six crisis-prone countries," BIS Papers chapters, in: Bank for International Settlements (ed.), New financing trends in Latin America: a bumpy road towards stability, volume 36, pages 88-109, Bank for International Settlements.

  30. Rodrik, Dani & Rigobon, Roberto, 2004. "Rule of Law, Democracy, Openness and Income: Estimating the Interrelationships," CEPR Discussion Papers 4653, C.E.P.R. Discussion Papers.

    Cited by:

    1. Eicher, Theo S. & Schreiber, Till, 2010. "Structural policies and growth: Time series evidence from a natural experiment," Journal of Development Economics, Elsevier, vol. 91(1), pages 169-179, January.
    2. José Antonio Alonso & Carlos Garcimartín, 2009. "The Determinants of Institutional Quality. More on the Debate," Discussion Papers 09/04, University of Nottingham, CREDIT.
    3. Constantinos Alexiou & Persefoni Tsaliki & Hashim Rasha Osman, 2014. "Institutional Quality And Economic Growth: Empirical Evidence From The Sudanese Economy," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 59(203), pages 119-138, October –.
    4. Natalia Zugravu, 2018. "The impact of trade in environmental goods on pollution: what are we learning from the transition economies’ experience?," Post-Print hal-02509936, HAL.
    5. Stefano Clo & Enrico Marvasi & Giorgio Ricchiuti, 2021. "The Internationalization of State-Owned Enterprises: An Analysis of cross-border M&As," Working Papers - Economics wp2021_06.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
    6. Ugur, Mehmet, 2010. "Institutions and economic performance: a review of the theory and evidence," MPRA Paper 25909, University Library of Munich, Germany, revised Oct 2010.
    7. Linda Chor Wing Yung & Sam Hak-Kan Tang, 2005. "Does Rapid Economic Growth Accelerate Democratization? Time-Series Evidence from High Performing Asian Economies," Economics Discussion / Working Papers 05-20, The University of Western Australia, Department of Economics.
    8. J. Ernesto Lopez-Cordova & Christopher M. Meissner, 2005. "The Globalization of Trade and Democracy, 1870-2000," NBER Working Papers 11117, National Bureau of Economic Research, Inc.
    9. Sambit Bhattacharyya & Steve Dowrick & Jane Golley, 2009. "Institutions and Trade: Competitors or Complements in Economic Development?," The Economic Record, The Economic Society of Australia, vol. 85(270), pages 318-330, September.
    10. Ye Bai & Christopher Green, 2011. "Determinants of cross-sectional stock return variations in emerging markets," Empirical Economics, Springer, vol. 41(1), pages 81-102, August.
    11. Agell, Jonas & Persson, Mats, 2006. "Bevolent Planners, Malevolent Dictators and Democratic Voters," Research Papers in Economics 2006:6, Stockholm University, Department of Economics.
    12. Madeeha Gohar Qureshi & Eatzaz Ahmed, 2012. "The Inter-linkages between Democracy and Per Capita GDP Growth: A Cross Country Analysis," PIDE-Working Papers 2012:85, Pakistan Institute of Development Economics.
    13. Houda Haffoudhi & Rihab Bellakhal, 2020. "Threshold Effect of Globalization on Democracy: the Role of Demography," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 11(4), pages 1690-1707, December.
    14. Pelin Berkmen & Eduardo A. Cavallo, 2007. "Exchange Rate Policy and Liability Dollarization: An Empirical Study," IMF Working Papers 2007/033, International Monetary Fund.
    15. José Antonio Alonso & Carlos Garcimartín, 2011. "Does Aid Hinder Tax Efforts? More Evidence," Discussion Papers 11/04, University of Nottingham, CREDIT.
    16. Francisco Rodriguez, 2007. "Openness and growth: what have we learned?," Working Papers 51, United Nations, Department of Economics and Social Affairs.
    17. Kamal Ray & Ramesh Das, 2015. "Are performances in Governance Indicators Complementary to Corruption Abatement? A Cross-Country Analysis," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 4(3), pages 01-10, July.
    18. Anna Kukla-Gryz, 2006. "Use of structural equation modeling to examine the relationships between growth, trade and the environment in developing countries," Sustainable Development, John Wiley & Sons, Ltd., vol. 14(5), pages 327-342.
    19. Assi Okara, 2018. "Developing inclusive economic institutions in South countries: The role of FDI," Working Papers halshs-01845085, HAL.
    20. Raghav Gaiha & Katsushi Imai, 2006. "Agricultural growth, employment and wage rates in developing countries," Economics Discussion Paper Series 0621, Economics, The University of Manchester.
    21. Toke S. Aidt & Martin Gassebner, 2010. "Do Autocratic States Trade Less?," The World Bank Economic Review, World Bank, vol. 24(1), pages 38-76, January.
    22. Alali, Walid Y., 2010. "Role of Political Institutions on Economic Growth: Empirical Evidence," EconStor Preprints 269879, ZBW - Leibniz Information Centre for Economics.
    23. Cervellati Matteo & Fortunato Piergiuseppe & Sunde Uwe, 2012. "Consensual and Conflictual Democratization," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 12(1), pages 1-51, December.
    24. Hillebrand Evan E & Lewer Joshua J. & Zagardo Janice Turtora, 2011. "Backtracking from Globalization," Global Economy Journal, De Gruyter, vol. 10(4), pages 1-19, January.
    25. Nyarko, Julian, 2019. "We’ll See You in . . . Court! The lack of arbitration clauses in international commercial contracts," International Review of Law and Economics, Elsevier, vol. 58(C), pages 6-24.
    26. Vatcharin Sirimaneetham, 2006. "What drives liberal policies in developing countries?," Bristol Economics Discussion Papers 06/587, School of Economics, University of Bristol, UK.
    27. Duha Altindag & Naci Mocan, 2010. "Joblessness and Perceptions about the Effectiveness of Democracy," Journal of Labor Research, Springer, vol. 31(2), pages 99-123, June.
    28. Meng-jieu Chen, 2017. "Environmental governance: disentangling the relationship between economic growth and rule of law on environmental policy stringency," Letters in Spatial and Resource Sciences, Springer, vol. 10(2), pages 253-275, July.
    29. Eatzaz Ahmad & Muhammad Zakaria, 2011. "Openness and Democracy: Some Evidence from Pakistan," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 175-185.
    30. Papaioannou, Elias & Siourounis, Gregorios, 2008. "Economic and social factors driving the third wave of democratization," Journal of Comparative Economics, Elsevier, vol. 36(3), pages 365-387, September.
    31. Mr. Rabah Arezki & Frederik van der Ploeg, 2007. "Can the Natural Resource Curse Be Turned Into a Blessing? The Role of Trade Policies and Institutions," IMF Working Papers 2007/055, International Monetary Fund.
    32. Alali, Walid Y., 2010. "Impact of Institutions and Policy on Economic Growth: Empirical Evidence," MPRA Paper 115610, University Library of Munich, Germany.
    33. Dawid Piątek & Katarzyna Sarzec, 2009. "Państwo a dobrobyt ekonomiczny - między wolnością a przymusem," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 5-6, pages 1-19.
    34. Ethan Kapstein & Nathan Converse, 2006. "The Economics of Young Democracies: Policies and Performance," Working Papers 85, Center for Global Development.
    35. Mehmet Demirbag & Martina McGuinness & Hüseyin Altay, 2010. "Perceptions of Institutional Environment and Entry Mode," Management International Review, Springer, vol. 50(2), pages 207-240, April.
    36. Asongu, Simplice A & Singh, Pritam & Le Roux, Sara, 2016. "Fighting Software Piracy: Some Global Conditional Policy Instruments," MPRA Paper 73088, University Library of Munich, Germany, revised Aug 2016.
    37. Aytül Ganİoğlu, 2016. "Financial and Political Institutional Problems as Instigators of Banking Crises," The Developing Economies, Institute of Developing Economies, vol. 54(4), pages 292-312, December.
    38. Do, Quy-Toan & Levchenko, Andrei A., 2006. "Comparative advantage, demand for external finance, and financial development," Policy Research Working Paper Series 3889, The World Bank.
    39. Samarasinghe, Tharanga, 2018. "Impact of Governance on Economic Growth," MPRA Paper 89834, University Library of Munich, Germany.
    40. Biliang Hu & Xing Tang & Lin Yin & Qian Liu, 2021. "Emerging Markets Redefined: Comprehensive Measurement and Future Prospects," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 13(2), pages 165-191, May.
    41. Lau, Lin-Sea & Choong, Chee-Keong & Eng, Yoke-Kee, 2014. "Carbon dioxide emission, institutional quality, and economic growth: Empirical evidence in Malaysia," Renewable Energy, Elsevier, vol. 68(C), pages 276-281.
    42. Kaufmann, Daniel & Kraay, Aart & Mastruzzi, Massimo, 2005. "Governance matters IV : governance indicators for 1996-2004," Policy Research Working Paper Series 3630, The World Bank.
    43. Kaufmann, Daniel & Bellver, Ana, 2005. "Transparenting Transparency: Intial Empirics and Policy Applications," MPRA Paper 8188, University Library of Munich, Germany.
    44. Andrea F. Presbitero, 2006. "Institutions and geography as sources of economic development," Journal of International Development, John Wiley & Sons, Ltd., vol. 18(3), pages 351-378.
    45. Natalia Zugravu-Soilita, 2016. "Trade in environmental goods and sustainable development: What are we learning from the transition economies’ experience?," Working Papers 2016.16, FAERE - French Association of Environmental and Resource Economists.
    46. Baris Kablamaci, 2019. "Does economic openness affect liberal and electoral democracy in a different way? Empirical evidence from developing countries," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(3), pages 404-433, July.
    47. Brigitte Desroches & Michael Francis, 2006. "Institutional Quality, Trade, and the Changing Distribution of World Income," Staff Working Papers 06-19, Bank of Canada.
    48. Christian Volpe Martincus & Andrés Gallo, 2009. "Institutions and Export Specialization: Just Direct Effects?," Kyklos, Wiley Blackwell, vol. 62(1), pages 129-149, February.
    49. Cole, Harold L. & Ohanian, Lee E. & Riascos, Alvaro & Schmitz, James Jr, 2005. "Latin America in the rearview mirror," Journal of Monetary Economics, Elsevier, vol. 52(1), pages 69-107, January.
    50. Ruth UWAIFO OYELERE, 2010. "Disparities In The Benefits From Democratic Reform In Nigeria: A Gender Perspective," The Developing Economies, Institute of Developing Economies, vol. 48(3), pages 345-375, September.
    51. Huo, Chunhui & Hameed, Javaria & Albasher, Gadah & Pang, Ming, 2023. "The impact of institutional quality, natural resources, and finance-growth on China's economic recovery: An empirical study," Resources Policy, Elsevier, vol. 83(C).
    52. Rabah Arezki & Frederick van der Ploeg, 2010. "Trade policies, institutions and the natural resource curse," Applied Economics Letters, Taylor & Francis Journals, vol. 17(15), pages 1443-1451.
    53. Barry Eichengreen & David Leblang, 2006. "Democracy and globalisation," BIS Working Papers 219, Bank for International Settlements.
    54. Gulzar Ali & Zhaohua Li, 2017. "An Empirical Investigation on the Role of exports, imports and its Determinants in Foreign Trade of Pakistan," Information Management and Business Review, AMH International, vol. 8(6), pages 39-58.
    55. Michael Mitsopoulos, 2009. "Envy, Institutions And Growth," Bulletin of Economic Research, Wiley Blackwell, vol. 61(3), pages 201-222, July.
    56. Cagé, Julia, 2009. "Growth, Poverty Reduction and Governance in Developing Countries: a Survey," CEPREMAP Working Papers (Docweb) 0904, CEPREMAP.
    57. Do, Quy-Toan & Levchenko, Andrei A., 2009. "Trade, inequality, and the political economy of institutions," Journal of Economic Theory, Elsevier, vol. 144(4), pages 1489-1520, July.
    58. Yüksel İLTAŞ & Gülbahar ÜÇLER, 2019. "The Influence of Institutional Quality and Financial Risk on Stock Market Index: An Empirical Study for TurkeyAbstract: This paper aims to analyze the -possible- effects of institutional quality and (," Sosyoekonomi Journal, Sosyoekonomi Society, issue 27(41).
    59. Enowbi Batuo, Michael & Kupukile, Mlambo, 2009. "How Can Economic and Political Liberalisation Improve Financial Development in African Countries?," MPRA Paper 20651, University Library of Munich, Germany.
    60. Sunde, Uwe, 2006. "Wirtschaftliche Entwicklung und Demokratie: Ist Demokratie ein Wohlstandsmotor oder ein Wohlstandsprodukt?," IZA Discussion Papers 2244, Institute of Labor Economics (IZA).
    61. Bhattacharyya, Sambit, 2012. "Trade liberalization and institutional development," Journal of Policy Modeling, Elsevier, vol. 34(2), pages 253-269.
    62. Christopher M. Meissner & Jose Ernesto Lopez Cordova, 2005. "Globalization and Democracy, 1870-2000," 2005 Meeting Papers 112, Society for Economic Dynamics.
    63. William Easterly, 2007. "Globalization, Poverty, and All That: Factor Endowment versus Productivity Views," NBER Chapters, in: Globalization and Poverty, pages 109-142, National Bureau of Economic Research, Inc.
    64. Salamatu Bellah Conteh & Yuan Yijun & Brima Sesay, 2021. "Economic Growth Effects of the Interaction of Trade Openness and Institutions Quality: Empirical Evidence from Sub-Saharan Africa," International Journal of Economics and Financial Issues, Econjournals, vol. 11(1), pages 34-48.
    65. Saoussen Ben Gamra & Dominique Plihon, 2007. "Qualité Des Institutions, Libéralisation Et Crises Bancaires Le Cas Des Pays Émergents," CEPN Working Papers hal-00574136, HAL.
    66. Ka-fu Wong & Miaojie Yu, 2015. "Democracy and Accession to GATT/WTO," Review of Development Economics, Wiley Blackwell, vol. 19(4), pages 843-859, November.
    67. Muhammad Shahid Hassan & Samra Bukhari & Noman Arshed, 2020. "Competitiveness, governance and globalization: What matters for poverty alleviation?," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 22(4), pages 3491-3518, April.
    68. Acar, Sevil & Dogruel, Fatma, 2012. "Sources of inequality in selected MENA countries," Structural Change and Economic Dynamics, Elsevier, vol. 23(3), pages 276-285.
    69. Bilin Neyapti, 2010. "Macroeconomic Institutions and Development," Books, Edward Elgar Publishing, number 12960.
    70. Rabah Arezki & Frederick van der Ploeg, 2011. "Do Natural Resources Depress Income Per Capita?," Review of Development Economics, Wiley Blackwell, vol. 15(3), pages 504-521, August.
    71. César Calderón & Norman V. Loayza & Klaus Schmidt-Hebbel, 2008. "Does Openness Imply Greater Vulnerability?," Working Papers Central Bank of Chile 485, Central Bank of Chile.
    72. Tang, Sam Hak Kan & Yung, Linda Chor Wing, 2008. "Does rapid economic growth enhance democratization? Time-series evidence from high performing Asian economies," Journal of Asian Economics, Elsevier, vol. 19(3), pages 244-253, June.
    73. Kapstein, Ethan & Converse, Nathan, 2006. "The Economics of Young Democracies: Policies and Performance," MPRA Paper 553, University Library of Munich, Germany.
    74. Irina-Elena GENTIMIR, 2015. "In The Globalization Era, Which Are The Determinants Of Growth?," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, vol. 7(1), pages 60-79, March.
    75. José Antonio Alonso & Carlos Garcimartín & Luis Rivas, 2011. "Taxes, Foreign Aid and Quality of Governance Institutions," Chapters, in: Mehmet Ugur & David Sunderland (ed.), Does Economic Governance Matter?, chapter 7, Edward Elgar Publishing.
    76. Ha Yan Lee & Luca Antonio Ricci & Roberto Rigobon, 2004. "Once Again, is Openness Good for Growth?," NBER Working Papers 10749, National Bureau of Economic Research, Inc.
    77. Yu, Miaojie, 2010. "Trade, democracy, and the gravity equation," Journal of Development Economics, Elsevier, vol. 91(2), pages 289-300, March.
    78. Robert Lavigne, 2006. "The Institutional and Political Determinants of Fiscal Adjustment," Staff Working Papers 06-1, Bank of Canada.
    79. Alali, Walid Y., 2010. "Impact of Institutions and Policy on Economic Growth: Empirical Evidence," EconStor Preprints 269878, ZBW - Leibniz Information Centre for Economics.
    80. Uwaifo Oyelere, Ruth, 2008. "Understanding Low Average Returns to Education in Africa: The Role of Heterogeneity across Education Levels and the Importance of Political and Economic Reforms," IZA Discussion Papers 3766, Institute of Labor Economics (IZA).
    81. Alali, Walid Y., 2010. "Role of Political Institutions on Economic Growth: Empirical Evidence," MPRA Paper 115611, University Library of Munich, Germany.
    82. Jensen, Olivia & Blanc-Brude, Frederic, 2006. "The handshake : why do governments and firms sign private sector participation deals ? Evidence from the water and sanitation sector in developing countries," Policy Research Working Paper Series 3937, The World Bank.
    83. Yung-hsiang Ying & Koyin Chang & Ginny ju-ann Yang & Chen-hsun Lee, 2014. "Measuring co-movement of globalization and democratization in the time–frequency space," Economics Bulletin, AccessEcon, vol. 34(1), pages 206-219.
    84. Calderon, Cesar & Loayza, Norman & Schmidt-Hebbel, Klaus, 2005. "Does openness imply greater exposure ?," Policy Research Working Paper Series 3733, The World Bank.
    85. Ghulam Rasool Madni, 2019. "Probing Institutional Quality Through Ethnic Diversity, Income Inequality and Public Spending," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 142(2), pages 581-595, April.
    86. Lubimov, I.L. (Любимов, И.Л.), 2016. "The Impact of Resource Wealth on Economic Growth: A Review of Foreign Experience and Estimates for Russia [Влияние Ресурсного Богатства На Экономический Рост: Обзор Зарубежного Опыта И Оценки Для Р," Working Papers 2044, Russian Presidential Academy of National Economy and Public Administration.
    87. Wolf, Christian, 2009. "Does ownership matter? The performance and efficiency of State Oil vs. Private Oil (1987-2006)," Energy Policy, Elsevier, vol. 37(7), pages 2642-2652, July.
    88. Javier Santiso, 2007. "Latin America's Political Economy of the Possible: Beyond Good Revolutionaries and Free-Marketeers," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262693593, December.
    89. Dani Rodrik, 2008. "The Real Exchange Rate and Economic Growth," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 39(2 (Fall)), pages 365-439.
    90. Olorunfemi Yasiru Alimi & Kazeem Bello Ajide, 2021. "The role of institutions in environment–health outcomes Nexus: empirical evidence from sub-Saharan Africa," Economic Change and Restructuring, Springer, vol. 54(4), pages 1205-1252, November.
    91. Ben Dolman, 2007. "Patterns of Migration, Trade and Foreign Direct Investment across OECD Countries," DEGIT Conference Papers c012_030, DEGIT, Dynamics, Economic Growth, and International Trade.
    92. Clò, Stefano & Florio, Massimo & Rentocchini, Francesco, 2020. "Firm ownership, quality of government and innovation: Evidence from patenting in the telecommunication industry," Research Policy, Elsevier, vol. 49(5).
    93. Ioan POPESCU, 2012. "Institutional quality: criteria, determinants and benefits," THE YEARBOOK OF THE "GH. ZANE" INSTITUTE OF ECONOMIC RESEARCHES, Gheorghe Zane Institute for Economic and Social Research ( from THE ROMANIAN ACADEMY, JASSY BRANCH), vol. 21(1), pages 59-65.
    94. Uwaifo Oyelere, Ruth, 2007. "Within and Between Gender Disparities in Income and Education Benefits from Democracy," IZA Discussion Papers 3221, Institute of Labor Economics (IZA).
    95. Assi Okara, 2018. "Developing inclusive economic institutions in South countries: The role of FDI," CERDI Working papers halshs-01845085, HAL.
    96. José Antonio Alonso & Carlos Garcimartín, 2011. "El impacto de la ayuda internacional sobre la calidad de las instituciones," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, vol. 77(02), pages 158-175.

  31. Roberto Rigobon & Anna Pavlova, 2004. "Asset Prices and Exchange Rates," Econometric Society 2004 North American Winter Meetings 579, Econometric Society.

    Cited by:

    1. Buss, Adrian, 2013. "Capital controls and international financial stability: a dynamic general equilibrium analysis in incomplete markets," Working Paper Series 1578, European Central Bank.
    2. Ma, Yong & Pan, Dongtao & Shrestha, Keshab & Xu, Weidong, 2020. "Pricing and hedging foreign equity options under Hawkes jump–diffusion processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    3. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, September.
    4. Anna Pavlova & Roberto Rigobon, 2008. "The Role of Portfolio Constraints in the International Propagation of Shocks," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 75(4), pages 1215-1256.
    5. Ghironi, Fabio & Lee, Jaewoo & Rebucci, Alessandro, 2015. "The valuation channel of external adjustment," Journal of International Money and Finance, Elsevier, vol. 57(C), pages 86-114.
    6. Philip R. Lane & Jay C. Shambaugh, 2007. "Financial Exchange Rates and International Currency Exposures," The Institute for International Integration Studies Discussion Paper Series iiisdp229, IIIS.
    7. Semyon Malamud & Andreas Schrimpf, 2018. "An intermediation-based model of exchange rates," BIS Working Papers 743, Bank for International Settlements.
    8. Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008. "On the Stability of Domestic Financial Market Linkages in the Presence of time-varying Volatility," Working Papers 0810, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    9. Croce, Mariano & Colacito, Ric & Liu, Yang & Shaliastovich, Ivan, 2018. "Volatility Risk Pass-Through," CEPR Discussion Papers 13325, C.E.P.R. Discussion Papers.
    10. Romain Baeriswyl & Alex Oktay & Marc-Antoine Ramelet, 2023. "Exchange rate shocks and equity prices: the role of currency denomination," Working Papers 2023-05, Swiss National Bank.
    11. Tille, Cédric, 2008. "Financial integration and the wealth effect of exchange rate fluctuations," Journal of International Economics, Elsevier, vol. 75(2), pages 283-294, July.
    12. Colonnello, Stefano & Curatola, Giuliano & Gioffré, Alessandro, 2019. "Pricing sin stocks: Ethical preference vs. risk aversion," European Economic Review, Elsevier, vol. 118(C), pages 69-100.
    13. Nicolas Coeurdacier & Pierre-Olivier Gourinchas, 2009. "When bonds matter: home bias in goods and assets," SciencePo Working papers Main hal-03602482, HAL.
    14. Coeurdacier, Nicolas & Kollmann, Robert Miguel W. K. & Martin, Philippe J., 2008. "International portfolios, capital accumulation and foreign assets dynamics," Discussion Paper Series 1: Economic Studies 2008,19, Deutsche Bundesbank.
    15. Markus Brunnermeier & Yuliy Sannikov, 2015. "International Credit Flows and Pecuniary Externalities," CESifo Working Paper Series 5170, CESifo.
    16. Cappiello, Lorenzo & De Santis, Roberto A., 2005. "Explaining exchange rate dynamics: the uncovered equity return parity condition," Working Paper Series 529, European Central Bank.
    17. Afees A. Salisu & Umar B. Ndako, 2017. "Modelling stock price-exchange rate nexus in OECD countries - A new perspective," Working Papers 038, Centre for Econometric and Allied Research, University of Ibadan.
    18. Elahi, M.A., 2011. "Essays on financial fragility," Other publications TiSEM 882f55bb-10dc-4e49-95ef-e, Tilburg University, School of Economics and Management.
    19. Lane, Philip & Shambaugh, Jay, 2008. "The Long or Short of it: Determinants of Foreign Currency Exposure in External Balance Sheets," CEPR Discussion Papers 6887, C.E.P.R. Discussion Papers.
    20. Zhang, Yanbing & Hua, Xiuping & Zhao, Liang, 2012. "Exploring determinants of housing prices: A case study of Chinese experience in 1999–2010," Economic Modelling, Elsevier, vol. 29(6), pages 2349-2361.
    21. Chan, Kalok & Yang, Jian & Zhou, Yinggang, 2018. "Conditional co-skewness and safe-haven currencies: A regime switching approach," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 58-80.
    22. Matteo Maggiori, 2012. "Financial Intermediation, International Risk Sharing, and Reserve Currencies," 2012 Meeting Papers 146, Society for Economic Dynamics.
    23. Gaël Giraud & Céline Rochon, 2010. "Transition to Equilibrium in International Trades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00657038, HAL.
    24. Cochrane, John. H. & Longstaff, Francis A. & Santa-Clara, Pedro, 2004. "Two Trees," University of California at Los Angeles, Anderson Graduate School of Management qt6mt207w2, Anderson Graduate School of Management, UCLA.
    25. Suleyman Hilmi Kal & Ferhat Arslaner & Nuran Arslaner, 2015. "The Dynamic Relationship Between Stock, Bond and Foreign Exchange Markets," Working Papers 1512, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    26. Nicolas Coeurdacier, 2009. "Theoretical perspectives on financial globalization: trade costs and equity home bias," Working Papers hal-01063456, HAL.
    27. Basak, Suleyman, 2005. "Asset pricing with heterogeneous beliefs," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2849-2881, November.
    28. Buffa, Andrea M. & Hodor, Idan, 2023. "Institutional investors, heterogeneous benchmarks and the comovement of asset prices," Journal of Financial Economics, Elsevier, vol. 147(2), pages 352-381.
    29. Andreas Stathopoulos, 2012. "Portfolio Home Bias and External Habit Formation," 2012 Meeting Papers 502, Society for Economic Dynamics.
    30. David Amdur, 2009. "International Diversification in Debt vs Equity," Working Papers gueconwpa~09-09-01, Georgetown University, Department of Economics.
    31. Ehling, Paul & Heyerdahl-Larsen, Christian, 2015. "Complete and incomplete financial markets in multi-good economies," Journal of Economic Theory, Elsevier, vol. 160(C), pages 438-462.
    32. Rey, Hélène & Coeurdacier, Nicolas, 2012. "Home Bias in Open Economy Financial Macroeconomics," CEPR Discussion Papers 8746, C.E.P.R. Discussion Papers.
    33. Saeed, Shifa Mohamed & Abdeljawad, Islam & Hassan, M. Kabir & Rashid, Mamunur, 2023. "Dependency of Islamic bank rates on conventional rates in a dual banking system: A trade-off between religious and economic fundamentals," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 1003-1021.
    34. Marlène Isoré & Urszula Szczerbowicz, 2015. "Disaster Risk and Preference Shifts in a New Keynesian Model," Working Papers 2015-16, CEPII research center.
    35. Antonio Diez de los Rios, 2007. "Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets," Staff Working Papers 07-29, Bank of Canada.
    36. Emmanuel Farhi & Xavier Gabaix, "undated". "Rare Disasters and Exchange Rates," Working Paper 71001, Harvard University OpenScholar.
    37. Coeurdacier, Nicolas, 2008. "Do Trade Costs in Goods Market Lead to Home Bias in Equities?," CEPR Discussion Papers 6991, C.E.P.R. Discussion Papers.
    38. Andrei, Daniel & Carlin, Bruce I., 2023. "Schumpeterian competition in a Lucas economy," Journal of Economic Theory, Elsevier, vol. 208(C).
    39. Zhang, Shaojun, 2016. "Limited Risk Sharing and International Equity Returns," Working Paper Series 2016-25, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    40. Pierre-Olivier Gourinchas, 2006. "The Research Agenda: Pierre-Olivier Gourinchas on Global Imbalances and Financial Factors," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 7(2), April.
    41. Hanno Lustig & Andreas Stathopoulos & Adrien Verdelhan, 2013. "The Term Structure of Currency Carry Trade Risk Premia," NBER Working Papers 19623, National Bureau of Economic Research, Inc.
    42. Ian Martin, 2013. "The Lucas Orchard," Econometrica, Econometric Society, vol. 81(1), pages 55-111, January.
    43. Chen, Hongyi & Cao, Shuo, 2019. "Exchange Rate Movements and Fundamentals: Impact of Oil Prices and the People’s Republic of China’s Growth," ADBI Working Papers 938, Asian Development Bank Institute.
    44. Salisu, Afees A. & Vo, Xuan Vinh, 2021. "The behavior of exchange rate and stock returns in high and low interest rate environments," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 138-149.
    45. Wang, Hailong & Hu, Duni, 2021. "Heterogeneous beliefs with herding behaviors and asset pricing in two goods world," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    46. Itskhoki, Oleg & Mukhin, Dmitry, 2021. "Exchange rate disconnect in general equilibrium," LSE Research Online Documents on Economics 112140, London School of Economics and Political Science, LSE Library.
    47. Reboredo, Juan Carlos & Ugolini, Andrea & Hernandez, Jose Arreola, 2021. "Dynamic spillovers and network structure among commodity, currency, and stock markets," Resources Policy, Elsevier, vol. 74(C).
    48. Eugeni, Sara, 2015. "Nominal Exchange Rates and Net Foreign Assets' Dynamics: the Stabilization Role of Valuation Effects," MPRA Paper 63549, University Library of Munich, Germany.
    49. Rigobon, Roberto, 2016. "Contagion, spillover and interdependence," Working Paper Series 1975, European Central Bank.
    50. Nicolas Coeurdacier & Robert Kollmann & Philippe Martin, 2007. "International portfolios with supply, demand and redistributive shocks," Post-Print hal-01053624, HAL.
    51. Heathcote, Jonathan & Perri, Fabrizio, 2008. "The International Diversification Puzzle is Not as Bad as You Think," CEPR Discussion Papers 6982, C.E.P.R. Discussion Papers.
    52. Alessandria, George & Choi, Horag, 2021. "The dynamics of the U.S. trade balance and real exchange rate: The J curve and trade costs?," Journal of International Economics, Elsevier, vol. 132(C).
    53. Devendra Kumar Jain & Rup Singh & Henali Kumar & Nikeel Kumar & Arvind Patel, 2022. "Why does currency denomination in external liabilities of small island developing states matter? Evidence from Fiji," Asia and the Pacific Policy Studies, Wiley Blackwell, vol. 9(3), pages 447-464, September.
    54. Thomas Mertens & Tarek Hassan, 2017. "Currency Manipulation," 2017 Meeting Papers 175, Society for Economic Dynamics.
    55. Stefan Schüder, 2011. "Monetary Policy Trade-Offs in a Portfolio Model with Endogenous Asset Supply," EcoMod2011 3024, EcoMod.
    56. Mr. Gian M Milesi-Ferretti & Mr. Philip R. Lane, 2005. "Financial Globalization and Exchange Rates," IMF Working Papers 2005/003, International Monetary Fund.
    57. Hau, Harald, 2009. "The Exchange Rate Effect of Multi-Currency Risk Arbitrage," CEPR Discussion Papers 7348, C.E.P.R. Discussion Papers.
    58. Bakshi, Gurdip & Carr, Peter & Wu, Liuren, 2008. "Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies," Journal of Financial Economics, Elsevier, vol. 87(1), pages 132-156, January.
    59. Basak, Suleyman & Pavlova, Anna, 2002. "A Dynamic Model with Import Quota Constraints," CEPR Discussion Papers 3414, C.E.P.R. Discussion Papers.
    60. Ojea-Ferreiro, Javier & Reboredo, Juan C., 2022. "Exchange rates and the global transmission of equity market shocks," Economic Modelling, Elsevier, vol. 114(C).
    61. Harjoat Bhamra & Nicolas Coeurdacier & Stéphane Guibaud, 2014. "A Dynamic Equilibrium Model of Imperfectly Integrated Financial Markets," SciencePo Working papers Main hal-03393013, HAL.
    62. Jonathan Benchimol & Makram El-Shagi, 2017. "Forecast Performance in Times of Terrorism," CFDS Discussion Paper Series 2017/1, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China.
    63. Aloui, Chaker & Nguyen, Duc Khuong & Njeh, Hassen, 2012. "Assessing the impacts of oil price fluctuations on stock returns in emerging markets," Economic Modelling, Elsevier, vol. 29(6), pages 2686-2695.
    64. Hyunju Lee, 2018. "Gross Capital Flows and International Diversification," 2018 Meeting Papers 51, Society for Economic Dynamics.
    65. Schüder, Stefan, 2011. "Monetary policy trade-offs in a portfolio model with endogenous asset supply," University of Göttingen Working Papers in Economics 127, University of Goettingen, Department of Economics.
    66. Andrews, Spencer & Colacito, Riccardo & Croce, Mariano M. & Gavazzoni, Federico, 2024. "Concealed carry," Journal of Financial Economics, Elsevier, vol. 159(C).
    67. Gourio, François & Siemer, Michael & Verdelhan, Adrien, 2013. "International risk cycles," Journal of International Economics, Elsevier, vol. 89(2), pages 471-484.
    68. Ravi Bansal & Amir Yaron & Colin Ward, 2018. "Shifts in Sectoral Wealth Shares and Risk Premia: What Explains Them?," 2018 Meeting Papers 599, Society for Economic Dynamics.
    69. Ric Colacito & Max Croce & Steven Ho & Philip Howard, 2018. "BKK the EZ Way: International Long-Run Growth News and Capital Flows," American Economic Review, American Economic Association, vol. 108(11), pages 3416-3449, November.
    70. Rigobon, Roberto & Pavlova, Anna, 2011. "International Macro-Finance," CEPR Discussion Papers 8218, C.E.P.R. Discussion Papers.
    71. Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2015. "Measuring sovereign contagion in Europe," SAFE Working Paper Series 103, Leibniz Institute for Financial Research SAFE.
    72. Berrada, Tony & Hugonnier, Julien & Rindisbacher, Marcel, 2007. "Heterogeneous preferences and equilibrium trading volume," Journal of Financial Economics, Elsevier, vol. 83(3), pages 719-750, March.
    73. Nina Karnaukh & Angelo Ranaldo & Paul Söderlind, 2015. "Understanding FX Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3073-3108.
    74. Fousseni Chabi-Yo & Riccardo Colacito, 2019. "The Term Structures of Coentropy in International Financial Markets," Management Science, INFORMS, vol. 65(8), pages 3541-3558, August.
    75. Harald Hau & Hélène Rey, 2004. "Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?," American Economic Review, American Economic Association, vol. 94(2), pages 126-133, May.
    76. Lukasz Prorokowski, 2013. "Lessons from financial crisis contagion simulation in Europe," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 30(2), pages 159-188, May.
    77. Fry-McKibbin, Renée & McKinnon, Kate, 2023. "The evolution of commodity market financialization: Implications for portfolio diversification," Journal of Commodity Markets, Elsevier, vol. 32(C).
    78. Gande, Amar & Parsley, David, 2010. "Sovereign Credit Ratings, Transparency and International Portfolio Flows," MPRA Paper 21118, University Library of Munich, Germany.
    79. Kraft, Holger & Meyer-Wehmann, André & Seifried, Frank Thomas, 2022. "Endogenous habits and equilibrium asset prices," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 279-300.
    80. Luo, Robin & Visaltanachoti, Nuttawat, 2010. "Real exchange rates, asset prices and terms of trade: A theoretical analysis," Economic Modelling, Elsevier, vol. 27(1), pages 143-151, January.
    81. Matteo Cacciatore & Nora Traum, 2022. "Trade Flows and Fiscal Multipliers," The Review of Economics and Statistics, MIT Press, vol. 104(6), pages 1206-1223, November.
    82. Chang Shu & Dong He & Jinyue Dong & Honglin Wang, 2016. "Regional pull vs global push factors: China and US influence on Asia-Pacific financial markets," BIS Working Papers 579, Bank for International Settlements.
    83. Lupu, Dan & Asandului, Mircea, 2014. "Considerations on the relantionship between exchange rates and stock markets in Eastern Europe in time of crisis," MPRA Paper 95507, University Library of Munich, Germany.
    84. Pierpaolo Benigno & Salvatore Nisticò, 2009. "International Portfolio Allocation under Model Uncertainty," NBER Working Papers 14734, National Bureau of Economic Research, Inc.
    85. Charles Engel & Akito Matsumoto, 2006. "Portfolio Choice in a Monetary Open-Economy DSGE Model," NBER Working Papers 12214, National Bureau of Economic Research, Inc.
    86. Tarek A. Hassan & Thomas M. Mertens & Tony Zhang, 2016. "A Risk-based Theory of Exchange Rate Stabilization," NBER Working Papers 22790, National Bureau of Economic Research, Inc.
    87. Konstantin Egorov & Dmitry Mukhin, 2020. "Optimal Policy under Dollar Pricing," CESifo Working Paper Series 8272, CESifo.
    88. Pavlova, Anna & Rigobon, Roberto, 2010. "An asset-pricing view of external adjustment," Journal of International Economics, Elsevier, vol. 80(1), pages 144-156, January.
    89. Hanno Lustig & Adrien Verdelhan, 2016. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," NBER Working Papers 22023, National Bureau of Economic Research, Inc.
    90. Verma, Rahul & Soydemir, Gökçe, 2009. "The impact of individual and institutional investor sentiment on the market price of risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 1129-1145, August.
    91. Christian Heyerdahl-Larsen & Philipp Illeditsch, 2018. "Demand Disagreement," 2018 Meeting Papers 607, Society for Economic Dynamics.
    92. Diniz-Maganini, Natalia & Rasheed, Abdul A. & Sheng, Hsia Hua, 2021. "Exchange rate regimes and price efficiency: Empirical examination of the impact of financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    93. Jung, JiYong & Jung, Kuk Mo, 2021. "Stock market uncertainty and uncovered equity parity deviation: Evidence from Asia," Journal of Asian Economics, Elsevier, vol. 73(C).
    94. Ilyes Abid & Khaled Guesmi & Stéphane Goutte & Christian Urom & Julien Chevallier, 2019. "Commodities risk premia and regional integration in gas-exporting countries," Post-Print halshs-02148921, HAL.
    95. Metiu, N., 2011. "Financial contagion in developed sovereign bond markets," Research Memorandum 004, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    96. Itskhoki, Oleg & Mukhin, Dmitry, 2021. "Mussa Puzzle Redux," CEPR Discussion Papers 16301, C.E.P.R. Discussion Papers.
    97. Chaban, Maxym, 2009. "Commodity currencies and equity flows," Journal of International Money and Finance, Elsevier, vol. 28(5), pages 836-852, September.
    98. A. Craig Burnside & Jeremy J. Graveline, 2012. "On the Asset Market View of Exchange Rates," NBER Working Papers 18646, National Bureau of Economic Research, Inc.
    99. Hansen, Simon Lysbjerg, 2015. "Cross-sectional asset pricing with heterogeneous preferences and beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 125-151.
    100. Viceira, Luis & Serfaty-de Medeiros, Karine & Campbell, John, 2009. "Global Currency Hedging," Scholarly Articles 3153308, Harvard University Department of Economics.
    101. Michael B. Devereux & Makoto Saito, 2006. "A Portfolio Theory of International Capital Flows," The Institute for International Integration Studies Discussion Paper Series iiisdp124, IIIS.
    102. Eichenbaum, Martin & Rebelo, Sérgio & Albuquerque, Rui, 2012. "Valuation Risk and Asset Pricing," CEPR Discussion Papers 9262, C.E.P.R. Discussion Papers.
    103. Arthur Blouin & Sayantan Ghosal & Sharun Mukand, 2012. "Globalization and the (Mis)Governance of Nations," CESifo Working Paper Series 3715, CESifo.
    104. 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.
    105. Nicoletta Corrocher & Camilla Lenzi & Marie-Louise Deshaires, 2020. "The curse of natural resources: an empirical analysis of European regions," Regional Studies, Taylor & Francis Journals, vol. 54(12), pages 1694-1708, December.
    106. Diniz-Maganini, Natalia & Rasheed, Abdul A. & Sheng, Hsia Hua, 2023. "Price efficiency of the foreign exchange rates of BRICS countries: A comparative analysis," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(1).
    107. Christian Bauer & Sebastian Horlemann, 2016. "Modeling the Term Structure of Exchange Rate Expectations," Annals of Economics and Finance, Society for AEF, vol. 17(2), pages 303-335, November.
    108. Roszkowska Paulina & Prorokowski Łukasz, 2013. "Model of Financial Crisis Contagion: A Survey-based Simulation by Means of the Modified Kaplan-Meier Survival Plots," Folia Oeconomica Stetinensia, Sciendo, vol. 13(1), pages 22-55, December.
    109. Ding, Liang & Ma, Jun, 2013. "Portfolio reallocation and exchange rate dynamics," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3100-3124.
    110. Boyao Wu & Difang Huang & Muzi Chen, 2024. "Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect," Papers 2404.04335, arXiv.org.
    111. Yunyong Thaicharoen & Sra Chuenchoksan & Ashvin Ahuja, 2007. "Big elephants in small ponds: Risk absorption, risk diversification and management of capital flows," Working Papers 2007-02, Monetary Policy Group, Bank of Thailand.
    112. Chen, Qi-an & Li, Huashi, 2023. "How does exchange rate elasticity of aggregate consumption adjust currency risk price in the stock market?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 590-610.
    113. Kari Heimonen, 2006. "Time-Varying Fundamentals of the Euro-Dollar Exchange Rate," International Economic Journal, Taylor & Francis Journals, vol. 20(4), pages 385-407.
    114. Gurdip Bakshi & Xiaohui Gao & George Panayotov, 2021. "A Theory of Dissimilarity Between Stochastic Discount Factors," Management Science, INFORMS, vol. 67(7), pages 4602-4622, July.
    115. Ostry, D. A., 2023. "Tails of Foreign Exchange-at-Risk (FEaR)," Cambridge Working Papers in Economics 2343, Faculty of Economics, University of Cambridge.
    116. Lukasz Prorokowski, 2011. "Trading strategies of individual investors in times of financial crisis," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 3(1), pages 34-50, April.
    117. Ülkü, Numan & Demirci, Ebru, 2012. "Joint dynamics of foreign exchange and stock markets in emerging Europe," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 55-86.
    118. Toda, Alexis Akira, 2019. "Wealth distribution with random discount factors," Journal of Monetary Economics, Elsevier, vol. 104(C), pages 101-113.
    119. Gonzalez-Hermosillo Gonzalez, B.M., 2008. "Transmission of shocks across global financial markets : The role of contagion and investors' risk appetite," Other publications TiSEM d684f3c7-7ad8-4e93-88cf-a, Tilburg University, School of Economics and Management.
    120. Nicolas Coeurdacier & Stéphane Guibaud, 2008. "A dynamic equilibrium of imperfectly integrated financial markets," Working Papers hal-03602487, HAL.
    121. Jarl G. Kallberg & Crocker H. Liu & Paolo Pasquariello, 2014. "On the Price Comovement of U.S. Residential Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(1), pages 71-108, March.
    122. Djeutem, Edouard & Dunbar, Geoffrey R., 2022. "Uncovered return parity: Equity returns and currency returns," Journal of International Money and Finance, Elsevier, vol. 128(C).
    123. Curatola, Giuliano, 2017. "Portfolio choice and asset prices when preferences are interdependent," Journal of Economic Behavior & Organization, Elsevier, vol. 140(C), pages 197-223.
    124. Vedolin, Andrea, 2012. "Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia," LSE Research Online Documents on Economics 43091, London School of Economics and Political Science, LSE Library.
    125. Reboredo, Juan C. & Rivera-Castro, Miguel A. & Ugolini, Andrea, 2016. "Downside and upside risk spillovers between exchange rates and stock prices," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 76-96.
    126. Mariano M. Croce & Riccardo Colacito, 2010. "International Asset Pricing with Risk-Sensitive Rare Events," 2010 Meeting Papers 176, Society for Economic Dynamics.
    127. Battauz, Anna & De Donno, Marzia & Sbuelz, Alessandro, 2022. "On the exercise of American quanto options," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    128. Mertens, Thomas M. & Judd, Kenneth L., 2018. "Solving an incomplete markets model with a large cross-section of agents," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 349-368.
    129. Maggiori, Matteo, 2021. "International Macroeconomics With Imperfect Financial Markets," SocArXiv z8g6r, Center for Open Science.
    130. Sara Eugeni, 2019. "Exchange rate volatility and cooperation in an incomplete markets' economy," Department of Economics Working Papers 2019_02, Durham University, Department of Economics.
    131. Jordi Mondria & Climent Quintana‐Domeque, 2013. "Financial Contagion and Attention Allocation," Economic Journal, Royal Economic Society, vol. 123(568), pages 429-454, May.
    132. Giulia Piccillo, 2013. "Exchange Rates and Asset Prices: Heterogeneous Agents at Work," CESifo Working Paper Series 4257, CESifo.
    133. Gurdip Bakshi & Mario Cerrato & John Crosby, 2016. "Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International Economies," Working Papers 2017_01, Business School - Economics, University of Glasgow.
    134. Jung, Kuk Mo, 2015. "Liquidity Risk and Time-Varying Correlation Between Equity and Currency Returns," MPRA Paper 67416, University Library of Munich, Germany.
    135. Maurer, Thomas & Tran, Ngoc-Khanh, 2021. "Entangled risks in incomplete FX markets," Journal of Financial Economics, Elsevier, vol. 142(1), pages 146-165.
    136. MArdi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin & Chrismin Tang, 2008. "Are Financial Crises Alike?," CAMA Working Papers 2008-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    137. Curatola, Giuliano & Dergunov, Ilya, 2023. "International capital markets with interdependent preferences: Theory and empirical evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 403-421.
    138. Mei Liu & Qing-Ping Ma, 2021. "Determinants of house prices in China: a panel-corrected regression approach," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 67(1), pages 47-72, August.
    139. Breckenfelder, Johannes & Schwaab, Bernd, 2018. "Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 247-262.
    140. Ferreira Filipe, Sara, 2012. "Equity order flow and exchange rate dynamics," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 359-381.
    141. Pami Dua & Divya Tuteja, 2013. "Interdependence Of International Financial Market-- The Case Of India And U.S," Working papers 223, Centre for Development Economics, Delhi School of Economics.
    142. Lukasz Prorokowski, 2011. "Recovery from the current banking crisis," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 3(3), pages 193-223, October.
    143. Kodongo, Odongo & Ojah, Kalu, 2013. "Real exchange rates, trade balance and capital flows in Africa," Journal of Economics and Business, Elsevier, vol. 66(C), pages 22-46.
    144. Egorov, Konstantin & Mukhin, Dmitry, 2023. "Optimal policy under dollar pricing," SAFE Working Paper Series 377, Leibniz Institute for Financial Research SAFE.
    145. Sandoval Paucar, Giovanny, 2021. "A Conditional Correlation Analysis For The Colombian Stock Market," MPRA Paper 107963, University Library of Munich, Germany.
    146. Croitoru, Benjamin & Jiao, Feng & Lu, Lei, 2024. "Nominal exchange rates and heterogeneous beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 166(C).
    147. Paolo Guasoni & Kwok Chuen Wong, 2020. "Asset prices in segmented and integrated markets," Finance and Stochastics, Springer, vol. 24(4), pages 939-980, October.
    148. Huang, Shiyang & Qiu, Zhigang & Shang, Qi & Tang, Ke, 2013. "Asset pricing with heterogeneous beliefs and relative performance," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4107-4119.
    149. Shuo Cao & Hongyi Chen, 2017. "Exchange Rate Movements and Fundamentals: Impact of Oil Prices and China¡¯s Growth," Working Papers 042017, Hong Kong Institute for Monetary Research.
    150. Cho, Jin-Wan & Choi, Joung Hwa & Kim, Taeyong & Kim, Woojin, 2016. "Flight-to-quality and correlation between currency and stock returns," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 191-212.
    151. Schüder, Stefan, 2012. "Monetary Policy Trade-Offs in a Portfolio Model with Endogenous Asset Supply," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 65402, Verein für Socialpolitik / German Economic Association.
    152. Tripathi, Sabyasachi, 2019. "Macroeconomic Determinants of Housing Prices: A Cross Country Level Analysis," MPRA Paper 98089, University Library of Munich, Germany.
    153. Sandoval Paucar, Giovanny, 2018. "Contagio Financiero: Una Breve Revisión De Literatura [Financial Contagio: A Review Literature]," MPRA Paper 89554, University Library of Munich, Germany.
    154. Ding, Liang, 2021. "Conditional correlation between exchange rates and stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 452-463.
    155. Anna Pavlova & Roberto Rigobon, 2005. "Wealth Transfers, Contagion, and Portfolio Constraints," NBER Working Papers 11440, National Bureau of Economic Research, Inc.
    156. Wu, Chih-Chiang & Chen, Wei-Peng & Korsakul, Nattawadee, 2021. "Extreme linkages between foreign exchange and general financial markets," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
    157. Nicolas Coeurdacier, 2011. "Limited participation and International Risk-Sharing," 2011 Meeting Papers 613, Society for Economic Dynamics.
    158. Shu, Chang & He, Dong & Dong, Jinyue & Wang, Honglin, 2018. "Regional pull vs global push factors: China and US influence on Asian financial markets," Journal of International Money and Finance, Elsevier, vol. 87(C), pages 112-132.
    159. Kari Heimonen, 2009. "The euro–dollar exchange rate and equity flows," Review of Financial Economics, John Wiley & Sons, vol. 18(4), pages 202-209, October.
    160. Amdur, David, 2010. "International cross-holdings of bonds in a two-good DSGE model," Economics Letters, Elsevier, vol. 108(2), pages 163-166, August.
    161. Curatola, Giuliano & Dergunov, Ilya, 2017. "International capital markets with time-varying preferences," SAFE Working Paper Series 176, Leibniz Institute for Financial Research SAFE.
    162. Zhiguo He & Bryan Kelly & Asaf Manela, 2016. "Intermediary Asset Pricing: New Evidence from Many Asset Classes," NBER Working Papers 21920, National Bureau of Economic Research, Inc.
    163. Pami Dua & Divya Tuteja, 2016. "Linkages between Indian and US financial markets: impact of global financial crisis and Eurozone debt crisis," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 9(3), pages 217-240, September.
    164. Kallberg, Jarl & Pasquariello, Paolo, 2008. "Time-series and cross-sectional excess comovement in stock indexes," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 481-502, June.
    165. Heimonen, Kari, 2009. "The euro-dollar exchange rate and equity flows," Review of Financial Economics, Elsevier, vol. 18(4), pages 202-209, October.
    166. Pasquariello, Paolo, 2008. "The anatomy of financial crises: Evidence from the emerging ADR market," Journal of International Economics, Elsevier, vol. 76(2), pages 193-207, December.
    167. Jiang, Zhengyang & Richmond, Robert J., 2023. "Origins of international factor structures," Journal of Financial Economics, Elsevier, vol. 147(1), pages 1-26.
    168. Basak, Suleyman & Pavlova, Anna, 2004. "Monopoly Power and the Firm€ٳ Valuation:," Working papers 4234-01, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    169. Philip R. Lane & G Milesi-Feretti, 2004. "Financial Globalization and Exchange Rates," CEP Discussion Papers dp0662, Centre for Economic Performance, LSE.
    170. Sandoval Paucar, Giovanny, 2019. "Modelación de la correlación condicional para el mercado bursátil colombiano: una aplicación de DCC – MGARCH [Modeling of the conditional correlation for the Colombian stock market: a DCC applicati," MPRA Paper 92534, University Library of Munich, Germany, revised 04 Mar 2019.
    171. Juha Junttila & Marko Korhonen, 2013. "Stock market information and the relationship between real exchange rate and real interest rates," Applied Financial Economics, Taylor & Francis Journals, vol. 23(11), pages 901-920, June.
    172. Orlov, Vitaly, 2016. "Currency momentum, carry trade, and market illiquidity," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 1-11.
    173. Curatola, Giuliano, 2016. "Preference evolution and the dynamics of capital markets," SAFE Working Paper Series 128, Leibniz Institute for Financial Research SAFE.
    174. Daniel Andrei & Bruce I. Carlin, 2017. "Asset Pricing in the Quest for the New El Dorado," NBER Working Papers 23455, National Bureau of Economic Research, Inc.
    175. Lee, Jieun & Ryu, Doojin, 2019. "How does FX liquidity affect the relationship between foreign ownership and stock liquidity?," Emerging Markets Review, Elsevier, vol. 39(C), pages 101-119.
    176. Basak, Suleyman, 2004. "Asset Prices with Heterogenous Beliefs," CEPR Discussion Papers 4256, C.E.P.R. Discussion Papers.
    177. Stefan Schueder, 2011. "Monetary Policy Trade-Offs in a Portfolio Model with Endogenous Asset Supply," Working Papers 2011.3, International Network for Economic Research - INFER.
    178. Qiao, Tongshuai & Ding, Wenjie & Han, Liyan & Li, Donghui, 2024. "RMB exchange rate volatility and the cross-section of Chinese A-share returns," Journal of International Money and Finance, Elsevier, vol. 142(C).
    179. Schüder, Stefan, 2014. "Expansive monetary policy in a portfolio model with endogenous asset supply," Economic Modelling, Elsevier, vol. 41(C), pages 239-252.
    180. Bu, Hui & Tang, Wenjin & Wu, Junjie, 2019. "Time-varying comovement and changes of comovement structure in the Chinese stock market: A causal network method," Economic Modelling, Elsevier, vol. 81(C), pages 181-204.

  32. Rigobon, Roberto & Stoker, Thomas M., 2004. "Censored Regressors and Expansion Bias," Working papers 4451-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.

    Cited by:

    1. Zhuo Chen & Steven Yen & David Eastwood, 2007. "Does smoking have a causal effect on weight reduction?," Journal of Family and Economic Issues, Springer, vol. 28(1), pages 49-67, March.

  33. Marcio Garcia & Roberto Rigobon, 2004. "A Risk Management Approach to Emerging Market's Sovereign Debt Sustainability with an Application to Brazilian Data," NBER Working Papers 10336, National Bureau of Economic Research, Inc.

    Cited by:

    1. Eduardo A. Cavallo & Mr. Eduardo Borensztein & Mr. Patricio A Valenzuela, 2008. "Debt Sustainability under Catastrophic Risk: The Case for Government Budget Insurance," IMF Working Papers 2008/044, International Monetary Fund.
    2. Mr. Evan C Tanner & Mr. Kevin J Carey, 2005. "The Perils of Tax Smoothing: Sustainable Fiscal Policy with Random Shocks to Permanent Output," IMF Working Papers 2005/207, International Monetary Fund.
    3. Triches, Divanildo & Sleimann Bertussi, Luis Antônio, 2017. "Multicointegração e sustentabilidade da política fiscal no Brasil com regime de quebras estruturais (1997-2015)," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 71(3), September.
    4. Mr. E. H. Gardner & Mr. Julian Di Giovanni, 2008. "A Simple Stochastic Approach to Debt Sustainability Applied to Lebanon," IMF Working Papers 2008/097, International Monetary Fund.
    5. Luiz de Mello, 2008. "Estimating a fiscal reaction function: the case of debt sustainability in Brazil," Applied Economics, Taylor & Francis Journals, vol. 40(3), pages 271-284.
    6. Andrea Fracasso, 2006. "The role of foreign and domestic factors in the evolution of the Brazilian EMBI spread and debt dynamics," IHEID Working Papers 22-2007, Economics Section, The Graduate Institute of International Studies, revised Jul 2007.
    7. Mehak Ejaz & Kalim Hyder, 2019. "A Fan Chart Approach to Debt Sustainability in Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 24(2), pages 1-23, July-Dec.
    8. Jafri, Sabina Khurram, 2009. "External Debt Sustainability Analysis for the Medium Term: A Case Study," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 62(3), pages 363-382.
    9. Martin Melecky, 2012. "Choosing The Currency Structure Of Foreign‐Currency Debt: A Review Of Policy Approaches," Journal of International Development, John Wiley & Sons, Ltd., vol. 24(2), pages 133-151, March.
    10. International Monetary Fund, 2006. "Jamaica: Selected Issues," IMF Staff Country Reports 2006/157, International Monetary Fund.
    11. Mr. Philippe D Karam & Mr. Douglas Hostland, 2006. "Specification of a Stochastic Simulation Model for Assessing Debt Sustainability in Emerging Market Economies," IMF Working Papers 2006/268, International Monetary Fund.
    12. Ben Hassine Khalladi, Hela, 2019. "Public Debt Sustainability Assessment: A Stochastic Approach for Tunisia," MPRA Paper 93892, University Library of Munich, Germany.
    13. Mário Jorge Mendonça & Cláudio H. dos Santos, 2008. "Revisitando a Função de Reação Fiscal no Brasil Pós-Real: Uma Abordagem de Mudanças de Regime," Discussion Papers 1337, Instituto de Pesquisa Econômica Aplicada - IPEA.
    14. Gabriel Di Bella, 2008. "A Stochastic Framework for Public Debt Sustainability Analysis," IMF Working Papers 2008/058, International Monetary Fund.
    15. Carrera, Claudia Martínez & Vergara, Rodrigo, 2012. "Fiscal Sustainability: The Impact of Real Exchange Rate Shocks on Debt Valuation, Interest Rates and GDP Growth," World Development, Elsevier, vol. 40(9), pages 1762-1783.
    16. Chamon, Marcos & Mauro, Paolo, 2006. "Pricing growth-indexed bonds," Journal of Banking & Finance, Elsevier, vol. 30(12), pages 3349-3366, December.
    17. Mr. Andrew Berg & Mr. Rafael A Portillo & Mr. Edward F Buffie & Ms. Catherine A Pattillo & Luis-Felipe Zanna, 2012. "Public Investment, Growth, and Debt Sustainability: Putting together the Pieces," IMF Working Papers 2012/144, International Monetary Fund.
    18. Alloza, Mario & Andrés, Javier & Pérez, Javier J. & Rojas, Juan A., 2020. "Implicit public debt thresholds: An operational proposal," Journal of Policy Modeling, Elsevier, vol. 42(6), pages 1408-1424.
    19. Mário Jorge Cardoso de Mendonça & Cláudio Hamilton Matos dos Santos, 2008. "Revisitando a Função de Reação Fiscal no Brasil Pós-Real: Uma Abordagem de Mudanças de Regime," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807171729460, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    20. Shalva Mkhatrishvili & Zviad Zedginidze, 2015. "Modeling Macro-Fiscal Interlinkages: Case of Georgia," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 7(1), pages 15-41, March.
    21. Andrew Powell & Juan F. Martinez S., 2008. "On Emerging Economy Sovereign Spreads and Ratings," Research Department Publications 4565, Inter-American Development Bank, Research Department.
    22. Ms. Elif C Arbatli Saxegaard & Mr. Emre Alper & Jiri Jonas & Miss Anke Weber & Mr. Marc Gerard & Mr. Tidiane Kinda & Giovanni Callegari & Ms. Anna Shabunina & Ms. Andrea Schaechter & Carlos Caceres, 2012. "A toolkit for Assessing Fiscal Vulnerabilities and Risks in Advanced Economies," IMF Working Papers 2012/011, International Monetary Fund.
    23. Eduardo Levy Yeyati & Federico Sturzenegger, 2007. "A Balance-Sheet Approach to Fiscal Sustainability," CID Working Papers 150, Center for International Development at Harvard University.
    24. Betty Daniel & Christos Shiamptanis, 2008. "Fiscal Risk in a Monetary Union," Discussion Papers 08-12, University at Albany, SUNY, Department of Economics.
    25. Graciela Laura Kaminsky & Pablo Vega-García, 2013. "Systemic and Idiosyncratic Sovereign Debt Crises," NBER Chapters, in: Sovereign Debt and Financial Crises, National Bureau of Economic Research, Inc.
    26. István Ábel & Ádám Kóbor, 2022. "Macroeconomic Components of the Risks to Fiscal Sustainability in Hungary," Risks, MDPI, vol. 10(11), pages 1-13, October.
    27. José Roberto Rodrigues Afonso & Erika Amorim Araújo & Geraldo Biasoto Júnior, 2005. "Fiscal Space and Public Sector Investments in Infrastructure: A Brazilian Case-Study," Discussion Papers 1141, Instituto de Pesquisa Econômica Aplicada - IPEA.
    28. Jelena Stankevičienė & Sergej Rosov, 2013. "Implementation of Multi-Objective Evaluation Method in Public Debt Risk Management," Entrepreneurial Business and Economics Review, Centre for Strategic and International Entrepreneurship at the Cracow University of Economics., vol. 1(4), pages 7-19.
    29. Mr. Evan C Tanner & Issouf Samaké, 2006. "Probabilistic Sustainability of Public Debt: A Vector Autoregression Approach for Brazil, Mexico, and Turkey," IMF Working Papers 2006/295, International Monetary Fund.
    30. Ábel, István & Kóbor, Ádám, 2011. "Növekedés, deficit és adósság - fenntartható keretben [Growth, deficit and debt - in a sustainable framework]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 511-528.
    31. Sabina Khurram Jafri, 2008. "External Debt Sustainability Analysis for Pakistan: Outlook for the Medium Term," SBP Working Paper Series 27, State Bank of Pakistan, Research Department.
    32. Genberg, Hans & Sulstarova, Astrit, 2008. "Macroeconomic volatility, debt dynamics, and sovereign interest rate spreads," Journal of International Money and Finance, Elsevier, vol. 27(1), pages 26-39, February.
    33. Joris TIELENS & Bas VAN AARLE & Jan VAN HOVE, 2014. "Effects of Eurobonds: a stochastic sovereign debt sustainability analysis for Portugal, Ireland and Greece," Working Papers of Department of Economics, Leuven ces14.10, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
    34. Viviane Luporini, 2014. "Sustainability Of Brazilian Fiscalpolicy, Once Again: Corrective Policy Response Over Time," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 064, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    35. Mauro Ferreira, 2007. "Debt Maturity in a Small Open Economy Under Inflation Target," EcoMod2007 23900024, EcoMod.
    36. Udaibir S. Das & Maria A. Oliva & Takahiro Tsuda, 2012. "Sovereign Risk: A Macro-Financial Perspective," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 8(3), pages 367-392, August.
    37. Eduardo A. Cavallo & Patricio Valenzuela & Eduardo Borensztein, 2007. "La Sostenibilidad de Deuda frente a Riesgo de Catastrofes Naturales," Research Department Publications 4523, Inter-American Development Bank, Research Department.
    38. Hostland, Doug & Karam, Philippe, 2006. "Assessing debt sustainability in emerging market economies using stochastic simulation methods," Policy Research Working Paper Series 3821, The World Bank.
    39. Paloma Acevedo & Enrique Alberola & Carmen Broto, 2007. "Local debt expansion... vulnerability reduction? An assessment for six crises-prone countries," Working Papers 0733, Banco de España.
    40. Pedro Maia & Márcio Gomes Pinto Garcia, 2011. "A gerência recente do endividamento público brasileiro," Textos para discussão 595, Department of Economics PUC-Rio (Brazil).
    41. Wang, Alan T. & Yang, Sheng-Yung & Yang, Nien-Tzu, 2013. "Information transmission between sovereign debt CDS and other financial factors – The case of Latin America," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 586-601.
    42. Andrea Pescatori & Amadou N R Sy, 2007. "Are Debt Crises Adequately Defined?," IMF Staff Papers, Palgrave Macmillan, vol. 54(2), pages 306-337, June.
    43. Rai da Silva Chicoli & Siegfried Bender, 2019. "Estimation of maximum debt for emerging countries: An analysis by fiscal reaction function," Working Papers, Department of Economics 2019_44, University of São Paulo (FEA-USP).
    44. Ostry, Jonathan D. & Debrun, Xavier & Willems, Tim & Wyplosz, Charles, 2019. "Public Debt Sustainability," CEPR Discussion Papers 14010, C.E.P.R. Discussion Papers.
    45. Baum, Anja & Eyraud, Luc & Hodge, Andrew & Jarmuzek, Mariusz & Kim, Young & Mbaye, Samba & Ture, Elif, 2018. "How to calibrate fiscal rules : a primer," MPRA Paper 86423, University Library of Munich, Germany.
    46. Aleksandar Zdravkovic & Aleksandra Bradic-Martinovic, 2012. "Public Debt Sustainability in Western Balkan Countries," Book Chapters, in: Paulino Teixeira & António Portugal Duarte & Srdjan Redzepagic & Dejan Eric (ed.), European Integration Process in Western Balkan Countries, edition 1, volume 1, chapter 24, pages 472-492, Institute of Economic Sciences.
    47. Charles Wyplosz, 2011. "Debt Sustainability Assessment: Mission Impossible," Review of Economics and Institutions, Università di Perugia, vol. 2(3).
    48. Andrew Powell & Juan F. Martinez S., 2008. "Sobre los diferenciales y clasificaciones soberanos de economías emergentes," Research Department Publications 4566, Inter-American Development Bank, Research Department.
    49. Hans J. Blommestein & Javier Santiso, 2007. "New Strategies for Emerging Domestic Sovereign Bond Markets," OECD Development Centre Working Papers 260, OECD Publishing.
    50. Das, Udaibir S. & Oliva, Maria A. & Tsuda, Takahiro, 2012. "Sovereign Risk: A Macro-Financial Perspective," ADBI Working Papers 383, Asian Development Bank Institute.
    51. Jens Hilscher & Yves Nosbusch, 2007. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Money Macro and Finance (MMF) Research Group Conference 2006 114, Money Macro and Finance Research Group, revised 24 Apr 2007.
    52. Charles Wyplosz, 2007. "Debt Sustainability Assessment: The IMF Approach and Alternatives," IHEID Working Papers 03-2007, Economics Section, The Graduate Institute of International Studies.
    53. Tomáš Urbanovský, 2017. "Granger Causalities Between Interest Rate, Price Level, Money Supply and Real Gdp in the Czech Republic," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 65(2), pages 745-757.
    54. Ricardo Ramalhete Moreira, 2017. "Pro-cyclical fiscal policy in Brazil: long- and short-term relationships using cointegration and error correction model (2005-2015)," International Journal of Economic Policy in Emerging Economies, Inderscience Enterprises Ltd, vol. 10(2), pages 171-184.
    55. Török László, 2022. "Breakdown of Government Debt into Components in Euro Area Countries," JRFM, MDPI, vol. 15(2), pages 1-13, February.
    56. Carmen Altés, 2008. "Turismo y desarrollo en México," Research Department Publications 2008, Inter-American Development Bank, Research Department.
    57. Betty C. Daniel & Christos Shiamptanis, 2010. "Sovereign Default Risk in a Monetary Union," Working Papers 2010-3, Central Bank of Cyprus.
    58. Lima, Luiz Renato Regis de Oliveira & Sampaio, Raquel Menezes Bezerra & Gaglianone, Wagner Piazza, 2006. "Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 631, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    59. Markus Eller & Jarmila Urvová, 2012. "How Sustainable Are Public Debt Levels in Emerging Europe?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 48-79.
    60. Paloma Acevedo & Enrique Alberola & Carmen Broto, 2008. "Local debt expansion and vulnerability reduction: an assessment for six crisis-prone countries," BIS Papers chapters, in: Bank for International Settlements (ed.), New financing trends in Latin America: a bumpy road towards stability, volume 36, pages 88-109, Bank for International Settlements.

  34. Ha Yan Lee & Luca Antonio Ricci & Roberto Rigobon, 2004. "Once Again, is Openness Good for Growth?," NBER Working Papers 10749, National Bureau of Economic Research, Inc.

    Cited by:

    1. Ho, Sin-Yu & Njindan Iyke, Bernard, 2018. "Short- and Long-term Impact of Trade Openness on Financial Development in Sub-Saharan Africa," MPRA Paper 84272, University Library of Munich, Germany.
    2. Lucas Bretschger, 2005. "Taxes, Mobile Capital, and Economic Dynamics in a Globalising World," CER-ETH Economics working paper series 05/43, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
    3. Cavallo, Eduardo A., 2008. "Output volatility and openness to trade: a reassessment," LSE Research Online Documents on Economics 123233, London School of Economics and Political Science, LSE Library.
    4. Bonga-Bonga, Lumengo & Kinfack, Emilie, 2019. "The growth effect of trade openness on African countries: evidence from using an Instrumental Variable Panel Smooth Transition Model," MPRA Paper 92111, University Library of Munich, Germany.
    5. Mariam Camarero & Inmaculada Martínez-Zarzoso & Felicitas Nowak-Lehmann & Cecilio Tamarit, 2016. "Trade Openness and Income: A Tale of Two Regions," The World Economy, Wiley Blackwell, vol. 39(3), pages 386-408, March.
    6. Roberto Chang & Linda Kaltani & Norman Loayza, 2005. "Openness can be good for Growth: The Role of Policy Complementarities," DEGIT Conference Papers c010_021, DEGIT, Dynamics, Economic Growth, and International Trade.
    7. J. Ernesto Lopez-Cordova & Christopher M. Meissner, 2005. "The Globalization of Trade and Democracy, 1870-2000," NBER Working Papers 11117, National Bureau of Economic Research, Inc.
    8. Sambit Bhattacharyya & Steve Dowrick & Jane Golley, 2009. "Institutions and Trade: Competitors or Complements in Economic Development?," The Economic Record, The Economic Society of Australia, vol. 85(270), pages 318-330, September.
    9. Bank for International Settlements, 2008. "India’s financial openness and integration with Southeast Asian countries: an analytical perspective," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 181-201, Bank for International Settlements.
    10. Ab-Rahim, Rossazana & Selvarajan, Sonia Kumari & Md Noor, Nor Ghani & Affizzah Awang Marikan, Dayang, 2018. "Convergence Clubs of Economic Liberalization in ASEAN, China, and India," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 52(3), pages 129-141.
    11. Ait El Mekki, A. & Jaafari, S. & Tyner, W., 2006. "Economic Competitiveness of the Meat Sub-sector in Morocco: The Case of Beef and Poultry," Conference papers 331473, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    12. Cage, Julia & Gadenne, Lucie, 2016. "Tax Revenues, Development, and the Fiscal Cost of Trade Liberalization, 1792-2006," Economic Research Papers 269314, University of Warwick - Department of Economics.
    13. Azra Khan & Sadia Safdar & Samina Bibi, 2021. "Fiscal Discretion And Aggregate Demand: A Case Study Of Pakistan," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 10(2), pages 204-220.
    14. Claudia M. Buch & Farid Toubal, 2007. "Openness and Growth: The Long Shadow of the Berlin Wall," IAW Discussion Papers 31, Institut für Angewandte Wirtschaftsforschung (IAW).
    15. Mduduzi Biyase & September Rooderick, 2017. "Determinants of Growth in SADC Countries: A Fixed Effect Vector Decomposition Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 7(4), pages 746-751.
    16. Anna Kukla-Gryz, 2006. "Use of structural equation modeling to examine the relationships between growth, trade and the environment in developing countries," Sustainable Development, John Wiley & Sons, Ltd., vol. 14(5), pages 327-342.
    17. Ann Harrison, 2007. "Globalization and Poverty," NBER Books, National Bureau of Economic Research, Inc, number harr06-1, June.
    18. Dario DEBOWICZ, 2010. "Real Financial Models in Argentina," EcoMod2010 259600044, EcoMod.
    19. Stefan Ederer & Jürgen Janger & Serguei Kaniovski & Daniela Kletzan-Slamanig & Johannes Berger & Ines Fortin & Helmut Hofer & Iain Paterson & Edith Skriner & Karin Schönpflug & Ulrich Schuh & Wolfgang, 2011. "Assessing the Lisbon Strategy 2005-2010 and Estimating Expected Effects from Reaching the EU 2020 Goals," WIFO Studies, WIFO, number 41747, January.
    20. Julia Cage & Lucie Gadenne, 2018. "Tax Revenues and the Fiscal Cost of Trade Liberalization, 1792-2006," SciencePo Working papers Main hal-03391923, HAL.
    21. Njindan Iyke, Bernard & Ho, Sin-Yu, 2017. "Trade Openness and Carbon Emissions: Evidence from Central and Eastern Europe," MPRA Paper 80399, University Library of Munich, Germany.
    22. Noha Emara (a) and Loreto Reyes Rebolledo (b), 2021. "Economic Freedom and Economic Performance: Does Good Governance Matter? The Case of APAC and OECD Countries," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 46(1), pages 1-32, March.
    23. Sumbal Fatima & Bateer Chen & Muhammad Ramzan & Qamar Abbas, 2020. "The Nexus Between Trade Openness and GDP Growth: Analyzing the Role of Human Capital Accumulation," SAGE Open, , vol. 10(4), pages 21582440209, November.
    24. Karlsson, Martin & Bergh, Andreas, 2009. "Government size and growth: accounting for economic freedom and globalization," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 46439, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    25. Michael W. Nicholson, 2013. "The Impact Of Tax Regimes On International Trade Patterns," Contemporary Economic Policy, Western Economic Association International, vol. 31(4), pages 746-761, October.
    26. Kao, Erin H. & Yeh, Chih-Chuan & Wang, Li-Hsun & Fung, Hung-Gay, 2018. "The relationship between CSR and performance: Evidence in China," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 155-170.
    27. Andreas Billmeier & Tommaso Nannicini, 2009. "Trade Openness and Growth: Pursuing Empirical Glasnost," IMF Staff Papers, Palgrave Macmillan, vol. 56(3), pages 447-475, August.
    28. Pierre-Richard Agénor & Leonardo Gambacorta & Enisse Kharroubi & Enisse Kharroubi, 2018. "The effects of prudential regulation, financial development and financial openness on economic growth," BIS Working Papers 752, Bank for International Settlements.
    29. Vatcharin Sirimaneetham, 2006. "What drives liberal policies in developing countries?," Bristol Economics Discussion Papers 06/587, School of Economics, University of Bristol, UK.
    30. Torfinn Harding & Jørn Rattsø, 2005. "The Barrier Model of Productivity Growth: South Africa," Working Paper Series 4805, Department of Economics, Norwegian University of Science and Technology.
    31. Sena Kimm Gnangnon, 2017. "The Impact of Multilateral Trade Liberalisation on Economic Development: Some Empirical Evidence," Economic Affairs, Wiley Blackwell, vol. 37(3), pages 397-410, October.
    32. Bardhan, Pranab, 2006. "Globalization, Inequality, and Poverty," IDB Publications (Working Papers) 2329, Inter-American Development Bank.
    33. Anupam Das & Biru Paksha Paul, 2011. "Openness and growth in emerging Asian economies: Evidence from GMM estimations of a dynamic panel," Economics Bulletin, AccessEcon, vol. 31(3), pages 2219-2228.
    34. Lein, Sarah M. & León-Ledesma, Miguel A. & Nerlich, Carolin, 2008. "How is real convergence driving nominal convergence in the new EU Member States?," Journal of International Money and Finance, Elsevier, vol. 27(2), pages 227-248, March.
    35. Pamela Coke Hamilton & Yvonne Tsikata & Emmanuel Pinto Moreira, 2009. "Accelerating Trade and Integration in the Caribbean : Policy Options for Sustained Growth, Job Creation, and Poverty Reduction," World Bank Publications - Books, The World Bank Group, number 2652.
    36. Bergh, Andreas & Nilsson, Therese, 2010. "Good for Living? On the Relationship between Globalization and Life Expectancy," World Development, Elsevier, vol. 38(9), pages 1191-1203, September.
    37. Navaratnam Ravinthirakumaran, 2014. "Applicability of Openness-led Growth Hypothesis in Sri Lanka," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 15(2), pages 241-263, September.
    38. Bergh, Andreas & Nilsson, Therese, 2010. "Do liberalization and globalization increase income inequality?," European Journal of Political Economy, Elsevier, vol. 26(4), pages 488-505, December.
    39. Bergh, Andreas & Nilsson, Therese, 2009. "Good for Living? On the Relation between Globalization and Life Expectancy," Ratio Working Papers 136, The Ratio Institute.
    40. Akbay O. S., 2011. "Trade-Growth Nexus: Turkish Case," EuroEconomica, Danubius University of Galati, issue 28, pages 108-114, May.
    41. Sambit Bhattacharyya, 2011. "Growth Miracles and Growth Debacles," Books, Edward Elgar Publishing, number 13609.
    42. Kim, Dong-Hyeon & Lin, Shu-Chin & Suen, Yu-Bo, 2016. "Trade, growth and growth volatility: New panel evidence," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 384-399.
    43. John O'Trakoun, 2018. "The impact of trade on growth in the Great Lakes states," Economics Bulletin, AccessEcon, vol. 38(4), pages 1845-1856.
    44. Marilyne HUCHET-BOURDON & Chantal Le Mouël & Mariana Vijil, 2013. "The relationship between trade openness and economic growth: Some new insights on the openness measurement issue," EcoMod2013 5131, EcoMod.
    45. Tiba, Sofien & Frikha, Mohamed, 2019. "The controversy of the resource curse and the environment in the SDGs background: The African context," Resources Policy, Elsevier, vol. 62(C), pages 437-452.
    46. Elena-Mihaela ILIESCU & Marilena CIOBANASU, 2010. "Country Risk – Barrier or Key Factor of Globalization," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, vol. 3(3(11)), pages 175-182.
    47. Dong-Hyeon Kim & Shu-Chin Lin, 2012. "Inflation and Inflation Volatility Revisited," International Finance, Wiley Blackwell, vol. 15(3), pages 327-345, December.
    48. Harrison, Ann E. & Rodriguez-Clare, Andres, 2009. "Trade, Foreign Investment, and Industrial Policy," MPRA Paper 15561, University Library of Munich, Germany.
    49. Wannaphong Durongkaveroj & Taehyun Ryu, 2019. "Relative effects of trade liberalization on poverty: Evidence from Thailand," Progress in Development Studies, , vol. 19(4), pages 264-283, October.
    50. Njindan Iyke, Bernard, 2016. "Does Trade Openness Matter for Economic Growth in the CEE Countries?," MPRA Paper 78869, University Library of Munich, Germany.
    51. Levy Yeyati, Eduardo & Sturzenegger, Federico, 2010. "Monetary and Exchange Rate Policies," Handbook of Development Economics, in: Dani Rodrik & Mark Rosenzweig (ed.), Handbook of Development Economics, edition 1, volume 5, chapter 0, pages 4215-4281, Elsevier.
    52. Antonio N. Bojanic, 2012. "The impact of financial development and trade on the economic growth of Bolivia," Journal of Applied Economics, Universidad del CEMA, vol. 15, pages 51-70, May.
    53. Adriaan Kalwij & Arjan Verschoor, 2010. "A Decomposition of Poverty Tre across Regions: The Role of Variation in the Income and Inequality Elasticities of Poverty," Working Papers id:2611, eSocialSciences.
    54. Nawaz, Kishwar & Lahiani, Amine & Roubaud, David, 2019. "Natural resources as blessings and finance-growth nexus: A bootstrap ARDL approach in an emerging economy," Resources Policy, Elsevier, vol. 60(C), pages 277-287.
    55. Abegaz, Berhanu & Basu, Arnab K., 2010. "The Elusive Productivity Effect of Trade Liberalization in the Manufacturing Industries of Emerging Economies," Discussion Papers 94717, University of Bonn, Center for Development Research (ZEF).
    56. Mishkin, Frederic S., 2009. "Globalization and financial development," Journal of Development Economics, Elsevier, vol. 89(2), pages 164-169, July.
    57. Aharonovitz Gilad D, 2011. "Migration of Firms, Home Bias and Economic Growth," Global Economy Journal, De Gruyter, vol. 11(2), pages 1-30, July.
    58. Brigitte Desroches & Michael Francis, 2006. "Institutional Quality, Trade, and the Changing Distribution of World Income," Staff Working Papers 06-19, Bank of Canada.
    59. Șancariuc Delia-Raluca & Preda Dragoș Cosmin Lucian, 2024. "Does Trade Openness Influence Democracy? Evidence from Ex-communist Countries," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 18(1), pages 1996-2004.
    60. Ali, Amjad, 2022. "Financial Liberalization, Institutional Quality and Economic Growth Nexus: Panel Analysis of African Countries," MPRA Paper 116329, University Library of Munich, Germany, revised 2022.
    61. Pinar Deniz & Thanasis Stengos & M. Ege Yazgan, 2021. "Revisiting the link between output growth and volatility: panel GARCH analysis," Empirical Economics, Springer, vol. 61(2), pages 743-771, August.
    62. Feal-Zubimendi, Soledad, 2007. "Crecimiento Económico y Apertura Comercial: Análisis de la Influencia de los Canales [Trade Openness and Economic Growth: Analysis of the Channels of Influence]," MPRA Paper 63343, University Library of Munich, Germany.
    63. Ricardo Ferraz, 2022. "The Portuguese Military Expenditure from a Historical Perspective," Defence and Peace Economics, Taylor & Francis Journals, vol. 33(3), pages 347-365, April.
    64. Harrison, Ann & Rodríguez-Clare, Andrés, 2010. "Trade, Foreign Investment, and Industrial Policy for Developing Countries," Handbook of Development Economics, in: Dani Rodrik & Mark Rosenzweig (ed.), Handbook of Development Economics, edition 1, volume 5, chapter 0, pages 4039-4214, Elsevier.
    65. Robert Mullings & Aruneema Mahabir, 2016. "Growth by Destination: The Role of Trade in Africa’s Recent Growth Episode," NBS Discussion Papers in Economics 2016/01, Economics, Nottingham Business School, Nottingham Trent University.
    66. Haq, Munshi Masudul, 2008. "Growth and openness: empirical evidence from Bangladesh," MPRA Paper 35732, University Library of Munich, Germany.
    67. Raphael Espinoza, 2012. "Factor Accumulation and the Determinants of TFP in the GCC," OxCarre Working Papers 094, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    68. N. R. Ramírez-Rondán & Marco E. Terrones & Andrea Vilchez, 2020. "Does financial sector development affect the growth gains from trade openness?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 156(3), pages 475-515, August.
    69. Rajeh Alragas & P. Murphy & Mamata Parhi & T.K.Mishra & Bazoumana Ouattara, 2015. "Empirical Evidence On The Relationship Between Trade Openness And Economic Growth," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 9(3), pages 91-96.
    70. Keshmeer Makun, 2017. "Trade Openness and Economic Growth in Malaysia," Foreign Trade Review, , vol. 52(3), pages 157-170, August.
    71. Lorenz Lassnigg & Edith Skriner & Julia Bock-Schappelwein & Thomas Horvath, 2013. "Analyse der Datengrundlage zum künftigen Qualifikationsangebot und Qualifikationsbedarf in Österreich," WIFO Studies, WIFO, number 58453, January.
    72. Agénor, Pierre-Richard & Bayraktar, Nihal, 2023. "Capital requirements and growth in an open economy," Journal of Economic Dynamics and Control, Elsevier, vol. 147(C).
    73. Masahiko Tsutsumi & Masahito Ambashi & Asuna Okubo, 2019. "FTA Strategies to Strengthen Indonesian Exports: Using the Computable General Equilibrium Model," Working Papers DP-2019-16, Economic Research Institute for ASEAN and East Asia (ERIA).
    74. Adedoyin Isola Lawal & Tony I. Nwanji & Abiola Asaleye & Victor Ahmed, 2016. "Economic growth, financial development and trade openness in Nigeria: An application of the ARDL bound testing approach," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1258810-125, December.
    75. Cagé, Julia, 2009. "Growth, Poverty Reduction and Governance in Developing Countries: a Survey," CEPREMAP Working Papers (Docweb) 0904, CEPREMAP.
    76. Oh, Saera & Lee, Sang Hyeon, 2017. "Does trade contribute to poverty reduction? If it does, where the benefit goes to?," 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama 252849, Southern Agricultural Economics Association.
    77. Falcetti, Elisabetta & Lysenko, Tatiana & Sanfey, Peter, 2006. "Reforms and growth in transition: Re-examining the evidence," Journal of Comparative Economics, Elsevier, vol. 34(3), pages 421-445, September.
    78. Salem Abo Zaid, 2006. "The Trade–Growth Relationship in Israel Revisited: Evidence from Annual Data, 1960-2004," Bank of Israel Working Papers 2006.11, Bank of Israel.
    79. Anton Gerunov, 2014. "Openness and Growth : An Empirical Investigation on a Panel of Countries over the Period 1999–2009," Yearbook of the Faculty of Economics and Business Administration, Sofia University, Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski - Bulgaria, vol. 12(1), pages 107-125, March.
    80. Christopher M. Meissner & Jose Ernesto Lopez Cordova, 2005. "Globalization and Democracy, 1870-2000," 2005 Meeting Papers 112, Society for Economic Dynamics.
    81. Adriaan Kalwij & Arjan Verschoor, 2005. "A Decomposition of Poverty Trends Across Regions: the Role of Variation in the Income and Inequality Elasticities of Poverty," WIDER Working Paper Series RP2005-36, World Institute for Development Economic Research (UNU-WIDER).
    82. Tarlok Singh, 2010. "Does International Trade Cause Economic Growth? A Survey," The World Economy, Wiley Blackwell, vol. 33(11), pages 1517-1564, November.
    83. William Easterly, 2007. "Globalization, Poverty, and All That: Factor Endowment versus Productivity Views," NBER Chapters, in: Globalization and Poverty, pages 109-142, National Bureau of Economic Research, Inc.
    84. Emilie Kinfack & Lumengo Bonga‐Bonga, 2023. "The growth effect of trade openness on African countries: Evidence from using an instrumental variable panel smooth transition model," Bulletin of Economic Research, Wiley Blackwell, vol. 75(2), pages 366-379, April.
    85. Hildegunn Ekroll Stokke, 2005. "Productivity Growth in Backward Economies and the Role of Barriers to Technology Adoption," Working Paper Series 4905, Department of Economics, Norwegian University of Science and Technology.
    86. Pamela J. Smith & Sebastian J. Anti, 2022. "How does TRIPs compliance affect the economic growth of developing countries? Application of the Synthetic Control method," The World Economy, Wiley Blackwell, vol. 45(12), pages 3873-3906, December.
    87. JAYANTHAKUMARAN, Kankesu & PAHLAVANI, Mosayeb, 2007. "Structural Breaks In Trade And Income Per Capita In Asean-5 Countries: An Application Of Innovational Outlier Models," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 7(2).
    88. Sucharita Ghosh & Camilla Mastromarco, 2013. "Cross-border Economic Activities, Human Capital and Efficiency: A Stochastic Frontier Analysis for OECD Countries," The World Economy, Wiley Blackwell, vol. 36(6), pages 761-785, June.
    89. Ann Harrison, 2007. "Globalization and Poverty: An Introduction," NBER Chapters, in: Globalization and Poverty, pages 1-32, National Bureau of Economic Research, Inc.
    90. Kukla-Gryz, Anna, 2009. "Economic growth, international trade and air pollution: A decomposition analysis," Ecological Economics, Elsevier, vol. 68(5), pages 1329-1339, March.
    91. Codruta Boar & Leonardo Gambacorta & Giovanni Lombardo & Luiz Awazu Pereira da Silva, 2017. "What are the effects of macroprudential policies on macroeconomic performance?," BIS Quarterly Review, Bank for International Settlements, September.
    92. Maëlan Le Goff & Raju Jan Singh, 2014. "Does trade reduce poverty? A view from Africa," Journal of African Trade, Springer, vol. 1(1), pages 5-14, March.
    93. César Calderón & Norman V. Loayza & Klaus Schmidt-Hebbel, 2008. "Does Openness Imply Greater Vulnerability?," Working Papers Central Bank of Chile 485, Central Bank of Chile.
    94. Daniel Sakyi & Jose Villaverde & Adolfo Maza & Krishna Reddy Chittedieonardo, 2012. "Trade Openness, Growth and Development: Evidence from Heterogeneous Panel Cointegration Analysis for Middle-Income Countries," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, August.
    95. Bhaskara Rao & Maheshwar Rao, 2005. "Determinants Of Growth Rate: Some Methodological Issues With Data From Fiji," Macroeconomics 0509003, University Library of Munich, Germany.
    96. Tullio Gregori & Marco Giansoldati, 2023. "Do current and capital account liberalizations affect economic growth in the long run?," Empirical Economics, Springer, vol. 65(1), pages 247-273, July.
    97. Claudia M. Buch & Paola Monti & Farid Toubal, 2008. "Trade's Impact on the Labor Share: Evidence from German and Italian Regions," IAW Discussion Papers 46, Institut für Angewandte Wirtschaftsforschung (IAW).
    98. Georgios Chortareas & Georgios Magkonis & Demetrios Moschos & Theodore Panagiotidis, 2015. "Financial Development and Economic Activity in Advanced and Developing Open Economies: Evidence from Panel Cointegration," Review of Development Economics, Wiley Blackwell, vol. 19(1), pages 163-177, February.
    99. Timothy J. Kehoe & Kim J. Ruhl, 2010. "Why Have Economic Reforms in Mexico Not Generated Growth?," Journal of Economic Literature, American Economic Association, vol. 48(4), pages 1005-1027, December.
    100. Apergis, Nicholas & Payne, James E., 2014. "The oil curse, institutional quality, and growth in MENA countries: Evidence from time-varying cointegration," Energy Economics, Elsevier, vol. 46(C), pages 1-9.
    101. Calderon, Cesar & Loayza, Norman & Schmidt-Hebbel, Klaus, 2005. "Does openness imply greater exposure ?," Policy Research Working Paper Series 3733, The World Bank.
    102. Shu-Chin Lin & Dong-Hyeon Kim, 2014. "The link between economic growth and growth volatility," Empirical Economics, Springer, vol. 46(1), pages 43-63, February.
    103. Ho Sin-Yu & Iyke Bernard Njindan, 2019. "Trade Openness and Carbon Emissions: Evidence from Central and Eastern European Countries," Review of Economics, De Gruyter, vol. 70(1), pages 41-67, April.
    104. Niclas Berggren & Christian Bjørnskov, 2022. "Academic freedom, institutions, and productivity," Southern Economic Journal, John Wiley & Sons, vol. 88(4), pages 1313-1342, April.
    105. Palaniaandy, Ayappan & Chin, Lee, 2018. "Intellectual Property Rights, Foreign Direct Investment and Economic Growth," MPRA Paper 118780, University Library of Munich, Germany.
    106. Altu Kazar & G rkemli Kazar, 2016. "Globalization, Financial Development and Economic Growth," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 578-587.
    107. Ulaşan, Bülent, 2012. "Openness to international trade and economic growth: A cross-country empirical investigation," Economics Discussion Papers 2012-25, Kiel Institute for the World Economy (IfW Kiel).
    108. Wong Hock Tsen, 2006. "Granger causality tests among openness to international trade, human capital accumulation and economic growth in China: 1952-1999," International Economic Journal, Taylor & Francis Journals, vol. 20(3), pages 285-302.
    109. Nam, Hyun-Jung & Ryu, Doojin, 2024. "Does trade openness promote economic growth in developing countries?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 93(C).
    110. Hajilee, Massomeh & Niroomand, Farhang, 2019. "On the link between financial market inclusion and trade openness: An asymmetric analysis," Economic Analysis and Policy, Elsevier, vol. 62(C), pages 373-381.
    111. Maria E. de Boyrie & Roger Johns, 2013. "The effects of trade agreements on the growth of major Latin American economies," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 22(3), pages 377-397, April.
    112. B. Bhaskara Rao & Maheshwar Rao, 2009. "Openness and growth in Fiji: some time series evidence," Applied Economics, Taylor & Francis Journals, vol. 41(13), pages 1653-1662.

  35. Fernando Broner & Roberto Rigobon, 2004. "Why are capital flows so much volatile in emerging than in developed countries?," Working Papers 196, Barcelona School of Economics.

    Cited by:

    1. Diego Bastourre & Jorge Carrera & Javier Ibarlucia, 2008. "Commodity Prices in Argentina. What Does Move the Wind?," Money Affairs, CEMLA, vol. 0(1), pages 1-30, January-J.
    2. Shiyi Wang, 2019. "Capital Flow Volatility: The Effects of Financial Development and Global Financial Conditions," 2019 Papers pwa945, Job Market Papers.
    3. Carmen Broto & Javier Díaz-Cassou & Aitor Erce-Domínguez, 2008. "The Sources of Capital Flows Volatility: Empirical Evidence for Emerging Countries," Money Affairs, CEMLA, vol. 0(1), pages 93-128, January-J.
    4. Chong, Terence Tai Leung & Zhu, Tingting & Rafiq, M.S., 2013. "Are Prices Sticky in Large Developing Economies? An Empirical Comparison of China and India," MPRA Paper 60985, University Library of Munich, Germany.
    5. Maya Eden, 2017. "Misallocation and the Distribution of Global Volatility," American Economic Review, American Economic Association, vol. 107(2), pages 592-622, February.
    6. Silvio Contessi & Pierangelo De Pace, 2012. "(Non-)Resiliency Of Foreign Direct Investment In The United States During The 2007–2009 Financial Crisis," Pacific Economic Review, Wiley Blackwell, vol. 17(3), pages 368-390, August.
    7. Li, Jie & Rajan, Ramkishen S., 2015. "Do capital controls make gross equity flows to emerging markets less volatile?," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 220-244.
    8. Akhilesh K. Verma & Rajeswari Sengupta, 2021. "Interlinkages between external debt financing, credit cycles and output fluctuations in emerging market economies," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 157(4), pages 965-1001, November.
    9. Nadia Doytch, 2022. "FDI: Hot or Cold Money? The Behaviour of Sectoral FDI Inflows and Outflows Over Periods of Growth Accelerations and Decelerations," Foreign Trade Review, , vol. 57(3), pages 324-350, August.
    10. Fernando Broner & Jaume Ventura, 2015. "Rethinking the Effects of Financial Liberalization," Working Papers 509, Barcelona School of Economics.
    11. Silvio Contessi & Pierangelo DePace & Johanna L. Francis, 2008. "The cyclical properties of disaggregated capital flows," Working Papers 2008-041, Federal Reserve Bank of St. Louis.
    12. Broner, Fernando & Didier, Tatiana & Erce, Aitor & Schmukler, Sergio L., 2013. "Gross capital flows: Dynamics and crises," Journal of Monetary Economics, Elsevier, vol. 60(1), pages 113-133.
    13. Trung, Nguyen Ba, 2019. "The spillover effects of US economic policy uncertainty on the global economy: A global VAR approach," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 90-110.
    14. Jean-Pierre Allegret & Alain Sand-Zantman, 2007. "Modeling the impact of real and financial shocks on Mercosur: the role of the exchange rate regime," Post-Print halshs-00261994, HAL.
    15. Förster, Marcel & Jorra, Markus & Tillmann, Peter, 2014. "The dynamics of international capital flows: Results from a dynamic hierarchical factor model," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 101-124.
    16. Lee, Hyun-Hoon & Park, Cyn-Young & Byun, Hyung-suk, 2013. "Do contagion effects exist in capital flow volatility?," Journal of the Japanese and International Economies, Elsevier, vol. 30(C), pages 76-95.
    17. Bathia, Deven & Bouras, Christos & Demirer, Riza & Gupta, Rangan, 2020. "Cross-border capital flows and return dynamics in emerging stock markets: Relative roles of equity and debt flows," Journal of International Money and Finance, Elsevier, vol. 109(C).
    18. Michael M. Hutchison & Ilan Noy & Lidan Wang, 2007. "Fiscal and Monetary Policies and the Cost of Sudden Stops," Working Papers 200724, University of Hawaii at Manoa, Department of Economics.
    19. Armelius, Hanna & Bertsch, Christoph & Hull, Isaiah & Zhang, Xin, 2020. "Spread the Word: International spillovers from central bank communication," Journal of International Money and Finance, Elsevier, vol. 103(C).
    20. Kazeem Abimbola Sanusi & Forget Mingiri Kapingura, 2022. "Drivers of capital inflow: Does global uncertainty matter?," Cogent Business & Management, Taylor & Francis Journals, vol. 9(1), pages 2124596-212, December.
    21. Paolo Mauro, 2007. "Do Some Forms of Financial Flows Help Protect Against "Sudden Stops"?," The World Bank Economic Review, World Bank, vol. 21(3), pages 389-411, September.
    22. Opperman, Pieter & Adjasi, Charles Komla Delali, 2017. "The determinants of private capital flow volatility in Sub-Saharan African countries," Research in International Business and Finance, Elsevier, vol. 42(C), pages 312-320.
    23. Partha Sen, 2007. "Capital Inflows, Financial Repression And Macroeconomic Policy In India Since The Reforms," Working papers 157, Centre for Development Economics, Delhi School of Economics.
    24. Mr. John C Bluedorn & Rupa Duttagupta & Mr. Jaime Guajardo & Petia Topalova, 2013. "Capital Flows are Fickle: Anytime, Anywhere," IMF Working Papers 2013/183, International Monetary Fund.
    25. Manuel R. Agosin & Juan Díaz-Maureira & Mohit Karnani, 2016. "Sudden stops of capital flows: Do foreign assets behave differently from foreign liabilities?," Working Papers wp436, University of Chile, Department of Economics.
    26. M Belén Salas & David Alaminos & Manuel Angel Fernández & Francisco López-Valverde, 2020. "A global prediction model for sudden stops of capital flows using decision trees," PLOS ONE, Public Library of Science, vol. 15(2), pages 1-22, February.
    27. Kuziva Mamvura & Mabutho Sibanda & Rajendra Rajaram, 2020. "Causal Dynamics among Foreign Portfolio Investment Volatility, Financial Deepening and Capital Markets in Low Income Countries," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 70(1-2), pages 20-38, January-J.
    28. Gozgor, Giray & Erzurumlu, Yaman O., 2010. "Causality relations between foreign direct investment and portfolio investment volatility," MPRA Paper 34352, University Library of Munich, Germany.
    29. Ahmet Ihsan Kaya & Lutfi Erden, 2023. "Capital‐flow volatility in emerging markets: A panel GARCH approach," International Finance, Wiley Blackwell, vol. 26(2), pages 172-188, August.
    30. Rebecca Neumann & Ron Penl, 2008. "Volatile capital flows: Interactions between de jure and de facto financial liberalization," Economics Bulletin, AccessEcon, vol. 6(3), pages 1-10.
    31. Juan Carlos Castañeda Fuentes & Juan Carlos Catalán Herrera, 2008. "Emigrant Remittances and the Real Exchange rate in Guatemala: an Adjustment-Costs Story," Money Affairs, CEMLA, vol. 0(1), pages 31-71, January-J.
    32. Neumann, Rebecca M. & Penl, Ron & Tanku, Altin, 2009. "Volatility of capital flows and financial liberalization: Do specific flows respond differently?," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 488-501, June.
    33. Xiomara Archibald & Denny Lewis-Bynoe & Winston Moore, 2008. "Labour Market Flexibility in Small Island Developing States," Money Affairs, CEMLA, vol. 0(1), pages 73-91, January-J.
    34. Hussain, Shahzad & Akbar, Muhammad & Malik, Qaisar & Ahmad, Tanveer & Abbas, Nasir, 2021. "Downside Systematic Risk in Pakistani Stock Market: Role of Corporate Governance, Financial Liberalization and Investor Sentiment," CAFE Working Papers 14, Centre for Accountancy, Finance and Economics (CAFE), Birmingham City Business School, Birmingham City University.
    35. Fernando Broner & Jaume Ventura, 2016. "Rethinking the Effects of Financial Globalization," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 131(3), pages 1497-1542.
    36. Mr. Paolo Mauro & Mr. Andrei A Levchenko, 2006. "Do Some Forms of Financial Flows Help Protect From Sudden Stops?," IMF Working Papers 2006/202, International Monetary Fund.

  36. Ricardo Hausmann & Ugo Panizza & Roberto Rigobon, 2004. "The Long-Run Volatility Puzzle of the Real Exchange Rate," NBER Working Papers 10751, National Bureau of Economic Research, Inc.

    Cited by:

    1. Guillermo A. Calvo & Alejandro Izquierdo & Rudy Loo-Kung, 2005. "Relative Price Volatility Under Sudden Stops: The Relevance of Balance Sheet Effects," NBER Working Papers 11492, National Bureau of Economic Research, Inc.
    2. N. Antonakakis & J. Darby, 2013. "Forecasting volatility in developing countries' nominal exchange returns," Applied Financial Economics, Taylor & Francis Journals, vol. 23(21), pages 1675-1691, November.
    3. Philippe Aghion & Philippe Baccheta & Romain Ranciere & Kenneth Rogoff, 2006. "Exchange Rate Volatility and Productivity Growth: The Role of Financial Development," Swiss Finance Institute Research Paper Series 06-16, Swiss Finance Institute.
    4. Ganguly, Srideep & Breuer, Janice Boucher, 2010. "Nominal exchange rate volatility, relative price volatility, and the real exchange rate," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 840-856, September.
    5. Unggul Heriqbaldi & Miguel Angel Esquivias & Rossanto Dwi Handoyo & Alfira Cahyaning Rifami & Hilda Rohmawati, 2022. "Exchange rate volatility and trade flows in Indonesia and ten main trade partners: asymmetric effects," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 40(4), pages 708-739, October.
    6. Li, Dandan & Ghoshray, Atanu & Morley, Bruce, 2012. "Measuring the risk premium in uncovered interest parity using the component GARCH-M model," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 167-176.
    7. van der Ploeg, Frederick & Poelhekke, Steven, 2007. "Volatility, Financial Development and the Natural Resource Curse," CEPR Discussion Papers 6513, C.E.P.R. Discussion Papers.
    8. Fernando A. Broner & Roberto Rigobon, 2005. "Why are Capital Flows so Much More Volatile in Emerging Than in Developed Countries?," Working Papers Central Bank of Chile 328, Central Bank of Chile.
    9. Jeffrey Frankel & Ben Smit & Federico Sturzenegger, 2008. "Fiscal and monetary policy in a commodity‐based economy1," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 16(4), pages 679-713, October.
    10. Jeffrey A. Frankel, 2010. "Monetary Policy in Emerging Markets: A Survey," NBER Working Papers 16125, National Bureau of Economic Research, Inc.
    11. Ibragimov Marat & Khamidov Rufat, 2010. "Heavy-Tailedness and Volatility in Emerging Foreign Exchange Markets: Theory and Empirics," EERC Working Paper Series 10/06e, EERC Research Network, Russia and CIS.
    12. Fahima Charef, 2017. "Modeling the Volatility of Exchange Rates: GARCH Models," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 3(1), pages 39-47, March.
    13. Al-Abri, Almukhtar, 2013. "Real exchange rate volatility, terms-of-trade shocks, and financial integration in primary-commodity exporting economies," Economics Letters, Elsevier, vol. 120(1), pages 126-129.
    14. Ouyang, Alice Y. & Rajan, Ramkishen S. & Li, Jie, 2016. "Exchange rate regimes and real exchange rate volatility: Does inflation targeting help or hurt?," Japan and the World Economy, Elsevier, vol. 39(C), pages 62-72.
    15. Frankel, Jeffrey, 2010. "Monetary Policy in Emerging Markets," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 25, pages 1439-1520, Elsevier.
    16. Ata Ozkaya & Omer Altun, 2024. "Domestic and Global Causes for Exchange Rate Volatility: Evidence From Turkey," SAGE Open, , vol. 14(2), pages 21582440241, April.
    17. Frankel, Jeffrey & Smit, Ben & Sturzenegger, Federico, 2007. "South Africa: Macroeconomic Challenges after a Decade of Success," Working Paper Series rwp07-021, Harvard University, John F. Kennedy School of Government.
    18. Zelealem Yiheyis & Emmanuel Cleeve, 2016. "Dynamics of the Real Exchange Rate, Inflation, and Output Growth: The Case of Malawi," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(10), pages 23-39, October.
    19. Perekunah B. Eregha & Festus O. Egwaikhide & Emeka Osuji, 2020. "Modeling Exchange Rate Volatility in Selected WAMZ Countries: Evidence from Symmetric and Asymmetric GARCH Models," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 70(1-2), pages 58-80, January-J.
    20. WenShwo Fang & YiHao Lai & Stephen M. Miller, 2005. "Does Exchange Rate Risk Affect Exports Asymmetrically? Asian Evidence," Working papers 2005-09, University of Connecticut, Department of Economics.
    21. Shelley, Gary & Wallace, Frederick, 2007. "Co-movements in international dollar price levels," MPRA Paper 4133, University Library of Munich, Germany.
    22. Aizenman, Joshua & Edwards, Sebastian & Riera-Crichton, Daniel, 2012. "Adjustment patterns to commodity terms of trade shocks: the role of exchange rate and international reserves policies," Santa Cruz Department of Economics, Working Paper Series qt2bq3246m, Department of Economics, UC Santa Cruz.
    23. Fisera, Boris & Workie Tiruneh, Menbere & Hojdan, David, 2021. "Currency depreciations in emerging economies: A blessing or a curse for external debt management?," International Economics, Elsevier, vol. 168(C), pages 132-165.
    24. Tule Kpughur Moses & Oboh Ugbem Victor & Ebuh Godday Uwawunkonye & Onipede Samuel Fumilade & Gbadebo Nathaniel, 2020. "Does Exchange Rate Volatility Affect Economic Growth in Nigeria?," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 12(7), pages 1-54, July.
    25. Hossain, Monzur, 2010. "Do Currency Regime and Developmental Stage Matter for Real Exchange Rate Volatility? A Cross-Country Analysis," Bangladesh Development Studies, Bangladesh Institute of Development Studies (BIDS), vol. 33(4), pages 1-22, December.
    26. Giovanna Bua & Juan Pradelli & Andrea Filippo Presbitero, 2013. "Domestic public debt in low-income countries: trends and structure," Mo.Fi.R. Working Papers 85, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    27. Michael Bleaney, 2008. "Openness and Real Exchange Rate Volatility: In Search of an Explanation," Open Economies Review, Springer, vol. 19(2), pages 135-146, April.
    28. Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
    29. Alberto Ortiz & Federico Sturzenegger, 2007. "Estimating Sarb'S Policy Reaction Rule," South African Journal of Economics, Economic Society of South Africa, vol. 75(4), pages 659-680, December.
    30. Louisa Chen & Estelle Xue Liu & Zijun Liu, 2022. "FX Resilience around the World: Fighting Volatile Cross-Border Capital Flows," Papers 2210.04648, arXiv.org.
    31. Huang, Alex YiHou & Peng, Sheng-Pen & Li, Fangjhy & Ke, Ching-Jie, 2011. "Volatility forecasting of exchange rate by quantile regression," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 591-606, October.
    32. Alessandra Pasqualina Viola & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto & Wagner Piazza Gaglianone, 2017. "Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression," Working Papers Series 466, Central Bank of Brazil, Research Department.
    33. Tari Lestari, 2014. "Can Indonesia’s Fiscal Policy be Sustained, with Exploding Debt?," Working Papers in Economics and Development Studies (WoPEDS) 201415, Department of Economics, Padjadjaran University, revised Nov 2014.
    34. Ugo Panizza & Andrea Filippo Presbitero, 2012. "Public Debt and Economic Growth: Is There a Causal Effect?," Mo.Fi.R. Working Papers 65, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    35. Foster-McGregor, Neil & Kaba, Ibrahima & Szirmai, Adam, 2015. "Structural change and the ability to sustain growth," MERIT Working Papers 2015-048, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    36. Jorge Toro & Aarón Garavito & David Camilo López & Enrique Montes, 2015. "El choque petrolero y sus implicaciones en la economía colombiana," Borradores de Economia 13829, Banco de la Republica.
    37. Haryo Kuncoro, 2020. "Interest Rate Policy and Exchange Rates Volatility Lessons from Indonesia," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(2), pages 19-42.
    38. Massimiliano La Marca, 2012. "Propagation of Speculative Cycles: The Exchange Rate Channel," Journal of Development Studies, Taylor & Francis Journals, vol. 48(6), pages 695-713, June.
    39. Christian Daude & Eduardo Levy Yeyati & Arne Nagengast, 2014. "On the Effectiveness of Exchange Rate Interventions in Emerging Markets," OECD Development Centre Working Papers 324, OECD Publishing.
    40. Sek Siok Kun, 2012. "Evaluating the performance of inflation targeting regime in three Asian economies," International Econometric Review (IER), Econometric Research Association, vol. 4(2), pages 82-98, September.
    41. Weber, Christoph S., 2019. "The effect of central bank transparency on exchange rate volatility," Journal of International Money and Finance, Elsevier, vol. 95(C), pages 165-181.
    42. Olimov, Ulugbek & Sirajiddinov, Nishanbay, 2008. "The Effects of the Real Exchange Rate Volatility and Misalignments on Foreign Trade Flows in Uzbekistan," MPRA Paper 9749, University Library of Munich, Germany.
    43. Ugo Panizza, 2008. "The External Debt Contentious Six Years after the Monterrey Consensus," G-24 Discussion Papers 51, United Nations Conference on Trade and Development.
    44. Frederick Van der Ploeg & Steven Poelhekke, 2009. "The Volatility Curse: Revisiting the Paradox of Plenty," CESifo Working Paper Series 2616, CESifo.
    45. International Monetary Fund, 2011. "Republic of Korea: Selected Issues," IMF Staff Country Reports 2011/247, International Monetary Fund.
    46. Pierre JACQUET & Alexis ATLANI & Marwan LISSER, 2017. "Policy responses to terms of trade shocks," Working Papers P205, FERDI.
    47. Munazza Jabeen & Saud Ahmad Khan, 2014. "Modelling Exchange Rate Volatility by Macroeconomic Fundamentals in Pakistan," International Econometric Review (IER), Econometric Research Association, vol. 6(2), pages 58-76, September.
    48. Raihan, Selim & Abdullah, S M & Barkat, Aroni & Siddiqua, Salina, 2017. "Mean Reversion of the Real Exchange Rate and the validity of PPP Hypothesis in the context of Bangladesh: A Holistic Approach," MPRA Paper 77172, University Library of Munich, Germany.
    49. Michael Bleaney, 2006. "Fundamentals And Exchange Rate Volatility," Discussion Papers 06/03, University of Nottingham, School of Economics.
    50. Anna Mishura & Svetlana Ageeva, 2016. "Regional distribution of bank institutions in Russia: Role of state and education," ERSA conference papers ersa16p167, European Regional Science Association.
    51. Okot, Anjelo & Kaltenbrunner, Annina & Perez Ruiz, Daniel, 2022. "Determinants of the exchange rate, its volatility and currency crash risk in Africa's low and lower middle-income countries," EIB Working Papers 2022/12, European Investment Bank (EIB).
    52. Mahbub Morshed, A.K.M. & Turnovsky, Stephen J., 2011. "Real exchange rate dynamics: The role of elastic labor supply," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1303-1322.
    53. Claudio Bravo-Ortega, 2013. "Do Multilateral Trade Linkages Explain Bilateral Real Exchange Rate Volatility?," Working Papers wp377, University of Chile, Department of Economics.
    54. Pierre JACQUET & Alexis ATLANI & Marwan LISSER, 2017. "Policy responses to terms of trade shocks," Working Papers P205, FERDI.
    55. Eichler, Stefan & Littke, Helge C. N., 2017. "Central bank transparency and the volatility of exchange rates," IWH Discussion Papers 22/2017, Halle Institute for Economic Research (IWH).
    56. Grossmann, Axel & Orlov, Alexei G., 2022. "Exchange rate misalignments, capital flows and volatility," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    57. Oğuz Tümtürk, 2023. "Key Macroeconomic Variables under Exchange Rate Volatility: Time-Varying Causality in the Presence of Structural Breaks and Nonlinearity," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(39), pages 49-64, December.
    58. Grossmann, Axel & Love, Inessa & Orlov, Alexei G., 2014. "The dynamics of exchange rate volatility: A panel VAR approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 1-27.
    59. Kenza Benhima, 2008. "Exhange Rate Volatility and Productivity Growth : The Role of Liability Dollarization," Working Papers 2008-11, Center for Research in Economics and Statistics.
    60. Guido Lorenzoni & Ricardo J. Caballero, 2007. "Persistent Appreciations and Overshooting: A Normative Analysis," 2007 Meeting Papers 196, Society for Economic Dynamics.
    61. Margarida Duarte & Diego Restuccia & Andrea L. Waddle, 2007. "Exchange rates and business cycles across countries," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 93(Win), pages 57-76.
    62. Eisdorfer, Assaf, 2010. "Risk-shifting and investment asymmetry," Finance Research Letters, Elsevier, vol. 7(4), pages 232-237, December.
    63. O. P. C. Muhammed Rafi & M. Ramachandran, 2018. "Capital flows and exchange rate volatility: experience of emerging economies," Indian Economic Review, Springer, vol. 53(1), pages 183-205, December.
    64. Arize, Augustine C., 2011. "Purchasing power parity in LDCs: An empirical investigation," Global Finance Journal, Elsevier, vol. 22(1), pages 56-71.
    65. Saif Al-Abri, Almukhtar, 2014. "How does terms-of-trade behavior shape international financial integration in primary-commodity exporting economies?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 335-353.
    66. Calderon, Cesar & Kubota, Megumi, 2009. "Does higher openness cause more real exchange rate volatility ?," Policy Research Working Paper Series 4896, The World Bank.
    67. Francesca Caselli & Agustin Roitman, 2016. "Non-Linear Exchange Rate Pass-Through in Emerging Markets," IMF Working Papers 2016/001, International Monetary Fund.
    68. Guna Raj Bhatta & Rabindra Nepal & Charles Harvie & Kankesu Jayanthakumaran, 2021. "Testing for uncovered interest parity conditions in a small open economy: A state space modelling approach," CAMA Working Papers 2021-56, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    69. Eichler, Stefan & Littke, Helge C.N., 2018. "Central bank transparency and the volatility of exchange rates," Journal of International Money and Finance, Elsevier, vol. 89(C), pages 23-49.
    70. Jauhari Dahalan & Mohammed Umar & Hussin Abdullah, 2016. "Fundamentals and the Equilibrium of Real Exchange Rate of an Emerging Economy: Estimating the Exchange Rate Misalignment in Malaysia," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1665-1676.
    71. Olumide Olusegun Olaoye & Mosab I. Tabash & Olatunde Julius Omokanmi & Rotimi Ayoade Ogunjumo & Matthew Oyeleke Ojelade & James A. Ishola, 2022. "Macroeconomic implications of escalating stock of public debt: Evidence from sub‐Saharan African economies," African Development Review, African Development Bank, vol. 34(4), pages 527-540, December.
    72. Oğuz Tümtürk, 2022. "Global Uncertainty and Exchange Rate Volatility," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(37), pages 69-84, December.
    73. Liu, Yang & Han, Liyan & Yin, Libo, 2019. "News implied volatility and long-term foreign exchange market volatility," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 126-142.
    74. Kumar, Satish, 2019. "Does risk premium help uncover the uncovered interest parity failure?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).

  37. Roberto Rigobon & Brian P. Sack, 2003. "Spillovers across U.S. financial markets," Finance and Economics Discussion Series 2003-13, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, September.
    2. Beirne, John & Gieck, Jana, 2012. "Interdependence and contagion in global asset markets," Working Paper Series 1480, European Central Bank.
    3. GIOT, Pierre & PETITJEAN, Mikael, 2005. "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," LIDAM Discussion Papers CORE 2005010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    4. Sensoy, Ahmet & Sobaci, Cihat, 2014. "Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market: The case of Turkey," Economic Modelling, Elsevier, vol. 43(C), pages 448-457.
    5. John Y. Campbell & Luis M. Viceira, 2005. "The Term Structure of the Risk–Return Trade-Off," Financial Analysts Journal, Taylor & Francis Journals, vol. 61(1), pages 34-44, January.
    6. Ruben Hipp, 2020. "On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity," Staff Working Papers 20-42, Bank of Canada.
    7. Elena Corallo, 2005. "The effect of the war risk: a comparison of the consequences of the two Iraq wars on some financial variables," LIUC Papers in Economics 171, Cattaneo University (LIUC).
    8. Pelin Berkmen & Eduardo A. Cavallo, 2007. "Exchange Rate Policy and Liability Dollarization: An Empirical Study," IMF Working Papers 2007/033, International Monetary Fund.
    9. Roberto Rigobon & Dani Rodrik, 2004. "Rule of Law, Democracy, Openness, and Income: Estimating the Interrelationships," NBER Working Papers 10750, National Bureau of Economic Research, Inc.
    10. Guidolin, Massimo & Hyde, Stuart, 2008. "Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 293-312, October.
    11. Bollerslev, Tim & Xu, Lai & Zhou, Hao, 2015. "Stock return and cash flow predictability: The role of volatility risk," Journal of Econometrics, Elsevier, vol. 187(2), pages 458-471.
    12. Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109, January.
    13. Mahendra Chandra, 2006. "The day-of-the-week effect in conditional correlation," Review of Quantitative Finance and Accounting, Springer, vol. 27(3), pages 297-310, November.
    14. Jón Daníelsson & Ryan Love, 2006. "Feedback trading This paper is also available at www.riskresearch.org," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 35-53.
    15. Brännäs Kurt & De Gooijer Jan G. & Lönnbark Carl & Soultanaeva Albina, 2012. "Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(1), pages 1-24, January.
    16. GIOT, Pierre & PETITJEAN, Mikael, 2007. "The information content of the Bond-Equity Yield Ratio: Better than a random walk?," LIDAM Reprints CORE 1982, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    17. Ciner, Cetin & Gurdgiev, Constantin & Lucey, Brian M., 2013. "Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 202-211.
    18. Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2012. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Working Papers 15030, University of Tasmania, Tasmanian School of Business and Economics, revised 29 Aug 2012.
    19. Sinha, Pankaj & Sinha, Gyanesh, 2010. "Volatility Spillover in India, USA and Japan Investigation of Recession Effects," MPRA Paper 21873, University Library of Munich, Germany.
    20. Fernandez-Perez, Adrian & Frijns, Bart & Tourani-Rad, Alireza, 2016. "Contemporaneous interactions among fuel, biofuel and agricultural commodities," Energy Economics, Elsevier, vol. 58(C), pages 1-10.
    21. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007. "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets," CREATES Research Papers 2007-20, Department of Economics and Business Economics, Aarhus University.
    22. Mulyadi, Martin Surya, 2009. "Volatility spillover in Indonesia, USA, and Japan capital market," MPRA Paper 16914, University Library of Munich, Germany.
    23. Herwartz, Helmut & Roestel, Jan, 2022. "Asset prices, financial amplification and monetary policy: Structural evidence from an identified multivariate GARCH model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    24. Anastasios Demertzidis & Vahidin Jeleskovic, 2021. "Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID," JRFM, MDPI, vol. 14(5), pages 1-23, May.
    25. Juncal Cunado & David Gabauer & Rangan Gupta & Chien-Chiang Lee, 2022. "On the Propagation Mechanism of International Real Interest Rate Spillovers: Evidence from More than 200 Years of Data," Working Papers 202212, University of Pretoria, Department of Economics.
    26. Youta Ishii, 2008. "International transmissions in US-Japanese stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 18(15), pages 1193-1200.
    27. Sandoval Paucar, Giovanny, 2018. "Efectos de desbordamiento sobre los mercados financieros de Colombia. Identificación a través de la heterocedasticidad [Spillovers effects on financial markets of Colombia. Identification through h," MPRA Paper 90422, University Library of Munich, Germany.
    28. Tian, Tingting & Lai, Kee-hung & Wong, Christina W.Y., 2022. "Connectedness mechanisms in the “Carbon-Commodity-Finance” system: Investment and management policy implications for emerging economies," Energy Policy, Elsevier, vol. 169(C).
    29. Enzo Weber, 2010. "Volatility and causality in Asia Pacific financial markets," Applied Financial Economics, Taylor & Francis Journals, vol. 20(16), pages 1269-1292.
    30. Weber, Enzo, 2007. "Who leads financial markets?," SFB 649 Discussion Papers 2007-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    31. Ha Yan Lee & Luca Antonio Ricci & Roberto Rigobon, 2004. "Once Again, is Openness Good for Growth?," NBER Working Papers 10749, National Bureau of Economic Research, Inc.
    32. de Wet, W.A., 2006. "A structural GARCH model: An application on South African data," Economic Modelling, Elsevier, vol. 23(5), pages 775-791, September.
    33. Massimo Guidolin & Stuart Hyde, 2008. "Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK," Working Papers 2008-005, Federal Reserve Bank of St. Louis.
    34. Amir Saadaoui & Younes Boujelbene, 2014. "Volatility Transmission between Bond and Stock Markets: Case of Emerging Financial Markets," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 6(6), pages 84-98, December.
    35. Julius Moschitz, 2004. "Spillovers across High Yield Markets," Finance 0412024, University Library of Munich, Germany.
    36. Elena Corallo, 2007. "The effect of the war risk: a comparison of the consequences of the two Iraq wars," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 54(3), pages 371-382, September.
    37. Gordon de Brouwer, 2003. "Discussion of 'It Takes More Than a Bubble to Become Japan'," RBA Annual Conference Volume (Discontinued), in: Anthony Richards & Tim Robinson (ed.),Asset Prices and Monetary Policy, Reserve Bank of Australia.

  38. Claudio Raddatz & Roberto Rigobon, 2003. "Monetary policy and sectoral shocks : did the Federal Reserve react properly to the high-tech crisis?," Policy Research Working Paper Series 3160, The World Bank.

    Cited by:

    1. Karanassou, Marika & Sala, Héctor & Snower, Dennis J., 2007. "The evolution of inflation and unemployment: Explaining the roaring nineties," Kiel Working Papers 1350, Kiel Institute for the World Economy (IfW Kiel).
    2. Karanassou, Marika & Sala, Hector, 2009. "Productivity Growth and the Phillips Curve: A Reassessment of the US Experience," IZA Discussion Papers 4299, Institute of Labor Economics (IZA).
    3. Nandini Sengupta, 2014. "Sectoral Effects of Monetary Policy in India," South Asian Journal of Macroeconomics and Public Finance, , vol. 3(1), pages 127-154, June.
    4. Karanassou, Marika & Sala, Hector, 2010. "The US inflation-unemployment trade-off revisited: New evidence for policy-making," Journal of Policy Modeling, Elsevier, vol. 32(6), pages 758-777, November.
    5. Karanassou, Marika & Sala, Héctor & Snower, Dennis J., 2008. "Phillips Curves and unemployment dynamics: a critique and a holistic perspective," Kiel Working Papers 1441, Kiel Institute for the World Economy (IfW Kiel).
    6. Shelley, Gary & Wallace, Frederick, 2006. "Long run effects of money on real consumption and investment in the U.S," MPRA Paper 4136, University Library of Munich, Germany.
    7. Jeremy Lawson & Daniel Rees, 2008. "A Sectoral Model of the Australian Economy," RBA Research Discussion Papers rdp2008-01, Reserve Bank of Australia.
    8. Roy, Ripon & Bashar, Omar H.N.M. & Bhattacharya, Prasad Sankar, 2023. "The cross-industry effects of monetary policy: New evidence from Bangladesh," Economic Modelling, Elsevier, vol. 127(C).
    9. Llaudes, Ricardo, 2007. "Monetary policy shocks in a two-sector open economy: an empirical study," Working Paper Series 799, European Central Bank.
    10. Marika Karanassou & Hector Sala, 2009. "The US Inflation-Unemployment Tradeoff: Methodological Issues and Further Evidence," Working Papers 647, Queen Mary University of London, School of Economics and Finance.
    11. Dennis W. Jansen & Ruby P. Kishan & Diego E. Vacaflores, 2013. "Sectoral Effects of Monetary Policy: The Evidence from Publicly Traded Firms," Southern Economic Journal, John Wiley & Sons, vol. 79(4), pages 946-970, April.
    12. Ikechukwu Kelikume, 2014. "Interest Rate Chanel of Monetary Transmission Mechanism: Evidence from Nigeria," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 8(4), pages 97-107.
    13. Michel Beine & Pierre-Yves Preumont & Ariane Szafarz, 2006. "Sector diversification during crises: a European perspective," DULBEA Working Papers 06-07.RS, ULB -- Universite Libre de Bruxelles.
    14. Alam, Tasneem & Waheed, Muhammad, 2006. "The monetary transmission mechanism in Pakistan: a sectoral analysis," MPRA Paper 2719, University Library of Munich, Germany, revised 13 Apr 2007.

  39. Ricardo Hausmann & Roberto Rigobon, 2003. "An Alternative Interpretation of the 'Resource Curse': Theory and Policy Implications," NBER Working Papers 9424, National Bureau of Economic Research, Inc.

    Cited by:

    1. James L. Butkiewicz & Halit Yanikkaya, 2007. "Minerals, Openness, Institutions and Growth: An Empirical Analysis," Working Papers 07-04, University of Delaware, Department of Economics.
    2. Jeffrey Frankel, 2014. "Mauritius: African Success Story," NBER Chapters, in: African Successes, Volume IV: Sustainable Growth, pages 295-342, National Bureau of Economic Research, Inc.
    3. Rodrigo Fuentes & Roberto Álvarez, 2006. "Paths of Development, Specialization, and Natural Resources Abundance," Working Papers Central Bank of Chile 383, Central Bank of Chile.
    4. Jeffrey Frankel, 2017. "How to Cope with Volatile Commodity Export Prices: Four Proposals," CID Working Papers 335, Center for International Development at Harvard University.
    5. Lim, Chansu & Lee, Jongsu, 2020. "An analysis of the efficiency of the oil refining industry in the OECD countries," Energy Policy, Elsevier, vol. 142(C).
    6. Clemens, Marius & Fuhrmann, Wilfried, 2008. "Rohstoffbasierte Staatsfonds: Theorie und Empirie [Resource-based sovereign wealth funds]," MPRA Paper 16933, University Library of Munich, Germany.
    7. Wang, Feilan & Wong, Wing-Keung & Reivan Ortiz, Geovanny Genaro & Shraah, Ata Al & Mabrouk, Fatma & Li, Jianfeng & Li, Zeyun, 2023. "Economic analysis of sustainable exports value addition through natural resource management and artificial intelligence," Resources Policy, Elsevier, vol. 82(C).
    8. Ghamsi Deffo, Salomon Leroy & Ajoumessi Houmpe, Donal & Dasi Yemkwa, Gyslin Hermann, 2020. "Contribution du Capital Humain dans transmission des effets de l’abondance en ressources naturelles au développement économique des pays de la CEMAC [Contribution of Human Capital in transmitting t," MPRA Paper 104663, University Library of Munich, Germany.
    9. Ansari, Dawud, 2016. "Resource curse contagion in the case of Yemen," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 49, pages 444-454.
    10. van der Ploeg, Frederick & Poelhekke, Steven, 2007. "Volatility, Financial Development and the Natural Resource Curse," CEPR Discussion Papers 6513, C.E.P.R. Discussion Papers.
    11. Andrew Sharpe & Bert Waslander, 2014. "The Impact of the Oil Boom on Canada's Labour Productivity Performance," CSLS Research Reports 2014-05, Centre for the Study of Living Standards.
    12. Betty Agnani & Amaia Iza, 2011. "Growth in an Oil Abundant Economy: The Case of Venezuela," Journal of Applied Economics, Taylor & Francis Journals, vol. 14(1), pages 61-79, May.
    13. Frankel, Jeffrey A., 2011. "A Comparison of Product Price Targeting and Other Monetary Anchor Options, for Commodity Exporters in Latin America," Working Paper Series rwp11-027, Harvard University, John F. Kennedy School of Government.
    14. Ibrahim Elbadawi & Raimundo Soto, 2012. "Resource Rents, Political Institutions and Economic Growth," Working Papers 678, Economic Research Forum, revised 2012.
    15. Arsham Reisinezhad, 2020. "Absorption capacity and Natural Resource Curse," Working Papers halshs-03012661, HAL.
    16. Karlygash Kuralbayeva & David Vines, 2008. "Shocks to Terms of Trade and Risk-premium in an Intertemporal Model: The Dutch Disease and a Dutch Party," Open Economies Review, Springer, vol. 19(3), pages 277-303, July.
    17. Ampofo, Gideon Kwaku Minua & Cheng, Jinhua & Asante, Daniel Akwasi & Bosah, Philip, 2020. "Total natural resource rents, trade openness and economic growth in the top mineral-rich countries: New evidence from nonlinear and asymmetric analysis," Resources Policy, Elsevier, vol. 68(C).
    18. Ricardo Hausmann & Brad Cunningham & John Matovu & Rosie Osire & Kelly Wyett, 2014. "How should Uganda grow?," Global Development Institute Working Paper Series esid-030-14, GDI, The University of Manchester.
    19. Boris Petkov, 2018. "Natural Resource Abundance: Is it a Blessing or is it a Curse," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 43(3), pages 25-56, September.
    20. Xavier Sala-i-Martin & Arvind Subramanian, 2003. "Addressing the Natural Resource Curse: An Illustration from Nigeria," NBER Working Papers 9804, National Bureau of Economic Research, Inc.
    21. Christian Hubert Ebeke & Luc Désiré Omgba, 2011. "Oil rents, governance quality, and the allocation of talents in developing countries," Working Papers halshs-00616587, HAL.
    22. Joshua D. Angrist & Adriana D. Kugler, 2008. "Rural Windfall or a New Resource Curse? Coca, Income, and Civil Conflict in Colombia," The Review of Economics and Statistics, MIT Press, vol. 90(2), pages 191-215, May.
    23. Mahsa Jahandideh, 2020. "Resource‐driven victory," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 22(4), pages 877-898, August.
    24. Osmel Manzano & Jose Luis Saboin, 2021. "Reverse Causality between Oil Policy and Fiscal Policy? The Venezuelan Experience," Energies, MDPI, vol. 14(9), pages 1-20, April.
    25. Yongzheng Yang & Mr. Robert Powell & Mr. Sanjeev Gupta, 2005. "The Macroeconomic Challenges of Scaling Up Aid to Africa," IMF Working Papers 2005/179, International Monetary Fund.
    26. Kojo, Naoko C., 2014. "Demystifying Dutch disease," Policy Research Working Paper Series 6981, The World Bank.
    27. Mr. Juan P Trevino, 2011. "Oil-Price Boom and Real Exchange Rate Appreciation: Is there Dutch Disease in the Cemac?," IMF Working Papers 2011/268, International Monetary Fund.
    28. Dong-Hyeon Kim & Shu-Chin Lin, 2017. "Natural Resources and Economic Development: New Panel Evidence," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 66(2), pages 363-391, February.
    29. -, 2020. "Economic Survey of Latin America and the Caribbean 2020: Main conditioning factors of fiscal and monetary policies in the post-COVID-19 era," Estudio Económico de América Latina y el Caribe, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), number 46071 edited by Eclac.
    30. Christian Ebeke & Luc-Désiré Omgba & Rachid Laajaj, 2012. "On the allocation of talented people in developing countries: the role of oil rents," Working Papers hal-04141068, HAL.
    31. UNDP Africa, 2016. "Primary Commodity Booms and Busts Emerging Lessons from Sub-Saharan Africa," UNDP Africa Reports 267623, United Nations Development Programme (UNDP).
    32. Hossein Askari & Faranghees Abbas & George Jabbour & Dohee Kwon, 2006. "An economic Manifesto for the oil exporting countries of the Persian Gulf," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 59(239), pages 363-388.
    33. Subrata Ghatak & José R. Sánchez‐Fung, 2007. "Is Fiscal Policy Sustainable in Developing Economies?," Review of Development Economics, Wiley Blackwell, vol. 11(3), pages 518-530, August.
    34. Kotsadam, Andreas & Olsen, Eivind Hammersmark & Knutsen, Carl Henrik & Wig, Tore, 2015. "Mining and Local Corruption in Africa," Memorandum 09/2015, Oslo University, Department of Economics.
    35. Ibrahim A. Elbadawi & Linda Kaltani, 2014. "Real Exchange Rates and Export Performance in Oil-Dependent Arab Economies," Working Papers 878, Economic Research Forum, revised Nov 2014.
    36. Olivier Massol & Albert Banal-Estañol, 2011. "Export diversification and resource-based industrialization : the case of natural gas," Working Papers hal-01031565, HAL.
    37. Jeffrey A. Frankel, 2010. "The Natural Resource Curse: A Survey," NBER Working Papers 15836, National Bureau of Economic Research, Inc.
    38. Frankel, Jeffrey A., 2012. "The Natural Resource Curse: A Survey of Diagnoses and Some Prescriptions," Working Paper Series rwp12-014, Harvard University, John F. Kennedy School of Government.
    39. Noula Armand Gilbert & Ghamsi Deffo Salomon Leroy & Mofow Neville Zoatsa, 2020. "Exploitation of Mineral Resources and Economic Growth in CEMAC: The Role of Institutions," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 13(2), pages 19-29, September.
    40. Alessandro Cologni & Matteo Manera, 2011. "Exogenous Oil Shocks, Fiscal Policy and Sector Reallocations in Oil Producing Countries," Working Papers 2011.55, Fondazione Eni Enrico Mattei.
    41. Toto Same, Achille, 2008. "Windfall management for poverty reduction : improving public finance Management-the case of Chad," Policy Research Working Paper Series 4596, The World Bank.
    42. Arezki, Rabah & Alichi, Ali, 2009. "An Alternative Explanation for the Resource Curse: The Income Effect Channel," MPRA Paper 17130, University Library of Munich, Germany.
    43. Mr. Jan-Peter Olters & Mr. Daniel Leigh, 2006. "Natural-Resource Depletion, Habit Formation, and Sustainable Fiscal Policy: Lessons from Gabon," IMF Working Papers 2006/193, International Monetary Fund.
    44. Rouhollah Shahnazi & Maryam Lashani Afrasiabi, 2018. "Effect of Exogenous Oil Revenue Shocks on Reallocation of Public and Private Investments in Iran," International Journal of Energy Economics and Policy, Econjournals, vol. 8(1), pages 27-37.
    45. Ms. Katerina Kalcheva & Nienke Oomes, 2007. "Diagnosing Dutch Disease: Does Russia Have the Symptoms?," IMF Working Papers 2007/102, International Monetary Fund.
    46. Roberto Alvarez & Damián Vergara, 2016. "Natural Resources and Education: Evidence from Chile," Working Papers wp433, University of Chile, Department of Economics.
    47. Christian Hubert Ebeke & Luc Désiré Omgba & Rachid Laajaj, 2015. "Oil, governance and the (mis)allocation of talent in developing countries," Post-Print halshs-01112661, HAL.
    48. Aitzhanova, Aktoty & Iskaliyeva, Anastassiya & Krishnaswamy, Venkataraman & Makauskas, Dmitry & Razavi, Hossein & Sartip, Ahmad Reza & Urazaliyeva, Aida, 2015. "A practical approach to oil wealth management: Application to the case of Kazakhstan," Energy Economics, Elsevier, vol. 47(C), pages 178-188.
    49. Ghamsi Deffo Salomon Leroy & Ajoumessi Houmpe Donal & Demgne Pouokam Véronique & Njoupouognigni Moussa Ledoux, 2021. "Effects of Natural Resource exploitation on CEMAC Countries Development: The Human Capital Channel," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 14(3), pages 60-71, December.
    50. Wiebelt, Manfred & Pauw, Karl & Matovu, John Mary & Twimukye, Evarist & Benson, Todd, 2011. "Managing future oil revenues in Uganda for agricultural development and poverty reduction: A CGE analysis of challenges and options," Kiel Working Papers 1696, Kiel Institute for the World Economy (IfW Kiel).
    51. Bladimir Carrillo, 2019. "Present Bias and Underinvestment in Education? Long-run Effects of Childhood Exposure to Booms in Colombia," Working Papers 2019.07, Fondazione Eni Enrico Mattei.
    52. Addison, Tony & Ghoshray, Atanu, 2014. "Agricultural Commodity Price Shocks and their Effect on Growth in Sub-Saharan Africa," 88th Annual Conference, April 9-11, 2014, AgroParisTech, Paris, France 169726, Agricultural Economics Society.
    53. Sèna Kimm Gnangnon, 2019. "Effect of Export Upgrading on Financial Development," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 10(03), pages 1-37, October.
    54. Alberto Botta, 2010. "Economic Development, Structural Change And Natural Resource Booms: A Structuralist Perspective," Metroeconomica, Wiley Blackwell, vol. 61(3), pages 510-539, July.
    55. Sopp Louis Moussi & Leiman Anthony, 2017. "Working Paper 283 - Mineral Resource Accounting Measures in Africa," Working Paper Series 2411, African Development Bank.
    56. World Bank, 2008. "Country Insurance : Reducing Systemic Vulnerabilities in Latin America and the Caribbean," World Bank Publications - Reports 8010, The World Bank Group.
    57. Francisco Monaldi & Rosa Amelia González de Pacheco & Richard Obuchi & Michael Penfold, 2006. "Instituciones políticas, procesos de diseño de políticas y resultados de las políticas en Venezuela," Research Department Publications 3197, Inter-American Development Bank, Research Department.
    58. Jeanneret, Alexandre & Souissi, Slim, 2016. "Sovereign defaults by currency denomination," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 197-222.
    59. World Bank, 2007. "Angola : Oil, Broad-Based Growth, and Equity," World Bank Publications - Books, The World Bank Group, number 6759.
    60. Massol, Olivier & Banal-Estañol, Albert, 2014. "Export diversification through resource-based industrialization: The case of natural gas," European Journal of Operational Research, Elsevier, vol. 237(3), pages 1067-1082.
    61. Diego Restuccia, 2018. "The Monetary and Fiscal History of Venezuela 1960-2016," Working Papers tecipa-614, University of Toronto, Department of Economics.
    62. Dubravko Mihaljek, 2005. "Local complications of global economic integration: privatisation receipts and volatile export earnings," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and monetary policy in emerging markets, volume 23, pages 81-90, Bank for International Settlements.
    63. Estrades, Carmen & Llambí, Cecilia & Perera, Marcelo & Rovira, Flavia, 2016. "Large-scale mining in a small developing country: Macroeconomic impacts of revenue allocation policies," Resources Policy, Elsevier, vol. 49(C), pages 433-443.
    64. Christa N. Brunnschweiler, 2006. "Cursing the blessings? Natural resource abundance, institutions, and economic growth," CER-ETH Economics working paper series 06/51, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
    65. Vandycke, Nancy, 2013. "Natural resources, physical capital and institutions : evidence from Eurasia," Policy Research Working Paper Series 6586, The World Bank.
    66. Adrian Boos & Karin Holm‐Müller, 2012. "A theoretical overview of the relationship between the resource curse and genuine savings as an indicator for “weak” sustainability," Natural Resources Forum, Blackwell Publishing, vol. 36(3), pages 145-159, August.
    67. Francisco Monaldi & Rosa Amelia González de Pacheco & Richard Obuchi & Michael Penfold, 2006. "Political Institutions, Policymaking Processes, and Policy Outcomes in Venezuela," Research Department Publications 3196, Inter-American Development Bank, Research Department.
    68. Santos, Carlos Filipe & Fuinhas, José Alberto & Marques, António Cardoso, 2014. "O nexus energia-crescimento e o nível da auto-suficiência na produção de petróleo: análise com macro painel [Energy-growth nexus and oil self-sufficiency: macro panel analysis]," MPRA Paper 57008, University Library of Munich, Germany.
    69. Cologni, Alessandro & Manera, Matteo, 2013. "Exogenous oil shocks, fiscal policies and sector reallocations in oil producing countries," Energy Economics, Elsevier, vol. 35(C), pages 42-57.
    70. Mr. Alfredo Baldini, 2005. "Fiscal Policy and Business Cycles in an Oil-Producing Economy: The Case of Venezuela," IMF Working Papers 2005/237, International Monetary Fund.
    71. Xu, Li & Tan, Junlan, 2020. "Financial development, industrial structure and natural resource utilization efficiency in China," Resources Policy, Elsevier, vol. 66(C).
    72. Jeffrey A. Frankel, 2010. "A Comparison of Monetary Anchor Options, Including Product Price Targeting, for Commodity-Exporters in Latin America," NBER Working Papers 16362, National Bureau of Economic Research, Inc.
    73. Ahmed Galal & Hoda Selim, 2013. "The Elusive Quest For Economic Development In The Arab Countries," Middle East Development Journal (MEDJ), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 1-33.
    74. Ghamsi Deffo, Salomon Leroy & Adjoumessi Houmpe, Donald & Dasi Yemkwa, Gyslin Hermann, 2020. "Contribution du Capital Humain dans transmission des effets de l’abondance en ressources naturelles au développement économique des pays de la CEMAC [Contribution of Human Capital in transmitting t," MPRA Paper 104492, University Library of Munich, Germany.
    75. Magda Kandil & Nazire Nergiz Dincer, 2007. "A Comparative Analysis of Exchange Rate Fluctuations and Economic Activity: The Cases of Egypt and Turkey," Working Papers 722, Economic Research Forum, revised 01 Jan 2007.
    76. Nguyen, Bao & Sum, Dek, 2019. "Macroeconomic Shocks and Trade Balance Adjustments in Papua New Guinea," MPRA Paper 93033, University Library of Munich, Germany.
    77. Mahadeva Lavan, 2014. "Why does natural resource abundance not always lead to better outcomes? Limited financial development versus political impatience," The B.E. Journal of Macroeconomics, De Gruyter, vol. 14(1), pages 341-377, January.
    78. Roberto Álvarez & J. Fuentes, 2012. "Specialization dynamics and natural resources abundance," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 148(4), pages 733-750, December.
    79. Yang, Xiaodong & Liu, Xia & Ran, Qiying & Razzaq, Asif, 2023. "How does natural resource dependence influence industrial green transformation in China? Appraising underlying mechanisms for sustainable development at regional level," Resources Policy, Elsevier, vol. 86(PA).

  40. Jonathan Kearns & Roberto Rigobon, 2003. "Identifying the Efficacy of Central Bank Interventions: Evidence from Australia," RBA Research Discussion Papers rdp2003-04, Reserve Bank of Australia.

    Cited by:

    1. Eric Hillebrand & Gunther Schnabl & Yasemin Ulu, 2006. "Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility," CESifo Working Paper Series 1766, CESifo.
    2. Juan José Echavarría & Luis Fernando Melo Velandia & Santiago Téllez & Mauricio Villamizar, 2013. "The Impact of Pre-announced Day-to-day Interventions on the Colombian Exchange Rate," Borradores de Economia 10767, Banco de la Republica.
    3. Kathryn M.E. Dominguez & Rasmus Fatum & Pavel Vacek, 2010. "Does Foreign Exchange Reserve Decumulation Lead to Currency Appreciation?," EPRU Working Paper Series 2010-06, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
    4. Michel Beine & Oscar Bernal Diaz, 2005. "Why do Central Banks intervene secretly? preliminary evidence of the BoJ," DULBEA Working Papers in, ULB -- Universite Libre de Bruxelles.
    5. Fratzscher, Marcel, 2006. "On the long-term effectiveness of exchange rate communication and interventions," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 146-167, February.
    6. 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.
    7. Michael Melvin & Lukas Menkhoff & Maik Schmeling, 2008. "Automating Exchange Rate Target Zones: Intervention via an Electronic Limit Order Book," CESifo Working Paper Series 2221, CESifo.
    8. Ai-ru (Meg) Cheng & Kuntal Das & Takeshi Shimatani, 2013. "Central Bank Intervention and Exchange Rate Volatility: Evidence from Japan Using Realized Volatility," Working Papers in Economics 13/19, University of Canterbury, Department of Economics and Finance.
    9. Ito, Takatoshi & Yabu, Tomoyoshi, 2007. "What prompts Japan to intervene in the Forex market? A new approach to a reaction function," Journal of International Money and Finance, Elsevier, vol. 26(2), pages 193-212, March.
    10. 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.
    11. Christopher J. Neely, 2011. "A foreign exchange intervention in an era of restraint," Review, Federal Reserve Bank of St. Louis, vol. 93(Sep), pages 303-324.
    12. Oscar Bernal Diaz, 2006. "Do interactions between political authorities and central banks influence FX interventions? Evidence from Japan," DULBEA Working Papers 06-03.RS, ULB -- Universite Libre de Bruxelles.
    13. Charles Engel, 2010. "Exchange rate policies," BIS Papers chapters, in: Bank for International Settlements (ed.), The international financial crisis and policy challenges in Asia and the Pacific, volume 52, pages 229-250, Bank for International Settlements.
    14. Edwards, Sebastian & Rigobon, Roberto, 2009. "Capital controls on inflows, exchange rate volatility and external vulnerability," Journal of International Economics, Elsevier, vol. 78(2), pages 256-267, July.
    15. 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.
    16. Marcel Fratzscher, 2009. "How successful is the G7 in managing exchange rates?," Globalization Institute Working Papers 24, Federal Reserve Bank of Dallas.
    17. Michel Beine & Paul De Grauwe & Marianna Grimaldi, 2008. "The impact of FX Central Bank Intervention in a Noise Trading Framework," DEM Discussion Paper Series 08-15, Department of Economics at the University of Luxembourg.
    18. Chris Becker & Michael Sinclair, 2004. "Profitability of Reserve Bank Foreign Exchange Operations: Twenty Years After the Float," RBA Research Discussion Papers rdp2004-06, Reserve Bank of Australia.
    19. Wright, Allan S & Craigwell, Roland C & RamjeeSingh, Diaram, 2011. "Exchange rate determination in Jamaica: A market microstructures and macroeconomic fundamentals approach," MPRA Paper 33436, University Library of Munich, Germany.
    20. Douglas, Christopher C. & Kolar, Marek, 2009. "Capturing the time dynamics of central bank intervention," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 950-968, December.
    21. 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.

  41. Roberto Rigobon & Brian P. Sack, 2003. "The effects of war risk on U.S. financial markets," Finance and Economics Discussion Series 2003-18, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Bruno S. Frey & Daniel Waldenstr�m, 2007. "Using Financial Markets to Analyze History: The Case of the Second World War," IEW - Working Papers 335, Institute for Empirical Research in Economics - University of Zurich.
    2. Chen Gu & Ann Marie Hibbert, 2021. "Expectations and financial markets: Lessons from Brexit," The Financial Review, Eastern Finance Association, vol. 56(2), pages 279-299, May.
    3. Charles, Amélie & Darné, Olivier, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 188-199.
    4. Bevilacqua, Mattia & Morelli, David & Uzan, Paola Sultana Renée, 2021. "Striking the implied volatility of US drone companies," International Review of Financial Analysis, Elsevier, vol. 77(C).
    5. Ali M. Kutan & Mehmet E. Yaya, 2016. "Armed conflict and financial and economic risk: evidence from Colombia," Risk Management, Palgrave Macmillan, vol. 18(2), pages 159-187, August.
    6. Mr. Philip Barrett & Sophia Chen & Miss Mali Chivakul & Ms. Deniz O Igan, 2021. "Pricing Protest: The Response of Financial Markets to Social Unrest," IMF Working Papers 2021/079, International Monetary Fund.
    7. Farrukh Nawaz & Mrestyal Khan & Umar Kayani & Indry Aristianto Pradipta & Aulia Luqman Aziz, 2024. "Impact of Volatility Spillovers upon Electric Utilities during the Russia-Ukraine Conflict," International Journal of Energy Economics and Policy, Econjournals, vol. 14(6), pages 597-604, November.
    8. Elena Corallo, 2005. "The effect of the war risk: a comparison of the consequences of the two Iraq wars on some financial variables," LIUC Papers in Economics 171, Cattaneo University (LIUC).
    9. Waldenström, Daniel & Frey, Bruno S., 2006. "Using Markets to Measure Pre-War Threat Assessments: The Nordic Countries Facing World War II," Working Paper Series 676, Research Institute of Industrial Economics.
    10. Umar, Zaghum & Bossman, Ahmed & Choi, Sun-Yong & Vo, Xuan Vinh, 2023. "Are short stocks susceptible to geopolitical shocks? Time-Frequency evidence from the Russian-Ukrainian conflict," Finance Research Letters, Elsevier, vol. 52(C).
    11. Jesús Rodríguez-López & Mario Solís-García, 2018. "Defense spending and fiscal multipliers: it's all in the variance," Working Papers 18.06, Universidad Pablo de Olavide, Department of Economics.
    12. Hanedar, Avni Önder & Yaldız Hanedar, Elmas, 2017. "Stock market reactions to wars and political risks: A cliometric perspective for a falling empire," MPRA Paper 85600, University Library of Munich, Germany, revised 25 Mar 2018.
    13. Hanabusa, Kunihiro, 2010. "Effects of foreign disasters on the petroleum industry in Japan: A financial market perspective," Energy, Elsevier, vol. 35(12), pages 5455-5463.
    14. Linhai Zhao & Ehsan Rasoulinezhad & Tapan Sarker & Farhad Taghizadeh-Hesary, 2023. "Effects of COVID-19 on Global Financial Markets: Evidence from Qualitative Research for Developed and Developing Economies," The European Journal of Development Research, Palgrave Macmillan;European Association of Development Research and Training Institutes (EADI), vol. 35(1), pages 148-166, February.
    15. Andrada-Félix, Julián & Fernández-Rodríguez, Fernando & Sosvilla-Rivero, Simón, 2024. "A crisis like no other? Financial market analogies of the COVID-19-cum-Ukraine war crisis," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    16. Katarzyna Czech & Michał Wielechowski & Richard Barichello, 2023. "The shock of war: do trade relations impact the reaction of stock markets to the Russian invasion of Ukraine?," Ekonomista, Polskie Towarzystwo Ekonomiczne, issue 1, pages 14-27.
    17. Kao, Erin H. & Yeh, Chih-Chuan & Wang, Li-Hsun & Fung, Hung-Gay, 2018. "The relationship between CSR and performance: Evidence in China," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 155-170.
    18. Tong, Eric, 2024. "Repercussions of the Russia–Ukraine war," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 366-390.
    19. Manuel Hoffmann & Matthias Neuenkirch, 2015. "The Pro-Russian Conflict and its Impact on Stock Returns in Russia and the Ukraine," Research Papers in Economics 2015-01, University of Trier, Department of Economics.
    20. Piotr Fiszeder & Marta Ma³ecka, 2022. "Forecasting volatility during the outbreak of Russian invasion of Ukraine: application to commodities, stock indices, currencies, and cryptocurrencies," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 17(4), pages 939-967, December.
    21. Jonathan Benchimol & Makram El-Shagi, 2017. "Forecast Performance in Times of Terrorism," CFDS Discussion Paper Series 2017/1, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China.
    22. Lee, Geesun, 2024. "The impact of North Korean nuclear threat on stock market linkages in Northeast Asia: The case of South Korea, China, and Japan," Finance Research Letters, Elsevier, vol. 66(C).
    23. In Huh & Ju Hyun Pyun, 2018. "Does Nuclear Uncertainty Threaten Financial Markets? The Attention Paid to North Korean Nuclear Threats and Its Impact on South Korea's Financial Markets," Asian Economic Journal, East Asian Economic Association, vol. 32(1), pages 55-82, March.
    24. Ahmad, Tanveer & Shahzad, Syed Jawad Hussain & Rehman, Mobeen ur, 2014. "Industry Premiums and Systematic Risk under Terror: Empirical Evidence from Pakistan," MPRA Paper 60082, University Library of Munich, Germany.
    25. MD ASIF UL ALAM & Erik Devos & Zifeng Feng, 2023. "Firm reaction to geopolitical crises: Evidence from the Russia‐Ukraine conflict," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(S1), pages 163-182, December.
    26. Tapia, Pablo & Pastén, Boris & Sepulveda Velasquez, Jorge, 2022. "Performance of the Chinese energy market in times of Russian military interventions," MPRA Paper 112747, University Library of Munich, Germany.
    27. Umar, Muhammad & Riaz, Yasir & Yousaf, Imran, 2022. "Impact of Russian-Ukraine war on clean energy, conventional energy, and metal markets: Evidence from event study approach," Resources Policy, Elsevier, vol. 79(C).
    28. Hanedar, Avni Önder & Hanedar, Elmas Yaldız, 2017. "Ottoman stock returns during the Turco-Italian and Balkan Wars of 1910-1914," eabh Papers 17-02, The European Association for Banking and Financial History (EABH).
    29. Yanping Ma & Qian Wei & Xiang Gao, 2024. "The Impact of Political Risks on Financial Markets: Evidence from a Stock Price Crash Perspective," IJFS, MDPI, vol. 12(2), pages 1-16, May.
    30. Tomasz Piotr Wisniewski & Brendan John Lambe & Alexandra Dias, 2020. "The Influence of General Strikes against Government on Stock Market Behavior," Scottish Journal of Political Economy, Scottish Economic Society, vol. 67(1), pages 72-99, February.
    31. Omar, Ayman & Lambe, Brendan John, 2022. "Crude oil pricing and statecraft: Surprising lessons from US economic sanctions," International Review of Financial Analysis, Elsevier, vol. 83(C).
    32. Kerssenfischer, Mark & Schmeling, Maik, 2022. "What moves markets?," Discussion Papers 16/2022, Deutsche Bundesbank.
    33. Izzeldin, Marwan & Muradoğlu, Yaz Gülnur & Pappas, Vasileios & Petropoulou, Athina & Sivaprasad, Sheeja, 2023. "The impact of the Russian-Ukrainian war on global financial markets," International Review of Financial Analysis, Elsevier, vol. 87(C).
    34. Conlon, Thomas & Corbet, Shaen & Goodell, John W. & Hou, Yang (Greg) & Oxley, Les, 2024. "Financial market information flows when counteracting rogue states: The indirect effects of targeted sanction packages," Journal of Economic Behavior & Organization, Elsevier, vol. 217(C), pages 32-62.
    35. Gerlach, Jeffrey R. & Yook, Youngsuk, 2016. "Political conflict and foreign portfolio investment: Evidence from North Korean attacks," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 178-196.
    36. Al-Ississ Mohamad, 2015. "The Cross-Border Impact of Political Violence," Peace Economics, Peace Science, and Public Policy, De Gruyter, vol. 21(2), pages 239-272, April.
    37. Massimo Guidolin & Eliana La Ferrara, 2010. "The economic effects of violent conflict: Evidence from asset market reactions," Journal of Peace Research, Peace Research Institute Oslo, vol. 47(6), pages 671-684, November.
    38. Zhang, Jiaming & Xiang, Yitian & Zou, Yang & Guo, Songlin, 2024. "Volatility forecasting of Chinese energy market: Which uncertainty have better performance?," International Review of Financial Analysis, Elsevier, vol. 91(C).
    39. Wisniewski, Tomasz Piotr, 2016. "Is there a link between politics and stock returns? A literature survey," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 15-23.
    40. Iqbal, Kazi & Tsubota, Kenmei & Shonchoy, Abu S & Hoque, Mainul, 2018. "Political instability and stock market returns : evidence from firm-level panel data of securities in Bangladesh," IDE Discussion Papers 712, Institute of Developing Economies, Japan External Trade Organization(JETRO).
    41. Silva, Thiago Christiano & Wilhelm, Paulo Victor Berri & Tabak, Benjamin Miranda, 2023. "Trade matters except to war neighbors: The international stock market reaction to 2022 Russia’s invasion of Ukraine," Research in International Business and Finance, Elsevier, vol. 65(C).
    42. Omar, Ayman M.A. & Lambe, Brendan J & Wisniewski, Tomasz Piotr, 2021. "Perceptions of the threat to national security and the stock market," Journal of Economic Behavior & Organization, Elsevier, vol. 186(C), pages 504-522.
    43. Gerald Schneider & Vera E. Troeger, 2006. "War and the World Economy," Journal of Conflict Resolution, Peace Science Society (International), vol. 50(5), pages 623-645, October.
    44. Works, Richard Floyd, 2016. "Econometric modeling of exchange rate determinants by market classification: An empirical analysis of Japan and South Korea using the sticky-price monetary theory," MPRA Paper 76382, University Library of Munich, Germany.
    45. François-Xavier Delaloye & Michel Habib & Alexandre Ziegler, 2012. "Swiss banking secrecy: the stock market evidence," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 143-176, March.
    46. Lo, Gaye-Del & Marcelin, Isaac & Bassène, Théophile & Sène, Babacar, 2022. "The Russo-Ukrainian war and financial markets: the role of dependence on Russian commodities," Finance Research Letters, Elsevier, vol. 50(C).
    47. Yifei Cai, 2018. "Predictive Power of us Monetary Policy Uncertainty Shock on Stock Returns in Australia and New Zealand," Australian Economic Papers, Wiley Blackwell, vol. 57(4), pages 470-488, December.
    48. Ayman Omar, 2015. "West Texas Intermediate and Brent Spread during Organization of the Petroleum Exporting Countries Supply Disruptions," International Journal of Energy Economics and Policy, Econjournals, vol. 5(3), pages 693-703.
    49. Carlomagno, Guillermo & Albagli, Elías, 2022. "Trade wars and asset prices," Journal of International Money and Finance, Elsevier, vol. 124(C).
    50. Hossain, Ashrafee T. & Masum, Abdullah-Al & Saadi, Samir, 2024. "The impact of geopolitical risks on foreign exchange markets: Evidence from the Russia–Ukraine war," Finance Research Letters, Elsevier, vol. 59(C).
    51. António Miguel Martins & Pedro Correia & Ricardo Gouveia, 2024. "The impact of the Russia–Ukraine war on the world’s largest listed insurance firms," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(4), pages 779-803, October.
    52. Justin Wolfers & Eric Zitzewitz, 2009. "Using Markets to Inform Policy: The Case of the Iraq War," Economica, London School of Economics and Political Science, vol. 76(302), pages 225-250, April.
    53. Furdui Călin & Șfabu Dorina Teodora, 2023. "The European Banks Under the Shock of the Russian Invasion of 2022: An Event Study Approach," Studia Universitatis Babeș-Bolyai Oeconomica, Sciendo, vol. 68(1), pages 62-77, April.
    54. Choi, Sangyup & Havel, Jiri, 2025. "Geopolitical risk and U.S. foreign portfolio investment: A tale of advanced and emerging markets," Journal of International Money and Finance, Elsevier, vol. 151(C).
    55. He, Yinghua & Nielsson, Ulf & Wang, Yonglei, 2014. "Hurting without Hitting: The Economic Cost of Political Tension," TSE Working Papers 14-484, Toulouse School of Economics (TSE), revised Jul 2015.
    56. Omar, Ayman M.A. & Wisniewski, Tomasz Piotr & Nolte, Sandra, 2017. "Diversifying away the risk of war and cross-border political crisis," Energy Economics, Elsevier, vol. 64(C), pages 494-510.
    57. Fratzscher, Marcel & Stracca, Livio, 2009. "Does it pay to have the euro? Italy’s politics and financial markets under the lira and the euro," Working Paper Series 1064, European Central Bank.
    58. Zribi, Wissal & Boufateh, Talel & Lahouel, Bechir Ben & Urom, Christian, 2024. "Uncertainty shocks, investor sentiment and environmental performance: Novel evidence from a PVAR approach," International Review of Financial Analysis, Elsevier, vol. 93(C).
    59. Daniel Waldenstr�m & Bruno S. Frey, 2007. "Did Nordic Countries Recognize the Gathering Storm of World War II? Evidence from the Bond Markets," IEW - Working Papers 336, Institute for Empirical Research in Economics - University of Zurich.
    60. Kakhkharov, Jakhongir & Onur, Ilke & Yalcin, Erkan & Zhu, Rong, 2024. "Global evidence on the Russia–Ukraine conflict and energy stock returns," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 413-435.
    61. Antonio Jose Garzon Gordon & Luis Angel Hierro Recio, 2019. "External Effects of the War in Ukraine: The Impact on the Price of Oil in the Short-term," International Journal of Energy Economics and Policy, Econjournals, vol. 9(2), pages 267-276.
    62. Lerby Ergun, 2019. "Extreme Downside Risk in Asset Returns," Staff Working Papers 19-46, Bank of Canada.
    63. Karamti, Chiraz & Jeribi, Ahmed, 2023. "Stock markets from COVID-19 to the Russia–Ukraine crisis: Structural breaks in interactive effects panels," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
    64. Amelie Brune & Thorsten Hens & Marc Rieger & Mei Wang, 2015. "The war puzzle: contradictory effects of international conflicts on stock markets," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 62(1), pages 1-21, March.
    65. Shao, Wei & Wang, Jian, 2020. "Does the “ice-breaking” of South and North Korea affect the South Korean financial market?," Chaos, Solitons & Fractals, Elsevier, vol. 132(C).
    66. Bijoy Chandra Das & Fakhrul Hasan & Soma Rani Sutradhar & Sujana Shafique, 2023. "Ukraine–Russia Conflict and Stock Markets Reactions in Europe," Global Journal of Flexible Systems Management, Springer;Global Institute of Flexible Systems Management, vol. 24(3), pages 395-407, September.
    67. Marco G.D. Guidi & Alexander Russell & Heather Tarbert, 2006. "The effect of OPEC policy decisions on oil and stock prices," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 30(1), pages 1-18, March.
    68. Choudhry, Taufiq, 2010. "World War II events and the Dow Jones industrial index," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1022-1031, May.
    69. Chandler Lutz, 2015. "The international impact of US unconventional monetary policy," Applied Economics Letters, Taylor & Francis Journals, vol. 22(12), pages 955-959, August.
    70. Berkman, Henk & Jacobsen, Ben & Lee, John B., 2011. "Time-varying rare disaster risk and stock returns," Journal of Financial Economics, Elsevier, vol. 101(2), pages 313-332, August.
    71. Adams, Samuel & Adedoyin, Festus & Olaniran, Eniola & Bekun, Festus Victor, 2020. "Energy consumption, economic policy uncertainty and carbon emissions; causality evidence from resource rich economies," Economic Analysis and Policy, Elsevier, vol. 68(C), pages 179-190.
    72. Martins, António Miguel & Correia, Pedro & Gouveia, Ricardo, 2023. "Russia-Ukraine conflict: The effect on European banks’ stock market returns," Journal of Multinational Financial Management, Elsevier, vol. 67(C).
    73. Young Han Kim & Hosung Jung, 2014. "Investor Trading Behavior Around the Time of Geopolitical Risk Events: Evidence from South Korea," Working Papers 2014-10, Economic Research Institute, Bank of Korea.
    74. Chen, Yong & Fang, Jing & Liu, Dingming, 2023. "The effects of Trump’s trade war on U.S. financial markets," Journal of International Money and Finance, Elsevier, vol. 134(C).
    75. Frijns, Bart & Tourani-Rad, Alireza & Indriawan, Ivan, 2012. "Political crises and the stock market integration of emerging markets," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 644-653.
    76. Ali, Syed Riaz Mahmood & Anik, Kaysul Islam & Hasan, Mohammad Nurul & Kamal, Md Rajib, 2023. "Geopolitical threats, equity returns, and optimal hedging," International Review of Financial Analysis, Elsevier, vol. 90(C).
    77. Elena Corallo, 2007. "The effect of the war risk: a comparison of the consequences of the two Iraq wars," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 54(3), pages 371-382, September.
    78. Sohag, Kazi & Hammoudeh, Shawkat & Elsayed, Ahmed H. & Mariev, Oleg & Safonova, Yulia, 2022. "Do geopolitical events transmit opportunity or threat to green markets? Decomposed measures of geopolitical risks," Energy Economics, Elsevier, vol. 111(C).
    79. Shashitha Gimhani Jayakody, 2017. "The Impact of the Sri Lankan Civil War on the Stock Market Performances," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 394-402.
    80. Hira Irshad & Hasniza Mohd Taib, 2017. "A Comparative Analysis of Effects of Terrorism on World Equity Markets," International Journal of Business and Administrative Studies, Professor Dr. Bahaudin G. Mujtaba, vol. 3(6), pages 202-208.
    81. Smales, L.A., 2021. "Geopolitical risk and volatility spillovers in oil and stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 358-366.
    82. Yousaf, Imran & Patel, Ritesh & Yarovaya, Larisa, 2022. "The reaction of G20+ stock markets to the Russia–Ukraine conflict “black-swan” event: Evidence from event study approach," Journal of Behavioral and Experimental Finance, Elsevier, vol. 35(C).
    83. Jeffrey R. Gerlach & Youngsuk Yook, 2016. "Political Conflict and Foreign Portfolio Investment : Evidence from North Korean Attacks," Finance and Economics Discussion Series 2016-037, Board of Governors of the Federal Reserve System (U.S.).
    84. Ergun, Lerby M., 2016. "Disaster and fortune risk in asset returns," LSE Research Online Documents on Economics 66194, London School of Economics and Political Science, LSE Library.

  42. Claudio Raddatz & Roberto Rigobon, 2003. "Monetary Policy and Sectoral Shocks: Did the FED react properly to the High-Tech Crisis?," NBER Working Papers 9835, National Bureau of Economic Research, Inc.

    Cited by:

    1. Karanassou, Marika & Sala, Héctor & Snower, Dennis J., 2007. "The evolution of inflation and unemployment: Explaining the roaring nineties," Kiel Working Papers 1350, Kiel Institute for the World Economy (IfW Kiel).
    2. Karanassou, Marika & Sala, Hector, 2009. "Productivity Growth and the Phillips Curve: A Reassessment of the US Experience," IZA Discussion Papers 4299, Institute of Labor Economics (IZA).
    3. Nandini Sengupta, 2014. "Sectoral Effects of Monetary Policy in India," South Asian Journal of Macroeconomics and Public Finance, , vol. 3(1), pages 127-154, June.
    4. Karanassou, Marika & Sala, Hector, 2010. "The US inflation-unemployment trade-off revisited: New evidence for policy-making," Journal of Policy Modeling, Elsevier, vol. 32(6), pages 758-777, November.
    5. Karanassou, Marika & Sala, Héctor & Snower, Dennis J., 2008. "Phillips Curves and unemployment dynamics: a critique and a holistic perspective," Kiel Working Papers 1441, Kiel Institute for the World Economy (IfW Kiel).
    6. Shelley, Gary & Wallace, Frederick, 2006. "Long run effects of money on real consumption and investment in the U.S," MPRA Paper 4136, University Library of Munich, Germany.
    7. Roy, Ripon & Bashar, Omar H.N.M. & Bhattacharya, Prasad Sankar, 2023. "The cross-industry effects of monetary policy: New evidence from Bangladesh," Economic Modelling, Elsevier, vol. 127(C).
    8. Llaudes, Ricardo, 2007. "Monetary policy shocks in a two-sector open economy: an empirical study," Working Paper Series 799, European Central Bank.
    9. Tasneem Alam & Muhammad Waheed, 2006. "Sectoral Effects of Monetary Policy: Evidence from Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 45(4), pages 1103-1115.
    10. Marika Karanassou & Hector Sala, 2009. "The US Inflation-Unemployment Tradeoff: Methodological Issues and Further Evidence," Working Papers 647, Queen Mary University of London, School of Economics and Finance.
    11. Ogbuabor, Jonathan E. & Anthony-Orji, Onyinye I. & Manasseh, Charles O. & Orji, Anthony, 2020. "A Disaggregated Analysis Of Monetary Policy Effects On The Agricultural Sector In Nigeria," APSTRACT: Applied Studies in Agribusiness and Commerce, AGRIMBA, vol. 14(3-4), December.
    12. Michel Beine & Pierre-Yves Preumont & Ariane Szafarz, 2006. "Sector diversification during crises: a European perspective," DULBEA Working Papers 06-07.RS, ULB -- Universite Libre de Bruxelles.
    13. Alam, Tasneem & Waheed, Muhammad, 2006. "The monetary transmission mechanism in Pakistan: a sectoral analysis," MPRA Paper 2719, University Library of Munich, Germany, revised 13 Apr 2007.

  43. Jonathan Kearns & Roberto Rigobon, 2002. "Identifying the Efficacy of Central Bank Interventions: The Australian Case," NBER Working Papers 9062, National Bureau of Economic Research, Inc.

    Cited by:

    1. Muhammad Kashif Ali Shah & Zulfiqar Hyder & Muhammad Khalid Pervaiz, 2009. "Central bank intervention and exchange rate volatility in Pakistan: an analysis using GARCH-X model," Applied Financial Economics, Taylor & Francis Journals, vol. 19(18), pages 1497-1508.
    2. Holub, Tomáš, 2004. "Foreign exchange interventions under inflation targeting: the Czech Experience," Research Notes 17, Deutsche Bank Research.
    3. Juan José Echavarría & Luis Fernando Melo Velandia & Santiago Téllez & Mauricio Villamizar, 2013. "The Impact of Pre-announced Day-to-day Interventions on the Colombian Exchange Rate," Borradores de Economia 10767, Banco de la Republica.
    4. Christopher J. Neely, 2005. "An analysis of recent studies of the effect of foreign exchange intervention," Review, Federal Reserve Bank of St. Louis, vol. 87(Nov), pages 685-718.
    5. Valeria Bejarano-Salcedo & William Iván Moreno-Jimenez & Juan Manuel Julio-Román, 2020. "La Magnitud y Duración del Efecto de la Intervención por Subastas sobre el Mercado Cambiario: El caso Colombiano," Borradores de Economia 1142, Banco de la Republica de Colombia.
    6. Christopher J. Neely, 2007. "Central bank authorities’ beliefs about foreign exchange intervention," Working Papers 2006-045, Federal Reserve Bank of St. Louis.
    7. Mauricio Villamizar-Villegas & David Perez-Reyna, 2015. "A Survey on the Effects of Sterilized Foreign Exchange Intervention," Borradores de Economia 12424, Banco de la Republica.
    8. Yasin Kursat Onder & Mauricio Villamizar-Villegas, 2018. "The Effects of Monetary and Exchange Rate Policy Shocks: Evidence from an Emerging Market Economy," International Journal of Central Banking, International Journal of Central Banking, vol. 14(1), pages 159-199, January.
    9. Matías Tapia & Andrea Tokman, 2004. "Effects of Foreign Exchange Intervention under Public Information: The Chilean Case," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Spring 20), pages 215-256, January.
    10. Carpenter, Andrew & Wang, Jianxin, 2007. "Herding and the information content of trades in the Australian dollar market," Pacific-Basin Finance Journal, Elsevier, vol. 15(2), pages 173-194, April.
    11. John Goddard & Enrico Onali, 2016. "Long memory and multifractality: A joint test," Papers 1601.00903, arXiv.org.
    12. Sebastian Edwards, 2006. "External Imbalances in an Advanced, Commodity-Exporting Country: The Case of New Zealand," NBER Working Papers 12620, National Bureau of Economic Research, Inc.
    13. Ms. Hong Liang & Mr. Paul Cashin & Ms. Hali J Edison, 2003. "Foreign Exchange Intervention and the Australian Dollar: Has it Mattered?," IMF Working Papers 2003/099, International Monetary Fund.
    14. Piti Disyatat & Gabriele Galati, 2005. "The effectiveness of foreign exchange intervention in emerging market countries," BIS Papers chapters, in: Bank for International Settlements (ed.), Foreign exchange market intervention in emerging markets: motives, techniques and implications, volume 24, pages 97-113, Bank for International Settlements.
    15. João Barata Ribeiro Blanco Barroso, 2018. "Realized Volatility as an Instrument to Official Intervention," Investigación Conjunta-Joint Research, in: Alberto Ortiz-Bolaños (ed.), Monetary Policy and Financial Stability in Latin America and the Caribbean, edition 1, volume 1, chapter 8, pages 259-281, Centro de Estudios Monetarios Latinoamericanos, CEMLA.
    16. Mauricio Villamizar-Villegas & Yasin Kursat Onder, 2020. "Uncovering Time-Specific Heterogeneity in Regression Discontinuity Designs," Borradores de Economia 1141, Banco de la Republica de Colombia.
    17. Laura Andrade-Pardo & Oscar Valencia-Arana & Diego Vásquez-Escobar & Mauricio Villamizar-Villegas, 2016. "Uncovering the portfolio balance channel with the use of sovereign credit ratings," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 34(81), pages 191-205, December.
    18. Sebastian Edwards, 2006. "The Relationship Between Exchange Rates and Inflation Targeting Revisited," Working Papers Central Bank of Chile 409, Central Bank of Chile.
    19. Disyatat, Piti & Galati, Gabriele, 2007. "The effectiveness of foreign exchange intervention in emerging market countries: Evidence from the Czech koruna," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 383-402, April.
    20. Owen F. Humpage, 2003. "Government intervention in the foreign exchange market," Working Papers (Old Series) 0315, Federal Reserve Bank of Cleveland.
    21. Christopher J. Neely, 2006. "Identifying the effects of U.S. intervention on the levels of exchange rates," Working Papers 2005-031, Federal Reserve Bank of St. Louis.
    22. Bal??zs ??gert & Maroje Lang, 2005. "Foreign Exchange Interventions in Croatia and Turkey: Should We Give a Damn?," William Davidson Institute Working Papers Series wp755, William Davidson Institute at the University of Michigan.
    23. Landerretche, Oscar & Rigobón, Roberto, 2004. "Comments," LSE Research Online Documents on Economics 123279, London School of Economics and Political Science, LSE Library.
    24. Simwaka, Kisu & Mkandawire, Leslie, 2008. "The efficacy of foreign exchange market intervention in Malawi," MPRA Paper 15946, University Library of Munich, Germany.
    25. Balázs Égert & Maroje Lang, 2006. "Foreign exchange interventions in a small emerging market: the case of Croatia," Economic Change and Restructuring, Springer, vol. 39(1), pages 35-62, June.
    26. Simwaka, Kisu, 2006. "The effectiveness of official intervention in foreign exchange market in Malawi," MPRA Paper 1123, University Library of Munich, Germany.
    27. International Monetary Fund, 2008. "Colombia: Selected Issues," IMF Staff Country Reports 2008/032, International Monetary Fund.

  44. Roberto Rigobon & Brian P. Sack, 2002. "The Impact of Monetary Policy on Asset Prices," Finance and Economics Discussion Series 2002-04, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Alessi, Lucia & Kerssenfischer, Mark, 2016. "The response of asset prices to monetary policy shocks: stronger than thought," Working Paper Series 1967, European Central Bank.
    2. Mehmet Ivrendi & Douglas K. Pearce, 2014. "Asset prices and expected monetary policy: evidence from daily data," Applied Economics, Taylor & Francis Journals, vol. 46(9), pages 985-995, March.
    3. Paulo Maio, 2014. "Another Look at the Stock Return Response to Monetary Policy Actions," Review of Finance, European Finance Association, vol. 18(1), pages 321-371.
    4. Douglas Sutherland & Peter Hoeller & Balázs Égert & Oliver Röhn, 2010. "Counter-cyclical Economic Policy," OECD Economics Department Working Papers 760, OECD Publishing.
    5. Abdul Karim, Zulkefly & Zaidi, Mohd Azlan Shah & Karim, Bakri, 2011. "Does Firm-Level Equity Return Respond to Domestic and International Monetary Policy Shocks? A Panel Data Study of Malaysia," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 45, pages 21-31.
    6. Luis F. Céspedes & Javier García-Cicco & Diego Saravia, 2013. "Monetary Policy at the Zero Lower Bound: The Chilean Experience," Working Papers Central Bank of Chile 712, Central Bank of Chile.
    7. Ai Jun Hou, 2013. "EMU equity markets' return variance and spillover effects from the short-term interest rate," Quantitative Finance, Taylor & Francis Journals, vol. 13(3), pages 451-470, February.
    8. Saadaoui Mallek, Ray & Albaity, Mohamed & Molyneux, Philip, 2022. "Herding behaviour heterogeneity under economic and political risks: Evidence from GCC," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 345-361.
    9. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, September.
    10. Mansur, Alfan, 2016. "Kebijakan Moneter dan Volatilitas Pasar Keuangan [Monetary Policy and the Financial Market's Volatility]," MPRA Paper 93880, University Library of Munich, Germany, revised 15 Sep 2016.
    11. van Binsbergen, Jules H. & Diamond, William F. & Grotteria, Marco, 2022. "Risk-free interest rates," Journal of Financial Economics, Elsevier, vol. 143(1), pages 1-29.
    12. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788.
    13. Gurkaynak, Refet S. & Sack, Brian T. & Swanson, Eric P., 2007. "Market-Based Measures of Monetary Policy Expectations," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 201-212, April.
    14. Bredin, Don & Hyde, Stuart & Reilly, Gerard O., 2010. "Monetary policy surprises and international bond markets," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 988-1002, October.
    15. Tzuo Hann Law & Dongho Song & Amir Yaron, 2017. "Fearing the Fed: How Wall Street Reads Main Street," 2017 Meeting Papers 1632, Society for Economic Dynamics.
    16. Li, Erica X.N. & Palomino, Francisco, 2014. "Nominal rigidities, asset returns, and monetary policy," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 210-225.
    17. Lütkepohl, Helmut & Netšunajev, Aleksei, 2017. "Structural vector autoregressions with heteroskedasticity: A review of different volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 2-18.
    18. Bredin, Don & Hyde, Stuart & O'Reilly, Gerard, 2005. "European Monetary Policy Surprises: The Aggregate and Sectoral Stock Market Response," Research Technical Papers 10/RT/05, Central Bank of Ireland.
    19. Chen Gu & Ann Marie Hibbert, 2021. "Expectations and financial markets: Lessons from Brexit," The Financial Review, Eastern Finance Association, vol. 56(2), pages 279-299, May.
    20. Vithessonthi, Chaiporn & Tongurai, Jittima, 2012. "The impact of capital account liberalization measures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 16-34.
    21. Li, Yun Daisy & Iscan, Talan B. & Xu, Kuan, 2010. "The impact of monetary policy shocks on stock prices: Evidence from Canada and the United States," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 876-896, September.
    22. GIOT, Pierre & PETITJEAN, Mikael, 2005. "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," LIDAM Discussion Papers CORE 2005010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    23. Caballero, Ricardo & Simsek, Alp, 2022. "Monetary Policy and Asset Price Overshooting: A Rationale for the Wall/Main Street Disconnect," CEPR Discussion Papers 15163, C.E.P.R. Discussion Papers.
    24. Eksi, Ozan & Tas, Bedri Kamil Onur, 2017. "Unconventional monetary policy and the stock market’s reaction to Federal Reserve policy actions," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 136-147.
    25. Eijffinger, S.C.W. & Mahieu, R.J. & Raes, L.B.D., 2012. "Can the Fed talk the Hind Legs off the Stock Market? (replaces CentER DP 2011-072)," Other publications TiSEM 347a970d-4a05-416f-a351-1, Tilburg University, School of Economics and Management.
    26. Demir, Ishak, 2012. "ECB Policy Response to the Euro/US Dollar Exchange Rate," MPRA Paper 36744, University Library of Munich, Germany.
    27. Dobromil Serwa, 2008. "Larger crises cost more: impact of banking sector instability on output growth," Working Papers 25, Department of Applied Econometrics, Warsaw School of Economics.
    28. Sondermann, David & Bohl, Martin T. & Siklos, Pierre L., 2009. "The euro area stock market channel: Does one size fit all?," Finance Research Letters, Elsevier, vol. 6(4), pages 230-235, December.
    29. Moritz Schularick, 2022. "New perspectives on monetary policy," Working Papers 3, Forum New Economy.
    30. Aysun, Uluc & Hepp, Ralf, 2011. "Securitization and the balance sheet channel of monetary transmission," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2111-2122, August.
    31. Rosa, Carlo & Verga, Giovanni, 2006. "The impact of central bank announcements on asset prices in real time: testing the efficiency of the Euribor futures market," LSE Research Online Documents on Economics 19777, London School of Economics and Political Science, LSE Library.
    32. Felices, Guillermo & Grisse, Christian & Yang, Jing, 2009. "International financial transmission: emerging and mature markets," Bank of England working papers 373, Bank of England.
    33. Emanuele BACCHIOCCHI, 2010. "Identification through heteroskedasticity in a likelihood-based approach: some theoretical results," Departmental Working Papers 2010-38, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    34. Søren HOVE RAVN, 2010. "Has the Fed Reacted Asymmetrically to Stock Prices," EcoMod2010 259600076, EcoMod.
    35. Vithessonthi, Chaiporn & Techarongrojwong, Yaowaluk, 2012. "The impact of monetary policy decisions on stock returns: Evidence from Thailand," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 487-507.
    36. Gabriel Jiménez & Steven Ongena & José Luis Peydró & Jesús Saurina, 2009. "Hazardous times for monetary policy: What do twenty-three million bank loans say about the effects of monetary policy on credit risk-taking?," Working Papers 0833, Banco de España.
    37. Vasso Ioannidou & Steven Ongena & José-Luis Peydró, 2007. "Monetary policy, risk-taking and pricing: Evidence from a quasi-natural experiment," Economics Working Papers 1704, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2008.
    38. Priit Jeenas & Ricardo Lagos, 2022. "Q-Monetary Transmission," NBER Working Papers 30023, National Bureau of Economic Research, Inc.
    39. Daniel L. Thornton, 2014. "The identification of the response of interest rates to monetary policy actions using market-based measures of monetary policy shocks," Oxford Economic Papers, Oxford University Press, vol. 66(1), pages 67-87, January.
    40. Umut UYAR & Sinem KANGALLI UYAR & Altan GOKCE, 2016. "Gosterge Faiz Orani Dalgalanmalari Ve Bist Endeksleri Arasindaki Iliskinin Esanli Kantil Regresyon Ile Analizi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 16(4), pages 587-598.
    41. Matsumoto, Akito & Cova, Pietro & Pisani, Massimiliano & Rebucci, Alessandro, 2011. "News Shocks and Asset Price Volatility in General Equilibrium," IDB Publications (Working Papers) 3117, Inter-American Development Bank.
    42. Asger Lau Andersen & Niels Johannesen & Mia Jørgensen & José-Luis Peydró, 2022. "Monetary Policy and Inequality," CEBI working paper series 22-09, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI).
    43. Jackson, Laura E. & Owyang, Michael T. & Soques, Daniel, 2018. "Nonlinearities, smoothing and countercyclical monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 95(C), pages 136-154.
    44. Nkwoma John Inekwe, 2016. "Financial uncertainty, risk aversion and monetary policy," Empirical Economics, Springer, vol. 51(3), pages 939-961, November.
    45. Xinsheng Lu & Ling Qu & Ying Zhou, 2015. "The Impact of Monetary Surprises on Australian Financial Futures Markets: An Insight into Cash Rate Target Announcements," Australian Economic Papers, Wiley Blackwell, vol. 54(3), pages 151-166, September.
    46. Nahiyan Azad & Apostolos Serletis, 2022. "Market Shocks in the G7 Countries," Open Economies Review, Springer, vol. 33(1), pages 33-60, February.
    47. Benjamin Nelson & Gabor Pinter & Konstantinos Theodoridis, 2018. "Do contractionary monetary policy shocks expand shadow banking?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 198-211, March.
    48. Jinjarak, Yothin, 2014. "Equity prices and financial globalization," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 49-57.
    49. Ali Ozdagli & Mihail Velikov, 2016. "Show me the money: the monetary policy risk premium," Working Papers 16-27, Federal Reserve Bank of Boston.
    50. Pavlova, Anna & Rigobon, Roberto, 2004. "Asset Prices and Exchange Rates," Working papers 4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    51. Özer Karagedikli & Pierre L. Siklos, 2008. "Explaining Movements in the NZ Dollar - Central Bank Communication and the Surprise Element in Monetary Policy?," Reserve Bank of New Zealand Discussion Paper Series DP2008/02, Reserve Bank of New Zealand.
    52. Kenneth N. Kuttner & Adam S. Posen, 2007. "Do Markets Care Who Chairs the Central Bank?," Working Paper Series WP07-3, Peterson Institute for International Economics.
    53. François Gourio & Phuong Ngo, 2020. "Risk Premia at the ZLB: A Macroeconomic Interpretation," Working Paper Series WP 2020-01, Federal Reserve Bank of Chicago.
    54. Ramon Moreno, 2008. "Monetary policy transmission and the long-term interest rate in emerging markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Transmission mechanisms for monetary policy in emerging market economies, volume 35, pages 61-79, Bank for International Settlements.
    55. Entorf, Horst & Steiner, Christian, 2006. "Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose," ZEW Discussion Papers 06-008, ZEW - Leibniz Centre for European Economic Research.
    56. Duran, Murat & Özcan, Gülserim & Özlü, Pınar & Ünalmış, Deren, 2012. "Measuring the impact of monetary policy on asset prices in Turkey," Economics Letters, Elsevier, vol. 114(1), pages 29-31.
    57. Oreste Napolitano, 2009. "Is the impact of the ECB Monetary Policy on EMU stock market returns asymmetric?," STUDI ECONOMICI, FrancoAngeli Editore, vol. 0(97), pages 145-180.
    58. Zhang, Yanbing & Hua, Xiuping & Zhao, Liang, 2012. "Exploring determinants of housing prices: A case study of Chinese experience in 1999–2010," Economic Modelling, Elsevier, vol. 29(6), pages 2349-2361.
    59. Kun Guo & Wei-Xing Zhou & Si-Wei Cheng & Didier Sornette, 2011. "The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields," PLOS ONE, Public Library of Science, vol. 6(8), pages 1-9, August.
    60. Benjamin Hébert & Jesse Schreger, 2016. "The Costs of Sovereign Default: Evidence from Argentina," NBER Working Papers 22270, National Bureau of Economic Research, Inc.
    61. Ehrmann, Michael & Fratzscher, Marcel, 2007. "Explaining monetary policy in press conferences," Working Paper Series 767, European Central Bank.
    62. Zulkefly Abdul Karim & Mohd Azlan Shah Zaidi, 2015. "Monetary Policy, Firm Size and Equity Returns in An Emerging Market: Panel Evidence of Malaysia," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 11(2), pages 29-55.
    63. Carlo Altavilla & Miguel Boucinha & José-Luis Peydró, 2017. "Monetary policy and bank profitability in a low interest rate environment," Economics Working Papers 1655, Department of Economics and Business, Universitat Pompeu Fabra, revised Mar 2018.
    64. Carlo Rosa, 2012. "How "unconventional" are large-scale asset purchases? The impact of monetary policy on asset prices," Staff Reports 560, Federal Reserve Bank of New York.
    65. Uhrin, Gábor B. & Herwartz, Helmut, 2016. "Monetary policy shocks, set-identifying restrictions, and asset prices: A benchmarking approach for analyzing set-identified models," University of Göttingen Working Papers in Economics 295, University of Goettingen, Department of Economics.
    66. Mardi Dungey & George Milunovich & Susan Thorp, 2008. "Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH," NCER Working Paper Series 22, National Centre for Econometric Research.
    67. Kapp, Daniel & Kristiansen, Kristian, 2021. "Euro area equity risk premia and monetary policy: a longer-term perspective," Working Paper Series 2535, European Central Bank.
    68. Yang-Ho Park, 2019. "Information in Yield Spread Trades," Finance and Economics Discussion Series 2019-025, Board of Governors of the Federal Reserve System (U.S.).
    69. 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.
    70. Elena Corallo, 2005. "The effect of the war risk: a comparison of the consequences of the two Iraq wars on some financial variables," LIUC Papers in Economics 171, Cattaneo University (LIUC).
    71. Foley-Fisher, Nathan & Guimaraes, Bernardo, 2009. "US real interest rates and default risk in emerging economies," LSE Research Online Documents on Economics 28683, London School of Economics and Political Science, LSE Library.
    72. Emanuele BACCHIOCCHI, 2015. "On the Identification of Interdependence and Contagion of Financial Crises," Departmental Working Papers 2015-12, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    73. Masahiko Shibamoto & Minoru Tachibana, 2014. "Individual Stock Returns and Monetary Policy: Evidence from Japanese Data," The Japanese Economic Review, Japanese Economic Association, vol. 65(3), pages 375-396, September.
    74. Crespo Cuaresma, Jesus & Doppelhofer, Gernot & Feldkircher, Martin & Huber, Florian, 2018. "Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model," Working Papers in Economics 2018-6, University of Salzburg.
    75. Nicholas Apergis & Chritina Christou & Tasawar Hayat & Tareq Saeed, 2020. "U.S. Monetary Policy and Herding: Evidence from Commodity Markets," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 48(3), pages 355-374, September.
    76. Yun Liu, 2022. "Housing and monetary policy: Fresh evidence from China," Financial Economics Letters, Anser Press, vol. 1(1), pages 1-12, December.
    77. Rabah Arezki & Caleb Cho & Ha Nguyen & Kate Nguyen & Anh Pham, 2022. "Corporate Debt and Stock Returns: Evidence from U.S. Firms During the 2020 Oil Crash," CESifo Working Paper Series 9770, CESifo.
    78. Harald Hau & Sandy Lai, 2014. "Asset Allocation and Monetary Policy: Evidence from the Eurozone," CESifo Working Paper Series 5005, CESifo.
    79. Rigobon, Roberto & Sack, Brian P., 2003. "The Effects of War Risk on U.S. Financial Markets," Working papers 4417-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    80. Colin Ellis & Haroon Mumtaz & Pawel Zabczyk, 2014. "What Lies Beneath? A Time‐varying FAVAR Model for the UK Transmission Mechanism," Economic Journal, Royal Economic Society, vol. 0(576), pages 668-699, May.
    81. Edda Claus & Mardi Dungey, 2012. "U.S. Monetary Policy Surprises: Identification with Shifts and Rotations in the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(7), pages 1443-1453, October.
    82. J. David Lopez-Salido & Francisco Vazquez-Grande & Pierlauro Lopez, 2015. "Macro-Finance Separation by Force of Habit," 2015 Meeting Papers 980, Society for Economic Dynamics.
    83. Kagerer, B., 2024. "Geopolitics and corporate risk: Evidence from EU-Russia conflict shocks," Cambridge Working Papers in Economics 2471, Faculty of Economics, University of Cambridge.
    84. Kurov, Alexander & Olson, Eric & Zaynutdinova, Gulnara R., 2022. "When does the fed care about stock prices?," Journal of Banking & Finance, Elsevier, vol. 142(C).
    85. Pelin Berkmen & Eduardo A. Cavallo, 2007. "Exchange Rate Policy and Liability Dollarization: An Empirical Study," IMF Working Papers 2007/033, International Monetary Fund.
    86. Marcel Fratzscher & Daniel Schneider & Ine Van Robays, 2013. "Oil Prices, Exchange Rates and Asset Prices," CESifo Working Paper Series 4264, CESifo.
    87. Benjamin Born & Michael Ehrmann & Marcel Fratzscher, 2011. "Central bank communication on financial stability," NBP Working Papers 93, Narodowy Bank Polski.
    88. Roberto Rigobon & Dani Rodrik, 2004. "Rule of Law, Democracy, Openness, and Income: Estimating the Interrelationships," NBER Working Papers 10750, National Bureau of Economic Research, Inc.
    89. Guidolin, Massimo & Hyde, Stuart, 2008. "Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 293-312, October.
    90. A. Edwin Prabu & Indranil Bhattacharyya & Partha Ray, 2020. "Impact of monetary policy on the Indian stock market: Does the devil lie in the detail?," Indian Economic Review, Springer, vol. 55(1), pages 27-50, June.
    91. Cao, N. & Galvani, V. & Gubellini, S., 2017. "Firm-specific stock and bond predictability: New evidence from Canada," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 174-192.
    92. Fabio Canetg & Daniel Kaufmann, 2019. "Shocking Interest Rate Floors," Diskussionsschriften dp1901, Universitaet Bern, Departement Volkswirtschaft.
    93. Simon Gilchrist & Egon ZakrajŠEk, 2013. "The Impact of the Federal Reserve's Large-Scale Asset Purchase Programs on Corporate Credit Risk," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(s2), pages 29-57, December.
    94. Azusa Takeyama & Naoshi Tsuchida, 2015. "The Interaction between Funding Liquidity and Market Liquidity: Evidence from Subprime and European Crises," IMES Discussion Paper Series 15-E-14, Institute for Monetary and Economic Studies, Bank of Japan.
    95. Hafedh Bouakez & Foued Chihi & Michel Normandin, 2010. "Measuring the Effects of Fiscal Policy," Cahiers de recherche 1016, CIRPEE.
    96. Woon Gyu Choi & Taesu Kang & Geun-Young Kim & Byongju Lee, 2017. "Global Liquidity Transmission to Emerging Market Economies, and Their Policy Responses," IMF Working Papers 2017/222, International Monetary Fund.
    97. Neely, Christopher J., 2022. "How persistent are unconventional monetary policy effects?," Journal of International Money and Finance, Elsevier, vol. 126(C).
    98. Claus, Edda & Dungey, Mardi, 2016. "Can monetary policy surprises affect the term structure?," Journal of Macroeconomics, Elsevier, vol. 47(PA), pages 68-83.
    99. Chunya Bu & John Rogers & Wenbin Wu, 2019. "A Unified Measure of Fed Monetary Policy Shocks," Finance and Economics Discussion Series 2019-043, Board of Governors of the Federal Reserve System (U.S.).
    100. Fabio Milani, 2008. "Learning about the Interdependence between the Macroeconomy and the Stock Market," Working Papers 070819, University of California-Irvine, Department of Economics.
    101. Martin Feldkircher & Kazuhiko Kakamu, 2018. "How does monetary policy affect income inequality in Japan? Evidence from grouped data," Papers 1803.08868, arXiv.org, revised Jul 2021.
    102. Sequeira, John M., 2021. "Monetary policy surprises, stock returns, and financial and liquidity constraints, in an exchange rate monetary policy system," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 226-236.
    103. Carrillo-Maldonado, Paul & Díaz-Cassou, Javier, 2023. "An anatomy of external shocks in the Andean region," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    104. Hardik A. Marfatia & Rangan Gupta & Esin Cakan, 2017. "The International REIT's Time-Varying Response to the U.S. Monetary Policy and Macroeconomic Surprises," Working Papers 201712, University of Pretoria, Department of Economics.
    105. Ernst Konrad, 2009. "The impact of monetary policy surprises on asset return volatility: the case of Germany," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(2), pages 111-135, June.
    106. Francesca de Nicola & Martin Kessler & Ha Nguyen, 2020. "The financial costs of the United States-China trade tensions: evidence from East Asian stock markets," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 156(4), pages 803-833, November.
    107. Rosa, Carlo, 2016. "Walking on thin ice: Market quality around FOMC announcements," Economics Letters, Elsevier, vol. 138(C), pages 5-8.
    108. Claus, Edda & Nguyen, Viet Hoang, 2020. "Monetary policy shocks from the consumer perspective," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 159-173.
    109. Hilde C. Bjørnland, 2008. "Oil Price Shocks and Stock Market Booms in an Oil Exporting Country," Working Paper 2008/16, Norges Bank.
    110. Soenen, Nicolas & Vander Vennet, Rudi, 2022. "ECB monetary policy and bank default risk☆," Journal of International Money and Finance, Elsevier, vol. 122(C).
    111. Francesco Casalena, 2024. "Back to normal? Assessing the Effects of the Federal Reserve's Quantitative Tightening," IHEID Working Papers 14-2024, Economics Section, The Graduate Institute of International Studies.
    112. Carlos J. Rincon, 2024. "Equity Market Pricing and Central Bank Interventions: A Panel Data Approach," JRFM, MDPI, vol. 17(10), pages 1-24, September.
    113. Michael Weber & Ali Ozdagli, 2016. "Monetary Policy Through Production Networks: Evidence from the Stock Market," 2016 Meeting Papers 148, Society for Economic Dynamics.
    114. Hip lit Torr, 2019. "The Response of European Energy Prices to ECB Monetary Policy," International Journal of Energy Economics and Policy, Econjournals, vol. 9(2), pages 1-9.
    115. Emanuele BACCHIOCCHI, 2011. "Identification through heteroskedasticity: a likelihood-based approach," Departmental Working Papers 2011-19, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    116. Iuliia Brushko & Ms. Yuko Hashimoto, 2014. "The Role of Country Concentration in the International Portfolio Investment Positions for the European Union Members," IMF Working Papers 2014/074, International Monetary Fund.
    117. Nikola Mirkov, 2014. "International financial transmission of the Fed's monetary policy," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 7(2), pages 7-49, September.
    118. Kathryn M. E. Dominguez & Freyan Panthaki, 2007. "The Influence of Actual and Unrequited Interventions," Working Papers 561, Research Seminar in International Economics, University of Michigan.
    119. Christian Aubin & IBRAHIMA DIOUF & DOMINIQUE PEPIN, 2013. "Influence De La Politique Monetaire Sur Le Prix Des Actifs Financiers :Les Enseignements D’Un Modele Miu Applique A La Fed: Impact Of Monetary Policy On Asset Prices :Lessons From A Miu Model Applied ," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 56(3-4), pages 313-333.
    120. Ye, Guangliang & Deng, Guoying & Li, Zhigang, 2014. "Mortgage rate and choice of mortgage length: A quasi-experimental evidence from Chinese transaction-level data," Journal of Housing Economics, Elsevier, vol. 25(C), pages 96-103.
    121. Bjørnland, Hilde C. & Leitemo, Kai, 2005. "Identifying the interdependence between US monetary policy and the stock market," Bank of Finland Research Discussion Papers 17/2005, Bank of Finland.
    122. Chen, Zhengyang, 2019. "The Long-term Rate and Interest Rate Volatility in Monetary Policy Transmission," EconStor Preprints 204579, ZBW - Leibniz Information Centre for Economics.
    123. Oguzhan Ozcelebi & Nurtac Yildirim, 2017. "Impacts of short-term interest rates on stock returns and exchange rates: Empirical evidence from EAGLE countries," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 26(2), pages 228-255, February.
    124. Carlos J. Rincon & Darko B. Vukovic, 2024. "Assessing the Impact of Federal Reserve Policies on Equity Market Valuations: An Instrumental Variables Approach," JRFM, MDPI, vol. 17(10), pages 1-36, September.
    125. Caporin, Massimiliano & Pelizzon, Loriana & Plazzi, Alberto, 2020. "Does monetary policy impact international market co-movements?," SAFE Working Paper Series 276, Leibniz Institute for Financial Research SAFE.
    126. Grunspan, T., 2005. "The Fed and the Question of Financial Stability: An Empirical Investigation," Working papers 134, Banque de France.
    127. Gurkaynak, Refet S & Sack, Brian & Swanson, Eric T, 2005. "Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," MPRA Paper 820, University Library of Munich, Germany.
    128. Bartscher, Alina Kristin & Kuhn, Moritz & Schularick, Moritz & Wachtel, Paul, 2021. "Monetary Policy and Racial Inequality," LawFin Working Paper Series 15, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
    129. Diego R. Känzig, 2021. "The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements," American Economic Review, American Economic Association, vol. 111(4), pages 1092-1125, April.
    130. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    131. Moinas, Sophie & Nguyen, Minh & Valente, Giorgio, 2017. "Funding Constraints and Market Illiquidity in the European Treasury Bond Market," TSE Working Papers 17-814, Toulouse School of Economics (TSE).
    132. Jesús Crespo Cuaresma & Gernot Doppelhofer & Martin Feldkircher & Florian Huber, 2019. "Spillovers from US monetary policy: evidence from a time varying parameter global vector auto‐regressive model," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 182(3), pages 831-861, June.
    133. Jordi Gali & Luca Gambetti, 2014. "The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence," NBER Working Papers 19981, National Bureau of Economic Research, Inc.
    134. Fabian Fink & Lukas Frei & Thomas Maag & Tanja Zehnder, 2020. "The impact of SNB monetary policy on the Swiss franc and longer-term interest rates," Working Papers 2020-01, Swiss National Bank.
    135. Matthew W. Clance & Riza Demirer & Rangan Gupta & Clement Kweku Kyei, 2020. "Predicting Firm-Level Volatility in the United States: The Role of Monetary Policy Uncertainty," Working Papers 202007, University of Pretoria, Department of Economics.
    136. Troy Davig & Jeffrey R. Gerlach, 2006. "Monetary Policy, the Bond Market, and Changes in FOMC Communication Policy," Working Papers 31, Department of Economics, College of William and Mary.
    137. Richhild Moessner, 2015. "International spillovers from US forward guidance to equity markets," Applied Economics, Taylor & Francis Journals, vol. 47(42), pages 4549-4560, September.
    138. Balazs Vonnak, 2008. "The Hungarian monetary transmission mechanism: an assessment," BIS Papers chapters, in: Bank for International Settlements (ed.), Transmission mechanisms for monetary policy in emerging market economies, volume 35, pages 235-257, Bank for International Settlements.
    139. Boysen-Hogrefe, Jens & Gern, Klaus-Jürgen & Groll, Dominik & Jannsen, Nils & Kooths, Stefan & Plödt, Martin & Schwarzmüller, Tim & van Roye, Björn & Scheide, Joachim, 2014. "Finanz- und Wirtschaftspolitik bei einer anhaltenden monetären Expansion," Kieler Beiträge zur Wirtschaftspolitik 5, Kiel Institute for the World Economy (IfW Kiel).
    140. Filbien, Jean-Yves & Labondance, Fabien, 2013. "Do financial markets learn from ECB monetary policy?," Economics Letters, Elsevier, vol. 120(2), pages 271-275.
    141. Michael Ehrmann & Marcel Fratzscher, 2009. "Global Financial Transmission of Monetary Policy Shocks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 739-759, December.
    142. Don Bredin & Stuart Hyde & Dirk Nitzsche & Gerard O'reilly, 2007. "UK Stock Returns and the Impact of Domestic Monetary Policy Shocks," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(5‐6), pages 872-888, June.
    143. Bialkowski, Jedrzej & Jakubowski, Jacek, 2008. "Stock index futures arbitrage in emerging markets: Polish evidence," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 363-381.
    144. Jung, Alexander & Kühl, Patrick, 2021. "Can central bank communication help to stabilise inflation expectations?," Working Paper Series 2547, European Central Bank.
    145. Kao, Erin H. & Yeh, Chih-Chuan & Wang, Li-Hsun & Fung, Hung-Gay, 2018. "The relationship between CSR and performance: Evidence in China," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 155-170.
    146. Helmut Lütkepohl & Aleksei Netsunajev, 2014. "Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market," Discussion Papers of DIW Berlin 1388, DIW Berlin, German Institute for Economic Research.
    147. Tong, Eric, 2024. "Repercussions of the Russia–Ukraine war," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 366-390.
    148. Refet S. Gürkaynak & Hatice Gökce Karasoy-Can & Sang Seok Lee, 2019. "Stock Market's Assessment of Monetary Policy Transmission: The Cash Flow Effect," CESifo Working Paper Series 7898, CESifo.
    149. Fatum, Rasmus & Hattori, Takahiro & Yamamoto, Yohei, 2023. "Reserves and risk: Evidence from China," Journal of International Money and Finance, Elsevier, vol. 134(C).
    150. Christopher Hanes & Paul W. Rhode, 2012. "Harvests and Financial Crises in Gold-Standard America," NBER Working Papers 18616, National Bureau of Economic Research, Inc.
    151. Martin D. D. Evans & Richard K. Lyons, 2003. "How is Macro News Transmitted to Exchange Rates?," NBER Working Papers 9433, National Bureau of Economic Research, Inc.
    152. Hussain, Syed Mujahid, 2011. "Simultaneous monetary policy announcements and international stock markets response: An intraday analysis," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 752-764, March.
    153. Mirkov, Nikola, 2012. "International Financial Transmission of the US Monetary Policy: An Empirical Assessment," Working Papers on Finance 1201, University of St. Gallen, School of Finance.
    154. Bouakez, Hafedh & Chihi, Foued & Normandin, Michel, 2014. "Fiscal policy and external adjustment: New evidence," Journal of International Money and Finance, Elsevier, vol. 40(C), pages 1-20.
    155. Monika Piazzesi & Eric T. Swanson, 2006. "Futures prices as risk-adjusted forecasts of monetary policy," Working Paper Series 2006-23, Federal Reserve Bank of San Francisco.
    156. Rodriguez, Harold & Colombo, Jefferson, 2024. "Is bitcoin an inflation hedge?," MPRA Paper 120477, University Library of Munich, Germany.
    157. Ben S. Bernanke & Kenneth N. Kuttner, 2004. "What explains the stock market's reaction to Federal Reserve policy?," Finance and Economics Discussion Series 2004-16, Board of Governors of the Federal Reserve System (U.S.).
    158. Grégory Levieuge, 2005. "Politique monétaire et prix d'actifs," Revue de l'OFCE, Presses de Sciences-Po, vol. 93(2), pages 317-355.
    159. Marc Burri & Daniel Kaufmann, 2024. "Multi-dimensional monetary policy shocks based on heteroscedasticity," IRENE Working Papers 24-03, IRENE Institute of Economic Research.
    160. Refet S. Gürkaynak & Jonathan H. Wright, 2013. "Identification and Inference Using Event Studies," Manchester School, University of Manchester, vol. 81, pages 48-65, September.
    161. Ansgar Belke & Thorsten Polleit, 2005. "Monetary Policy and Dividend Growth in Germany: Long-Run Structural Modelling versus Bounds Testing Approach," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 250/2005, Department of Economics, University of Hohenheim, Germany.
    162. Severin Bernhard & Till Ebner, 2016. "Cross-border Spillover Effects of Unconventional Monetary Policies on Swiss Asset Prices," Working Papers 2016-09, Swiss National Bank.
    163. Roberto Rigobon & Brian Sack, 2008. "Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices," NBER Chapters, in: Asset Prices and Monetary Policy, pages 335-370, National Bureau of Economic Research, Inc.
    164. Christophe Blot & Paul Hubert & Fabien Labondance, 2017. "Does Monetary Policy generate Asset Price Bubbles?," Working Papers 2017-06, CRESE.
    165. Edda Claus, Mardi Dungey, 2015. "Can monetary policy surprise the market?," LCERPA Working Papers 0083, Laurier Centre for Economic Research and Policy Analysis, revised 01 Jan 2015.
    166. Wang, Ruting & Althof, Michael & Härdle, Wolfgang, 2021. "A financial risk meter for China," IRTG 1792 Discussion Papers 2021-022, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    167. Allen-Coughlan, Matthew & Coffey, Cathal & Martinez-Cillero, Maria & Kostarakos, Ilias & McQuinn, Kieran & O’Toole, Conor, 2020. "Estimating the cost of Irish housing for the CPI: A rental equivalence approach," Papers WP676, Economic and Social Research Institute (ESRI).
    168. Shehu Usman Rano, Aliyu, 2010. "Does inflation has an Impact on Stock Returns and Volatility? Evidence from Nigeria and Ghana," MPRA Paper 30091, University Library of Munich, Germany, revised 19 Mar 2011.
    169. Koichiro Kamada & Tetsuo Kurosaki & Ko Miura & Tetsuya Yamada, 2018. "Central Bank Policy Announcements and Changes in Trading Behavior: Evidence from Bond Futures High Frequency Price Data," IMES Discussion Paper Series 18-E-02, Institute for Monetary and Economic Studies, Bank of Japan.
    170. Bjørnland, Hilde C., 2005. "Monetary policy and exchange rate interactions in a small open economy," Memorandum 31/2005, Oslo University, Department of Economics.
    171. Nihar Shah, 2022. "Doubly heterogeneous monetary spillovers," International Finance, Wiley Blackwell, vol. 25(2), pages 126-150, August.
    172. Mirela Miescu, 2022. "Forward guidance shocks," Working Papers 352591340, Lancaster University Management School, Economics Department.
    173. Cyril May & Greg Farrell & Jannie Rossouw, 2018. "Do Monetary Policy Announcements Affect Exchange Rate Returns and Volatility of Returns? Some Evidence from High‐Frequency Intra‐Day South African Data," South African Journal of Economics, Economic Society of South Africa, vol. 86(3), pages 308-338, September.
    174. Koivu, Tuuli, 2012. "Monetary policy, asset prices and consumption in China," Economic Systems, Elsevier, vol. 36(2), pages 307-325.
    175. Helmut Lütkepohl & Aleksei Netšunajev, 2018. "The Relation between Monetary Policy and the Stock Market in Europe," Econometrics, MDPI, vol. 6(3), pages 1-14, August.
    176. Narayan, Paresh Kumar & Thuraisamy, Kannan S., 2013. "Common trends and common cycles in stock markets," Economic Modelling, Elsevier, vol. 35(C), pages 472-476.
    177. Michael D. Bauer, 2011. "Nominal interest rates and the news," Working Paper Series 2011-20, Federal Reserve Bank of San Francisco.
    178. Richard Austin & Jeff Moore, 2002. "The behavior of federal funds futures prices over the monetary policy cycle," Economic Review, Federal Reserve Bank of Atlanta, vol. 87(Q2), pages 45-61.
    179. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc.
    180. Vonnák, Balázs, 2006. "A magyarországi monetáris transzmissziós mechanizmus fő jellemzői [The main features of Hungarys monetary transmission mechanism]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(12), pages 1155-1177.
    181. Myrna Hennequin & Cars Hommes, 2024. "Managing Bubbles in Experimental Asset Markets with Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(2-3), pages 429-454, March.
    182. Padha, Vimarsh & Chaubal, Aditi, 2024. "Impact of global liquidity on Indian financial markets and monetary policy outcomes: An ARDL approach," Journal of Asian Economics, Elsevier, vol. 90(C).
    183. Aliyu, Shehu Usman Rano, 2011. "Reactions of stock market to monetary policy shocks during the global financial crisis: the Nigerian case," MPRA Paper 35581, University Library of Munich, Germany, revised 28 Dec 2011.
    184. Greg Kaplan & Benjamin Moll & Giovanni L. Violante, 2016. "Monetary Policy According to HANK," Working Papers 1602, Council on Economic Policies.
    185. Veronesi, Pietro & Pástor, Luboš, 2010. "Uncertainty about Government Policy and Stock Prices," CEPR Discussion Papers 7897, C.E.P.R. Discussion Papers.
    186. Weale, Martin & Wieladek, Tomasz, 2022. "Financial effects of QE and conventional monetary policy compared," Journal of International Money and Finance, Elsevier, vol. 127(C).
    187. Rangan Gupta & Roula Inglesi-Lotz, 2012. "Macro Shocks and Real US Stock Prices with Special Focus on the "Great Recession"," Working Papers 201208, University of Pretoria, Department of Economics.
    188. Andrea Monaco & Matteo Ghio & Adamaria Perrotta, 2024. "Wealth dynamics in a multi-aggregate closed monetary system," Papers 2401.09871, arXiv.org.
    189. Wang, Shen & Mayes, David G., 2012. "Monetary policy announcements and stock reactions: An international comparison," The North American Journal of Economics and Finance, Elsevier, vol. 23(2), pages 145-164.
    190. GIOT, Pierre & PETITJEAN, Mikael, 2007. "The information content of the Bond-Equity Yield Ratio: Better than a random walk?," LIDAM Reprints CORE 1982, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    191. Rosa, Carlo, 2011. "Words that shake traders," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 915-934.
    192. Cesa-Bianchi, Ambrogio & Thwaites, Gregory & Vicondoa, Alejandro, 2016. "Monetary policy transmission in an open economy:new data and evidence from the United Kingdom," LSE Research Online Documents on Economics 86235, London School of Economics and Political Science, LSE Library.
    193. Ellingsen, Tore & Söderström, Ulf, 2004. "Why are Long Rates Sensitive to Monetary Policy?," CEPR Discussion Papers 4360, C.E.P.R. Discussion Papers.
    194. Giannitsarou, Chryssi & CHALLE, Edouard, 2011. "Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach," CEPR Discussion Papers 8387, C.E.P.R. Discussion Papers.
    195. Mustafa Kilinc & Cengiz Tunc, 2014. "Identification of Monetary Policy Shocks in Turkey: A Structural VAR Approach," Working Papers 1423, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    196. Ecenur Ugurlu‐Yildirim & Baris Kocaarslan & Beyza M. Ordu‐Akkaya, 2021. "Monetary policy uncertainty, investor sentiment, and US stock market performance: New evidence from nonlinear cointegration analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1724-1738, April.
    197. Dungey, Mardi & Milunovich, George & Thorp, Susan, 2010. "Unobservable shocks as carriers of contagion," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1008-1021, May.
    198. Godwin Olasehinde-Williams & Ifedola Olanipekun & Oktay Özkan, 2024. "Stock Market Response to Quantitative Easing: Evidence from the Novel Rolling Windows Nonparametric Causality-in-Quantiles Approach," Computational Economics, Springer;Society for Computational Economics, vol. 64(2), pages 947-977, August.
    199. Farka, Mira, 2009. "The effect of monetary policy shocks on stock prices accounting for endogeneity and omitted variable biases," Review of Financial Economics, Elsevier, vol. 18(1), pages 47-55, January.
    200. Kim, Suk-Joong & Nguyen, Do Quoc Tho, 2009. "The spillover effects of target interest rate news from the U.S. Fed and the European Central Bank on the Asia-Pacific stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 415-431, July.
    201. Nave, Juan M. & Ruiz, Javier, 2015. "Risk aversion and monetary policy in a global context," Journal of Financial Stability, Elsevier, vol. 20(C), pages 14-35.
    202. Renne, Jean-Paul, 2016. "A tractable interest rate model with explicit monetary policy rates," European Journal of Operational Research, Elsevier, vol. 251(3), pages 873-887.
    203. Nocera, Andrea & Roma, Moreno, 2017. "House prices and monetary policy in the euro area: evidence from structural VARs," Working Paper Series 2073, European Central Bank.
    204. Christophe Blot & Paul Hubert & Fabien Labondance, 2018. "Monetary Policy and Asset Price Bubbles," Documents de Travail de l'OFCE 2018-37, Observatoire Francais des Conjonctures Economiques (OFCE).
    205. Nakamura, Fumitaka & Sudo, Nao & Sugisaki, Yu, 2024. "Assessing monetary policy surprises in Japan by high frequency identification," Journal of the Japanese and International Economies, Elsevier, vol. 71(C).
    206. Elien Meuleman & Rudi Vander Vennet, 2022. "Macroprudential Policy, Monetary Policy, and Euro Zone Bank Risk," International Journal of Central Banking, International Journal of Central Banking, vol. 18(4), pages 1-52, October.
    207. Christophe Blot & Paul Hubert & Fabien Labondance, 2020. "The asymmetric effects of monetary policy on stock price bubbles," Documents de Travail de l'OFCE 2020-12, Observatoire Francais des Conjonctures Economiques (OFCE).
    208. Jung, Alexander & Uhlig, Harald, 2019. "Monetary policy shocks and the health of banks," Working Paper Series 2303, European Central Bank.
    209. Duan, Qihong & Wei, Ying & Chen, Zhiping, 2014. "Relationship between the benchmark interest rate and a macroeconomic indicator," Economic Modelling, Elsevier, vol. 38(C), pages 220-226.
    210. Pitschner, Stefan, 2013. "Using Financial Markets To Estimate the Macro Effects of Monetary Policy:," Working Paper Series 267, Sveriges Riksbank (Central Bank of Sweden).
    211. Luik Marc-Andre & Wesselbaum Dennis, 2021. "Did the FED React to Asset Price Bubbles?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 21(2), pages 745-772, June.
    212. António Afonso & Ricardo M. Sousa, 2008. "The Macroeconomic Effects of Fiscal Policy," Working Papers Department of Economics 2008/56, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    213. Bjørnland, Hilde C. & Jacobsen, Dag Henning, 2010. "The role of house prices in the monetary policy transmission mechanism in small open economies," Journal of Financial Stability, Elsevier, vol. 6(4), pages 218-229, December.
    214. Travaglini, Guido, 2007. "The U.S. Dynamic Taylor Rule With Multiple Breaks, 1984-2001," MPRA Paper 3419, University Library of Munich, Germany, revised 15 Jun 2007.
    215. Paul Beaudry & Franck Portier, 2018. "Real Keynesian Models and Sticky Prices," NBER Working Papers 24223, National Bureau of Economic Research, Inc.
    216. Claus, Edda & Claus, Iris & Krippner, Leo, 2018. "Asset market responses to conventional and unconventional monetary policy shocks in the United States," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 270-282.
    217. Scharler, Johann, 2008. "Bank lending and the stock market's response to monetary policy shocks," International Review of Economics & Finance, Elsevier, vol. 17(3), pages 425-435.
    218. Martin, Feldkircher & Thomas, Gruber & Florian, Huber, 2019. "International effects of a compression of euro area yield curves," Working Papers in Economics 2019-1, University of Salzburg.
    219. Edda Claus & Iris Claus & Leo Krippner, 2014. "Asset markets and monetary policy shocks at the zero lower bound," CAMA Working Papers 2014-42, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    220. Ana Lamo & Frank Smets, 2010. "Wage dynamics in Europe: some new findings," Research Bulletin, European Central Bank, vol. 10, pages 2-5.
    221. Leslie Sheng Shen, 2021. "Global Banking and Firm Financing: A Double Adverse Selection Channel of International Transmission," International Finance Discussion Papers 1325, Board of Governors of the Federal Reserve System (U.S.).
    222. Salvatore Perdichizzi, 2017. "The impact of ECBs conventional and unconventional monetary policies on European banking indexes returns," DISCE - Working Papers del Dipartimento di Economia e Finanza def059, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    223. Eda Gulsen & Ibrahim Burak Kanli & Neslihan Kaya, 2010. "Kuresel Kriz Doneminde TCMB’nin Faiz Kararlarinin Kur Uzerindeki Etkisine Dair Bir Analiz," CBT Research Notes in Economics 1011, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    224. Mishra, Ajay Kumar & Parikh, Bhavik & Spahr, Ronald W., 2020. "Stock market liquidity, funding liquidity, financial crises and quantitative easing," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 456-478.
    225. Wongswan, Jon, 2009. "The response of global equity indexes to U.S. monetary policy announcements," Journal of International Money and Finance, Elsevier, vol. 28(2), pages 344-365, March.
    226. International Monetary Fund, 2004. "Once Again, is Openness Good for Growth?," IMF Working Papers 2004/135, International Monetary Fund.
    227. Hüning, Hendrik, 2016. "Asset market response to monetary policy news from SNB press releases," HWWI Research Papers 177, Hamburg Institute of International Economics (HWWI).
    228. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "How is Macro News Transmitted to Exchange Rates? (December 2003)," Working Papers gueconwpa~05-05-05, Georgetown University, Department of Economics.
    229. Comin, Diego & Licht, Georg & Pellens, Maikel & Schubert, Torben, 2018. "Do Companies Benefit from Public Research Organizations? The Impact of the Fraunhofer Society in Germany," Papers in Innovation Studies 2018/7, Lund University, CIRCLE - Centre for Innovation Research.
    230. Kishor, N. Kundan & Marfatia, Hardik A., 2013. "The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 1-24.
    231. Fernandez-Perez, Adrian & Frijns, Bart & Tourani-Rad, Alireza, 2016. "Contemporaneous interactions among fuel, biofuel and agricultural commodities," Energy Economics, Elsevier, vol. 58(C), pages 1-10.
    232. Lütkepohl, Helmut & Velinov, Anton, 2014. "Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity," SFB 649 Discussion Papers 2014-009, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    233. Don Bredin & Caroline Gavin & Gerard O Reilly, 2003. "The Influence of Domestic and International Interest Rates on the ISEQ," The Economic and Social Review, Economic and Social Studies, vol. 34(3), pages 249-265.
    234. Albuquerque, Rui & Vega, Clara, 2006. "Asymmetric Information in the Stock Market: Economic News and Co-movement," CEPR Discussion Papers 5598, C.E.P.R. Discussion Papers.
    235. Paolo Surico & Antonello D'Agostino & Luca Sala, 2005. "The Fed and the Stock Market," Computing in Economics and Finance 2005 293, Society for Computational Economics.
    236. Bollerslev, Tim & Li, Jia & Li, Qiyuan, 2024. "Optimal nonparametric range-based volatility estimation," Journal of Econometrics, Elsevier, vol. 238(1).
    237. Helmut Lütkepohl & Aleksei Netšunajev, 2015. "Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models," CESifo Working Paper Series 5308, CESifo.
    238. Kim, Seon Tae & Rescigno, Luca, 2017. "Monetary policy shocks and distressed firms’ stock returns: Evidence from the publicly traded U.S. firms," Economics Letters, Elsevier, vol. 160(C), pages 91-94.
    239. Matthys, Thomas & Meuleman, Elien & Vander Vennet, Rudi, 2020. "Unconventional monetary policy and bank risk taking," Journal of International Money and Finance, Elsevier, vol. 109(C).
    240. Thore Schlaak & Malte Rieth & Maximilian Podstawski, 2023. "Monetary policy, external instruments, and heteroskedasticity," Quantitative Economics, Econometric Society, vol. 14(1), pages 161-200, January.
    241. Vincent (Vincent Peter) Hogan & Roberto Rigobon, 2002. "Using heteroscedasticity to estimate the returns to education," Open Access publications 10197/1100, School of Economics, University College Dublin.
    242. Valente, Giorgio, 2009. "International interest rates and US monetary policy announcements: Evidence from Hong Kong and Singapore," Journal of International Money and Finance, Elsevier, vol. 28(6), pages 920-940, October.
    243. Cep Jandi Anwar & Indra Suhendra, 2023. "Measuring Response of Stock Market to Central Bank Independence Shock," SAGE Open, , vol. 13(1), pages 21582440231, February.
    244. Emi Nakamura & Jón Steinsson, 2018. "Identification in Macroeconomics," Journal of Economic Perspectives, American Economic Association, vol. 32(3), pages 59-86, Summer.
    245. Rashid Sbia & Rashid Sbia & Helmi Hamdi & Bedri Kamil Onur Tas & Sahel Al Rousan, 2016. "Gulf Cooperation Council Stock Returns and the Effect of Domestic Monetary Policy Shocks," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 629-639.
    246. León, Ángel & Sebestyén, Szabolcs, 2012. "New measures of monetary policy surprises and jumps in interest rates," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2323-2343.
    247. Jean-Yves Filbien & Fabien Labondance, 2012. "Reactions Des Marches D’Actions De La Zone Euro Aux Annonces Non Anticipees De La Bce," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 55(2), pages 179-204.
    248. Jon Ellingsen & Caroline Espegren, 2022. "Lost in transition? Earnings losses of displaced petroleum workers," Working Papers No 06/2022, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    249. Bedri Kamil Onur Tas, 2011. "Private information of the Fed and predictability of stock returns," Applied Economics, Taylor & Francis Journals, vol. 43(19), pages 2381-2398.
    250. Niko Hauzenberger & Michael Pfarrhofer, 2021. "Bayesian State‐Space Modeling for Analyzing Heterogeneous Network Effects of US Monetary Policy," Scandinavian Journal of Economics, Wiley Blackwell, vol. 123(4), pages 1261-1291, October.
    251. Castelnuovo, Efrem & Nisticò, Salvatore, 2010. "Stock market conditions and monetary policy in a DSGE model for the U.S," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1700-1731, September.
    252. Sung-Eun Yu, 2017. "The Role of Nonbank Financial Institutions in the Monetary Transmission Mechanism: Theory and Evidence," Working Paper Series, Department of Economics, University of Utah 2017_04, University of Utah, Department of Economics.
    253. Carlos Goncalves & Mauro Rodrigues & Fernando Genta, 2022. "Elusive Unpleasantness," Working Papers, Department of Economics 2022_16, University of São Paulo (FEA-USP).
    254. Bruce Morley, 2019. "The Effects of Commodity Discoveries on Small Open Economies: Empirical Evidence from the Falkland Islands," Economies, MDPI, vol. 7(4), pages 1-10, October.
    255. Lutz, Chandler, 2015. "The impact of conventional and unconventional monetary policy on investor sentiment," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 89-105.
    256. Maximilian Bock & Martin Feldkircher & Pierre L. Siklos, 2020. "International effects of euro area forward guidance," CAMA Working Papers 2020-54, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    257. Jongrim Ha, 2020. "Nonlinear transmission of U.S. monetary policy shocks to international financial markets," International Finance, Wiley Blackwell, vol. 23(3), pages 350-369, December.
    258. Chauvet, Marcelle & Jiang, Cheng, 2023. "Nonlinear relationship between monetary policy and stock returns: Evidence from the U.S," Global Finance Journal, Elsevier, vol. 55(C).
    259. Samuel Federico Kaplan & Arin Kerim Peren & Polyzos Efstathios & Spagnolo Nicola, 2022. "Stock Market Responses to Monetary Policy Shocks: Universal Firm-Level Evidence," Asociación Argentina de Economía Política: Working Papers 4571, Asociación Argentina de Economía Política.
    260. Irfan Akbar Kazi & Hakimzadi Wagan & Farhan Akbar, 2012. "The changing international transmission of US monetary policy shocks: is there evidence of contagion effect on OECD countries," EconomiX Working Papers 2012-27, University of Paris Nanterre, EconomiX.
    261. Abrahams, Michael & Adrian, Tobias & Crump, Richard K. & Moench, Emanuel & Yu, Rui, 2016. "Decomposing real and nominal yield curves," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 182-200.
    262. Griller, Stefan & Huber, Florian & Pfarrhofer, Michael, 2024. "Financial markets and legal challenges to unconventional monetary policy," European Economic Review, Elsevier, vol. 163(C).
    263. Bacchiocchi, Emanuele & Bastianin, Andrea & Missale, Alessandro & Rossi, Eduardo, 2020. "Structural analysis with mixed-frequency data: A model of US capital flows," Economic Modelling, Elsevier, vol. 89(C), pages 427-443.
    264. Olumide Olusegun Olaoye & Phillip A. Olomola, 2023. "Sub‐Saharan Africa's rising public debt stock: Is there a cause for concern?," South African Journal of Economics, Economic Society of South Africa, vol. 91(1), pages 85-115, March.
    265. Ms. Nan Li & Mr. Vance Martin, 2018. "Real Sectoral Spillovers: A Dynamic Factor Analysis of the Great Recession," IMF Working Papers 2018/100, International Monetary Fund.
    266. Radeef Chundakkadan & Subash Sasidharan, 2021. "Central bank's money market operations and daily stock returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 136-152, January.
    267. Kaminska, Iryna & Roberts-Sklar, Matt, 2017. "Volatility in equity markets and monetary policy rate uncertainty," Bank of England working papers 700, Bank of England.
    268. Gu, Chen & Kurov, Alexander & Stan, Raluca, 2023. "Monetary policy and uncertainty resolution in commodity markets," Finance Research Letters, Elsevier, vol. 55(PA).
    269. Jiri Slacalek & Oreste Tristani & Giovanni L. Violante, 2020. "Household Balance Sheet Channels of Monetary Policy: A Back of the Envelope Calculation for the Euro Area," NBER Working Papers 26630, National Bureau of Economic Research, Inc.
    270. Yohei Yamamoto & Naoko Hara, 2022. "Identifying factor‐augmented vector autoregression models via changes in shock variances," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 722-745, June.
    271. Juhro, Solikin M. & Iyke, Bernard Njindan & Narayan, Paresh Kumar, 2021. "Interdependence between monetary policy and asset prices in ASEAN-5 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    272. Herwartz, Helmut & Morales-Arias, Leonardo, 2010. "An empirical analysis of the relationship between US monetary policy and international asset prices," Kiel Working Papers 1581, Kiel Institute for the World Economy (IfW Kiel).
    273. Martien Lamers & Frederik Mergaerts & Elien Meuleman & Rudi Vander Vennet, 2016. "The trade-off between monetary policy and bank stability," Working Paper Research 308, National Bank of Belgium.
    274. Bomin Jiang & Roberto Rigobon & Munther A. Dahleh, 2020. "Contingent Linear Financial Networks," NBER Working Papers 26814, National Bureau of Economic Research, Inc.
    275. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007. "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets," CREATES Research Papers 2007-20, Department of Economics and Business Economics, Aarhus University.
    276. Küçükkocaoğlu, Güray & Ünalmış, Deren & Ünalmış, İbrahim, 2013. "How do banks' stock returns respond to monetary policy committee announcements in Turkey? Evidence from traditional versus new monetary policy episodes," Economic Modelling, Elsevier, vol. 35(C), pages 536-545.
    277. Imlak Shaikh, 2019. "On the Relationship between Economic Policy Uncertainty and the Implied Volatility Index," Sustainability, MDPI, vol. 11(6), pages 1-11, March.
    278. Farinha, Jorge Bento & Vidrago, José, 2021. "The impact of the ECB’s asset purchase programme on euro area equities," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 270-279.
    279. Deng, Minjie & Fang, Min, 2022. "Debt maturity heterogeneity and investment responses to monetary policy," European Economic Review, Elsevier, vol. 144(C).
    280. Florian Kajuth, 2016. "NAIRU Estimates for Germany: New Evidence on the Inflation–Unemployment Tradeoff," German Economic Review, Verein für Socialpolitik, vol. 17(1), pages 104-125, February.
    281. David-Jan Jansen & Jakob de Haan & Jakob de Haan, 2003. "Statements of ECB Officials and their Effect on the Level and Volatility of the Euro-Dollar Exchange Rate," CESifo Working Paper Series 927, CESifo.
    282. Kurov, Alexander, 2012. "What determines the stock market's reaction to monetary policy statements?," Review of Financial Economics, Elsevier, vol. 21(4), pages 175-187.
    283. Gallo, Lindsey A. & Hann, Rebecca N. & Li, Congcong, 2016. "Aggregate earnings surprises, monetary policy, and stock returns," Journal of Accounting and Economics, Elsevier, vol. 62(1), pages 103-120.
    284. Douch, Mohamed & Bouaddi, Mohammed, 2010. "EQUITY Premium Puzzle in a Data-Rich Environment," MPRA Paper 29440, University Library of Munich, Germany.
    285. MeiChi Huang & Tzu-Chien Wang, 2015. "Housing-bubble vulnerability and diversification opportunities during housing boom–bust cycles: evidence from decomposition of asset price returns," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 54(2), pages 605-637, March.
    286. Jeffrey R. Campbell & Jonas D. M. Fisher & Alejandro Justiniano & Leonardo Melosi, 2016. "Forward Guidance and Macroeconomic Outcomes Since the Financial Crisis," Working Paper Series WP-2016-7, Federal Reserve Bank of Chicago.
    287. William B. English & Skander J. van den Heuvel & Egon Zakrajšek, 2012. "Interest rate risk and bank equity valuations," Finance and Economics Discussion Series 2012-26, Board of Governors of the Federal Reserve System (U.S.).
    288. Pierre L. Siklos & Martin T. Bohl, 2008. "Policy words and policy deeds: the ECB and the euro," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(3), pages 247-265.
    289. Murat Duran & Gulserim Ozcan & Pinar Ozlu & Deren Unalmis, 2010. "Measuring the Impact of Monetary Policy on Asset Prices in Turkey (Turkiye�de Para Politikasinin Finansal Varlik Fiyatlari Uzerine Etkisi)," Working Papers 1017, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    290. Noam Ben-Ze’ev & Sigal Ribon & Roy Stein, 2024. "Monetary Policy and the Mutual Fund Market: Funding and Liquidity," Bank of Israel Working Papers 2024.11, Bank of Israel.
    291. Pascal Paul, 2020. "The Time-Varying Effect of Monetary Policy on Asset Prices," The Review of Economics and Statistics, MIT Press, vol. 102(4), pages 690-704, October.
    292. Farka, Mira & DaSilva, Amadeu, 2011. "The fed and the term structure: Addressing simultaneity within a structural VAR model," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 935-952.
    293. Rosa, Carlo, 2014. "The high-frequency response of energy prices to U.S. monetary policy: Understanding the empirical evidence," Energy Economics, Elsevier, vol. 45(C), pages 295-303.
    294. Hassan Heidari & Arash Refah Kahriz & Yousef Mohammadzadeh, 2019. "Stock market behavior of pharmaceutical industry in Iran and macroeconomic factors," Economic Change and Restructuring, Springer, vol. 52(3), pages 255-277, August.
    295. S. Rubun Dey & Christopher J. Neely, 2010. "A survey of announcement effects on foreign exchange returns," Review, Federal Reserve Bank of St. Louis, vol. 92(Sep), pages 417-464.
    296. Daniel J. Lewis, 2019. "Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Macroeconomic Effects," Staff Reports 891, Federal Reserve Bank of New York.
    297. Aparicio, Diego & Bertolotto, Manuel I., 2020. "Forecasting inflation with online prices," International Journal of Forecasting, Elsevier, vol. 36(2), pages 232-247.
    298. Malovaná, Simona & Hodula, Martin & Gric, Zuzana & Bajzík, Josef, 2023. "Macroprudential policy in central banks: Integrated or separate? Survey among academics and central bankers," Journal of Financial Stability, Elsevier, vol. 65(C).
    299. Prabu A, Edwin & Bhattacharyya, Indranil & Ray, Partha, 2016. "Is the stock market impervious to monetary policy announcements: Evidence from emerging India," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 166-179.
    300. SYED, Sarfaraz Ali Shah, 2021. "Heterogeneous consumers in the Euro-Area, facing homogeneous monetary policy: Tale of two large economies," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
    301. Nicholas Taylor, 2010. "The Determinants of Future U.S. Monetary Policy: High‐Frequency Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(2‐3), pages 399-420, March.
    302. Òscar Jordà & Moritz Schularick & Alan M. Taylor & Felix Ward, 2018. "Global Financial Cycles and Risk Premiums," Working Paper Series 2018-5, Federal Reserve Bank of San Francisco.
    303. Bo Young Chang & Bruno Feunou, 2013. "Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility," Staff Working Papers 13-37, Bank of Canada.
    304. Shujie Yao & Dan Luo & Lixia Loh, 2011. "On China’s Monetary Policy and Asset Prices," Discussion Papers 11/04, University of Nottingham, GEP.
    305. Fernando Nascimento de Oliveira & Alexandre Romaguera Rodrigues da Costa, 2013. "The Impact of unexpected changes in the benchmark rate on the Brazilian stock market," Brazilian Business Review, Fucape Business School, vol. 10(3), pages 53-81, July.
    306. Polyzos, Efstathios, 2022. "Examining the asymmetric impact of macroeconomic policy in the UAE: Evidence from quartile impulse responses and machine learning," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    307. Christian A. Conrad, 2021. "The Effects of Money Supply and Interest Rates on Stock Prices, Evidence from Two Behavioral Experiments," Applied Economics and Finance, Redfame publishing, vol. 8(2), pages 33-41, March.
    308. Kwamie Dunbar, 2008. "The Impact of the FOMC's Monetary Policy Actions on the growth of Credit Risk: the Monetary Policy - Liquidity Paradox," Working papers 2008-05, University of Connecticut, Department of Economics.
    309. Guzman, Jorge & Liu, Yupeng, 2019. "Short Term Credit Costs and U.S. Entrepreneurship," SocArXiv ap978, Center for Open Science.
    310. Chulia-Soler, H. & Martens, M.P.E. & van Dijk, D.J.C., 2007. "The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations," ERIM Report Series Research in Management ERS-2007-066-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    311. Haiyan Yin & Jiawen Yang & William C. Handorf, 2010. "State Dependency Of Bank Stock Reaction To Federal Funds Rate Target Changes," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(3), pages 289-315, September.
    312. Ellis B. Heath & Seth J. Kopchak, 2015. "The Response of the Mexican Equity Market to US Monetary Surprises," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(2), pages 87-111, August.
    313. Mira Farka, 2009. "The effect of monetary policy shocks on stock prices accounting for endogeneity and omitted variable biases," Review of Financial Economics, John Wiley & Sons, vol. 18(1), pages 47-55, January.
    314. Fausch, Jürg & Sigonius, Markus, 2018. "The impact of ECB monetary policy surprises on the German stock market," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 46-63.
    315. Moid U. Ahmad, 2015. "Does CRR and Repo Change Affect Corporate Output?," Jindal Journal of Business Research, , vol. 4(1-2), pages 115-125, June.
    316. Aliyu, Shehu Usman Rano, 2020. "What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?," MPRA Paper 110382, University Library of Munich, Germany, revised 06 Jun 2021.
    317. Rezitis Anthony N & Stavropoulos Konstantinos S, 2011. "Price Transmission and Volatility in the Greek Broiler Sector: A Threshold Cointegration Analysis," Journal of Agricultural & Food Industrial Organization, De Gruyter, vol. 9(1), pages 1-37, July.
    318. Martin T. Bohl & Badye Essid & Pierre L. Siklos, 2011. "Do Short Selling Restrictions Destabilize Stock Markets? Lessons from Taiwan," Working Papers 112011, Hong Kong Institute for Monetary Research.
    319. C.Jardet & A. Monks, 2014. "Euro Area monetary policy shocks: impact on financial asset prices during the crisis?," Working papers 512, Banque de France.
    320. Kholodilin, Konstantin & Montagnoli, Alberto & Napolitano, Oreste & Siliverstovs, Boriss, 2009. "Assessing the impact of the ECB's monetary policy on the stock markets: A sectoral view," Economics Letters, Elsevier, vol. 105(3), pages 211-213, December.
    321. Nina Boyarchenko & Giovanni Favara & Moritz Schularick, 2022. "Financial Stability Considerations for Monetary Policy: Empirical Evidence and Challenges," Finance and Economics Discussion Series 2022-006, Board of Governors of the Federal Reserve System (U.S.).
    322. Marinescu, Ion-Iulian & Horobet, Alexandra & Lupu, Radu, 2018. "Dichotomous stock market reaction to episodes of rules and discretion in the US monetary policy," Economic Modelling, Elsevier, vol. 70(C), pages 56-66.
    323. Ranoua Bouchouicha & Zied Ftiti, 2012. "Real estate markets and the macroeconomy: A dynamic coherence framework," Post-Print halshs-00757077, HAL.
    324. Murat Duran & Pinar Ozlu & Deren Unalmis, 2010. "TCMB Faiz Kararlarinin Hisse Senedi Piyasalari Uzerine Etkisi," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 10(2), pages 23-32.
    325. Syed, Sarfaraz Ali Shah, 2022. "Stock market in the age of COVID19: Mere acclimatization or Stockholm syndrome?," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
    326. Falagiarda, Matteo & Reitz, Stefan, 2013. "Announcements of ECB unconventional programs: Implications for the sovereign risk of Italy," Kiel Working Papers 1866, Kiel Institute for the World Economy (IfW Kiel).
    327. António Afonso, 2011. "The Macroeconomic Effects of Fiscal Policy," Post-Print hal-00719484, HAL.
    328. Jansen, David-Jan & De Haan, Jakob, 2005. "Talking heads: the effects of ECB statements on the euro-dollar exchange rate," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 343-361, March.
    329. Victor Song & Libo Xu, 2023. "Do Monetary Policy Shocks Have Asymmetric Effects on Stock Market?," Open Economies Review, Springer, vol. 34(5), pages 1063-1078, November.
    330. Emi Nakamura & Jón Steinsson, 2018. "High-Frequency Identification of Monetary Non-Neutrality: The Information Effect," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 133(3), pages 1283-1330.
    331. Jang, Hyeonung & Seo, Byoung Ki, 2020. "Monetary policy rate expectation and energy prices during the FOMC announcement period," Finance Research Letters, Elsevier, vol. 32(C).
    332. Pierre Guérin & Danilo Leiva-Leon, 2017. "Monetary policy, stock market and sectoral comovement," Working Papers 1731, Banco de España.
    333. Aslam, Faheem & Hunjra, Ahmed Imran & Memon, Bilal Ahmed & Zhang, Mingda, 2024. "Interplay of multifractal dynamics between shadow policy rates and energy markets," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    334. Giorgio Valente, 2005. "US Monetary Policy Announcements and the Term Structure of Interest Rate Differentials: Evidence from Hong Kong and Singapore," Working Papers 092005, Hong Kong Institute for Monetary Research.
    335. Inessa BENCHORA & Aurélien LEROY & Louis RAFFESTIN, 2023. "Is Monetary Policy Transmission Green?," Bordeaux Economics Working Papers 2023-08, Bordeaux School of Economics (BSE).
    336. Cheng Jiang, 2018. "The Asymmetric Effects of Monetary Policy on Stock Market," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 1-27, September.
    337. Balduzzi, Pierluigi & Brancati, Emanuele & Brianti, Marco & Schiantarelli, Fabio, 2020. "Populism, Political Risk and the Economy: Lessons from Italy," IZA Discussion Papers 12929, Institute of Labor Economics (IZA).
    338. Vithessonthi, Chaiporn, 2014. "Monetary policy and the first- and second-moment exchange rate change during the global financial crisis: Evidence from Thailand," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 170-194.
    339. Vithessonthi, Chaiporn & Techarongrojwong, Yaowaluk, 2013. "Do monetary policy announcements affect stock prices in emerging market countries? The case of Thailand," Journal of Multinational Financial Management, Elsevier, vol. 23(5), pages 446-469.
    340. Smales, Lee A., 2014. "Non-scheduled news arrival and high-frequency stock market dynamics," Research in International Business and Finance, Elsevier, vol. 32(C), pages 122-138.
    341. Bahram Adrangi & Arjun Chatrath & Joseph Macri & Kambiz Raffiee, 2016. "The US Monetary Base and Major World Equity Markets: An Empirical Investigation," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 49-64, August.
    342. Emma M. Iglesias & Andre Yone Haughton, 2013. "Interaction between monetary policy and stock prices: a comparison between the Caribbean and the US," Applied Financial Economics, Taylor & Francis Journals, vol. 23(6), pages 515-534, March.
    343. Dahmene, Meriam & Boughrara, Adel & Slim, Skander, 2021. "Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 676-699.
    344. Alovokpinhou, Sedjro Aaron & Malikane, Christopher, 2024. "The effect of output and the real exchange rate on equity price dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    345. Guimaraes, Bernardo & ,, 2007. "Monetary Policy, Default Risk and the Exchange Rate," CEPR Discussion Papers 6501, C.E.P.R. Discussion Papers.
    346. Spargoli, Fabrizio & Zagaglia, Paolo, 2008. "The co-movements along the forward curve of natural gas futures: a structural view," Bank of Finland Research Discussion Papers 26/2008, Bank of Finland.
    347. Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers 0612, School of Economics, University of Surrey.
    348. Zervou, Anastasia S., 2013. "Financial market segmentation, stock market volatility and the role of monetary policy," European Economic Review, Elsevier, vol. 63(C), pages 256-272.
    349. Anastasios Evgenidis & Anastasios G. Malliaris, 2020. "To Lean Or Not To Lean Against An Asset Price Bubble? Empirical Evidence," Economic Inquiry, Western Economic Association International, vol. 58(4), pages 1958-1976, October.
    350. Juan M. Morelli, 2021. "Limited Participation in Equity Markets and Business Cycles," Finance and Economics Discussion Series 2021-026, Board of Governors of the Federal Reserve System (U.S.).
    351. Herwartz, Helmut & Roestel, Jan, 2022. "Asset prices, financial amplification and monetary policy: Structural evidence from an identified multivariate GARCH model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    352. Martin Evans and Richard Lyons, 2007. "How Is Macro News Transmitted to Exchange Rates?," Working Papers gueconwpa~07-07-10, Georgetown University, Department of Economics.
    353. Patozi, A., 2023. "Green Transmission: Monetary Policy in the Age of ESG," Janeway Institute Working Papers 2302, Faculty of Economics, University of Cambridge.
    354. Jonathan H. Wright, 2012. "What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound?," Economic Journal, Royal Economic Society, vol. 122(564), pages 447-466, November.
    355. Filardo, Andrew & Hubert, Paul & Rungcharoenkitkul, Phurichai, 2022. "Monetary policy reaction function and the financial cycle," Journal of Banking & Finance, Elsevier, vol. 142(C).
    356. Bredin, Don & Gavin, Caroline & O Reilly, Gerard, 2004. "US Monetary Announcements and Irish Stockmarket Volatility," Research Technical Papers 10/RT/04, Central Bank of Ireland.
    357. Marfatia, Hardik A., 2014. "Impact of uncertainty on high frequency response of the U.S. stock markets to the Fed's policy surprises," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(3), pages 382-392.
    358. Möller, Rouven & Reichmann, Doron, 2021. "ECB language and stock returns – A textual analysis of ECB press conferences," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 590-604.
    359. Schmeling, Maik & Wagner, Christian, 2019. "Does Central Bank Tone Move Asset Prices?," CEPR Discussion Papers 13490, C.E.P.R. Discussion Papers.
    360. Dimitrios Kanelis & Pierre L. Siklos, 2022. "Emotion in Euro Area Monetary Policy Communication and Bond Yields: The Draghi Era," CAMA Working Papers 2022-75, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, revised Jun 2024.
    361. Keun Yeong Lee, 2023. "The synchronization between Korea's and Japan's business cycles," Asian Economic Journal, East Asian Economic Association, vol. 37(4), pages 435-465, December.
    362. Rosa, Carlo & Verga, Giovanni, 2007. "On the consistency and effectiveness of central bank communication: Evidence from the ECB," European Journal of Political Economy, Elsevier, vol. 23(1), pages 146-175, March.
    363. Marcello Pericoli & Giovanni Veronese, 2017. "Monetary policy surprises over time," Temi di discussione (Economic working papers) 1102, Bank of Italy, Economic Research and International Relations Area.
    364. Shan, Yimin & Chen, Yang & Xiao, Yajun, 2023. "Monetary policy as market stabilizer in the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 55(PB).
    365. Ion-Iulian MARINESCU & Alexandra HOROBET, 2015. "Rules and Discretion in Monetary Policy: Is the Response of the Stock Market Rational?," Expert Journal of Economics, Sprint Investify, vol. 3(1), pages 50-62.
    366. Carlomagno, Guillermo & Albagli, Elías, 2022. "Trade wars and asset prices," Journal of International Money and Finance, Elsevier, vol. 124(C).
    367. Jieun Lee & Jung-Min Kim & Jong Kook Shin, 2016. "US Interest Rate Policy Spillover and International Capital Flow: Evidence from Korea," Working Papers 2016-21, Economic Research Institute, Bank of Korea.
    368. Edda Claus & Iris Claus & Leo Krippner, 2016. "Monetary Policy Spillovers across the Pacific when Interest Rates Are at the Zero Lower Bound," Asian Economic Papers, MIT Press, vol. 15(3), pages 1-27, Fall.
    369. I.Fatnassi & S.Chawechi & Z.Ftiti & A.Ben Maatoug, 2014. "Effects of Monetary Policy on the REIT Returns," Working Papers 2014-63, Department of Research, Ipag Business School.
    370. Emanuele BACCHIOCCHI & Luca FANELLI, 2012. "Identification in structural vector autoregressive models with structural changes," Departmental Working Papers 2012-16, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    371. Jordan Brooks & Michael Katz & Hanno Lustig, 2018. "Post-FOMC Announcement Drift in U.S. Bond Markets," NBER Working Papers 25127, National Bureau of Economic Research, Inc.
    372. Lukas Boer & Lukas Menkhoff & Malte Rieth, 2021. "The Multifaceted Impact of US Trade Policy on Financial Markets," Discussion Papers of DIW Berlin 1956, DIW Berlin, German Institute for Economic Research.
    373. Luca Eduardo Fierro & Mario Martinoli, 2024. "An Empirical Inquiry into the Distributional Consequences of Energy Price Shocks," LEM Papers Series 2024/30, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    374. Nicolas Soenen & Rudi Vander Vennet, 2020. "ECB Monetary Policy and Bank Default Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 20/997, Ghent University, Faculty of Economics and Business Administration.
    375. Zhou, Siwen, 2018. "Measuring the Signaling Effect of the ECB’s Asset Purchase Programme at the Effective Lower Bound," MPRA Paper 87084, University Library of Munich, Germany.
    376. David G. McMillan, 2017. "Stock return predictability: the role of inflation and threshold dynamics," International Review of Applied Economics, Taylor & Francis Journals, vol. 31(3), pages 357-375, May.
    377. Koivu, Tuuli, 2010. "Monetary policy, asset prices and consumption in China," BOFIT Discussion Papers 18/2010, Bank of Finland Institute for Emerging Economies (BOFIT).
    378. Donald L. Kohn & Brian P. Sack, 2003. "Central bank talk: does it matter and why?," Finance and Economics Discussion Series 2003-55, Board of Governors of the Federal Reserve System (U.S.).
    379. Rongrong Sun, 2018. "Monetary Policy Announcements and Market Interest Rates Response: Evidence from China," CFDS Discussion Paper Series 2018/5, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China.
    380. Fausto Pacicco & Luigi Vena & Andrea Venegoni, 2017. "Market Reactions to ECB Policy Innovations: A Cross-Country Analysis," LIUC Papers in Economics 2017-4, Cattaneo University (LIUC).
    381. Pirovano, Mara, 2012. "Monetary policy and stock prices in small open economies: Empirical evidence for the new EU member states," Economic Systems, Elsevier, vol. 36(3), pages 372-390.
    382. Koepke, Robin, 2018. "Fed policy expectations and portfolio flows to emerging markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 170-194.
    383. Zhang, Yanbing & Hua, Xiuping & Zhao, Liang, 2011. "Monetary policy and housing prices: a case study of Chinese experience in 1999-2010," BOFIT Discussion Papers 17/2011, Bank of Finland Institute for Emerging Economies (BOFIT).
    384. Tim Bollerslev & Jia Li & Zhipeng Liao, 2021. "Fixed‐k inference for volatility," Quantitative Economics, Econometric Society, vol. 12(4), pages 1053-1084, November.
    385. Lumengo Bonga-Bonga & Jamela Hoveni, 2013. "Volatility Spillovers between the Equity Market and Foreign Exchange Market in South Africa in the 1995-2010 Period," South African Journal of Economics, Economic Society of South Africa, vol. 81(2), pages 260-274, June.
    386. Ali Ozdagli, 2014. "Financial frictions and the reaction of stock prices to monetary policy shocks," Working Papers 14-6, Federal Reserve Bank of Boston.
    387. Neely, Christopher J., 2015. "Unconventional monetary policy had large international effects," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 101-111.
    388. Youta Ishii, 2008. "International transmissions in US-Japanese stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 18(15), pages 1193-1200.
    389. Adra, Samer & Menassa, Elie, 2021. "Monetary policy and information production in the secondary market," Economics Letters, Elsevier, vol. 207(C).
    390. Rory O'Farrell & Lukasz Rawdanowicz, 2017. "Monetary policy and inequality: Financial channels," International Finance, Wiley Blackwell, vol. 20(2), pages 174-188, June.
    391. Gai, Prasanna & Tong, Eric, 2022. "Information spillovers of US monetary policy," Journal of Macroeconomics, Elsevier, vol. 72(C).
    392. Winkelmann, Lars & Bibinger, Markus & Linzert, Tobias, 2013. "ECB monetary policy surprises: identification through cojumps in interest rates," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79721, Verein für Socialpolitik / German Economic Association.
    393. Maran, Raluca, 2022. "Reaction of the Philippine stock market to domestic monetary policy surprises: an event study approach," MPRA Paper 114855, University Library of Munich, Germany.
    394. Piergiorgio Alessandri & Andrea Gazzani, 2023. "Natural gas and the macroeconomy: not all energy shocks are alike," Temi di discussione (Economic working papers) 1428, Bank of Italy, Economic Research and International Relations Area.
    395. Eijffinger, Sylvester & Mahieu, Ronald & Raes, Louis, 2011. "Can the Fed talk the hind legs off the stock market?," CEPR Discussion Papers 8450, C.E.P.R. Discussion Papers.
    396. Kajuth, Florian, 2012. "Identifying the Phillips curve through shifts in volatility," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 975-991.
    397. Gospodinov, Nikolay & Jamali, Ibrahim, 2012. "The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 497-510.
    398. Li, Zehao, 2022. "Financial intermediary leverage and monetary policy transmission," European Economic Review, Elsevier, vol. 144(C).
    399. Francesco Zanetti & Christoph Görtz & Wei Li & John Tsoukalas, 2020. "Vintage Article: The Effect of Monetary Policy Shocks in the United Kingdom: an External Instruments Approach," Economics Series Working Papers 812, University of Oxford, Department of Economics.
    400. Apostolakis, George & Papadopoulos, Athanasios P., 2015. "Financial stress spillovers across the banking, securities and foreign exchange markets," Journal of Financial Stability, Elsevier, vol. 19(C), pages 1-21.
    401. Mira Farka, 2022. "The credit channel of monetary policy before and after the zero lower bound: Evidence from the US equity market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(3), pages 633-693, September.
    402. Tom Beernaert & Nicolas Soenen & Rudi Vander Vennet, 2023. "ECB Monetary Policy and the Term Structure of Bank Default Risk," JRFM, MDPI, vol. 16(12), pages 1-22, December.
    403. John Ammer & Clara Vega & Jon Wongswan, 2010. "International Transmission of U.S. Monetary Policy Shocks: Evidence from Stock Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(s1), pages 179-198, September.
    404. Harun Alp & Hakan Kara & Gursu Keles & Refet Gurkaynak & Musa Orak, 2010. "Turkiye�de Piyasa Gostergelerinden Para Politikasi Beklentilerinin Olculmesi," Working Papers 1011, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    405. Nikiforos Laopodis, 2010. "Dynamic linkages between monetary policy and the stock market," Review of Quantitative Finance and Accounting, Springer, vol. 35(3), pages 271-293, October.
    406. Ma, Liang, 2024. "Using stock prices to help identify unconventional monetary policy shocks for external instrument SVAR," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1234-1247.
    407. Craine, Roger & Martin, Vance L., 2008. "International monetary policy surprise spillovers," Journal of International Economics, Elsevier, vol. 75(1), pages 180-196, May.
    408. Ou Sun & Zhixin Liu, 2016. "Comparison of Monetary Policy Actions and Central Bank Communication on Tackling Asset Price Bubbles—Evidence from China’s Stock Market," PLOS ONE, Public Library of Science, vol. 11(11), pages 1-20, November.
    409. Hüning, Hendrik, 2017. "Asset market response to monetary policy news from SNB press releases," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 160-177.
    410. Bouakez, Hafedh & Essid, Badye & Normandin, Michel, 2013. "Stock returns and monetary policy: Are there any ties?," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 33-50.
    411. Fatnassi, Ibrahim & Slim, Chaouachi & Ftiti, Zied & Ben Maatoug, Abderrazek, 2014. "Effects of monetary policy on the REIT returns: Evidence from the United Kingdom," Research in International Business and Finance, Elsevier, vol. 32(C), pages 15-26.
    412. Aymen Belgacem, 2009. "Fundamentals, Macroeconomic Announcements and Asset Prices," EconomiX Working Papers 2009-16, University of Paris Nanterre, EconomiX.
    413. Yongseung Han & Myeong Hwan Kim, 2023. "Monetary shocks on the Korean stock index: structural VAR analysis," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(1), pages 85-102, March.
    414. Noor Azuddin Yakob & Yap Yih Tzeng & Carl B. McGowan, Jr, 2014. "Overnight Policy Rate Changes and Stock Market Reactions –The Experience in Malaysia," Accounting and Finance Research, Sciedu Press, vol. 3(3), pages 1-1, August.
    415. Amir Khordehfrosh Dilmaghani & Amir Mansour Tehranchian, 2015. "The Impact of Monetary Policies on the Exchange Rate: A GMM Approach," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 19(2), pages 177-191, Spring.
    416. Bernardina Algieri, 2021. "Fast & furious: Do psychological and legal factors affect commodity price volatility?," The World Economy, Wiley Blackwell, vol. 44(4), pages 980-1017, April.
    417. Rahul Nath, 2018. "Equity Pricing New Keynesian Models with Nominal Rigidities and Investment," Economics Series Working Papers 850, University of Oxford, Department of Economics.
    418. Hoffmann, Andreas, 2009. "Fear of depression - Asymmetric monetary policy with respect to asset markets," MPRA Paper 17522, University Library of Munich, Germany.
    419. Efrem Castelnuovo, 2016. "Monetary policy shocks and Cholesky VARs: an assessment for the Euro area," Empirical Economics, Springer, vol. 50(2), pages 383-414, March.
    420. Guray Kucukkocaoglu & Deren Unalmis & Ibrahim Unalmis, 2013. "How do Banks� Stock Returns Respond to Monetary Policy Committee Announcements in Turkey? Evidence from Traditional versus New Monetary Policy Episodes," Working Papers 1330, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    421. Nikolaos Petrakis & Christos Lemonakis & Christos Floros & Constantin Zopounidis, 2022. "Greek Banking Sector Stock Reaction to ECB’s Monetary Policy Interventions," JRFM, MDPI, vol. 15(10), pages 1-19, October.
    422. Péter Gábriel & Klára Pintér, 2006. "The effect of the MNB’s communication on financial markets," MNB Working Papers 2006/9, Magyar Nemzeti Bank (Central Bank of Hungary).
    423. Park, Yang-Ho, 2022. "Spread position as a leading economic indicator," Journal of Financial Markets, Elsevier, vol. 59(PA).
    424. Bulusu, Narayan, 2024. "Disentangling the supply and announcement effects of open market operations," Journal of Financial Markets, Elsevier, vol. 67(C).
    425. Castelnuovo, Efrem, 2013. "Monetary policy shocks and financial conditions: A Monte Carlo experiment," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 282-303.
    426. Demiralp, Selva & Kara, Hakan & Özlü, Pınar, 2012. "Monetary policy communication in Turkey," European Journal of Political Economy, Elsevier, vol. 28(4), pages 540-556.
    427. Pennings, Steven & Ramayandi, Arief & Tang, Hsiao Chink, 2011. "The Impact of Monetary Policy on Financial Markets in Small Open Economies: More or Less Effective During the Global Financial Crisis?," Working Papers on Regional Economic Integration 72, Asian Development Bank.
    428. Ha Yan Lee & Luca Antonio Ricci & Roberto Rigobon, 2004. "Once Again, is Openness Good for Growth?," NBER Working Papers 10749, National Bureau of Economic Research, Inc.
    429. Nkwoma, Inekwe John, 2017. "Futures-Based Measures Of Monetary Policy And Jump Risk," Macroeconomic Dynamics, Cambridge University Press, vol. 21(2), pages 384-405, March.
    430. Canto, Bea & Kräussl, Roman, 2006. "Stock market interactions and the impact of macroeconomic news: Evidence from high frequency data of European futures markets," CFS Working Paper Series 2006/25, Center for Financial Studies (CFS).
    431. Kim, Myeong Hyeon & Kim, Young Min & Yang, Kisung, 2022. "Understanding BOXPI — Industry portfolio perspectives," Journal of Asian Economics, Elsevier, vol. 81(C).
    432. Roberto Rigobon & Dani Rodrik, 2005. "Rule of law, democracy, openness, and income," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 13(3), pages 533-564, July.
    433. Helmut Lütkepohl, 2012. "Identifying Structural Vector Autoregressions via Changes in Volatility," Discussion Papers of DIW Berlin 1259, DIW Berlin, German Institute for Economic Research.
    434. Pablo Ottonello & Wenting Song, 2022. "Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification," NBER Working Papers 29638, National Bureau of Economic Research, Inc.
    435. Günter Coenen & Juha Kilponen & Mathias Trabandt, 2010. "When does fiscal stimulus work?," Research Bulletin, European Central Bank, vol. 10, pages 6-10.
    436. Ansgar Belke & Thorsten Polleit, 2005. "(How) Do Stock Market Returns React to Monetary Policy? - An ARDL Cointegration Analysis for Germany," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 253/2005, Department of Economics, University of Hohenheim, Germany.
    437. Galloppo, Giuseppe & Paimanova, Viktoriia, 2017. "The impact of monetary policy on BRIC markets asset prices during global financial crises," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 21-49.
    438. Chudik, Alexander & Fratzscher, Marcel, 2011. "Identifying the global transmission of the 2007-2009 financial crisis in a GVAR model," European Economic Review, Elsevier, vol. 55(3), pages 325-339, April.
    439. Dridi, Ichrak & Boughrara, Adel, 2023. "Flexible inflation targeting and stock market volatility: Evidence from emerging market economies," Economic Modelling, Elsevier, vol. 126(C).
    440. Steiner, Christian & Groß, Anne & Entorf, Horst, 2009. "Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data," ZEW Discussion Papers 09-010, ZEW - Leibniz Centre for European Economic Research.
    441. Jinan Liu & Sajjadur Rahman & Apostolos Serletis, 2021. "Cryptocurrency shocks," Manchester School, University of Manchester, vol. 89(2), pages 190-202, March.
    442. Cieslak, Anna & Pang, Hao, 2020. "Common shocks in stocks and bonds," CEPR Discussion Papers 14708, C.E.P.R. Discussion Papers.
    443. Johansson, Anders C., 2010. "China’s Growing Influence in Southeast Asia - Monetary Policy and Equity Markets," Working Paper Series 2010-16, Stockholm School of Economics, China Economic Research Center.
    444. Entorf Horst & Steiner Christian, 2007. "Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose / Announcement of Business Cycle Forecasts and the Reaction of the German ," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 227(1), pages 3-26, February.
    445. Fernandez-Perez, Adrian & Frijns, Bart & Tourani-Rad, Alireza, 2017. "When no news is good news – The decrease in investor fear after the FOMC announcement," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 187-199.
    446. Uwe Vollmer, 2022. "Monetary policy or macroprudential policies: What can tame the cycles?," Journal of Economic Surveys, Wiley Blackwell, vol. 36(5), pages 1510-1538, December.
    447. Masuod Homayounifar & Kamran Pahlavan Mosaveri & Elmira Shahriari, 2014. "Football Marketing and Its Effect on Economic Boom," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, vol. 2, pages 1-1, December.
    448. Mobeen Ur Rehman, 2017. "Dynamics of Co-movements among Implied Volatility, Policy Uncertainty and Market Performance," Global Business Review, International Management Institute, vol. 18(6), pages 1478-1487, December.
    449. Jeong-Joon Lee, 2006. "The Adjusted Solow Residual and Asset Returns (Subsequently published in "Eastern Economic Journal", 2007, 33,(2), pp. 231-255. )," CARF F-Series CARF-F-056, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    450. Sofiane Aboura, 2022. "A note on the Bitcoin and Fed Funds rate," Empirical Economics, Springer, vol. 63(5), pages 2577-2603, November.
    451. Anna Cieslak & Andreas Schrimpf, 2018. "Non-Monetary News in Central Bank Communication," NBER Working Papers 25032, National Bureau of Economic Research, Inc.
    452. García-Verdú Santiago, 2010. "Equilibrium yield curves under regime switching," Working Papers 2010-08, Banco de México.
    453. Haitsma, Reinder & Unalmis, Deren & de Haan, Jakob, 2016. "The impact of the ECB's conventional and unconventional monetary policies on stock markets," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 101-116.
    454. Sandoval Paucar, Giovanny, 2018. "Contagio Financiero: Una Breve Revisión De Literatura [Financial Contagio: A Review Literature]," MPRA Paper 89554, University Library of Munich, Germany.
    455. Don H. Kim & Marcelo Ochoa, 2021. "International Yield Spillovers," Finance and Economics Discussion Series 2021-001, Board of Governors of the Federal Reserve System (U.S.).
    456. Chandler Lutz, 2015. "The international impact of US unconventional monetary policy," Applied Economics Letters, Taylor & Francis Journals, vol. 22(12), pages 955-959, August.
    457. Jeong-Joon Lee, 2006. "The Adjusted Solow Residual and Asset Returns," CIRJE F-Series CIRJE-F-396, CIRJE, Faculty of Economics, University of Tokyo.
    458. Martin Feldkircher & Helene Schuberth, 2023. "Understanding Monetary Spillovers in Highly Integrated Regions: The Case of Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(4), pages 859-893, August.
    459. Fratzscher, Marcel & Chudik, Alexander, 2011. "Identifying the global transmission of the 2007-09 financial crisis in a GVAR Model," Working Paper Series 1285, European Central Bank.
    460. Bernd Hayo & Britta Niehof, 2011. "Identification Through Heteroscedasticity in a Multicountry and Multimarket Framework," MAGKS Papers on Economics 201124, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    461. Farinha, Jorge Bento & Vidrago, José, 2021. "The impact of the ECB's asset purchase programme on core and peripheral sovereign yields and its transmission channels," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
    462. Johann Scharler, 2004. "Understanding the Stock Market’s Response to Monetary Policy Shocks," Working Papers 93, Oesterreichische Nationalbank (Austrian Central Bank).
    463. Martin T. Bohl & Pierre L. Siklos & David Sondermann, 2008. "European Stock Markets and the ECB's Monetary Policy Surprises," International Finance, Wiley Blackwell, vol. 11(2), pages 117-130, August.
    464. Ihsan Ullah Badshah & Bart Frijns & Alireza Tourani‐Rad, 2013. "Contemporaneous Spill‐Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(6), pages 555-572, June.
    465. Arestis, Philip & Phelps, Peter, 2017. "Financial market implications of monetary policy coincidences: Evidence from the UK and Euro Area government-bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 49(C), pages 88-102.
    466. Reboredo, Juan C. & Wen, Xiaoqian, 2015. "Are China’s new energy stock prices driven by new energy policies?," Renewable and Sustainable Energy Reviews, Elsevier, vol. 45(C), pages 624-636.
    467. Sashikanta Khuntia & Gourishankar S. Hiremath, 2019. "Monetary Policy Announcements and Stock Returns: Some Further Evidence from India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(4), pages 801-827, December.
    468. Awartani, Basel & Hussain, Syed Mujahid & Virk, Nader, 2024. "How do the gold intra-day returns and volatility react to monetary policy shocks?," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    469. Murat Duran & Refet Gurkaynak & Pinar Ozlu & Deren Unalmis, 2010. "TCMB Faiz Kararlarinin Piyasa Faizleri Ve Hisse Senedi Piyasalari Uzerine Etkisi," CBT Research Notes in Economics 1008, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    470. Ki Young Park & Ji Yong Um, 2016. "Spillover Effects of United States’ Unconventional Monetary Policy on Korean Bond Markets: Evidence from High-Frequency Data," The Developing Economies, Institute of Developing Economies, vol. 54(1), pages 27-58, March.
    471. Canetg, Fabio & Kaufmann, Daniel, 2022. "Overnight rate and signalling effects of central bank bills," European Economic Review, Elsevier, vol. 143(C).
    472. Mthuli Ncube & Eliphas Ndou, 2013. "Working Paper 169 - Monetary Policy and Exchange Rate Shocks on South African Trade Balance," Working Paper Series 448, African Development Bank.
    473. Siamak Javadi & Ali Nejadmalayeri & Timothy L Krehbiel, 2018. "Do FOMC Actions Speak Loudly? Evidence from Corporate Bond Credit Spreads [Communication and monetary policy]," Review of Finance, European Finance Association, vol. 22(5), pages 1877-1909.
    474. Massimo Guidolin & Stuart Hyde, 2008. "Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK," Working Papers 2008-005, Federal Reserve Bank of St. Louis.
    475. Michael Hachula & Malte Rieth, 2020. "Estimating the Impact of Financial Investments on Agricultural Futures Prices using Changes in Volatility," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(3), pages 759-785, May.
    476. Dobromł Serwa, 2006. "Do emerging financial markets react to monetary policy announcements? Evidence from Poland," Applied Financial Economics, Taylor & Francis Journals, vol. 16(7), pages 513-523.
    477. Jing Wang & Xiaoneng Zhu, 2013. "The reaction of international stock markets to Federal Reserve policy," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(1), pages 1-30, March.
    478. Cieslak, Anna & Pang, Hao, 2021. "Common shocks in stocks and bonds," Journal of Financial Economics, Elsevier, vol. 142(2), pages 880-904.
    479. Hussain, Syed Mujahid, 2010. "Simultaneous monetary policy announcements and international stock markets response: an intraday analysis," Bank of Finland Research Discussion Papers 8/2010, Bank of Finland.
    480. Chen, Yong & Fang, Jing & Liu, Dingming, 2023. "The effects of Trump’s trade war on U.S. financial markets," Journal of International Money and Finance, Elsevier, vol. 134(C).
    481. Apergis, Nicholas, 2015. "The role of FOMC minutes for US asset prices before and after the 2008 crisis: Evidence from GARCH volatility modeling," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 100-107.
    482. Eijffinger, S.C.W. & Mahieu, R.J. & Raes, L.B.D., 2012. "Can the Fed Talk the Hind Legs off the Stock Market? (replaces EBC DP 2011-017)," Other publications TiSEM 2cab42f6-c75d-46ef-9801-4, Tilburg University, School of Economics and Management.
    483. Alexandra Brown & Sigitas Karpavičius, 2017. "The Reaction of the Australian Stock Market to Monetary Policy Announcements from the Reserve Bank of Australia," The Economic Record, The Economic Society of Australia, vol. 93(300), pages 20-41, March.
    484. Markku Lanne & Mika Meitz & Pentti Saikkonen, 2015. "Identification and estimation of non-Gaussian structural vector autoregressions," CREATES Research Papers 2015-16, Department of Economics and Business Economics, Aarhus University.
    485. Wang, Yi-Chen & Wang, Ching-Wen & Huang, Chia-Hsing, 2015. "The impact of unconventional monetary policy on the tail risks of stock markets between U.S. and Japan," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 41-51.
    486. Michael S. Miller & Jin W. Choi, 2014. "The Effectiveness of the Federal Funds Rate as the U.S. Monetary Policy Tool Before, During and After the Great Recession," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 37-58.
    487. Abbas Ghulam & Bhowmik Roni & Koju Laxmi & Wang Shouyang, 2017. "Cointegration and Causality Relationship Between Stock Market, Money Market and Foreign Exchange Market in Pakistan," Journal of Systems Science and Information, De Gruyter, vol. 5(1), pages 1-20, February.
    488. Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
    489. Elena Corallo, 2007. "The effect of the war risk: a comparison of the consequences of the two Iraq wars," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 54(3), pages 371-382, September.
    490. Jung, Alexander, 2023. "Are monetary policy shocks causal to bank health? Evidence from the euro area," Journal of Macroeconomics, Elsevier, vol. 75(C).
    491. Carlos Madeira & Joao Madeira, 2015. "Dissent in FOMC Meeting and the Announcement Drift," Working Papers Central Bank of Chile 749, Central Bank of Chile.
    492. Unalmis, Deren & Unalmis, Ibrahim, 2015. "The Effects of Conventional and Unconventional Monetary Policy Surprises on Asset Markets in the United States," MPRA Paper 62585, University Library of Munich, Germany.
    493. Animesh Bhattacharjee & Joy Das, 2021. "Investigating the Effect of Broad Money Supply on Stock Market Index and Market Capitalization: Evidence from Liberalized India," Jindal Journal of Business Research, , vol. 10(2), pages 185-198, December.
    494. Collingro, Franziska & Frenkel, Michael, 2020. "On the financial market impact of euro area monetary policy: A comparative study before and after the Global Financial Crisis," Global Finance Journal, Elsevier, vol. 45(C).
    495. Aymen Belgacem, 2009. "Fundamentals, Macroeconomic Announcements and Asset Prices," Working Papers hal-04140878, HAL.
    496. Kocaarslan, Baris & Soytas, Ugur, 2021. "Reserve currency and the volatility of clean energy stocks: The role of uncertainty," Energy Economics, Elsevier, vol. 104(C).
    497. Hsu, Kuang-Chung & Chiang, Hui-Chu, 2011. "Nonlinear effects of monetary policy on stock returns in a smooth transition autoregressive model," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 339-349.
    498. Gonçalves, Carlos Eduardo & Guimaraes, Bernardo Guimaraes, 2011. "Monetary policy, default risk and the exchange rate in Brazil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 65(1), March.
    499. Chortareas, Georgios & Noikokyris, Emmanouil, 2014. "Monetary policy and stock returns under the MPC and inflation targeting," International Review of Financial Analysis, Elsevier, vol. 31(C), pages 109-116.
    500. Irfan Akbar Kazi & Hakimzadi Wagan & Farhan Akbar, 2012. "The changing international transmission of US monetary policy shocks: is there evidence of contagion effect on OECD countries," Working Papers hal-04141067, HAL.
    501. Kumar, Sanjiv & Prabheesh, K.P. & Bashar, Omar, 2022. "Examining the effectiveness of macroprudential policy in India," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 91-113.
    502. Soriano, Pilar & Torró, Hipòlit, 2022. "The response of Brent crude oil to the European central bank monetary policy," Finance Research Letters, Elsevier, vol. 46(PA).
    503. Scrimgeour, Dean, 2010. "Commodity Price Responses to Monetary Policy Surprises," Working Papers 2010-04, Department of Economics, Colgate University.
    504. Wu, Wenbin, 2016. "Are financial markets less responsive to monetary policy shocks at the zero lower bound?," Economics Letters, Elsevier, vol. 145(C), pages 258-261.
    505. Refet S. Gürkaynak, 2005. "Using federal funds futures contracts for monetary policy analysis," Finance and Economics Discussion Series 2005-29, Board of Governors of the Federal Reserve System (U.S.).
    506. Pedro S. Amaral, 2017. "Monetary Policy and Inequality," Economic Commentary, Federal Reserve Bank of Cleveland, issue January.
    507. Dridi, Ichrak & Boughrara, Adel, 2021. "On the effect of full-fledged IT adoption on stock returns and their conditional volatility: Evidence from propensity score matching," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 179-194.

  45. Roberto Rigobon, 2002. "Disinflation and Fiscal Reform: A Neoclassical Perspective," NBER Working Papers 8706, National Bureau of Economic Research, Inc.

    Cited by:

    1. Fernando Broner, 2004. "Discrete Devaluations and Multiple Equilibria in a First Generation Model of Currency Crises," Working Papers 186, Barcelona School of Economics.
    2. Sergio Rebelo & Carlos A. Vegh, 2006. "When Is It Optimal to Abandon a Fixed Exchange Rate?," NBER Working Papers 12793, National Bureau of Economic Research, Inc.
    3. Schmukler, Sergio L. & Serven, Luis, 2002. "Pricing currency risk under currency boards," Journal of Development Economics, Elsevier, vol. 69(2), pages 367-391, December.
    4. Hutchison, Michael M. & Noy, Ilan, 2003. "Macroeconomic effects of IMF-sponsored programs in Latin America: output costs, program recidivism and the vicious cycle of failed stabilizations," Journal of International Money and Finance, Elsevier, vol. 22(7), pages 991-1014, December.
    5. Cunha, Alexandre B., 2005. "Managing Public Debt, Money Supply and Foreign Assets: Some Indeterminacy Results," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 59(3), July.
    6. Pina, Gonçalo, 2017. "International reserves and global interest rates," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 371-385.
    7. Pina, Gonçalo, 2015. "The recent growth of international reserves in developing economies: A monetary perspective," Journal of International Money and Finance, Elsevier, vol. 58(C), pages 172-190.
    8. Sahin, Sule Onsel & Ulengin, Fusun & Ulengin, Burc, 2006. "A Bayesian causal map for inflation analysis: The case of Turkey," European Journal of Operational Research, Elsevier, vol. 175(2), pages 1268-1284, December.

  46. Vincent Hogan & Roberto Rigobon, 2002. "Using Heteroscedasticity to Estimate the Returns to Education," NBER Working Papers 9145, National Bureau of Economic Research, Inc.

    Cited by:

    1. Harmon, Colm & Hogan, Vincent & Walker, Ian, 2003. "Dispersion in the economic return to schooling," Labour Economics, Elsevier, vol. 10(2), pages 205-214, April.
    2. Charles J. Courtemanche & Joshua C. Pinkston & Jay Stewart, 2020. "Time Spent Exercising and Obesity: An Application of Lewbel’s Instrumental Variables Method," NBER Working Papers 26670, National Bureau of Economic Research, Inc.
    3. Alan Fernihough, 2017. "Human capital and the quantity–quality trade-off during the demographic transition," Journal of Economic Growth, Springer, vol. 22(1), pages 35-65, March.
    4. Henderson, Daniel J. & Houtenville, Andrew & Wang, Le, 2017. "The Distribution of Returns to Education for People with Disabilities," IZA Discussion Papers 10747, Institute of Labor Economics (IZA).
    5. Yakovlev, Pavel & Leguizamon, Susane, 2012. "Ignorance is not bliss: On the role of education in subjective well-being," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 41(6), pages 806-815.
    6. Lídia Farré & Roger Klein & Francis Vella, 2013. "A parametric control function approach to estimating the returns to schooling in the absence of exclusion restrictions: an application to the NLSY," Empirical Economics, Springer, vol. 44(1), pages 111-133, February.
    7. International Monetary Fund, 2004. "Once Again, is Openness Good for Growth?," IMF Working Papers 2004/135, International Monetary Fund.
    8. Uwaifo, Ruth, 2006. "Africa's Education Enigma? The Nigerian story," 2006 Annual meeting, July 23-26, Long Beach, CA 21254, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    9. Rosso, Anna, 2019. "Emigrant selection and wages: The case of Poland," Labour Economics, Elsevier, vol. 60(C), pages 148-175.
    10. Eduardo Cavallo & Barry Eichengreen & Ugo Panizza, 2018. "Can countries rely on foreign saving for investment and economic development?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 154(2), pages 277-306, May.
    11. John J. Hisnanick, 2003. "A Great Place to Start: The Role of Military Service on Human Capital Formation," LABOUR, CEIS, vol. 17(1), pages 25-45, March.
    12. Vani Borooah & John Mangan, 2008. "Education, occupational class, and unemployment in the regions of the United Kingdom," Education Economics, Taylor & Francis Journals, vol. 16(4), pages 351-370.
    13. Kajuth, Florian, 2012. "Identifying the Phillips curve through shifts in volatility," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 975-991.
    14. Ha Yan Lee & Luca Antonio Ricci & Roberto Rigobon, 2004. "Once Again, is Openness Good for Growth?," NBER Working Papers 10749, National Bureau of Economic Research, Inc.

  47. Osmel Manzano & Roberto Rigobon, 2001. "Resource Curse or Debt Overhang?," NBER Working Papers 8390, National Bureau of Economic Research, Inc.
    • Venables, Anthony J. & Maloney, William & Kokko, Ari & Bravo Ortega, Claudio & Lederman, Daniel & Rigobón, Roberto & De Gregorio, José & Czelusta, Jesse & Jayasuriya, Shamila A. & Blomström, Magnus & , 2007. "Natural Resources: Neither Curse nor Destiny," IDB Publications (Books), Inter-American Development Bank, number 350, November.

    Cited by:

    1. Edouard Mien & Michaël Goujon, 2021. "40 Years of Dutch Disease Literature: Lessons for Developing Countries," Working Papers hal-03256078, HAL.
    2. James L. Butkiewicz & Halit Yanikkaya, 2007. "Minerals, Openness, Institutions and Growth: An Empirical Analysis," Working Papers 07-04, University of Delaware, Department of Economics.
    3. Beck, Thorsten & Poelhekke, Steven, 2023. "Follow the money: Does the financial sector intermediate natural resource windfalls?," Journal of International Money and Finance, Elsevier, vol. 130(C).
    4. Claudio Bravo-Ortega & Jose De Gregorio, 2002. "The Relative Richness of the Poor? Natural Resources, Human Capital and Economic Growth," Working Papers Central Bank of Chile 139, Central Bank of Chile.
    5. Svetlana Doroshenko & Andrey Shelomentsev & Natalja Sirotkina & Bulat Husainov, 2014. "Paradoxes Of The «Natural Resource Curse» Regional Development In The Post-Soviet Space," Economy of region, Centre for Economic Security, Institute of Economics of Ural Branch of Russian Academy of Sciences, vol. 1(4), pages 81-93.
    6. Erwin Bulte & Mare Sarr & Tim Swanson, 2010. "On the Looting of Nations," Working Papers 183, Economic Research Southern Africa.
    7. Michaels, Guy, 2007. "The long term consequences of resource based specialization," LSE Research Online Documents on Economics 3249, London School of Economics and Political Science, LSE Library.
    8. Olivier Cadot & Jaime de Melo & Patrick Plane & Laurent Wagner & Martha Tesfaye Woldemichael, 2016. "Industrialisation et transformation structurelle : l’Afrique subsaharienne peut-elle se développer sans usines ?," Revue d’économie du développement, De Boeck Université, vol. 24(2), pages 19-49.
    9. Easterly, William, 2000. "the middle class consensus and economic development," Policy Research Working Paper Series 2346, The World Bank.
    10. Brunnschweiler, Christa N. & Bulte, Erwin H., 2008. "The resource curse revisited and revised: A tale of paradoxes and red herrings," Journal of Environmental Economics and Management, Elsevier, vol. 55(3), pages 248-264, May.
    11. Olivier CADOT & Céline CARRERE & Vanessa STRAUSS-KHAN, 2009. "Trade Diversification, Income, and Growth: What Do We Know?," Working Papers 200931, CERDI.
    12. Milan Brahmbhatt & Otaviano Canuto & Ekaterina Vostroknutova, 2010. "Dealing with Dutch Disease," World Bank Publications - Reports 10174, The World Bank Group.
    13. Sarr, Mare & Swanson, Timothy, 2013. "Corruption and the Curse: The Dictator’s Choice," Climate Change and Sustainable Development 146351, Fondazione Eni Enrico Mattei (FEEM).
    14. Hailu, Degol & Kipgen, Chinpihoi, 2017. "The Extractives Dependence Index (EDI)," Resources Policy, Elsevier, vol. 51(C), pages 251-264.
    15. Kabbashi M. Suliman, 2012. "Understanding and Avoiding the Oil Curse in Sudan," Working Papers 735, Economic Research Forum, revised 2012.
    16. Machinea, José Luis & Vera, Cecilia, 2005. "Trade, Direct Investment and Production Policies," IDB Publications (Working Papers) 3691, Inter-American Development Bank.
    17. Calderon,Cesar & Castillo Castro,Catalina, 2019. "Trade Integration and Growth : Evidence from Sub-Saharan Africa," Policy Research Working Paper Series 8859, The World Bank.
    18. Carlos Morales, 2011. "Variedades de recursos naturales y crecimiento económico," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, December.
    19. Harris, Nicholas, 2024. "Does the case of the Chilean nitrate boom support activist or deterministic interpretations of the ‘resource curse’?," Economic History Working Papers 126154, London School of Economics and Political Science, Department of Economic History.
    20. Nuno Torres, Oscar Afonso, and Isabel Soares, 2012. "Oil Abundance and Economic Growth--A Panel Data Analysis," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
    21. Nicolas Clootens & Francesco Magris, 2020. "Non-Renewable Resource Use Sustainability and Public Debt," AMSE Working Papers 2032, Aix-Marseille School of Economics, France, revised Aug 2023.
    22. Matthew E. Oliver and Gregory B. Upton Jr., 2022. "Are Energy Endowed Countries Responsible for Conditional Convergence?," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    23. Rabah Arezki & Daniel Lederman & Hongyan Zhao, 2014. "The Relative Volatility of Commodity Prices: A Reappraisal," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 96(3), pages 939-951.
    24. Pauline Lectard & Eric Rougier, 2018. "Can developing countries gain from defying comparative advantage? Distance to comparative advantage, export diversification and sophistication, and the dynamics of specialization [Les pays en dével," Post-Print hal-04587399, HAL.
    25. Luiz Carlos Bresser-Pereira, 2020. "Neutralizing the Dutch disease," Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 43(2), pages 298-316, April.
    26. Muhanji, Stella & Ojah, Kalu & Soumaré, Issouf, 2019. "How do natural resource endowment and institutional quality influence the nexus between external indebtedness and welfare in Africa?," Economic Systems, Elsevier, vol. 43(1), pages 77-98.
    27. Milan Brahmbhatt & Otaviano Canuto, 2010. "Natural Resources and Development Strategy after the Crisis," World Bank Publications - Reports 10212, The World Bank Group.
    28. Hiroyuki Taguchi & Ni Lar, 2016. "The Resource Curse Hypothesis Revisited: Evidence from Asian Economies," Bulletin of Applied Economics, Risk Market Journals, vol. 3(2), pages 31-42.
    29. Ms. Elva Bova & Mr. Paulo A Medas & Mr. Tigran Poghosyan, 2016. "Macroeconomic Stability in Resource-Rich Countries: The Role of Fiscal Policy," IMF Working Papers 2016/036, International Monetary Fund.
    30. Mideksa, Torben K., 2013. "The economic impact of natural resources," Journal of Environmental Economics and Management, Elsevier, vol. 65(2), pages 277-289.
    31. World Bank, 2010. "Ecuador : Diversification and Sustainable Growth in an Oil - Dependent Country," World Bank Publications - Reports 18503, The World Bank Group.
    32. World Bank, 2010. "Liberia - Employment and Pro-Poor Growth," World Bank Publications - Reports 2966, The World Bank Group.
    33. Cadot, Olivier & Kukenova, Madina & Strauss-Kahn, Vanessa, 2010. "OECD imports : diversification and quality search," Policy Research Working Paper Series 5285, The World Bank.
    34. Mare Sarr & Chiara Ravetti & Tim Swanson, 2015. "Why Give Aid to Resource-Rich Autocrats?," CIES Research Paper series 39-2015, Centre for International Environmental Studies, The Graduate Institute.
    35. Shannon Pendergast & Judith Clarke & G. Cornelis van Kooten, 2008. "Corruption, Development and the Curse of Natural Resources," Working Papers 2008-10, University of Victoria, Department of Economics, Resource Economics and Policy Analysis Research Group.
    36. Tsvetkova, Alexandra & Partridge, Mark, 2017. "The shale revolution and entrepreneurship: an assessment of the relationship between energy sector expansion and small business entrepreneurship in US counties," MPRA Paper 77058, University Library of Munich, Germany.
    37. Aguirre Unceta, Rafael, 2021. "The economic and social impact of mining-resources exploitation in Zambia," Resources Policy, Elsevier, vol. 74(C).
    38. Nir Klein, 2010. "The Linkage between the Oil and Non-oil Sectors: A Panel VAR Approach," IMF Working Papers 2010/118, International Monetary Fund.
    39. Wang, Wencheng & Ning, Zinan & Shu, Yang & Riti, Joshua Sunday & Riti, Miriam-Kamah J., 2023. "Natural resource rents and public debts nexus in African resource-rich and most indebted nations: Issues with aggregation bias," Resources Policy, Elsevier, vol. 82(C).
    40. Raveh, Ohad & Tsur, Yacov, 2020. "Resource windfalls and public debt: A political economy perspective," European Economic Review, Elsevier, vol. 123(C).
    41. Thorvaldur Gylfason & Gylfi Zoega, 2017. "The Dutch Disease in Reverse: Iceland's Natural Experiment," CESifo Working Paper Series 6513, CESifo.
    42. Paul Collier & Benedikt Goderis, 2008. "Commodity Prices and Growth: An empirical investigation," OxCarre Working Papers 014, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    43. José Gabriel Romero, 2016. "Natural resources and international labour mobility," Applied Economics Letters, Taylor & Francis Journals, vol. 23(15), pages 1079-1083, October.
    44. Roman Horváth & Ayaz Zeynalov, 2014. "The Natural Resource Curse in Post-Soviet Countries : The Role of Institutions and Trade Policies," Working Papers 341, Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies).
    45. Boschini, Anne & Pettersson, Jan & Roine, Jesper, 2013. "The Resource Curse and its Potential Reversal," World Development, Elsevier, vol. 43(C), pages 19-41.
    46. Ohad Raveh & Yacov Tsur, 2018. "Resource Windfalls and Public Debt: The Role of Political Myopia," OxCarre Working Papers 205, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    47. Satti, Saqlain Latif & Farooq, Abdul & Shahbaz, Muhammad, 2013. "Empirical Evidence on the Resource Curse Hypothesis in Oil Abundant Economy," MPRA Paper 50150, University Library of Munich, Germany, revised 20 Sep 2013.
    48. Charfeddine, Lanouar & Barkat, Karim, 2020. "Short- and long-run asymmetric effect of oil prices and oil and gas revenues on the real GDP and economic diversification in oil-dependent economy," Energy Economics, Elsevier, vol. 86(C).
    49. Boyce, John R. & Herbert Emery, J.C., 2011. "Is a negative correlation between resource abundance and growth sufficient evidence that there is a "resource curse"?," Resources Policy, Elsevier, vol. 36(1), pages 1-13, March.
    50. Davis, Graham A., 2010. "Trade in mineral resources," WTO Staff Working Papers ERSD-2010-01, World Trade Organization (WTO), Economic Research and Statistics Division.
    51. Birdsall, Nancy & de la Torre, Augusto & Caicedo, Felipe Valencia, 2010. "The Washington consensus : assessing a damaged brand," Policy Research Working Paper Series 5316, The World Bank.
    52. Arshad Hayat & Muhammad Tahir, 2021. "Natural Resources Volatility and Economic Growth: Evidence from the Resource-Rich Region," JRFM, MDPI, vol. 14(2), pages 1-17, February.
    53. Christian Hubert Ebeke & Luc Désiré Omgba, 2011. "Oil rents, governance quality, and the allocation of talents in developing countries," Working Papers halshs-00616587, HAL.
    54. Hoda Selim & Chahir Zaki, 2014. "The Institutional Curse of Natural Resources in the Arab World," Working Papers 890, Economic Research Forum, revised Dec 2014.
    55. Benjamin Jones & Viet Nguyen‐Tien & Robert J. R. Elliott, 2023. "The electric vehicle revolution: Critical material supply chains, trade and development," The World Economy, Wiley Blackwell, vol. 46(1), pages 2-26, January.
    56. Mesquita Moreira, Mauricio, 2007. "Fear of China: Is There a Future for Manufacturing in Latin America?," World Development, Elsevier, vol. 35(3), pages 355-376, March.
    57. Maty Konte, 2013. "A curse or a blessing? Natural resources in a multiple growth regimes analysis," Post-Print hal-01498259, HAL.
    58. Samuel Brazys & Krishna Chaitanya Vadlamannati & Indra de Soysa, 2019. "Oil Price Volatility and Political Unrest: Prudence and Protest in Producer and Consumer Societies, 1980-2013," Working Papers 201908 Key words: Oil wea, Geary Institute, University College Dublin.
    59. Tsvetkova, Alexandra & Partridge, Mark D., 2016. "Economics of modern energy boomtowns: Do oil and gas shocks differ from shocks in the rest of the economy?," Energy Economics, Elsevier, vol. 59(C), pages 81-95.
    60. Melani Cammett & Ishac Diwan & Andrew Leber, 2019. "Is Oil Wealth Good for Private Sector Development?," Working Papers 1299, Economic Research Forum, revised 2019.
    61. Richard Pomfret, 2011. "Exploiting Energy and Mineral Resources in Central Asia, Azerbaijan and Mongolia," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 53(1), pages 5-33, March.
    62. Jeffrey Frankel, 2011. "A Solution to Fiscal Procyclicality: The Structural Budget Institutions Pioneered by Chile," CID Working Papers 216, Center for International Development at Harvard University.
    63. Jason A. Hubbart & Hodjat Ghadimi, 2023. "Regional Wealth Data Acquisition and Modeling: Innovations Needed for Advancement in Sustainable Wealth in Energy-Rich Regions," Challenges, MDPI, vol. 14(4), pages 1-17, December.
    64. Wim Naudé & Maarten Bosker & Marianne Matthee, 2010. "Export Specialisation and Local Economic Growth," The World Economy, Wiley Blackwell, vol. 33(4), pages 552-572, April.
    65. Mr. Juan P Trevino, 2011. "Oil-Price Boom and Real Exchange Rate Appreciation: Is there Dutch Disease in the Cemac?," IMF Working Papers 2011/268, International Monetary Fund.
    66. Klueh, Ulrich H. & Pastor, Gonzalo & Segura, Alonso, 2009. "Policies to improve the local impact from hydrocarbon extraction: Observations on West Africa and possible lessons for Central Asia," Energy Policy, Elsevier, vol. 37(3), pages 1128-1144, March.
    67. Dalgaard, Carl-Johan & Olsson, Ola, 2006. "Windfall Gains, Political Economy, and Economic Development," Working Papers in Economics 223, University of Gothenburg, Department of Economics.
    68. William F. Maloney, 2002. "Missed Opportunities: Innovation and Resource-Based Growth in Latin America," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Fall 2002), pages 111-168, August.
    69. Haroon Bhorat & Francois Steenkamp & Christopher Rooney, "undated". "Africa’s Manufacturing Malaise," UNDP Africa Policy Notes 2016-03, United Nations Development Programme, Regional Bureau for Africa.
    70. Ramírez-Cendrero, Juan M. & Wirth, Eszter, 2016. "Is the Norwegian model exportable to combat Dutch disease?," Resources Policy, Elsevier, vol. 48(C), pages 85-96.
    71. R. M. Auty, 2017. "Natural Resources and Small Island Economies: Mauritius and Trinidad and Tobago," Journal of Development Studies, Taylor & Francis Journals, vol. 53(2), pages 264-277, February.
    72. Regina Stéphanie Seri, 2021. "How giant discoveries of natural resources impact sovereign debt ratings in developing and emerging countries ?," CERDI Working papers hal-03144330, HAL.
    73. Lattimore, Ralph & Le, Trinh & Claus, Iris & Stroombergen, Adolf, 2009. "Economic progress and puzzles : Long-term structural change in the New Zealand economy, 1953-2006," NZIER Working Paper 2009/6, New Zealand Institute of Economic Research.
    74. Horváth, Roman & Zeynalov, Ayaz, 2016. "Natural resources, manufacturing and institutions in post-Soviet countries," Resources Policy, Elsevier, vol. 50(C), pages 141-148.
    75. Christian Ebeke & Luc-Désiré Omgba & Rachid Laajaj, 2012. "On the allocation of talented people in developing countries: the role of oil rents," Working Papers hal-04141068, HAL.
    76. Shannon M. Pendergast & Judith A. Clarke & G. Cornelis van Kooten, 2010. "Corruption, development and the Curse of Natural Resources forthcoming Canadian Journal of Political Science," Department Discussion Papers 1002, Department of Economics, University of Victoria.
    77. Edward B. Barbier, 2008. "Trade, Natural Resources and Developing Countries," Chapters, in: Kevin P. Gallagher (ed.), Handbook on Trade and the Environment, chapter 5, Edward Elgar Publishing.
    78. World Bank, 2009. "Azerbaijan - Country Economic Memorandum : A New Silk Road - Export-led Diversification," World Bank Publications - Reports 3154, The World Bank Group.
    79. UNDP Africa, 2016. "Primary Commodity Booms and Busts Emerging Lessons from Sub-Saharan Africa," UNDP Africa Reports 267623, United Nations Development Programme (UNDP).
    80. Lederman, Daniel & Maloney, William F., 2003. "Trade structure and growth," Policy Research Working Paper Series 3025, The World Bank.
    81. Ampofo, Gideon Minua Kwaku & Jinhua, Cheng & Bosah, Philip Chukwunonso & Ayimadu, Edwin Twum & Senadzo, Patrick, 2021. "Nexus between total natural resource rents and public debt in resource-rich countries:A panel data analysis," Resources Policy, Elsevier, vol. 74(C).
    82. Yacine Belarbi & Lylia Sami & Said Souam, 2015. "Effects of Institutions and Natural Resources in a Multiple Growth Regime," Working Papers 905, Economic Research Forum, revised Apr 2015.
    83. Jeffrey A. Frankel, 2010. "The Natural Resource Curse: A Survey," NBER Working Papers 15836, National Bureau of Economic Research, Inc.
    84. Cockx, Lara & Francken, Nathalie, 2016. "Natural resources: A curse on education spending?," Energy Policy, Elsevier, vol. 92(C), pages 394-408.
    85. Dalila Nicet-Chenaf & Eric Rougier, 2011. "New exports matter: Discoveries, foreign direct investment and growth, an empirical assessment for Middle East and North African countries," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 20(4), pages 507-533.
    86. Frankel, Jeffrey A., 2012. "The Natural Resource Curse: A Survey of Diagnoses and Some Prescriptions," Working Paper Series rwp12-014, Harvard University, John F. Kennedy School of Government.
    87. Castaño, Andrés & Lufin, Marcelo & Atienza, Miguel, 2019. "A structural path analysis of Chilean mining linkages between 1995 and 2011. What are the channels through which extractive activity affects the economy?," Resources Policy, Elsevier, vol. 60(C), pages 106-117.
    88. Franz Hamann & Juan Camilo Mendez-Vizcaino & Enrique G. Mendoza & Paulina Restrepo-Echavarria, 2023. "Natural Resources and Sovereign Risk in Emerging Economies: A Curse and a Blessing," NBER Working Papers 31058, National Bureau of Economic Research, Inc.
    89. Neumayer, Eric, 2004. "Does the "Resource Curse" hold for Growth in Genuine Income as Well?," World Development, Elsevier, vol. 32(10), pages 1627-1640, October.
    90. Magali Dauvin & David Guerreiro, 2016. "The Paradox of Plenty: A Meta-Analysis," EconomiX Working Papers 2016-14, University of Paris Nanterre, EconomiX.
    91. Ryan Saylor, 2014. "Commodity booms, coalitional politics and government intervention in credit markets," Review of International Political Economy, Taylor & Francis Journals, vol. 21(3), pages 640-669, June.
    92. Hunt Allcott & Daniel Keniston, 2014. "Dutch Disease or Agglomeration? The Local Economic Effects of Natural Resource Booms in Modern America," NBER Working Papers 20508, National Bureau of Economic Research, Inc.
    93. Mr. Ludvig Söderling, 2002. "Escaping the Curse of Oil? The Case of Gabon," IMF Working Papers 2002/093, International Monetary Fund.
    94. Kevin K. Tsui, 2010. "Resource Curse, Political Entry, And Deadweight Costs," Economics and Politics, Wiley Blackwell, vol. 22(3), pages 471-497, November.
    95. Lederman, Daniel & Maloney, William F., 2008. "In search of the missing resource curse," Policy Research Working Paper Series 4766, The World Bank.
    96. Bulte, Erwin H. & Damania, Richard & Deacon, Robert T., 2005. "Resource intensity, institutions, and development," World Development, Elsevier, vol. 33(7), pages 1029-1044, July.
    97. Nuno Torres & Óscar Afonso & Isabel Soares, 2013. "A survey of literature on the resource curse: critical analysis of the main explanations, empirical tests and resource proxies," CEF.UP Working Papers 1302, Universidade do Porto, Faculdade de Economia do Porto.
    98. Musacchio, Aldo & Fritscher, André Martínez & Viarengo, Martina, 2014. "Colonial Institutions, Trade Shocks, and the Diffusion of Elementary Education in Brazil, 1889–1930," The Journal of Economic History, Cambridge University Press, vol. 74(3), pages 730-766, September.
    99. Dunning, Thad & Shelton, Cameron A., 2008. "Comments," LSE Research Online Documents on Economics 123112, London School of Economics and Political Science, LSE Library.
    100. Graham A. Davis, 2013. "Replicating Sachs and Warner's Working Papers on the Resource Curse," Journal of Development Studies, Taylor & Francis Journals, vol. 49(12), pages 1615-1630, December.
    101. Luc D�sir� Omgba, 2011. "Oil Wealth and Non-oil Sector Performance in a Developing Country: Evidence from Cameroon," Oxford Development Studies, Taylor & Francis Journals, vol. 39(4), pages 487-503, December.
    102. World Bank, 2007. "Nigeria - Competitiveness and Growth : Country Economic Memorandum, Volume 2. Main Report," World Bank Publications - Reports 7824, The World Bank Group.
    103. McGregor, Thomas, 2017. "Commodity price shocks, growth and structural transformation in low-income countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 285-303.
    104. Ali, Issa & Harvie, Charles, 2013. "Oil and economic development: Libya in the post-Gaddafi era," Economic Modelling, Elsevier, vol. 32(C), pages 273-285.
    105. Iizuka, Michiko & Soete, Luc, 2011. "Catching up in the 21st century: Globalization, knowledge & capabilities in Latin America, a case for natural resource based activities," MERIT Working Papers 2011-071, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    106. Zeynalov, Ayaz, 2013. "Do Sufficient Institutions Alter the Relationship between Natural Resources And Economic Growth?," MPRA Paper 46850, University Library of Munich, Germany.
    107. Bastos, Paulo & Bottan, Nicolas, 2023. "Resource rents, coercion, and local development: Evidence from post-apartheid South Africa," World Development, Elsevier, vol. 169(C).
    108. Dosso, David, 2023. "Institutional Quality and Financial Development in Resource-Rich Countries: A Nonlinear Panel Data Approach," International Economics, Elsevier, vol. 174(C), pages 113-137.
    109. World Bank, 2010. "Congo, Democratic Republic of - Enhanced Integration Framework Program (EIF) : diagnostic trade integration study," World Bank Publications - Reports 2971, The World Bank Group.
    110. Zeng, Lijun & Wang, Jinfeng & Zhang, Jinshuo & Lv, Jun & Cui, Wei, 2020. "New Urbanization paths in mineral resource abundant regions in China: A three-dimensional cube framework," Resources Policy, Elsevier, vol. 68(C).
    111. Nuno Torres & Óscar Afonso & Isabel Soares, 2010. "The connection between oil and economic growth revisited," FEP Working Papers 377, Universidade do Porto, Faculdade de Economia do Porto.
    112. Kaznacheev, Peter, 2013. "Resource Rents and Economic Growth: Economic and institutional development in countries with a high share of income from the sale of natural resources. Analysis and recommendations based on internatio," EconStor Research Reports 121950, ZBW - Leibniz Information Centre for Economics.
    113. Arsham Reisinezhad, 2020. "The Dutch Disease Revisited: Theory and Evidence," Working Papers halshs-03012647, HAL.
    114. Coxhead, Ian A., 2004. "International Trade and the Natural Resource 'Curse' in Southeast Asia: Does China's Growth Threaten Regional Development," Staff Papers 12600, University of Wisconsin-Madison, Department of Agricultural and Applied Economics.
    115. Francisco Monaldi & Rosa Amelia González de Pacheco & Richard Obuchi & Michael Penfold, 2006. "Instituciones políticas, procesos de diseño de políticas y resultados de las políticas en Venezuela," Research Department Publications 3197, Inter-American Development Bank, Research Department.
    116. Vadlamannati, Krishna Chaitanya & de Soysa, Indra, 2020. "Oil price volatility and political unrest: Prudence and protest in producer and consumer societies, 1980–2013," Energy Policy, Elsevier, vol. 145(C).
    117. Mr. Gaston Gelos & Mr. Guido M Sandleris & Ms. Ratna Sahay, 2004. "Sovereign Borrowing by Developing Countries: What Determines Market Access?," IMF Working Papers 2004/221, International Monetary Fund.
    118. Alberto Botta, 2014. "The macroeconomics of a financial Dutch disease," Working Papers PKWP1410, Post Keynesian Economics Society (PKES).
    119. María Elena Botero Ospina, 2016. "Impacto de las regalías en la inversión pública municipal: la desconcentración concentrada," Revista Equidad y Desarrollo, Universidad de la Salle, issue 26, pages 39-76, July.
    120. Frankel, Jeffrey A., 2011. "How Can Commodity Exporters Make Fiscal and Monetary Policy Less Procyclical?," Working Paper Series rwp11-015, Harvard University, John F. Kennedy School of Government.
    121. Ricardo Hausmann & Roberto Rigobon, 2003. "An Alternative Interpretation of the 'Resource Curse': Theory and Policy Implications," NBER Working Papers 9424, National Bureau of Economic Research, Inc.
    122. Alberto Botta & Antoine Godin & Marco Missaglia, 2016. "Finance, foreign (direct) investment and dutch disease: the case of Colombia," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 33(2), pages 265-289, August.
    123. Stela Cani, 2009. "Resource Abundance, Mineral Funds and Institutional Quality," Economics Discussion Papers em-dp2009-04, Department of Economics, University of Reading.
    124. International Monetary Fund, 2016. "Côte d’Ivoire: Selected Issues," IMF Staff Country Reports 2016/148, International Monetary Fund.
    125. Monaldi, Francisco & González de Pacheco, Rosa Amelia & Obuchi, Richard & Penfold, Michael, 2006. "Political Institutions, Policymaking Processes, and Policy Outcomes in Venezuela," IDB Publications (Working Papers) 3362, Inter-American Development Bank.
    126. Coxhead, Ian, 2007. "A New Resource Curse? Impacts of China's Boom on Comparative Advantage and Resource Dependence in Southeast Asia," World Development, Elsevier, vol. 35(7), pages 1099-1119, July.
    127. Silvana Sandonato & Henry Willebald, 2018. "Natural Capital, Domestic Product and Proximate Causes of Economic Growth: Uruguay in the Long Run, 1870–2014," Sustainability, MDPI, vol. 10(3), pages 1-26, March.
    128. Nadyra Rodríguez Arias & Claudia S. Gómez López, 2014. "La maldición de los recursos naturales y el bienestar social," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 63-90, May.
    129. Magali Dauvin, 2016. "Sovereign spreads in emerging economies: do natural resources matter?," EconomiX Working Papers 2016-11, University of Paris Nanterre, EconomiX.
    130. Ning Ding & Barry C. Field, 2005. "Natural Resource Abundance and Economic Growths," Land Economics, University of Wisconsin Press, vol. 81(4).
    131. Cecilia Perla, 2005. "¿Cuál es el destino de los paises abundantes en recursos minerales? Nueva evidencia sobre la relación entre recursos naturales, instituciones y crecimiento económico," Documentos de Trabajo / Working Papers 2005-242, Departamento de Economía - Pontificia Universidad Católica del Perú.
    132. Magali Dauvin & David Guerreiro, 2016. "The Paradox of Plenty: A Meta-Analysis," Working Papers hal-04141596, HAL.
    133. Stefan Norrbin & Onsurang Pipatchaipoom & Lilla Bors, 2008. "How robust is the natural resource curse?," International Economic Journal, Taylor & Francis Journals, vol. 22(2), pages 187-200.
    134. Lv, Xiaoting & Shan, Haipeng & Zheng, Jiajia & A. Nassani, Abdelmohsen & H. Binsaeed, Rima & The Cong, Phan & Thuy Vinh, Nguyen Thi, 2023. "Government effectiveness towards economic recovery and value addition in natural resource market: Asymmetric analysis of Chinese green economy," Resources Policy, Elsevier, vol. 83(C).
    135. Kenneth W Clements & Yihui Lan & John Roberts, 2007. "Exchange-Rate Economics for the Resources Sector," Economics Discussion / Working Papers 07-13, The University of Western Australia, Department of Economics.
    136. Martínez André & Viarengo Martina & Musacchio Aldo, 2010. "The Great Leap Forward: The Political Economy of Education in Brazil, 1889-1930," Working Papers 2010-18, Banco de México.
    137. Torres, Javier & Pebe, Carol & Radas, Norally, 2017. "The mining canon and the budget political cycle in Peru’s district municipalities, 2002-2011," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), December.
    138. Ramírez Cendrero, Juan M., 2014. "Has Bolivia׳s 2006–12 gas policy been useful to combat the resource curse?," Resources Policy, Elsevier, vol. 41(C), pages 113-123.
    139. Diego Restuccia, 2018. "The Monetary and Fiscal History of Venezuela 1960-2016," Working Papers tecipa-614, University of Toronto, Department of Economics.
    140. Sèna Kimm Gnangnon & Jean-François Brun, 2016. "Impact of export upgrading on tax revenue in developing and high-income countries," Post-Print hal-01682620, HAL.
    141. Shu Yang & Elyas Abdulahi & Muhammad Afaq Haider & Mohammed Asif Khan, 2019. "Revisiting the Curse: Resource Rent and Economic Growth of Sub-Sahara African Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 9(1), pages 121-130.
    142. Hunt Allcott & Daniel Keniston, 2015. "Dutch Disease or Agglomeration? The Local Economic Effects of Natural Resource Booms in Modern America," Working Papers 15-41, Center for Economic Studies, U.S. Census Bureau.
    143. Paul Collier & Benedikt Goderis, 2007. "Commodity Prices, Growth, and the Natural Resource Curse: Reconciling a Conundrum," CSAE Working Paper Series 2007-15, Centre for the Study of African Economies, University of Oxford.
    144. Malebogo Bakwena & Philip Bodman & Thanh Le & KK Tang, "undated". "Avoiding the Resource Curse: The Role of Institutions," MRG Discussion Paper Series 3209, School of Economics, University of Queensland, Australia.
    145. Abdul HANNAN* & Hasan M. MOHSIN**, 2015. "Regional Analysis of Resource Curse Hypothesis: Evidence from Panel Data," Pakistan Journal of Applied Economics, Applied Economics Research Centre, vol. 25(1), pages 45-66.
    146. Loayza, Norman & Mier y Teran, Alfredo & Rigolini, Jamele, 2013. "Poverty, inequality, and the local natural resource curse," Policy Research Working Paper Series 6366, The World Bank.
    147. Akeem Rahaman & Scott Mark Romeo Mahadeo, 2024. "Constructing country-specific debt sustainability indices for developing countries," Working Papers in Economics & Finance 2024-01, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    148. Christa N. Brunnschweiler, 2006. "Cursing the blessings? Natural resource abundance, institutions, and economic growth," CER-ETH Economics working paper series 06/51, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
    149. Regina Stéphanie Seri, 2021. "How giant discoveries of natural resources impact sovereign debt ratings in developing and emerging countries ?," Working Papers hal-03144330, HAL.
    150. Collier, Paul & Goderis, Benedikt, 2008. "Commodity Prices, Growth, and the Natural Resource Curse: Reconciling a Conundrum," MPRA Paper 17315, University Library of Munich, Germany.
    151. Adrian Boos & Karin Holm‐Müller, 2012. "A theoretical overview of the relationship between the resource curse and genuine savings as an indicator for “weak” sustainability," Natural Resources Forum, Blackwell Publishing, vol. 36(3), pages 145-159, August.
    152. Peruzzi, Michele & Terzi, Alessio, 2021. "Accelerating Economic Growth: The Science beneath the Art," Economic Modelling, Elsevier, vol. 103(C).
    153. Obadia Kyetuza Bishoge & Benatus Norbert Mvile, 2020. "The “resource curse” from the oil and natural gas sector: how can Tanzania avoid it in reality?," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 33(3), pages 389-404, October.
    154. Reis, Jose Guilherme & Taglioni, Daria, 2013. "Determinants of export growth at the extensive and intensive margins : evidence from product and firm-level data for Pakistan," Policy Research Working Paper Series 6341, The World Bank.
    155. Naoko C. Kojo, 2015. "Demystifying Dutch Disease," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-23.
    156. Seghir, Majda & Damette, Olivier, 2013. "Natural resource curse: a non linear approach in a panel of oil exporting countries," MPRA Paper 51604, University Library of Munich, Germany.
    157. Kjurchiski, Nikola, "undated". "Public Administration Efficiency in Resource Economies," Published Papers nvg128, Russian Presidential Academy of National Economy and Public Administration.
    158. Edward Barbier, 2010. "Corruption and the Political Economy of Resource-Based Development: A Comparison of Asia and Sub-Saharan Africa," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 46(4), pages 511-537, August.
    159. Francisco Monaldi & Rosa Amelia González de Pacheco & Richard Obuchi & Michael Penfold, 2006. "Political Institutions, Policymaking Processes, and Policy Outcomes in Venezuela," Research Department Publications 3196, Inter-American Development Bank, Research Department.
    160. Rashid Khan, Haroon Ur & Zaman, Khalid & Usman, Bushra & Nassani, Abdelmohsen A. & Aldakhil, Abdullah Mohammed & Qazi Abro, Muhammad Moinuddin, 2019. "Financial management of natural resource market: Long-run and inter-temporal (forecast) relationship," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
    161. Roberto Álvarez E. & J. Rodrigo Fuentes S., 2006. "El “Síndrome Holandés”: Teoría y Revisión de la Experiencia Internacional," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 9(3), pages 97-108, December.
    162. Aktoty Aitzhanova & Shigeo Katsu & Johannes F. Linn & Vladislav Yezhov (ed.), 2014. "Kazakhstan 2050: Toward a Modern Society for All," Books, Emerging Markets Forum, edition 1, number kazakh2050, Summer.
    163. C. A. Tapia Cortez & J. Coulton & C. Sammut & S. Saydam, 2018. "Determining the chaotic behaviour of copper prices in the long-term using annual price data," Palgrave Communications, Palgrave Macmillan, vol. 4(1), pages 1-13, December.
    164. Jean‐Marc B. Atsebi, 2024. "Igniting growth surges: Lessons from the past," Economics of Transition and Institutional Change, John Wiley & Sons, vol. 32(2), pages 525-569, April.
    165. Wizarat, Shahida, 2013. "Are resource abundant countries afflicted by the resource curse?," International Journal of Development and Conflict, Gokhale Institute of Politics and Economics, vol. 3(2), pages 24-39.
    166. Funk, Charles & Treviño, Len J. & Oriaifo, Juliet, 2021. "Resource curse impacts on the co-evolution of emerging economy institutions and firm internationalization," International Business Review, Elsevier, vol. 30(4).
    167. Byambasuren, Tsenguunjav & Erdenebold, Uranzaya & Otgonbayar, Baasansuren, 2013. "Policy Challenge of Resource-Rich Developing Countries: Case of Mongolia," MPRA Paper 61559, University Library of Munich, Germany.
    168. Rambaldi, Alicia N. & Hall, Greg & Brown, Richard P.C., 2006. "Re-testing the Resource Curse Hypothesis Using Panel Data and an Improved Measure of Resource Intensity," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25289, International Association of Agricultural Economists.
    169. Frankel, Jeffrey A., 2011. "A Solution to Overoptimistic Forecasts and Fiscal Procyclicality: The Structural Budget Institutions Pioneered by Chile," Scholarly Articles 4723209, Harvard Kennedy School of Government.
    170. Kimiagari, Salman & Mahbobi, Mohammad & Toolsee, Tushika, 2023. "Attracting and retaining FDI: Africa gas and oil sector," Resources Policy, Elsevier, vol. 80(C).
    171. Pratibha, S. & Sharma, Vishal & Krishna, M., 2024. "Nexus between total natural resource rents and public debt within symmetric and asymmetric framework: Fresh insight from resource-rich economy," Resources Policy, Elsevier, vol. 93(C).
    172. Agenor, P.-R., 1997. "Capital-Market Imperfections and the Macroeconomic Dynamics of Small Indebted Economies," Princeton Studies in International Economics 82, International Economics Section, Departement of Economics Princeton University,.
    173. Daniel Lederman & William F. Maloney, 2012. "Does What You Export Matter? In Search of Empirical Guidance for Industrial Policies," World Bank Publications - Books, The World Bank Group, number 9371.
    174. Jane Kiringai, 2002. "Debt and PRSP Conditionality: The Kenya Case," WIDER Working Paper Series DP2002-54, World Institute for Development Economic Research (UNU-WIDER).
    175. Mendez Ramos,Fabian, 2019. "Uncertainty in Ex-Ante Poverty and Income Distribution : Insights from Output Growth and Natural Resource Country Typologies," Policy Research Working Paper Series 8841, The World Bank.
    176. Baena, César & Sévi, Benoît & Warrack, Allan, 2012. "Funds from non-renewable energy resources: Policy lessons from Alaska and Alberta," Energy Policy, Elsevier, vol. 51(C), pages 569-577.
    177. Thorvaldur Gylfason & Gylfi Zoega, 2014. "The Dutch Disease in Reverse: Iceland’s Natural Experiment," OxCarre Working Papers 138, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    178. Anwesha Aditya & Rajat Acharyya, 2013. "Export diversification, composition, and economic growth: Evidence from cross-country analysis," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 22(7), pages 959-992, October.
    179. Henry, Alexandre, 2019. "Transmission channels of the resource curse in Africa: A time perspective," Economic Modelling, Elsevier, vol. 82(C), pages 13-20.

  48. Roberto Rigobon, 2001. "The Curse of Non-Investment Grade Countries," NBER Working Papers 8636, National Bureau of Economic Research, Inc.

    Cited by:

    1. Guillermo A. Calvo & Alejandro Izquierdo & Rudy Loo-Kung, 2005. "Relative Price Volatility Under Sudden Stops: The Relevance of Balance Sheet Effects," NBER Working Papers 11492, National Bureau of Economic Research, Inc.
    2. Nicolas Jannone Bellot, MaLuisa Marti Selva, Leandro Garcia Menendez, 2017. "Herding Behaviour among Credit Rating Agencies," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 2(1), pages 56-83, March.
    3. Anna Pavlova & Roberto Rigobon, 2008. "The Role of Portfolio Constraints in the International Propagation of Shocks," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 75(4), pages 1215-1256.
    4. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
    5. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
    6. Emanuele BACCHIOCCHI, 2010. "Identification through heteroskedasticity in a likelihood-based approach: some theoretical results," Departmental Working Papers 2010-38, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    7. Pavlova, Anna & Rigobon, Roberto, 2004. "Asset Prices and Exchange Rates," Working papers 4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    8. Arthur Lewbel, 2012. "Using Heteroscedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 67-80.
    9. Ricardo Caballero & Kevin Cowan, 2006. "Financial Integration Without the Volatility," Working Papers Central Bank of Chile 387, Central Bank of Chile.
    10. Emanuele BACCHIOCCHI, 2015. "On the Identification of Interdependence and Contagion of Financial Crises," Departmental Working Papers 2015-12, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    11. Rigobon, Roberto & Sack, Brian P., 2003. "The Effects of War Risk on U.S. Financial Markets," Working papers 4417-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    12. Viral V. Acharya & Hyun Song Shin & Tanju Yorulmazer, 2013. "A Theory of Arbitrage Capital," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 2(1), pages 62-97.
    13. Roberto Rigobon & Dani Rodrik, 2004. "Rule of Law, Democracy, Openness, and Income: Estimating the Interrelationships," NBER Working Papers 10750, National Bureau of Economic Research, Inc.
    14. Weber, Enzo, 2013. "Simultaneous stochastic volatility transmission across American equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(1), pages 53-60.
    15. Emanuele BACCHIOCCHI, 2011. "Identification through heteroskedasticity: a likelihood-based approach," Departmental Working Papers 2011-19, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    16. Todd, Prono, 2009. "Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique," MPRA Paper 20031, University Library of Munich, Germany.
    17. Kathryn M. E. Dominguez & Linda L. Tesar, 2007. "International Borrowing and Macroeconomic Performance in Argentina," NBER Chapters, in: Capital Controls and Capital Flows in Emerging Economies: Policies, Practices, and Consequences, pages 297-348, National Bureau of Economic Research, Inc.
    18. Weber, Enzo, 2013. "Decomposing U.S. Stock Market Comovement into spillovers and common factors," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 106-118.
    19. Weber, Enzo, 2007. "Correlation vs. causality in stock market comovement," SFB 649 Discussion Papers 2007-064, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    20. Chen, Honghui & Singal, Vijay & Whitelaw, Robert F., 2016. "Comovement revisited," Journal of Financial Economics, Elsevier, vol. 121(3), pages 624-644.
    21. Ricardo Caballero & Kevin Cowan & Jonathan Kearns, 2004. "Fear of Sudden Stops: Lessons from Australia and Chile," NBER Working Papers 10519, National Bureau of Economic Research, Inc.
    22. Gande, Amar & Parsley, David, 2010. "Sovereign Credit Ratings, Transparency and International Portfolio Flows," MPRA Paper 21118, University Library of Munich, Germany.
    23. Amar Gande & David Parsley, 2003. "News Spillovers in the Sovereign Debt Market," Working Papers 062003, Hong Kong Institute for Monetary Research.
    24. Chiara Broccolini & Giulia Lotti & Alessandro Maffioli & Andrea F Presbitero & Rodolfo Stucchi, 2021. "Mobilization Effects of Multilateral Development Banks," The World Bank Economic Review, World Bank, vol. 35(2), pages 521-543.
    25. Kohonen, Anssi, 2012. "Transmission of Government Default Risk in the Eurozone," MPRA Paper 43823, University Library of Munich, Germany.
    26. Vance L. Martin & Brenda Gonzalez-Hermosillo, & Mardi Dungey & Renee A. Fry, 2004. "Empirical Modelling of Contagion: A Review of Methodologies," Econometric Society 2004 Australasian Meetings 243, Econometric Society.
    27. Ricardo Correa & Kuan-Hui Lee & Horacio Sapriza & Gustavo A. Suarez, 2012. "Sovereign credit risk, banks' government support, and bank stock returns around the world," International Finance Discussion Papers 1069, Board of Governors of the Federal Reserve System (U.S.).
    28. Harry Kelejian & George Tavlas & George Hondroyiannis, 2006. "A Spatial Modelling Approach to Contagion Among Emerging Economies," Open Economies Review, Springer, vol. 17(4), pages 423-441, December.
    29. Todd, Prono, 2009. "GARCH-Based Identification and Estimation of Triangular Systems," MPRA Paper 20032, University Library of Munich, Germany.
    30. Moses Kangogo & Mardi Dungey & Vladimir Volkov, 2023. "Changing vulnerability in Asia: contagion and spillovers," Empirical Economics, Springer, vol. 64(5), pages 2315-2355, May.
    31. Robert Brooks & Robert Faff & Sirimon Treepongkaruna & Eliza Wu, 2015. "Do Sovereign Re-Ratings Destabilize Equity Markets during Financial Crises? New Evidence from Higher Return Moments," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 42(5-6), pages 777-799, June.
    32. Joseph J. Sabia, 2007. "Reading, Writing, And Sex: The Effect Of Losing Virginity On Academic Performance," Economic Inquiry, Western Economic Association International, vol. 45(4), pages 647-670, October.
    33. Bruno Giovannetti & Mauro Rodrigues, Eduardo Ros, 2014. "Investment Grade, Asset Prices and Changes in the Source of Systematic Risk," Working Papers, Department of Economics 2014_05, University of São Paulo (FEA-USP).
    34. Dähler, Timo, 2020. "Bias or ignorance? The politics and economics behind sovereign credit ratings," MPRA Paper 103965, University Library of Munich, Germany.
    35. David Welsch & David Zimmer, 2010. "The Effect of Health and Poverty on Early Childhood Cognitive Development," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 38(1), pages 37-49, March.
    36. Goldstein, Itay & Pauzner, Ady, 2004. "Contagion of self-fulfilling financial crises due to diversification of investment portfolios," Journal of Economic Theory, Elsevier, vol. 119(1), pages 151-183, November.
    37. Heather Anderson & Mardi Dungey & Denise R. Osborn & Farshid Vahid, 2007. "Constructing Historical Euro Area Data," CAMA Working Papers 2007-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    38. Weber, Enzo & Zhang, Yanqun, 2012. "Common influences, spillover and integration in Chinese stock markets," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 382-394.
    39. Shin, Hyun Song & Acharya, Viral & Yorulmazer, Tanju, 2009. "A Theory of Slow-Moving Capital and Contagion," CEPR Discussion Papers 7147, C.E.P.R. Discussion Papers.
    40. Gonzalez-Hermosillo Gonzalez, B.M., 2008. "Transmission of shocks across global financial markets : The role of contagion and investors' risk appetite," Other publications TiSEM d684f3c7-7ad8-4e93-88cf-a, Tilburg University, School of Economics and Management.
    41. Honghui Chen & Vijay Singal & Robert F. Whitelaw, 2015. "Comovement Revisited," NBER Working Papers 21281, National Bureau of Economic Research, Inc.
    42. Spargoli, Fabrizio & Zagaglia, Paolo, 2008. "The co-movements along the forward curve of natural gas futures: a structural view," Bank of Finland Research Discussion Papers 26/2008, Bank of Finland.
    43. Yi-Hsuan Chen & Kehluh Wang & Anthony Tu, 2011. "Default correlation at the sovereign level: evidence from some Latin American markets," Applied Economics, Taylor & Francis Journals, vol. 43(11), pages 1399-1411.
    44. Ricardo J. Caballero & Kevin Cowan & Jonathan Kearns, 2005. "El temor a las paradas repentinas: enseñanzas de Australia y Chile," Research Department Publications 4364, Inter-American Development Bank, Research Department.
    45. Enzo Weber, 2010. "Volatility and causality in Asia Pacific financial markets," Applied Financial Economics, Taylor & Francis Journals, vol. 20(16), pages 1269-1292.
    46. Cerqueti, Roy & Fenga, Livio & Ventura, Marco, 2018. "Does the U.S. exercise contagion on Italy? A theoretical model and empirical evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 436-442.
    47. Sergio L. Schmukler & Luis Serven, 2002. "Pricing Currency Risk: Facts and Puzzles from Currency Boards," NBER Working Papers 9047, National Bureau of Economic Research, Inc.
    48. Mardi Dungey & Eric Renault, 2018. "Identifying contagion," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 227-250, March.
    49. Ha Yan Lee & Luca Antonio Ricci & Roberto Rigobon, 2004. "Once Again, is Openness Good for Growth?," NBER Working Papers 10749, National Bureau of Economic Research, Inc.
    50. de Wet, W.A., 2006. "A structural GARCH model: An application on South African data," Economic Modelling, Elsevier, vol. 23(5), pages 775-791, September.
    51. Kevin Cowan L. & José De Gregorio R. & Alejandro Micco A. & Christopher Neilson M., 2007. "Financial Diversification and Sudden Stops," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 10(3), pages 45-65, December.
    52. Kohonen, Anssi, 2013. "On detection of volatility spillovers in overlapping stock markets," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 140-158.
    53. Anna Pavlova & Roberto Rigobon, 2005. "Wealth Transfers, Contagion, and Portfolio Constraints," NBER Working Papers 11440, National Bureau of Economic Research, Inc.
    54. Weber, Enzo, 2008. "Structural constant conditional correlation," SFB 649 Discussion Papers 2008-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    55. Weber, Enzo, 2008. "Structural dynamic conditional correlation," SFB 649 Discussion Papers 2008-069, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    56. Todd Prono, 2006. "GARCH-based identification of triangular systems with an application to the CAPM: still living with the roll critique," Working Papers 07-1, Federal Reserve Bank of Boston.
    57. George Hondroyiannis & Harry Kelejian & George Tavlas, 2009. "Spatial Aspects of Contagion among Emerging Economies," Spatial Economic Analysis, Taylor & Francis Journals, vol. 4(2), pages 191-211.
    58. de Wet, W. A., 2004. "The role of asymmetric information on investments in emerging markets," Economic Modelling, Elsevier, vol. 21(4), pages 621-630, July.

  49. Roberto Rigobon & Brian P. Sack, 2001. "Measuring the reaction of monetary policy to the stock market," Finance and Economics Discussion Series 2001-14, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Paulo Maio, 2014. "Another Look at the Stock Return Response to Monetary Policy Actions," Review of Finance, European Finance Association, vol. 18(1), pages 321-371.
    2. Michael D. Bauer & Eric T. Swanson, 2022. "A Reassessment of Monetary Policy Surprises and High-Frequency Identification," NBER Chapters, in: NBER Macroeconomics Annual 2022, volume 37, pages 87-155, National Bureau of Economic Research, Inc.
    3. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, September.
    4. Fernando Alexandre & Pedro Bação, 2005. "Monetary policy and asset prices: the investment channel," NIPE Working Papers 3/2005, NIPE - Universidade do Minho.
    5. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788.
    6. Beirne, John & Gieck, Jana, 2012. "Interdependence and contagion in global asset markets," Working Paper Series 1480, European Central Bank.
    7. Gagan Deep Sharma & Mandeep Mahendru & Mrinalini Srivastava, 2019. "Can Central Banking Policies Make a Difference in Financial Market Performance in Emerging Economies? The Case of India," Economies, MDPI, vol. 7(2), pages 1-19, May.
    8. Davide Ferrari & Antonio Ribba, 2005. "Using an evolving criterion to assess the Federal Reserve's behaviour in recent years," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 58(235), pages 169-186.
    9. Gu, Chen & Kurov, Alexander & Wolfe, Marketa Halova, 2018. "Relief Rallies after FOMC Announcements as a Resolution of Uncertainty," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 1-18.
    10. Andreas Neuhierl & Michael Weber, 2020. "Monetary Momentum," Working Papers 2020-39, Becker Friedman Institute for Research In Economics.
    11. Cinzia Alcidi , Alessandro Flamini, Andrea Fracasso, 2005. ""Taylored rules". Does one fit (or hide) all?," IHEID Working Papers 04-2005, Economics Section, The Graduate Institute of International Studies, revised Apr 2006.
    12. Markku Lanne & Helmut Luetkepohl, 2008. "A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks," Economics Working Papers ECO2008/23, European University Institute.
    13. Lütkepohl, Helmut & Netšunajev, Aleksei, 2017. "Structural vector autoregressions with heteroskedasticity: A review of different volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 2-18.
    14. Bredin, Don & Hyde, Stuart & O'Reilly, Gerard, 2005. "European Monetary Policy Surprises: The Aggregate and Sectoral Stock Market Response," Research Technical Papers 10/RT/05, Central Bank of Ireland.
    15. Chen Gu & Ann Marie Hibbert, 2021. "Expectations and financial markets: Lessons from Brexit," The Financial Review, Eastern Finance Association, vol. 56(2), pages 279-299, May.
    16. Marco Airaudo & Salvatore Nisticò & Luis-Felipe Zanna, 2014. "Learning, Monetary Policy and Asset Prices," Working Papers 4/14, Sapienza University of Rome, DISS.
    17. Belke, Ansgar & Dubova, Irina, 2017. "International spillovers in global asset markets," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168087, Verein für Socialpolitik / German Economic Association.
    18. Demir, Ishak, 2012. "ECB Policy Response to the Euro/US Dollar Exchange Rate," MPRA Paper 36744, University Library of Munich, Germany.
    19. Lansing, Kevin J. & LeRoy, Stephen F. & Ma, Jun, 2022. "Examining the sources of excess return predictability: Stochastic volatility or market inefficiency?," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 50-72.
    20. Parhizgari, A.M. & Pavlova, I., 2007. "Post-euro EU and US interest rates and foreign exchange rates: Are they in harmony or in disarray," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(5), pages 616-636, December.
    21. Bohl, Martin T. & Siklos, Pierre L. & Werner, Thomas, 2007. "Do central banks react to the stock market? The case of the Bundesbank," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 719-733, March.
    22. Bianchi, Francesco & Gómez-Cram, Roberto & Kind, Thilo & Kung, Howard, 2023. "Threats to central bank independence: High-frequency identification with twitter," Journal of Monetary Economics, Elsevier, vol. 135(C), pages 37-54.
    23. Siami-Namini, Sima & Hudson, Darren & Trindade, A. Alexandre & Lyford, Conrad, 2018. "Commodity Prices, Monetary Policy and the Taylor Rule," 2018 Annual Meeting, February 2-6, 2018, Jacksonville, Florida 266722, Southern Agricultural Economics Association.
    24. Emanuele BACCHIOCCHI, 2010. "Identification through heteroskedasticity in a likelihood-based approach: some theoretical results," Departmental Working Papers 2010-38, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    25. Lütkepohl, Helmut & Schlaak, Thore, 2019. "Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH," Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 41-61.
    26. Søren HOVE RAVN, 2010. "Has the Fed Reacted Asymmetrically to Stock Prices," EcoMod2010 259600076, EcoMod.
    27. Vithessonthi, Chaiporn & Techarongrojwong, Yaowaluk, 2012. "The impact of monetary policy decisions on stock returns: Evidence from Thailand," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 487-507.
    28. Christopher J. Neely, 2005. "An analysis of recent studies of the effect of foreign exchange intervention," Review, Federal Reserve Bank of St. Louis, vol. 87(Nov), pages 685-718.
    29. Daria Finocchiaro & Virginia Queijo Von Heideken, 2013. "Do Central Banks React to House Prices?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(8), pages 1659-1683, December.
    30. Erik Kole & Dick Dijk, 2017. "How to Identify and Forecast Bull and Bear Markets?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 120-139, January.
    31. Laopodis, Nikiforos T., 2013. "Monetary policy and stock market dynamics across monetary regimes," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 381-406.
    32. Nkwoma John Inekwe, 2016. "Financial uncertainty, risk aversion and monetary policy," Empirical Economics, Springer, vol. 51(3), pages 939-961, November.
    33. Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola, 2005. "Testing for contagion: a conditional correlation analysis," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 476-489, June.
    34. Jinjarak, Yothin, 2014. "Equity prices and financial globalization," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 49-57.
    35. Mohammed Bouaddi & Abderrahim Taamouti, 2012. "Portfolio risk management in a data-rich environment," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(4), pages 469-494, December.
    36. Pavlova, Anna & Rigobon, Roberto, 2004. "Asset Prices and Exchange Rates," Working papers 4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    37. Özer Karagedikli & Pierre L. Siklos, 2008. "Explaining Movements in the NZ Dollar - Central Bank Communication and the Surprise Element in Monetary Policy?," Reserve Bank of New Zealand Discussion Paper Series DP2008/02, Reserve Bank of New Zealand.
    38. Raf Wouters & Frank Smets, 2004. "Welfare analysis of non-fundamental asset price and investment shocks: Implications for monetary policy," Computing in Economics and Finance 2004 132, Society for Computational Economics.
    39. Herwartz, Helmut & Plödt, Martin, 2014. "Sign restrictions and statistical identification under volatility breaks -- Simulation based evidence and an empirical application to monetary policy analysis," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100326, Verein für Socialpolitik / German Economic Association.
    40. Silvia Sgherri, 2008. "Explicit and implicit targets in open economies," Applied Economics, Taylor & Francis Journals, vol. 40(8), pages 969-980.
    41. Massimiliano Marzo & Paolo Zagaglia, 2010. "Gold and the U.S. Dollar: Tales from the Turmoil," Working Paper series 08_10, Rimini Centre for Economic Analysis.
    42. John A. Tatom, 2009. "U.S. Monetary Policy and Stock Prices: Should the Fed Attempt to Control Stock Prices?," NFI Working Papers 2009-WP-14, Indiana State University, Scott College of Business, Networks Financial Institute.
    43. Rigobón, Roberto, 2019. "Contagion, spillover, and interdependence," LSE Research Online Documents on Economics 123173, London School of Economics and Political Science, LSE Library.
    44. Martin Mandler, 2009. "Decomposing Federal Funds Rate forecast uncertainty using real-time data," MAGKS Papers on Economics 200947, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    45. Yang, Sheng-Ping, 2017. "Exchange rate dynamics and stock prices in small open economies: Evidence from Asia-Pacific countries," Pacific-Basin Finance Journal, Elsevier, vol. 46(PB), pages 337-354.
    46. Elena Corallo, 2005. "The effect of the war risk: a comparison of the consequences of the two Iraq wars on some financial variables," LIUC Papers in Economics 171, Cattaneo University (LIUC).
    47. Emanuele BACCHIOCCHI, 2015. "On the Identification of Interdependence and Contagion of Financial Crises," Departmental Working Papers 2015-12, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    48. Demir, Ishak & Eroglu, Burak A. & Yildirim-Karaman, Secil, 2021. "Heterogeneous effects of unconventional monetary policy on bond yields across the euro area," LEAF Working Paper Series 19-06, University of Lincoln, Lincoln International Business School, Lincoln Economics and Finance Research Group (LEAF), revised 2021.
    49. Nicholas Apergis & Chritina Christou & Tasawar Hayat & Tareq Saeed, 2020. "U.S. Monetary Policy and Herding: Evidence from Commodity Markets," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 48(3), pages 355-374, September.
    50. Jagjit S. Chadha & Lucio Sarno & Giorgio Valente, 2004. "Monetary Policy Rules, Asset Prices, and Exchange Rates," IMF Staff Papers, Palgrave Macmillan, vol. 51(3), pages 529-552, November.
    51. Jeffrey C. Fuhrer & Geoffrey M. B. Tootell, 2004. "Eyes on the prize: how did the Fed respond to the stock market?," Public Policy Discussion Paper 04-2, Federal Reserve Bank of Boston.
    52. Rigobon, Roberto & Sack, Brian P., 2003. "The Effects of War Risk on U.S. Financial Markets," Working papers 4417-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    53. Kurov, Alexander & Olson, Eric & Zaynutdinova, Gulnara R., 2022. "When does the fed care about stock prices?," Journal of Banking & Finance, Elsevier, vol. 142(C).
    54. 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.
    55. Pelin Berkmen & Eduardo A. Cavallo, 2007. "Exchange Rate Policy and Liability Dollarization: An Empirical Study," IMF Working Papers 2007/033, International Monetary Fund.
    56. Marcel Fratzscher & Daniel Schneider & Ine Van Robays, 2013. "Oil Prices, Exchange Rates and Asset Prices," CESifo Working Paper Series 4264, CESifo.
    57. Marcio Garcia & Marcelo Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014. "The impact of macroeconomic announcements in the Brazilian futures markets," Textos para discussão 623, Department of Economics PUC-Rio (Brazil).
    58. Pfajfar, D. & Santoro, E., 2012. "Credit Market Distortions, Asset Prices and Monetary Policy," Other publications TiSEM f5940c4e-5106-4a68-a0b0-8, Tilburg University, School of Economics and Management.
    59. Roberto Rigobon & Dani Rodrik, 2004. "Rule of Law, Democracy, Openness, and Income: Estimating the Interrelationships," NBER Working Papers 10750, National Bureau of Economic Research, Inc.
    60. Ravn, Søren Hove, 2014. "Asymmetric monetary policy towards the stock market: A DSGE approach," Journal of Macroeconomics, Elsevier, vol. 39(PA), pages 24-41.
    61. Fratzscher, Marcel & Rieth, Malte, 2015. "Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area," CEPR Discussion Papers 10370, C.E.P.R. Discussion Papers.
    62. Baxa, Jaromír & Horváth, Roman & Vašíček, Bořek, 2013. "Time-varying monetary-policy rules and financial stress: Does financial instability matter for monetary policy?," Journal of Financial Stability, Elsevier, vol. 9(1), pages 117-138.
    63. Andreas Neuhierl & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," NBER Working Papers 22831, National Bureau of Economic Research, Inc.
    64. Chunya Bu & John Rogers & Wenbin Wu, 2019. "A Unified Measure of Fed Monetary Policy Shocks," Finance and Economics Discussion Series 2019-043, Board of Governors of the Federal Reserve System (U.S.).
    65. Francesco Furlanetto & Francesco Ravazzolo & Samad Sarferaz, 2014. "Identification of financial factors in economic fluctuations," KOF Working papers 14-364, KOF Swiss Economic Institute, ETH Zurich.
    66. Fabio Milani, 2008. "Learning about the Interdependence between the Macroeconomy and the Stock Market," Working Papers 070819, University of California-Irvine, Department of Economics.
    67. Neuhierl, Andreas & Weber, Michael, 2019. "Monetary policy communication, policy slope, and the stock market," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 140-155.
    68. Michael Weber & Ali Ozdagli, 2016. "Monetary Policy Through Production Networks: Evidence from the Stock Market," 2016 Meeting Papers 148, Society for Economic Dynamics.
    69. Roberto Rigobon & Brian P. Sack, 2002. "The impact of monetary policy on asset prices," Finance and Economics Discussion Series 2002-4, Board of Governors of the Federal Reserve System (U.S.).
    70. Emanuele BACCHIOCCHI, 2011. "Identification through heteroskedasticity: a likelihood-based approach," Departmental Working Papers 2011-19, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    71. David Weinstein & Christian Broda, 2004. "Globalization and the Gains from Variety," 2004 Meeting Papers 530, Society for Economic Dynamics.
    72. Luís Francisco Aguiar-Conraria & Manuel M. F. Martins & Maria Joana Soares, 2014. "Analyzing the Taylor Rule with Wavelet Lenses," NIPE Working Papers 18/2014, NIPE - Universidade do Minho.
    73. Michael D. Bordo & David C. Wheelock, 2004. "Monetary Policy and Asset Prices: A Look Back at Past U.S. Stock Market Booms," NBER Working Papers 10704, National Bureau of Economic Research, Inc.
    74. Kenneth Kuttner, 2011. "Monetary Policy and Asset Price Volatility: Should We Refill the Bernanke-Gertler Prescription?," Department of Economics Working Papers 2011-04, Department of Economics, Williams College, revised Jun 2011.
    75. Bjørnland, Hilde C. & Leitemo, Kai, 2005. "Identifying the interdependence between US monetary policy and the stock market," Bank of Finland Research Discussion Papers 17/2005, Bank of Finland.
    76. Chen, Shiu-Sheng, 2009. "Predicting the bear stock market: Macroeconomic variables as leading indicators," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 211-223, February.
    77. Wasim Shahid Malik, 2007. "Monetary Policy Objectives in Pakistan : An Empirical Investigation," Macroeconomics Working Papers 22212, East Asian Bureau of Economic Research.
    78. Chen, Zhengyang, 2019. "The Long-term Rate and Interest Rate Volatility in Monetary Policy Transmission," EconStor Preprints 204579, ZBW - Leibniz Information Centre for Economics.
    79. Lütkepohl, Helmut & Netšunajev, Aleksei, 2017. "Structural vector autoregressions with smooth transition in variances," Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 43-57.
    80. Camehl, Annika & Rieth, Malte, 2023. "Disentangling COVID-19, Economic Mobility, and Containment Policy Shocks," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 15(4), pages 217-248.
    81. Anna Cieslak & Annette Vissing-Jorgensen, 2020. "The Economics of the Fed Put," NBER Working Papers 26894, National Bureau of Economic Research, Inc.
    82. Arigoni, Filippo & Lenarčič, Črt, 2020. "The impact of trade policy uncertainty shocks on the Euro Area," MPRA Paper 100832, University Library of Munich, Germany.
    83. Grunspan, T., 2005. "The Fed and the Question of Financial Stability: An Empirical Investigation," Working papers 134, Banque de France.
    84. Gurkaynak, Refet S & Sack, Brian & Swanson, Eric T, 2005. "Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," MPRA Paper 820, University Library of Munich, Germany.
    85. Hudepohl, Tom & van Lamoen, Ryan & de Vette, Nander, 2021. "Quantitative easing and exuberance in stock markets: Evidence from the euro area," Journal of International Money and Finance, Elsevier, vol. 118(C).
    86. Moinas, Sophie & Nguyen, Minh & Valente, Giorgio, 2017. "Funding Constraints and Market Illiquidity in the European Treasury Bond Market," TSE Working Papers 17-814, Toulouse School of Economics (TSE).
    87. Dario Caldara & Edward Herbst, 2019. "Monetary Policy, Real Activity, and Credit Spreads: Evidence from Bayesian Proxy SVARs," American Economic Journal: Macroeconomics, American Economic Association, vol. 11(1), pages 157-192, January.
    88. Jordi Gali & Luca Gambetti, 2014. "The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence," NBER Working Papers 19981, National Bureau of Economic Research, Inc.
    89. Rigobon, Roberto, 2016. "Contagion, spillover and interdependence," Working Paper Series 1975, European Central Bank.
    90. Muhammad Naveed Tahir, 2012. "Relative Importance of Monetary Transmission Channels in Inflation Targeting Emerging Economies," EcoMod2012 4092, EcoMod.
    91. Hayford, M. D. & Malliaris, A. G., 2005. "How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule," European Journal of Operational Research, Elsevier, vol. 163(1), pages 20-29, May.
    92. Stona, Filipe & Morais, Igor A.C. & Triches, Divanildo, 2018. "Economic dynamics during periods of financial stress: Evidences from Brazil," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 130-144.
    93. Enzo Weber & Jürgen Wolters, 2013. "Risk and Policy Shocks on the US Term Structure," Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(1), pages 101-119, February.
    94. Mandler, Martin, 2009. "In search of robust monetary policy rules - Should the Fed look at money growth or stock market performance?," Journal of Macroeconomics, Elsevier, vol. 31(2), pages 345-361, June.
    95. Michael Ehrmann & Marcel Fratzscher, 2009. "Global Financial Transmission of Monetary Policy Shocks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 739-759, December.
    96. Allan W. Gregory & James McNeil & Gregor W. Smith, 2022. "US Fiscal Policy Shocks: Proxy-SVAR Overidentification via GMM," Working Paper 1461, Economics Department, Queen's University.
    97. Nina Boyarchenko & Matthew Plosser & Valentin Haddad, 2018. "Federal Reserve and Market Confidence," 2018 Meeting Papers 781, Society for Economic Dynamics.
    98. Don Bredin & Stuart Hyde & Dirk Nitzsche & Gerard O'reilly, 2007. "UK Stock Returns and the Impact of Domestic Monetary Policy Shocks," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(5‐6), pages 872-888, June.
    99. Chatziantoniou, Ioannis & Filis, George & Floros, Christos, 2015. "Asset prices regime-switching and the role of inflation targeting monetary policy," MPRA Paper 68666, University Library of Munich, Germany.
    100. Kao, Erin H. & Yeh, Chih-Chuan & Wang, Li-Hsun & Fung, Hung-Gay, 2018. "The relationship between CSR and performance: Evidence in China," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 155-170.
    101. Helmut Lütkepohl & Aleksei Netsunajev, 2014. "Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market," Discussion Papers of DIW Berlin 1388, DIW Berlin, German Institute for Economic Research.
    102. Fratzscher, Marcel & Juvenal, Luciana & Sarno, Lucio, 2007. "Asset prices, exchange rates and the current account," Working Paper Series 790, European Central Bank.
    103. Angelos Kanas & Christos Ioannidis, 2010. "Causality from real stock returns to real activity: evidence of regime-dependence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(2), pages 180-197.
    104. Stefanescu, Razvan & Dumitriu, Ramona, 2010. "Impact of the global crisis on the linkages between the interest rates and the stock prices in Romania," MPRA Paper 36716, University Library of Munich, Germany, revised 16 Feb 2011.
    105. Netsunajev, Aleksei, 2013. "Reaction to technology shocks in Markov-switching structural VARs: Identification via heteroskedasticity," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 51-62.
    106. Bernoth, Kerstin & von Hagen, Jürgen, 2003. "The performance of the Euribor futures market: Effficiency and the impact of ECB policy announcements," ZEI Working Papers B 27-2003, University of Bonn, ZEI - Center for European Integration Studies.
    107. Rodrigo Alfaro & Andrés Sagner, 2019. "S&P 500 under Dynamic Gordon Model," Working Papers Central Bank of Chile 851, Central Bank of Chile.
    108. Bouakez, Hafedh & Chihi, Foued & Normandin, Michel, 2014. "Fiscal policy and external adjustment: New evidence," Journal of International Money and Finance, Elsevier, vol. 40(C), pages 1-20.
    109. Bacchiocchi, Emanuele & Bastianin, Andrea & Missale, Alessandro & Rossi, Eduardo, 2016. "Structural analysis with mixed frequencies: monetary policy, uncertainty and gross capital flows," JRC Working Papers in Economics and Finance 2016-04, Joint Research Centre, European Commission.
    110. Aleksandra Halka, 2015. "Lessons from the crisis.Did central banks do their homework?," NBP Working Papers 224, Narodowy Bank Polski.
    111. Rodriguez, Harold & Colombo, Jefferson, 2024. "Is bitcoin an inflation hedge?," MPRA Paper 120477, University Library of Munich, Germany.
    112. Yuriy Gorodnichenko & Michael Weber, 2016. "Are Sticky Prices Costly? Evidence from the Stock Market," American Economic Review, American Economic Association, vol. 106(1), pages 165-199, January.
    113. Ackon, Kwabena Meneabe, 2013. "Effect Of Fiscal Policy Shocks In Brazil," MPRA Paper 100741, University Library of Munich, Germany.
    114. Ben S. Bernanke & Kenneth N. Kuttner, 2004. "What explains the stock market's reaction to Federal Reserve policy?," Finance and Economics Discussion Series 2004-16, Board of Governors of the Federal Reserve System (U.S.).
    115. Chang, Kuang-Liang, 2009. "Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model," Economic Modelling, Elsevier, vol. 26(6), pages 1283-1299, November.
    116. Refet S. Gürkaynak & Jonathan H. Wright, 2013. "Identification and Inference Using Event Studies," Manchester School, University of Manchester, vol. 81, pages 48-65, September.
    117. Andrey Duván Rincón-Torres & Kimberly Rojas-Silva & Juan Manuel Julio-Román, 2021. "The Interdependence of FX and Treasury Bonds Markets: The Case of Colombia," Borradores de Economia 1171, Banco de la Republica de Colombia.
    118. Ansgar Belke & Thorsten Polleit, 2005. "Monetary Policy and Dividend Growth in Germany: Long-Run Structural Modelling versus Bounds Testing Approach," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 250/2005, Department of Economics, University of Hohenheim, Germany.
    119. Severin Bernhard & Till Ebner, 2016. "Cross-border Spillover Effects of Unconventional Monetary Policies on Swiss Asset Prices," Working Papers 2016-09, Swiss National Bank.
    120. Knut Are Aastveit & Francesco Furlanetto & Francesca Loria, 2023. "Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis," The Review of Economics and Statistics, MIT Press, vol. 105(5), pages 1314-1324, September.
    121. Mohamed El Hedi Arouri & Fredj Jawadi & Duc Khuong Nguyen, 2013. "What can we tell about monetary policy synchronization and interdependence over the 2007-2009 global financial crisis?," Grenoble Ecole de Management (Post-Print) hal-01410577, HAL.
    122. Bedri Kamil Onur Tas, 2020. "Effect of public procurement regulation on competition and cost-effectiveness," Journal of Regulatory Economics, Springer, vol. 58(1), pages 59-77, August.
    123. Nihar Shah, 2022. "Doubly heterogeneous monetary spillovers," International Finance, Wiley Blackwell, vol. 25(2), pages 126-150, August.
    124. Indrani Manna, 2018. "Can We Still Lean Against the Wind?," Open Economies Review, Springer, vol. 29(2), pages 223-259, April.
    125. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2009. "Inflation, monetary policy and stock market conditions: quantitative evidence from a hybrid latent-variable VAR," Working Papers 2008-012, Federal Reserve Bank of St. Louis.
    126. Eurico Ferreira, 2019. "ECB, BoE and Fed Monetary-Policy announcements: price and volume effects on European securities markets," Working Papers w201914, Banco de Portugal, Economics and Research Department.
    127. James H. Stock, 2010. "The Other Transformation in Econometric Practice: Robust Tools for Inference," Journal of Economic Perspectives, American Economic Association, vol. 24(2), pages 83-94, Spring.
    128. Dominik Bertsche & Robin Braun, 2018. "Identification of Structural Vector Autoregressions by Stochastic Volatility," Working Paper Series of the Department of Economics, University of Konstanz 2018-03, Department of Economics, University of Konstanz.
    129. Aliyu, Shehu Usman Rano, 2011. "Reactions of stock market to monetary policy shocks during the global financial crisis: the Nigerian case," MPRA Paper 35581, University Library of Munich, Germany, revised 28 Dec 2011.
    130. Stavros Degiannakis & Alexandra Livada, 2016. "Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(5), pages 871-892, April.
    131. Owyang, Michael T. & Ramey, Garey, 2004. "Regime switching and monetary policy measurement," Journal of Monetary Economics, Elsevier, vol. 51(8), pages 1577-1597, November.
    132. Wang, Shen & Mayes, David G., 2012. "Monetary policy announcements and stock reactions: An international comparison," The North American Journal of Economics and Finance, Elsevier, vol. 23(2), pages 145-164.
    133. Masahiko Shibamoto, 2016. "Empirical Assessment of the Impact of Monetary Policy Communication on the Financial Market," Discussion Paper Series DP2016-19, Research Institute for Economics & Business Administration, Kobe University.
    134. Rosa, Carlo, 2011. "Words that shake traders," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 915-934.
    135. John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2014. "Macroeconomic Drivers of Bond and Equity Risks," NBER Working Papers 20070, National Bureau of Economic Research, Inc.
    136. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2003. "An empirical analysis of stock and bond market liquidity," Staff Reports 164, Federal Reserve Bank of New York.
    137. José Mauricio Gil León, 2015. "Relación entre política monetaria y estabilidad financiera: un análisis aplicado para Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 33(77), pages 133-148, June.
    138. Joe Peek & Eric Rosengren & Geoffrey M. B. Tootell, 2016. "Does Fed policy reveal a ternary mandate?," Working Papers 16-11, Federal Reserve Bank of Boston.
    139. Shen, Chung-Hua & Lin, Kun-Li & Guo, Na, 2016. "Hawk or dove: Switching regression model for the monetary policy reaction function in China," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 94-111.
    140. Mandler, Martin, 2006. "Are there gains from including monetary aggregates and stock market indices in the monetary policy reaction function? A simulation study of recent U.S. monetary policy," MPRA Paper 2318, University Library of Munich, Germany.
    141. Farka, Mira, 2009. "The effect of monetary policy shocks on stock prices accounting for endogeneity and omitted variable biases," Review of Financial Economics, Elsevier, vol. 18(1), pages 47-55, January.
    142. Ehrmann, Michael & Fratzscher, Marcel, 2017. "Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 26-44.
    143. Yang Hu & Yanran Hong & Kai Feng & Jikai Wang, 2023. "Evaluating the Importance of Monetary Policy Uncertainty: The Long- and Short-Term Effects and Responses," Evaluation Review, , vol. 47(2), pages 264-286, April.
    144. Nave, Juan M. & Ruiz, Javier, 2015. "Risk aversion and monetary policy in a global context," Journal of Financial Stability, Elsevier, vol. 20(C), pages 14-35.
    145. Duan, Qihong & Wei, Ying & Chen, Zhiping, 2014. "Relationship between the benchmark interest rate and a macroeconomic indicator," Economic Modelling, Elsevier, vol. 38(C), pages 220-226.
    146. Dobromił Serwa & Piotr Wdowiński, 2017. "Modeling Macro-Financial Linkages: Combined Impulse Response Functions in SVAR Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(4), pages 323-357, December.
    147. Pitschner, Stefan, 2013. "Using Financial Markets To Estimate the Macro Effects of Monetary Policy:," Working Paper Series 267, Sveriges Riksbank (Central Bank of Sweden).
    148. Prono, Todd, 2011. "When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models," MPRA Paper 33593, University Library of Munich, Germany.
    149. Justyna Wr'oblewska & {L}ukasz Kwiatkowski, 2024. "Identification of structural shocks in Bayesian VEC models with two-state Markov-switching heteroskedasticity," Papers 2406.03053, arXiv.org, revised Jun 2024.
    150. António Afonso & Ricardo M. Sousa, 2008. "The Macroeconomic Effects of Fiscal Policy," Working Papers Department of Economics 2008/56, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    151. Travaglini, Guido, 2007. "The U.S. Dynamic Taylor Rule With Multiple Breaks, 1984-2001," MPRA Paper 3419, University Library of Munich, Germany, revised 15 Jun 2007.
    152. Kohonen, Anssi, 2012. "Transmission of Government Default Risk in the Eurozone," MPRA Paper 43823, University Library of Munich, Germany.
    153. Ling T. He, 2006. "Variations in effects of monetary policy on stock market returns in the past four decades," Review of Financial Economics, John Wiley & Sons, vol. 15(4), pages 331-349.
    154. Fernando Henrique De Paula E Silva Mendes & Guilherme Valle Mour, 2014. "Evidências De Bull E Bear Market No Índice Bovespa: Uma Aplicação De Modelos De Regime Markoviano E Duration Dependence," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 138, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    155. Luca Agnello & Ricardo M. Sousa, 2010. "Fiscal Policy and Asset Prices," NIPE Working Papers 25/2010, NIPE - Universidade do Minho.
    156. Ana Lamo & Frank Smets, 2010. "Wage dynamics in Europe: some new findings," Research Bulletin, European Central Bank, vol. 10, pages 2-5.
    157. Pawe³ Œliwiñski, 2023. "Endogenous money supply, global liquidity and financial transactions: Panel evidence from OECD countries," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 18(1), pages 121-152, March.
    158. Kitney, Paul, 2018. "Financial factors and monetary policy: Determinacy and learnability of equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 194-207.
    159. Aliyu, Shehu Usman Rano & Aminu, Abubakar Wambai, 2018. "Economic regimes and stock market performance in Nigeria: Evidence from regime switching model," MPRA Paper 91430, University Library of Munich, Germany, revised 03 Oct 2018.
    160. Carlos J. Rincon & Anastasiia V. Petrova, 2024. "Assessing the Impact of the ECB’s Unconventional Monetary Policy on the European Stock Markets," JRFM, MDPI, vol. 17(9), pages 1-20, September.
    161. Xin Zhang & Christoph Bertsch & Isaiah Hull, 2017. "Monetary Normalizations and Consumer Credit: Evidence from Fed Liftoff and Online Lending," 2017 Meeting Papers 442, Society for Economic Dynamics.
    162. Fredj Jawadi & Mohamed Hedi Arouri & Duc Khuong Nguyen, 2010. "Global financial crisis, liquidity pressure in stock markets and efficiency of central bank interventions," Applied Financial Economics, Taylor & Francis Journals, vol. 20(8), pages 669-680.
    163. Daniel J. Lewis, 2018. "Robust inference in models identified via heteroskedasticity," Staff Reports 876, Federal Reserve Bank of New York.
    164. Katrin Woelfel & Christoph S. Weber, 2014. "Searching for the FED's Reaction Function," Working Papers 154, Bavarian Graduate Program in Economics (BGPE).
    165. W. -X. Zhou & D. Sornette, 2003. "Causal Slaving of the U.S. Treasury Bond Yield Antibubble by the Stock Market Antibubble of August 2000," Papers cond-mat/0312658, arXiv.org.
    166. Don Bredin & Gerard O’Reilly & Simon Stevenson, 2007. "Monetary Shocks and REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 35(3), pages 315-331, October.
    167. Fernandez-Perez, Adrian & Frijns, Bart & Tourani-Rad, Alireza, 2016. "Contemporaneous interactions among fuel, biofuel and agricultural commodities," Energy Economics, Elsevier, vol. 58(C), pages 1-10.
    168. Lütkepohl, Helmut & Velinov, Anton, 2014. "Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity," SFB 649 Discussion Papers 2014-009, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    169. Arampatzidis, Ioannis & Dergiades, Theologos & Kaufmann, Robert K. & Panagiotidis, Theodore, 2021. "Oil and the U.S. stock market: Implications for low carbon policies," Energy Economics, Elsevier, vol. 103(C).
    170. Paolo Surico & Antonello D'Agostino & Luca Sala, 2005. "The Fed and the Stock Market," Computing in Economics and Finance 2005 293, Society for Computational Economics.
    171. Shirota, Toyoichiro, 2018. "Evaluating the Unconventional Monetary Policy in Stock Markets : A Semi-parametric Approach," Discussion paper series. A 322, Graduate School of Economics and Business Administration, Hokkaido University.
    172. Kuang-Liang Chang & Nan-Kuang Chen & Charles Ka Yui Leung, 2016. "Losing Track of the Asset Markets: the Case of Housing and Stock," International Real Estate Review, Global Social Science Institute, vol. 19(4), pages 435-492.
    173. Shiu‐Sheng Chen, 2007. "Does Monetary Policy Have Asymmetric Effects on Stock Returns?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2‐3), pages 667-688, March.
    174. J. Benson Durham, 2001. "The effect of monetary policy on monthly and quarterly stock market returns: cross-country evidence and sensitivity analyses," Finance and Economics Discussion Series 2001-42, Board of Governors of the Federal Reserve System (U.S.).
    175. Herwartz, Helmut & Lütkepohl, Helmut, 2014. "Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks," Journal of Econometrics, Elsevier, vol. 183(1), pages 104-116.
    176. J. Rodrigo Fuentes S. & Marcelo Ochoa C., 2007. "Política Monetaria, Precios de Activos y Estabilidad Financiera: Una Revisión de la Literatura," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 10(3), pages 115-127, December.
    177. Helmut Lütkepohl & Aleksei Netšunajev, 2015. "Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models," CESifo Working Paper Series 5308, CESifo.
    178. Michael Ehrmann & Marcel Fratzscher, 2015. "Euro Area Government Bonds: Integration and Fragmentation during the Sovereign Debt Crisis," Discussion Papers of DIW Berlin 1479, DIW Berlin, German Institute for Economic Research.
    179. Thore Schlaak & Malte Rieth & Maximilian Podstawski, 2023. "Monetary policy, external instruments, and heteroskedasticity," Quantitative Economics, Econometric Society, vol. 14(1), pages 161-200, January.
    180. Edith Skriner, 2011. "Did Asset Prices Cause the Current Crisis?," Chapters, in: Óscar Dejuán & Eladio Febrero & Maria Cristina Marcuzzo (ed.), The First Great Recession of the 21st Century, chapter 9, Edward Elgar Publishing.
    181. Todd, Prono, 2009. "GARCH-Based Identification and Estimation of Triangular Systems," MPRA Paper 20032, University Library of Munich, Germany.
    182. d'Amico, Stefania & Mira Farka, 2003. "The Fed and Stock Market: A Proxy and Instrumental Variable Identification," Royal Economic Society Annual Conference 2003 52, Royal Economic Society.
    183. Łukasz Goczek & Karol Partyka, 2016. "Reakcja polityki pieniężnej na wydarzenia giełdowe," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 5, pages 27-50.
    184. Triantafyllou, Athanasios & Dotsis, George, 2017. "Option-implied expectations in commodity markets and monetary policy," Journal of International Money and Finance, Elsevier, vol. 77(C), pages 1-17.
    185. Hoffmann, Andreas, 2012. "Did the Fed and ECB react asymmetrically with respect to asset market developments?," Working Papers 103, University of Leipzig, Faculty of Economics and Management Science.
    186. Helmut Lütkepohl & Aleksei Netsunajev, 2012. "Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs," Discussion Papers of DIW Berlin 1195, DIW Berlin, German Institute for Economic Research.
    187. Sousa, Ricardo M., 2010. "Housing wealth, financial wealth, money demand and policy rule: Evidence from the euro area," The North American Journal of Economics and Finance, Elsevier, vol. 21(1), pages 88-105, March.
    188. Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2013. "Further evidence on bear market predictability: The role of the external finance premium," MPRA Paper 49093, University Library of Munich, Germany.
    189. Helmut Lütkepohl, 2012. "Reducing Confidence Bands for Simulated Impulse Responses," Discussion Papers of DIW Berlin 1235, DIW Berlin, German Institute for Economic Research.
    190. Jean-Yves Filbien & Fabien Labondance, 2012. "Reactions Des Marches D’Actions De La Zone Euro Aux Annonces Non Anticipees De La Bce," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 55(2), pages 179-204.
    191. Castelnuovo, Efrem & Nisticò, Salvatore, 2010. "Stock market conditions and monetary policy in a DSGE model for the U.S," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1700-1731, September.
    192. Helmut Lutkepohl & Fei Shang & Luis Uzeda & Tomasz Wo'zniak, 2024. "Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference," Papers 2404.11057, arXiv.org.
    193. John S. Lapp & Douglas K. Pearce & Surachit Laksanasut, 2003. "The Predictability of FOMC Decisions: Evidence from the Volcker and Greenspan Chairmanships," Southern Economic Journal, John Wiley & Sons, vol. 70(2), pages 312-327, October.
    194. Levon Goukasian & Mehdi Majbouri, 2010. "The Reaction of Real Estate–Related Industries to the Monetary Policy Actions," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(2), pages 355-398, June.
    195. Chauvet, Marcelle & Jiang, Cheng, 2023. "Nonlinear relationship between monetary policy and stock returns: Evidence from the U.S," Global Finance Journal, Elsevier, vol. 55(C).
    196. Hodula, Martin & Libich, Jan, 2023. "Has monetary policy fueled the rise in shadow banking?," Economic Modelling, Elsevier, vol. 123(C).
    197. Vítor, Castro, 2011. "Can central banks' monetary policy be described by a linear (augmented) Taylor rule or by a nonlinear rule?," Journal of Financial Stability, Elsevier, vol. 7(4), pages 228-246, December.
    198. Irfan Akbar Kazi & Hakimzadi Wagan & Farhan Akbar, 2012. "The changing international transmission of US monetary policy shocks: is there evidence of contagion effect on OECD countries," EconomiX Working Papers 2012-27, University of Paris Nanterre, EconomiX.
    199. Fengler, Matthias & Polivka, Jeannine, 2021. "Proxy-identification of a structural MGARCH model for asset returns," Economics Working Paper Series 2103, University of St. Gallen, School of Economics and Political Science, revised Oct 2024.
    200. Bacchiocchi, Emanuele & Bastianin, Andrea & Missale, Alessandro & Rossi, Eduardo, 2020. "Structural analysis with mixed-frequency data: A model of US capital flows," Economic Modelling, Elsevier, vol. 89(C), pages 427-443.
    201. Ms. Nan Li & Mr. Vance Martin, 2018. "Real Sectoral Spillovers: A Dynamic Factor Analysis of the Great Recession," IMF Working Papers 2018/100, International Monetary Fund.
    202. Nagao, Ryoya & Kondo, Yoshihiro & Nakazono, Yoshiyuki, 2021. "The macroeconomic effects of monetary policy: Evidence from Japan," Journal of the Japanese and International Economies, Elsevier, vol. 61(C).
    203. Käfer Benjamin, 2014. "The Taylor Rule and Financial Stability – A Literature Review with Application for the Eurozone," Review of Economics, De Gruyter, vol. 65(2), pages 159-192, August.
    204. Chang, Kuang-Liang, 2011. "The nonlinear effects of expected and unexpected components of monetary policy on the dynamics of REIT returns," Economic Modelling, Elsevier, vol. 28(3), pages 911-920, May.
    205. Martien Lamers & Frederik Mergaerts & Elien Meuleman & Rudi Vander Vennet, 2016. "The trade-off between monetary policy and bank stability," Working Paper Research 308, National Bank of Belgium.
    206. Bomin Jiang & Roberto Rigobon & Munther A. Dahleh, 2020. "Contingent Linear Financial Networks," NBER Working Papers 26814, National Bureau of Economic Research, Inc.
    207. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007. "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets," CREATES Research Papers 2007-20, Department of Economics and Business Economics, Aarhus University.
    208. Florian Kajuth, 2016. "NAIRU Estimates for Germany: New Evidence on the Inflation–Unemployment Tradeoff," German Economic Review, Verein für Socialpolitik, vol. 17(1), pages 104-125, February.
    209. Karen Davtyan & Omar Elkaraksy, 2024. "Uncovering the Financial Effects of the Exchange Rate Regime Transition in Egypt," Working Papers wpdea2407, Department of Applied Economics at Universitat Autonoma of Barcelona.
    210. Chao Liang & Yanran Hong & Luu Duc Toan Huynh & Feng Ma, 2023. "Asymmetric dynamic risk transmission between financial stress and monetary policy uncertainty: thinking in the post-covid-19 world," Review of Quantitative Finance and Accounting, Springer, vol. 60(4), pages 1543-1567, May.
    211. Shah, Adil Ahmad & Dar, Arif Billah & Bhanumurthy, N.R., 2021. "Are precious metals and equities immune to monetary and fiscal policy uncertainties?," Resources Policy, Elsevier, vol. 74(C).
    212. Hung, Kuo-Che & Ma, Tai, 2017. "The effects of expectations-based monetary policy on international stock markets: An application of heterogeneous agent model," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 70-87.
    213. Fengler, Matthias & Polivka, Jeanine, 2022. "Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model," VfS Annual Conference 2022 (Basel): Big Data in Economics 264010, Verein für Socialpolitik / German Economic Association.
    214. Stylianos X. Koufadakis, 2015. "Asymmetries on Closed End Country Funds Premium and Monetary Policy Announcements: An Approach Trough the Perspective of Foreign Countries," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 65(3-4), pages 29-65, july-Dece.
    215. Azad, A.S.M.S. & Azmat, Saad & Chazi, Abdelaziz & Ahsan, Amirul, 2018. "Can Islamic banks have their own benchmark?," Emerging Markets Review, Elsevier, vol. 35(C), pages 120-136.
    216. Alali, Walid Y. & Ellalee, Haider, 2018. "The Brexit Impact on Inward FDI in the UK," EconStor Preprints 274655, ZBW - Leibniz Information Centre for Economics.
    217. Francesco Furlanetto, 2011. "Does Monetary Policy React to Asset Prices? Some International Evidence," International Journal of Central Banking, International Journal of Central Banking, vol. 7(3), pages 91-111, September.
    218. Yu Hsing, 2004. "Estimating the Bank of Japan's monetary policy reaction function," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 57(229), pages 169-183.
    219. Farka, Mira & DaSilva, Amadeu, 2011. "The fed and the term structure: Addressing simultaneity within a structural VAR model," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 935-952.
    220. Daniel J. Lewis, 2019. "Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Macroeconomic Effects," Staff Reports 891, Federal Reserve Bank of New York.
    221. Lee, Dong Jin & Son, Jong Chil, 2013. "Nonlinearity and structural breaks in monetary policy rules with stock prices," Economic Modelling, Elsevier, vol. 31(C), pages 1-11.
    222. Herwartz, Helmut & Maxand, Simone & Rohloff, Hannes, 2018. "Lean against the wind or float with the storm? Revisiting the monetary policy asset price nexus by means of a novel statistical identification approach," University of Göttingen Working Papers in Economics 354, University of Goettingen, Department of Economics.
    223. Zegadło, Piotr, 2022. "Identifying bull and bear market regimes with a robust rule-based method," Research in International Business and Finance, Elsevier, vol. 60(C).
    224. Roberta CARDANI, 2008. "Optimal Monetary Policy with Wealth Effect and Cost Channel," EcoMod2008 23800021, EcoMod.
    225. Kwamie Dunbar, 2008. "The Impact of the FOMC's Monetary Policy Actions on the growth of Credit Risk: the Monetary Policy - Liquidity Paradox," Working papers 2008-05, University of Connecticut, Department of Economics.
    226. Luís Aguiar-Conraria & Manuel M. F. Martins & Maria Joana Soares, 2018. "Estimating the Taylor Rule in the Time-Frequency Domain," NIPE Working Papers 04/2018, NIPE - Universidade do Minho.
    227. Alexander David & Pietro Veronesi, 2014. "Investors' and Central Bank's Uncertainty Embedded in Index Options," The Review of Financial Studies, Society for Financial Studies, vol. 27(6), pages 1661-1716.
    228. Mira Farka, 2009. "The effect of monetary policy shocks on stock prices accounting for endogeneity and omitted variable biases," Review of Financial Economics, John Wiley & Sons, vol. 18(1), pages 47-55, January.
    229. Aliyu, Shehu Usman Rano, 2020. "What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?," MPRA Paper 110382, University Library of Munich, Germany, revised 06 Jun 2021.
    230. Julie Agnew & Pierluigi Balduzzi, 2012. "The Reluctant Retirement Trader: Do Asset Returns Overcome Inertia?," NFI Working Papers 2012-WP-01, Indiana State University, Scott College of Business, Networks Financial Institute.
    231. Lyonnet, Victor & Werner, Richard A., 2011. "The lessons from QE and other "unconventional" monetary policies: Evidence from the Bank of England," CFS Working Paper Series 2011/29, Center for Financial Studies (CFS).
    232. Siklos, Pierre L., 2008. "The Fed's reaction to the stock market during the great depression: Fact or artefact?," Explorations in Economic History, Elsevier, vol. 45(2), pages 164-184, April.
    233. Hilde C. Bjørnland & Dag Henning Jacobsen, 2012. "House prices and stock prices: Different roles in the U.S. monetary transmission mechanism," Working Papers No 1/2012, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    234. Liu, De-Chih & Liu, Chih-Yun, 2016. "The source of stock return fluctuation in Taiwan," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 77-88.
    235. Marinescu, Ion-Iulian & Horobet, Alexandra & Lupu, Radu, 2018. "Dichotomous stock market reaction to episodes of rules and discretion in the US monetary policy," Economic Modelling, Elsevier, vol. 70(C), pages 56-66.
    236. António Afonso, 2011. "The Macroeconomic Effects of Fiscal Policy," Post-Print hal-00719484, HAL.
    237. Chordia, Tarun & Sarkar, Asani & Subrahmanyam, Avanidhar, 2001. "An Empirical Analysis of Stock and Bond Market Liquidity: Forthcoming in the Review of Financial Studies," University of California at Los Angeles, Anderson Graduate School of Management qt9178v9kq, Anderson Graduate School of Management, UCLA.
    238. Lopomo Beteto Wegner, Danilo, 2024. "Central bank intervention and financial bubbles," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 1-19.
    239. Nan-Kuang Chen & Han-Liang Cheng, 2011. "Asset Price and Monetary Policy - The Effect of Expectation Formation," Working Papers 032011, Hong Kong Institute for Monetary Research.
    240. Kramkov, Viacheslav & Maksimov, Andrey, 2024. "Monetary surprises and term structure of interest rates: Identification through heteroscedasticity," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 74, pages 5-34.
    241. Victor Song & Libo Xu, 2023. "Do Monetary Policy Shocks Have Asymmetric Effects on Stock Market?," Open Economies Review, Springer, vol. 34(5), pages 1063-1078, November.
    242. Fabrizio Mattesini & Leonardo Becchetti, 2008. "The stock market and the Fed," CEIS Research Paper 113, Tor Vergata University, CEIS, revised 14 Jul 2008.
    243. Mohsen Jafarian & Fauzias Mat Nor & Izani Ibrahim, 2018. "The Relative Importance of Cash Flow News and Discount Rate News at Driving Stock Price Change," Capital Markets Review, Malaysian Finance Association, vol. 26(1), pages 56-72.
    244. Faisal Khan & Saif-Ur-Rehman Khan & Hashim Khan, 2016. "Pricing of Risk, Various Volatility Dynamics and Macroeconomic Exposure of Firm Returns: New Evidence on Age Effect," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 551-561.
    245. Pierre Guérin & Danilo Leiva-Leon, 2017. "Monetary policy, stock market and sectoral comovement," Working Papers 1731, Banco de España.
    246. Jansen, Dennis W. & Tsai, Chun-Li, 2010. "Monetary policy and stock returns: Financing constraints and asymmetries in bull and bear markets," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 981-990, December.
    247. Jawadi Fredj & Mallick Sushanta K. & Sousa Ricardo M., 2014. "Fiscal policy in the BRICs," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(2), pages 201-215, April.
    248. Reinhold Heinlein & Gabriele M. Lepori, 2022. "Do financial markets respond to macroeconomic surprises? Evidence from the UK," Empirical Economics, Springer, vol. 62(5), pages 2329-2371, May.
    249. Azad, A.S.M. Sohel & Batten, Jonathan A. & Fang, Victor, 2015. "What determines the yen swap spread?," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 1-13.
    250. Vithessonthi, Chaiporn & Techarongrojwong, Yaowaluk, 2013. "Do monetary policy announcements affect stock prices in emerging market countries? The case of Thailand," Journal of Multinational Financial Management, Elsevier, vol. 23(5), pages 446-469.
    251. Emma M. Iglesias & Andre Yone Haughton, 2013. "Interaction between monetary policy and stock prices: a comparison between the Caribbean and the US," Applied Financial Economics, Taylor & Francis Journals, vol. 23(6), pages 515-534, March.
    252. Mendes, Fernando Henrique de Paula e Silva & Caldeira, João Frois & Moura, Guilherme Valle, 2018. "Evidence of Bull and Bear Markets in the Bovespa index: An application of Markovian regime-switching Models with Duration Dependence," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 38(1), May.
    253. Wojciech Grabowski, 2001. "Reacting to the Stock Market," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 4.
    254. Spargoli, Fabrizio & Zagaglia, Paolo, 2008. "The co-movements along the forward curve of natural gas futures: a structural view," Bank of Finland Research Discussion Papers 26/2008, Bank of Finland.
    255. Anastasios Evgenidis & Anastasios G. Malliaris, 2020. "To Lean Or Not To Lean Against An Asset Price Bubble? Empirical Evidence," Economic Inquiry, Western Economic Association International, vol. 58(4), pages 1958-1976, October.
    256. Filardo, Andrew & Hubert, Paul & Rungcharoenkitkul, Phurichai, 2022. "Monetary policy reaction function and the financial cycle," Journal of Banking & Finance, Elsevier, vol. 142(C).
    257. Bedri Kamil Onur Tas, 2009. "Why Does the Fed React to the Stock Market Changes?: A Covariance Decomposition Analysis," Working Papers 0905, TOBB University of Economics and Technology, Department of Economics.
    258. Deniz Ilalan, 2018. "How US wages effect post-socialist European stock markets: an empirical study," Economics and Business Letters, Oviedo University Press, vol. 7(4), pages 179-188.
    259. Hung, Kuo-Che & Ma, Tai, 2017. "Does monetary policy have any relationship with the expectations of stock market participants?," Journal of Multinational Financial Management, Elsevier, vol. 39(C), pages 100-117.
    260. Marcello Pericoli & Giovanni Veronese, 2017. "Monetary policy surprises over time," Temi di discussione (Economic working papers) 1102, Bank of Italy, Economic Research and International Relations Area.
    261. Chatterjee, Arpita, 2016. "Globalization and monetary policy comovement: International evidence," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 181-202.
    262. Ion-Iulian MARINESCU & Alexandra HOROBET, 2015. "Rules and Discretion in Monetary Policy: Is the Response of the Stock Market Rational?," Expert Journal of Economics, Sprint Investify, vol. 3(1), pages 50-62.
    263. Stefan Eichler & Tom Lähner, 2014. "Regional House Price Dynamics And Voting Behavior In The Fomc," Economic Inquiry, Western Economic Association International, vol. 52(2), pages 625-645, April.
    264. Emanuele BACCHIOCCHI & Luca FANELLI, 2012. "Identification in structural vector autoregressive models with structural changes," Departmental Working Papers 2012-16, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    265. Rongrong Sun, 2018. "Monetary Policy Announcements and Market Interest Rates Response: Evidence from China," CFDS Discussion Paper Series 2018/5, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China.
    266. Kontonikas, Alexandros & MacDonald, Ronald & Saggu, Aman, 2013. "Stock market reaction to fed funds rate surprises: State dependence and the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4025-4037.
    267. Luís, Pacheco, 2004. "Asset Prices and Monetary Policy in the Euro Area: a tentative model," MPRA Paper 6579, University Library of Munich, Germany.
    268. Stefano Neri, 2004. "Monetary policy and stock prices: theory and evidence," Temi di discussione (Economic working papers) 513, Bank of Italy, Economic Research and International Relations Area.
    269. Lumengo Bonga-Bonga & Jamela Hoveni, 2013. "Volatility Spillovers between the Equity Market and Foreign Exchange Market in South Africa in the 1995-2010 Period," South African Journal of Economics, Economic Society of South Africa, vol. 81(2), pages 260-274, June.
    270. Emanuele Bacchiocchi & Efrem Castelnuovo & Luca Fanelli, 2014. "Gimme a break! Identification and estimation of the macroeconomic effects of monetary policy shocks in the U.S," "Marco Fanno" Working Papers 0181, Dipartimento di Scienze Economiche "Marco Fanno".
    271. Youta Ishii, 2008. "International transmissions in US-Japanese stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 18(15), pages 1193-1200.
    272. Sandoval Paucar, Giovanny, 2018. "Efectos de desbordamiento sobre los mercados financieros de Colombia. Identificación a través de la heterocedasticidad [Spillovers effects on financial markets of Colombia. Identification through h," MPRA Paper 90422, University Library of Munich, Germany.
    273. Schmeling, Maik & Schrimpf, Andreas & Steffensen, Sigurd A.M., 2022. "Monetary policy expectation errors," Journal of Financial Economics, Elsevier, vol. 146(3), pages 841-858.
    274. Guo, Feng & Hu, Jinyan & Jiang, Mingming, 2013. "Monetary shocks and asymmetric effects in an emerging stock market: The case of China," Economic Modelling, Elsevier, vol. 32(C), pages 532-538.
    275. Bo Zhang & Jinyan Hu & Mingming Jiang & Feng Guo, 2017. "Monetary Shocks And Stock Market Fluctuations: With An Application To The Chinese Stock Market," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 62(04), pages 875-904, September.
    276. Vicente da Gama Machado, 2012. "Monetary Policy, Asset Prices and Adaptive Learning," Working Papers Series 274, Central Bank of Brazil, Research Department.
    277. Kajuth, Florian, 2012. "Identifying the Phillips curve through shifts in volatility," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 975-991.
    278. Jaromír Baxa & Roman Horváth & Bořek Vašíček, 2011. "Time Varying Monetary Policy Rules and Financial Stress," Chapters, in: Sylvester Eijffinger & Donato Masciandaro (ed.), Handbook of Central Banking, Financial Regulation and Supervision, chapter 10, Edward Elgar Publishing.
    279. Abouwafia, Hashem E. & Chambers, Marcus J., 2015. "Monetary policy, exchange rates and stock prices in the Middle East region," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 14-28.
    280. Tsai, Chun-Li, 2011. "The reaction of stock returns to unexpected increases in the federal funds rate target," Journal of Economics and Business, Elsevier, vol. 63(2), pages 121-138.
    281. Qiuyun Wang & Lu Liu, 2022. "Pandemic or panic? A firm-level study on the psychological and industrial impacts of COVID-19 on the Chinese stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-38, December.
    282. Mira Farka, 2022. "The credit channel of monetary policy before and after the zero lower bound: Evidence from the US equity market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(3), pages 633-693, September.
    283. Neharika Sobti, 2018. "Domestic intermarket linkages: measuring dynamic return and volatility connectedness among Indian financial markets," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 45(4), pages 325-344, December.
    284. Enzo Weber, 2010. "Volatility and causality in Asia Pacific financial markets," Applied Financial Economics, Taylor & Francis Journals, vol. 20(16), pages 1269-1292.
    285. Griffin Msefula & Tony Chieh-Tse Hou & Tina Lemesi, 2024. "Financial and market risks of bitcoin adoption as legal tender: evidence from El Salvador," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-15, December.
    286. Nikiforos Laopodis, 2010. "Dynamic linkages between monetary policy and the stock market," Review of Quantitative Finance and Accounting, Springer, vol. 35(3), pages 271-293, October.
    287. Ibrahim Ayoade Adekunle & Anthony Emeka Elekeokwuri & Serifat Olukorede Onayemi, 2020. "Stability in Stock Market Prices and Monetary Policy in Nigeria; What Does the Empirics Say?," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 2-13, August.
    288. Craine, Roger & Martin, Vance L., 2008. "International monetary policy surprise spillovers," Journal of International Economics, Elsevier, vol. 75(1), pages 180-196, May.
    289. Ou Sun & Zhixin Liu, 2016. "Comparison of Monetary Policy Actions and Central Bank Communication on Tackling Asset Price Bubbles—Evidence from China’s Stock Market," PLOS ONE, Public Library of Science, vol. 11(11), pages 1-20, November.
    290. David Bowman & Juan M. Londono & Horacio Sapriza, 2014. "U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies," International Finance Discussion Papers 1109, Board of Governors of the Federal Reserve System (U.S.).
    291. Julian, Inchauspe & Helen, Cabalu, 2013. "What Drives the Shanghai Stock Market? An Examination of its Linkage to Macroeconomic Fundamentals," MPRA Paper 93049, University Library of Munich, Germany.
    292. Chia‐Yi Yen & Yu‐Hsi Chou, 2020. "Understanding The Macroeconomic Impact Of Illiquidity Shocks In The United States," Economic Inquiry, Western Economic Association International, vol. 58(3), pages 1245-1278, July.
    293. Bouakez, Hafedh & Essid, Badye & Normandin, Michel, 2013. "Stock returns and monetary policy: Are there any ties?," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 33-50.
    294. Arpita Chatterjee, 2014. "Globalization and Monetary Policy Comovement: Evidence from G-7 Countries," Discussion Papers 2014-19, School of Economics, The University of New South Wales.
    295. Aymen Belgacem, 2009. "Fundamentals, Macroeconomic Announcements and Asset Prices," EconomiX Working Papers 2009-16, University of Paris Nanterre, EconomiX.
    296. Yongseung Han & Myeong Hwan Kim, 2023. "Monetary shocks on the Korean stock index: structural VAR analysis," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(1), pages 85-102, March.
    297. Noor Azuddin Yakob & Yap Yih Tzeng & Carl B. McGowan, Jr, 2014. "Overnight Policy Rate Changes and Stock Market Reactions –The Experience in Malaysia," Accounting and Finance Research, Sciedu Press, vol. 3(3), pages 1-1, August.
    298. Suhaibu, Iddrisu & Harvey, Simon K. & Amidu, Mohammed, 2017. "The impact of monetary policy on stock market performance: Evidence from twelve (12) African countries," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1372-1382.
    299. Rahul Nath, 2018. "Equity Pricing New Keynesian Models with Nominal Rigidities and Investment," Economics Series Working Papers 850, University of Oxford, Department of Economics.
    300. Hoffmann, Andreas, 2009. "Fear of depression - Asymmetric monetary policy with respect to asset markets," MPRA Paper 17522, University Library of Munich, Germany.
    301. Efrem Castelnuovo, 2016. "Monetary policy shocks and Cholesky VARs: an assessment for the Euro area," Empirical Economics, Springer, vol. 50(2), pages 383-414, March.
    302. Hitz, Lukas & Mustafi, Ismail H. & Zimmermann, Heinz, 2022. "The pricing of volatility risk in the US equity market," International Review of Financial Analysis, Elsevier, vol. 79(C).
    303. Castelnuovo, Efrem, 2013. "Monetary policy shocks and financial conditions: A Monte Carlo experiment," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 282-303.
    304. Pennings, Steven & Ramayandi, Arief & Tang, Hsiao Chink, 2011. "The Impact of Monetary Policy on Financial Markets in Small Open Economies: More or Less Effective During the Global Financial Crisis?," Working Papers on Regional Economic Integration 72, Asian Development Bank.
    305. Ha Yan Lee & Luca Antonio Ricci & Roberto Rigobon, 2004. "Once Again, is Openness Good for Growth?," NBER Working Papers 10749, National Bureau of Economic Research, Inc.
    306. Tsai, Chun-Li, 2011. "The reaction of stock returns to unexpected increases in the federal funds rate target," Journal of Economics and Business, Elsevier, vol. 63(2), pages 121-138, March.
    307. Nkwoma, Inekwe John, 2017. "Futures-Based Measures Of Monetary Policy And Jump Risk," Macroeconomic Dynamics, Cambridge University Press, vol. 21(2), pages 384-405, March.
    308. Kim, Myeong Hyeon & Kim, Young Min & Yang, Kisung, 2022. "Understanding BOXPI — Industry portfolio perspectives," Journal of Asian Economics, Elsevier, vol. 81(C).
    309. Roberto Rigobon & Dani Rodrik, 2005. "Rule of law, democracy, openness, and income," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 13(3), pages 533-564, July.
    310. Helmut Lütkepohl, 2012. "Identifying Structural Vector Autoregressions via Changes in Volatility," Discussion Papers of DIW Berlin 1259, DIW Berlin, German Institute for Economic Research.
    311. Günter Coenen & Juha Kilponen & Mathias Trabandt, 2010. "When does fiscal stimulus work?," Research Bulletin, European Central Bank, vol. 10, pages 6-10.
    312. Ansgar Belke & Thorsten Polleit, 2005. "(How) Do Stock Market Returns React to Monetary Policy? - An ARDL Cointegration Analysis for Germany," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 253/2005, Department of Economics, University of Hohenheim, Germany.
    313. ÅžimÅŸek, Alp & Chodorow-Reich, Gabriel & Nenov, Plamen T., 2019. "Stock Market Wealth and the Real Economy: A Local Labor Market Approach," CEPR Discussion Papers 13856, C.E.P.R. Discussion Papers.
    314. Ellalee, Haider & Alali, Walid Y., 2018. "The Brexit Impact on Inward FDI in the UK," MPRA Paper 117510, University Library of Munich, Germany, revised 20 May 2018.
    315. Chudik, Alexander & Fratzscher, Marcel, 2011. "Identifying the global transmission of the 2007-2009 financial crisis in a GVAR model," European Economic Review, Elsevier, vol. 55(3), pages 325-339, April.
    316. Antonio Forte & Giovanni Pesce, 2009. "The International Financial Crisis: an Expert Survey," SERIES 0024, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro", revised Apr 2009.
    317. Jinan Liu & Sajjadur Rahman & Apostolos Serletis, 2021. "Cryptocurrency shocks," Manchester School, University of Manchester, vol. 89(2), pages 190-202, March.
    318. Herwartz, Helmut & Rohloff, Hannes, 2018. "Less bang for the buck? Assessing the role of inflation uncertainty for U.S. monetary policy transmission in a data rich environment," University of Göttingen Working Papers in Economics 358, University of Goettingen, Department of Economics.
    319. Johansson, Anders C., 2010. "China’s Growing Influence in Southeast Asia - Monetary Policy and Equity Markets," Working Paper Series 2010-16, Stockholm School of Economics, China Economic Research Center.
    320. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
    321. Anna Cieslak & Andreas Schrimpf, 2018. "Non-Monetary News in Central Bank Communication," NBER Working Papers 25032, National Bureau of Economic Research, Inc.
    322. Maxand, Simone, 2020. "Identification of independent structural shocks in the presence of multiple Gaussian components," Econometrics and Statistics, Elsevier, vol. 16(C), pages 55-68.
    323. Sandoval Paucar, Giovanny, 2018. "Contagio Financiero: Una Breve Revisión De Literatura [Financial Contagio: A Review Literature]," MPRA Paper 89554, University Library of Munich, Germany.
    324. Mr. Tamim Bayoumi & Mr. Trung T Bui, 2011. "Unforeseen Events Wait Lurking: Estimating Policy Spillovers From U.S. to Foreign Asset Prices," IMF Working Papers 2011/183, International Monetary Fund.
    325. Alexander David & Pietro Veronesi, 2011. "Investors' and Central Bank's Uncertainty Embedded in Index Options," NBER Working Papers 16764, National Bureau of Economic Research, Inc.
    326. Annika Camehl & Malte Rieth, 2023. "Disentangling COVID-19, Economic Mobility, and Containment Policy Shocks," American Economic Journal: Macroeconomics, American Economic Association, vol. 15(4), pages 217-248, October.
    327. Kohonen, Anssi, 2013. "On detection of volatility spillovers in overlapping stock markets," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 140-158.
    328. Chandler Lutz, 2015. "The international impact of US unconventional monetary policy," Applied Economics Letters, Taylor & Francis Journals, vol. 22(12), pages 955-959, August.
    329. Flores, Eduardo & de Carvalho, João Vinicius França & Sampaio, Joelson Oliveira, 2021. "Impact of interest rates on the life insurance market development: Cross-country evidence," Research in International Business and Finance, Elsevier, vol. 58(C).
    330. Orlowski, Lucjan T. & Soper, Carolyne, 2019. "Market risk and market-implied inflation expectations," International Review of Financial Analysis, Elsevier, vol. 66(C).
    331. Salem Adel Ziadat & David G. McMillan, 2022. "Oil-stock nexus: the role of oil shocks for GCC markets," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 39(5), pages 801-818, May.
    332. Nicholas Apergis, 2017. "Monetary Policy and Macroprudential Policy: New Evidence from a World Panel of Countries," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(3), pages 395-410, June.
    333. Fratzscher, Marcel & Chudik, Alexander, 2011. "Identifying the global transmission of the 2007-09 financial crisis in a GVAR Model," Working Paper Series 1285, European Central Bank.
    334. Shu-Chin Lin & Dong-Hyeon Kim, 2014. "The link between economic growth and growth volatility," Empirical Economics, Springer, vol. 46(1), pages 43-63, February.
    335. Muhammad Shafiullah & Usman Khalid & Sajid M. Chaudhry, 2022. "Do stock markets play a role in determining COVID‐19 economic stimulus? A cross‐country analysis," The World Economy, Wiley Blackwell, vol. 45(2), pages 386-408, February.
    336. Ihsan Ullah Badshah & Bart Frijns & Alireza Tourani‐Rad, 2013. "Contemporaneous Spill‐Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(6), pages 555-572, June.
    337. Arabinda Basistha & Richard Startz, 2022. "Monetary shock measurement and stock markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(2-3), pages 685-706, March.
    338. Wasim Ahmad & N. Bhanumurthy & Sanjay Sehgal, 2015. "Regime dependent dynamics and European stock markets: Is asset allocation really possible?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(1), pages 77-107, February.
    339. Mei-yin Lin, 2023. "The impacts of cryptocurrency shocks on emerging market currencies: evidence from quantile regression," Economics Bulletin, AccessEcon, vol. 43(4), pages 1875-1886.
    340. Driffill, John & Rotondi, Zeno & Savona, Paolo & Zazzara, Cristiano, 2006. "Monetary policy and financial stability: What role for the futures market?," Journal of Financial Stability, Elsevier, vol. 2(1), pages 95-112, April.
    341. Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Marina (Турунцева, Марина), 2015. "Theoretical Aspects of Modeling of the SVAR [Теоретические Аспекты Моделирования Svar]," Published Papers mak8, Russian Presidential Academy of National Economy and Public Administration.
    342. He, Ling T., 2006. "Variations in effects of monetary policy on stock market returns in the past four decades," Review of Financial Economics, Elsevier, vol. 15(4), pages 331-349.
    343. Ferreira, Eurico & Serra, Ana Paula, 2022. "Price effects of unconventional monetary policy announcements on European securities markets," Journal of International Money and Finance, Elsevier, vol. 122(C).
    344. Martin Ademmer & Wolfram Horn & Josefine Quast, 2022. "Stock market dynamics and the relative importance of domestic, foreign, and common shocks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 3911-3923, October.
    345. Daniel J Lewis, 2021. "Identifying Shocks via Time-Varying Volatility [First Order Autoregressive Processes and Strong Mixing]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(6), pages 3086-3124.
    346. Murat Duran & Refet Gurkaynak & Pinar Ozlu & Deren Unalmis, 2010. "TCMB Faiz Kararlarinin Piyasa Faizleri Ve Hisse Senedi Piyasalari Uzerine Etkisi," CBT Research Notes in Economics 1008, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    347. Sajjadur Rahman & Apostolos Serletis, 2023. "Unconventional monetary policy and the stock market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(3), pages 707-722, September.
    348. Domenico Lombardi, Pierre Siklos, Samantha St. Amand, 2018. "Asset Price Spillovers From Unconventional Monetary Policy: A Global Empirical Perspective," LCERPA Working Papers 0109, Laurier Centre for Economic Research and Policy Analysis, revised 30 Jan 2018.
    349. Roskelley, Kenneth D., 2016. "Augmenting the Taylor rule: Monetary policy and the bond market," Economics Letters, Elsevier, vol. 144(C), pages 64-67.
    350. Bedri Kamil Onur Tas, 2020. "Effect of Public Procurement Regulation on Competition and Cost-Effectiveness," RSCAS Working Papers 2020/36, European University Institute.
    351. Michael Hachula & Malte Rieth, 2020. "Estimating the Impact of Financial Investments on Agricultural Futures Prices using Changes in Volatility," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(3), pages 759-785, May.
    352. Jing Wang & Xiaoneng Zhu, 2013. "The reaction of international stock markets to Federal Reserve policy," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(1), pages 1-30, March.
    353. Siklos, Pierre L. & Bohl, Martin T. & Werner, Thomas, 2003. "Did the Bundesbank React to Stock Price Movements?," Discussion Paper Series 1: Economic Studies 2003,14, Deutsche Bundesbank.
    354. Chen, Yong & Fang, Jing & Liu, Dingming, 2023. "The effects of Trump’s trade war on U.S. financial markets," Journal of International Money and Finance, Elsevier, vol. 134(C).
    355. Semmler, Willi & Zhang, Wenlang, 2007. "Asset price volatility and monetary policy rules: A dynamic model and empirical evidence," Economic Modelling, Elsevier, vol. 24(3), pages 411-430, May.
    356. Lee, Keun Yeong, 2006. "The contemporaneous interactions between the U.S., Japan, and Hong Kong stock markets," Economics Letters, Elsevier, vol. 90(1), pages 21-27, January.
    357. Chang, Kuang-Liang & Yu, Shih-Ti, 2013. "Does crude oil price play an important role in explaining stock return behavior?," Energy Economics, Elsevier, vol. 39(C), pages 159-168.
    358. Christoph Siemroth, 2021. "When Can Decision Makers Learn from Financial Market Prices?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(6), pages 1523-1552, September.
    359. Yu Hsing, 2004. "Estimating the Bank of Japan's monetary policy reaction function," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 57(229), pages 169-183.
    360. Wenbin Wu, 2018. "The Credit Channel at the Zero Lower Bound through the Lens of Equity Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(2-3), pages 435-448, March.
    361. Mr. Andrew J Swiston, 2007. "Where Have the Monetary Surprises Gone? The Effects of FOMC Statements," IMF Working Papers 2007/185, International Monetary Fund.
    362. Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
    363. Elena Corallo, 2007. "The effect of the war risk: a comparison of the consequences of the two Iraq wars," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 54(3), pages 371-382, September.
    364. Aymen Belgacem, 2009. "Fundamentals, Macroeconomic Announcements and Asset Prices," Working Papers hal-04140878, HAL.
    365. Caraiani, Petre & Călin, Adrian Cantemir, 2024. "The comovement of bubbles’ responses to monetary policy shocks," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    366. Mardi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin, 2005. "Shocks And Systemic Influences: Contagion In Global Equity Markets In 1998," CAMA Working Papers 2005-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    367. Irfan Akbar Kazi & Hakimzadi Wagan & Farhan Akbar, 2012. "The changing international transmission of US monetary policy shocks: is there evidence of contagion effect on OECD countries," Working Papers hal-04141067, HAL.
    368. Carl E. Walsh, 2009. "Using monetary policy to stabilize economic activity," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 245-296.
    369. Santos, Francisco Luna & Garcia, Márcio Gomes Pinto & Medeiros, Marcelo Cunha, 2016. "The High Frequency Impact of Macroeconomic Announcements in the Brazilian Futures Markets," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 36(2), November.
    370. Guerello, Chiara, 2016. "The effect of investors’ confidence on monetary policy transmission mechanism," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 248-266.
    371. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2008. "Inflation, Monetary Policy and Stock Market Conditions," NBER Working Papers 14019, National Bureau of Economic Research, Inc.
    372. Sola, Martin & Spagnolo, Fabio & Spagnolo, Nicola, 2007. "Predicting Markov volatility switches using monetary policy variables," Economics Letters, Elsevier, vol. 95(1), pages 110-116, April.
    373. Michael D. Bordo & David C. Wheelock, 2007. "Stock market booms and monetary policy in the twentieth century," Review, Federal Reserve Bank of St. Louis, vol. 89(Mar), pages 91-122.
    374. Cheng, Lichao & Jin, Yi, 2013. "Asset prices, monetary policy, and aggregate fluctuations: An empirical investigation," Economics Letters, Elsevier, vol. 119(1), pages 24-27.
    375. Shirota, Toyoichiro, 2023. "State-dependent effects of the unconventional monetary policy in stock markets," Japan and the World Economy, Elsevier, vol. 67(C).
    376. Helmut Herwartz & Shu Wang, 2024. "Statistical identification in panel structural vector autoregressive models based on independence criteria," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(4), pages 620-639, June.
    377. Sara Boni & Francesco Ravazzolo, 2022. "A Structural Analysis of Unemployment-Generating Supply Shocks with an Application to the US Pharmaceutical Industry," BEMPS - Bozen Economics & Management Paper Series BEMPS94, Faculty of Economics and Management at the Free University of Bozen.
    378. Philip Arestis & Michail Karoglou & Kostas Mouratidis, 2016. "Monetary Policy Preferences of the EMU and the UK," Manchester School, University of Manchester, vol. 84(4), pages 528-550, July.

  50. Roberto Rigobon, 2001. "Contagion: How to Measure It?," NBER Working Papers 8118, National Bureau of Economic Research, Inc.

    Cited by:

    1. Marko Korhonen, 2014. "The relation between national stock prices and effective exchange rates: Does it affect exchange rate exposure?," Proceedings of International Academic Conferences 0201346, International Institute of Social and Economic Sciences.
    2. Urbina, Jilber, 2013. "Contagion or Interdependence in the recent Global Financial Crisis? An application to the stock markets using unconditional cross-market correlations," Working Papers 2072/211884, Universitat Rovira i Virgili, Department of Economics.
    3. Boubakri, Salem & Guillaumin, Cyriac, 2015. "Regional integration of the East Asian stock markets: An empirical assessment," Journal of International Money and Finance, Elsevier, vol. 57(C), pages 136-160.
    4. Onour, Ibrahim, 2009. "Financial Integration of North Africa Stock Markets," MPRA Paper 14938, University Library of Munich, Germany.
    5. Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008. "On the Stability of Domestic Financial Market Linkages in the Presence of time-varying Volatility," Working Papers 0810, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    6. Muhammad Rehan & Jahanzaib Alvi & Süleyman Serdar Karaca, 2022. "Short Term Stress of Covid-19 on World Major Stock Indices," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(3), pages 527-568, September.
    7. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
    8. Philippe Dupuy, 2008. "Imperfect Information and Contagion in Capital Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 7(2), pages 103-140, August.
    9. Lingfeng Li, 2003. "Macroeconomic Factors and the Correlation of Stock and Bond Returns," Yale School of Management Working Papers ysm328, Yale School of Management.
    10. Filip Iorgulescu, 2015. "Investigating Contagion and Market Interdependence during the Global Financial Crisis," Central European Business Review, Prague University of Economics and Business, vol. 2015(2), pages 31-39.
    11. Ciccarelli, Matteo & Rebucci, Alessandro, 2003. "Measuring contagion with a Bayesian, time-varying coefficient model," Working Paper Series 263, European Central Bank.
    12. Burzala, Milda Maria, 2016. "Contagion effects in selected European capital markets during the financial crisis of 2007–2009," Research in International Business and Finance, Elsevier, vol. 37(C), pages 556-571.
    13. Büttner, David & Hayo, Bernd, 2010. "News and correlations of CEEC-3 financial markets," Economic Modelling, Elsevier, vol. 27(5), pages 915-922, September.
    14. Franck Martin & Jiangxingyun Zhang, 2020. "La structure des taux revisitée pour période de crise : entre contagion, flight to quality et quantitative easing," Revue économique, Presses de Sciences-Po, vol. 71(4), pages 623-665.
    15. Keskinsoy, Bilal, 2017. "Taxi, Takeoff and Landing: Behavioural Patterns of Capital Flows to Emerging Markets," MPRA Paper 78129, University Library of Munich, Germany.
    16. Mohammad Karimi & Marcel-Cristian Voia, 2019. "Empirics of currency crises: A duration analysis approach," Post-Print hal-03528952, HAL.
    17. Roberto Rigobon & Dani Rodrik, 2004. "Rule of Law, Democracy, Openness, and Income: Estimating the Interrelationships," NBER Working Papers 10750, National Bureau of Economic Research, Inc.
    18. J. Paul Elhorst & Marco Gross & Eugen Tereanu, 2021. "Cross‐Sectional Dependence And Spillovers In Space And Time: Where Spatial Econometrics And Global Var Models Meet," Journal of Economic Surveys, Wiley Blackwell, vol. 35(1), pages 192-226, February.
    19. Harald Schmidbauer & Angi Roesch & Erhan Uluceviz, 2013. "Market Connectedness: Spillovers, Information Flow, and Relative Market Entropy," Koç University-TUSIAD Economic Research Forum Working Papers 1320, Koc University-TUSIAD Economic Research Forum.
    20. Monica Billio & Massimiliano Caporin, 2007. "Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion," Working Papers 2007_18, Department of Economics, University of Venice "Ca' Foscari".
    21. Oluwatosin Mary Aderajo & Oladotun Daniel Olaniran, 2021. "Analysis of financial contagion in influential African stock markets," Future Business Journal, Springer, vol. 7(1), pages 1-9, December.
    22. Carvalho, João Vinícius de França & Chiann, Chang, 2013. "Redes Bayesianas: Um método para avaliação de interdependência e contágio em séries temporais multivariadas," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 67(2), June.
    23. Kaminsky, Graciela & Lyons, Richard K. & Schmukler, Sergio L., 2004. "Managers, investors, and crises: mutual fund strategies in emerging markets," Journal of International Economics, Elsevier, vol. 64(1), pages 113-134, October.
    24. Tunio, Mohsin Waheed, 2022. "Systemic Sudden Stops in Emerging Economies: A Recent Perspective," MPRA Paper 113693, University Library of Munich, Germany.
    25. Geert Bekaert & Campbell R. Harvey, 2003. "Market Integration and Contagion," NBER Working Papers 9510, National Bureau of Economic Research, Inc.
    26. Muhammad Rehan & Jahanzaib Alvi & Suleyman Serdar Karaca, 2020. "Short Term Stress of Covid-19 On World Major Stock Indices," Papers 2008.06450, arXiv.org.
    27. Tillmann, Peter, 2004. "External shocks and the non-linear dynamics of Brady bond spreads in a regime-switching VAR," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(5), pages 439-454, December.
    28. de Jong, Frank & de Roon, Frans, 2001. "Time-Varying Market Integration and Expected Returns in Emerging Markets," CEPR Discussion Papers 3102, C.E.P.R. Discussion Papers.
    29. Christian Hubert Ebeke, 2011. "Transferts des migrants, ouverture sur l'extérieur et dépenses publiques dans les pays en développement," CERDI Working papers halshs-00552983, HAL.
    30. Valentín Délano & Felipe Jaque, 2005. "Spreads Soberanos: ¿Diferencian los Inversionistas Internacionales entre Economías Emergentes?," Working Papers Central Bank of Chile 332, Central Bank of Chile.
    31. Dumitriu, Ramona & Stefanescu, Răzvan, 2020. "Iluzii financiare, Partea întâi [Financial Illusions, Part 1]," MPRA Paper 101201, University Library of Munich, Germany, revised 17 Jun 2020.
    32. Pawan Kumar & Vipul Kumar Singh, 2023. "Examining the Time Varying Spillover Dynamics of Indian Financial Indictors from Global and Local Economic Uncertainty," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(1), pages 99-121, March.
    33. Titelman Kardonsky, Daniel & Pérez Caldentey, Esteban & Pineda Salazar, Ramón, 2009. "The bigness of smallness: the financial crisis, its contagion mechanisms and its effects in Latin America," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), December.
    34. Herculano, Miguel C., 2018. "The role of contagion in the transmission of financial stress," ESRB Working Paper Series 81, European Systemic Risk Board.
    35. Sebastian Missio, 2012. "Government bond market integration and the EMU: Correlation based evidence," Working Papers 125, Bavarian Graduate Program in Economics (BGPE).
    36. Etkin Ozen & Cem Sahin & Ibrahim Unalmis, 2013. "External Financial Stress and External Financing Vulnerability in Turkey : Some Policy Implications for Financial Stability," Working Papers 1317, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    37. Bodart, V. & Candelon, B., 2005. "Evidences of interdependence and contagion using a frequency domain framework," Research Memorandum 023, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    38. Dajcman, Silvio & Festic, Mejra, 2012. "The Interdependence of the Stock Markets of Slovenia, The Czech Republic and Hungary with Some Developed European Stock Markets – The Effects of Joining the European Union and the Global Financial Cri," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 163-180, December.
    39. Enrique Mendoza, 2002. "Why Should Emerging Economies Give Up National Currencies? A Case for Institutions Substitution," Research Department Publications 4309, Inter-American Development Bank, Research Department.
    40. Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2012. "Liquidity Contagion. The Emerging Sovereign Debt Markets example," Post-Print hal-01632803, HAL.
    41. Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2015. "Measuring sovereign contagion in Europe," SAFE Working Paper Series 103, Leibniz Institute for Financial Research SAFE.
    42. Rigobon, Roberto, 2003. "On the measurement of the international propagation of shocks: is the transmission stable?," Journal of International Economics, Elsevier, vol. 61(2), pages 261-283, December.
    43. Andres KUUSK & Tiiu Paas & Karmen Viikmaa, 2011. "Financial contagion of the 2008 crisis: is there any evidence of financial contagion from the US to the Baltic states," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 2, pages 61-76, December.
    44. Andrés Mauricio Vargas P., 2008. "Flujos de capitales, restricciones de liquidez y paradas súbitas: lecciones de países emergentes," Coyuntura Económica, Fedesarrollo, December.
    45. Sophie Brana & Delphine Lahet, 2005. "La propagation des crises financieres dans les pays emergents : la contagion est-elle discriminante ?," Economie Internationale, CEPII research center, issue 103, pages 73-96.
    46. Jean Coulom & Vijay Shenai, 2018. "The Effect of Alternative Measures of Distance on the Correlation of Real Effective Exchange Rate Returns: An Approach to Contagion Analysis," IJFS, MDPI, vol. 6(4), pages 1-18, October.
    47. Kenneth A. Froot & Paul G. J. O'Connell, 2003. "The Risk Tolerance of International Investors," NBER Working Papers 10157, National Bureau of Economic Research, Inc.
    48. Andrew Grodner & Thomas Kniesner, 2005. "Labor Supply with Social Interactions: Econometric Estimates and Their Tax Policy Implications," Center for Policy Research Working Papers 69, Center for Policy Research, Maxwell School, Syracuse University.
    49. Eduardo Borensztein & Kevin Cowan & Patricio Valenzuela, 2013. "Sovereign Ceilings “Lite”? The Impact of Sovereign Ratings on Corporate Ratings," Documentos de Trabajo 299, Centro de Economía Aplicada, Universidad de Chile.
    50. Thomas Moser, 2003. "What Is International Financial Contagion?," International Finance, Wiley Blackwell, vol. 6(2), pages 157-178, July.
    51. Rodrigo César de Castro Miranda & Benjamin Miranda Tabak & Mauricio Medeiros Junior, 2012. "Contagion in CDS, Banking and Equity Markets," Working Papers Series 293, Central Bank of Brazil, Research Department.
    52. Metiu, N., 2011. "Financial contagion in developed sovereign bond markets," Research Memorandum 004, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    53. Rotta, Pedro Nielsen & Pereira, Pedro L. Valls, 2013. "Analysis of contagion from the constant conditional correlation model with Markov regime switching," Textos para discussão 340, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    54. Roberto Rigobon, 2001. "The Curse of Non-Investment Grade Countries," NBER Working Papers 8636, National Bureau of Economic Research, Inc.
    55. Michael Chui & Simon Hall & Ashley Taylor, 2004. "Crisis spillovers in emerging market economies: interlinkages, vulnerabilities and investor behaviour," Bank of England working papers 212, Bank of England.
    56. Mr. Eduardo Borensztein & Mr. Patricio A Valenzuela & Kevin Cowan, 2007. "Sovereign Ceilings “Lite”? The Impact of Sovereign Ratings on Corporate Ratings in Emerging Market Economies," IMF Working Papers 2007/075, International Monetary Fund.
    57. Ramirez, Manuel & Martínez, Constanza, 2009. "International propagation of shocks: an evaluation of contagion effects for some Latin American countries," Documentos de Trabajo 5789, Universidad del Rosario.
    58. Andres Kuusk & Tiiu Paas, 2010. "Contagion Of Financial Crises With Special Emphasis On Cee Economies: A Metaanalysis," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 66, Faculty of Economics and Business Administration, University of Tartu (Estonia).
    59. Ms. Renee Fry & Mr. Vance Martin & Ms. Brenda Gonzalez-Hermosillo & Mr. Mardi Dungey, 2002. "International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse," IMF Working Papers 2002/074, International Monetary Fund.
    60. Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2008. "International stock return comovements," Working Paper Series 931, European Central Bank.
    61. Boulis Ibrahim & Janusz Brzeszczynski, 2013. "Interdependence of Stock Markets Before and After the Global Financial Crisis of 2007," CFI Discussion Papers 1305, Centre for Finance and Investment, Heriot Watt University.
    62. de Bandt,O. & Malik, S., 2010. "Is there Evidence of Shift-Contagion in International Housing Markets?," Working papers 295, Banque de France.
    63. Roman Horváth & Štefan Lyócsa & Eduard Baumöhl, 2018. "Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance," The European Journal of Finance, Taylor & Francis Journals, vol. 24(5), pages 391-412, March.
    64. Mollah, Sabur & Zafirov, Goran & Quoreshi, AMM Shahiduzzaman, 2014. "Financial Market Contagion during the Global Financial Crisis," Working Papers 2014/05, Blekinge Institute of Technology, Department of Industrial Economics.
    65. Pretorius, Anmar & de Beer, Jesse, 2004. "Contagion in Africa: South Africa and a troubled neighbour, Zimbabwe," Economic Modelling, Elsevier, vol. 21(4), pages 703-717, July.
    66. Hon, Mark T. & Strauss, Jack K. & Yong, Soo-Keong, 2007. "Deconstructing the Nasdaq bubble: A look at contagion across international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 213-230, July.
    67. Eduard Baumöhl & Mária Farkašovská & Tomáš Výrost, 2010. "Integrácia akciových trhov: DCC MV-GARCH model [Stock Market Integration: DCC MV-GARCH Model]," Politická ekonomie, Prague University of Economics and Business, vol. 2010(4), pages 488-503.
    68. Dudek, Jérémy, 2013. "Illiquidité, contagion et risque systémique," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/13236 edited by Le Fol, Gaëlle.
    69. Chuliá, Helena & Fernández, Julián & Uribe, Jorge M., 2018. "Currency downside risk, liquidity, and financial stability," Journal of International Money and Finance, Elsevier, vol. 89(C), pages 83-102.
    70. Onour, Ibrahim, 2008. "Financial Integration of GCC Capital Markets:Evidence of Nonlinear Cointegration," MPRA Paper 15187, University Library of Munich, Germany.
    71. Sébastien Wälti, 2003. "Contagion and interdependence among Central European economies: the impact of common external shocks," IHEID Working Papers 02-2003, Economics Section, The Graduate Institute of International Studies.
    72. David Matesanz & Guillermo Ortega, 2014. "Network analysis of exchange data: interdependence drives crisis contagion," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(4), pages 1835-1851, July.
    73. Daniel Stefan ARMEANU & Adrian ENCIU & Sorin-Iulian CIOACA, 2017. "How Important is the Contagion Effect for the Romanian Capital Market?," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 265-282, June.
    74. Christos Kollias & Stephanos Papadamou & Costas Siriopoulos, 2012. "Terrorism Induced Cross-Market Transmission of Shocks: A Case Study Using Intraday Data," Economics of Security Working Paper Series 66, DIW Berlin, German Institute for Economic Research.
    75. Javier Márquez Diez Canedo & Serafín Martínez Jaramillo, 2009. "A network model of systemic risk: stress testing the banking system1," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 16(1‐2), pages 87-110, January.
    76. Renatas Kizys & Christian Pierdzioch, 2011. "The Financial Crisis and the Stock Markets of the CEE Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(2), pages 153-172, June.
    77. Chordia, Tarun & Sarkar, Asani & Subrahmanyam, Avanidhar, 2001. "An Empirical Analysis of Stock and Bond Market Liquidity: Forthcoming in the Review of Financial Studies," University of California at Los Angeles, Anderson Graduate School of Management qt9178v9kq, Anderson Graduate School of Management, UCLA.
    78. Aslanidis, Nektarios & Savva, Christos S., 2010. "Modelling Interbank Relations during the International Financial Crisis," Working Papers 2072/148475, Universitat Rovira i Virgili, Department of Economics.
    79. Vergote, Olivier, 2016. "Credit risk spillover between financials and sovereigns in the euro area during 2007-2015," Working Paper Series 1898, European Central Bank.
    80. Enrique Mendoza, 2002. "¿Por qué deben las economías emergentes renunciar a su moneda nacional? El argumento a favor," Research Department Publications 4310, Inter-American Development Bank, Research Department.
    81. Massacci, D., 2007. "Identification and Estimation in an Incoherent Model of Contagion," Cambridge Working Papers in Economics 0744, Faculty of Economics, University of Cambridge.
    82. Daniel Stefan ARMEANU & Adrian ENCIU & Carmen OBREJA & Sorin-Iulian CIOACÃ, 2016. "The Financial Crisis’ Impact on the Central and Eastern Europe Capital Markets," REVISTA DE MANAGEMENT COMPARAT INTERNATIONAL/REVIEW OF INTERNATIONAL COMPARATIVE MANAGEMENT, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 17(5), pages 420-431, December.
    83. Andreas Chouliaras & Theoharry Grammatikos, 2017. "Extreme Returns in the European financial crisis," European Financial Management, European Financial Management Association, vol. 23(4), pages 728-760, September.
    84. Mobeen Ur Rehman, 2016. "Financial Contagion in EFA Markets in Crisis Periods: A Multivariate GARCH Dynamic Conditional Correlation Framework," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 21(2), pages 121-151, July-Dec.
    85. Shaen Corbet & Cian Twomey, 2015. "European Equity Market Contagion: An Empirical Application to Ireland's Sovereign Debt Crisis," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2015(3), pages 15-34.
    86. Lucian Belascu, 2016. "Risk And Contagion On Financial Markets After The 2007 Sub-Prime Mortgage Crisis," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 5, pages 51-55, October.
    87. V. Rasskazov E. & В. Рассказов Е., 2016. "Измерение Финансового Заражения На Примере Моделирования Риска Банковского Дефолта // The Methodology For Measuring Financial Contagion: The Case Study Of Bank Default Risk Simulation," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 20(3), pages 54-61.
    88. Chouliaras, Andreas & Grammatikos, Theoharry, 2013. "News Flow, Web Attention and Extreme Returns in the European Financial Crisis," MPRA Paper 51335, University Library of Munich, Germany.
    89. Jarl G. Kallberg & Paolo Pasquariello, 2005. "An Examination of the Asian Crisis: Regime Shifts in Currency and Equity Markets," The Journal of Business, University of Chicago Press, vol. 78(1), pages 169-212, January.
    90. Vidal-Llana, Xenxo & Uribe, Jorge M. & Guillén, Montserrat, 2023. "European stock market volatility connectedness: The role of country and sector membership," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    91. Billio, Monica & Pelizzon, Loriana, 2003. "Contagion and interdependence in stock markets: Have they been misdiagnosed?," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 405-426.
    92. Tunio, Mohsin Waheed, 2022. "Systemic Sudden Stops in Emerging Economies: A Recent Perspective," MPRA Paper 113751, University Library of Munich, Germany.
    93. Haile, Fasika & Pozo, Susan, 2008. "Currency crisis contagion and the identification of transmission channels," International Review of Economics & Finance, Elsevier, vol. 17(4), pages 572-588, October.
    94. Khalid, Ahmed M. & Kawai, Masahiro, 2003. "Was financial market contagion the source of economic crisis in Asia?: Evidence using a multivariate VAR model," Journal of Asian Economics, Elsevier, vol. 14(1), pages 131-156, February.
    95. Serwa, Dobromil & Bohl, Martin T., 2005. "Financial contagion vulnerability and resistance: A comparison of European stock markets," Economic Systems, Elsevier, vol. 29(3), pages 344-362, September.
    96. Antonio Díez de los Ríos & Alicia García Herrero, 2003. "Contagion and portfolio shift in emerging countries' sovereign bonds," Working Papers 0317, Banco de España.
    97. Gawon Yoon, 2005. "Correlation Coefficients, Heteroskedasticity And Contagion Of Financial Crises," Manchester School, University of Manchester, vol. 73(1), pages 92-100, January.
    98. Ha Yan Lee & Luca Antonio Ricci & Roberto Rigobon, 2004. "Once Again, is Openness Good for Growth?," NBER Working Papers 10749, National Bureau of Economic Research, Inc.
    99. Roberto Rigobon & Dani Rodrik, 2005. "Rule of law, democracy, openness, and income," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 13(3), pages 533-564, July.
    100. Sébastien WÄLTI, 2003. "Testing for Contagion in International Financial Markets: Which Way to Go?," FAME Research Paper Series rp92, International Center for Financial Asset Management and Engineering.
    101. V. Rasskazov E. & В. Рассказов Е., 2016. "Эволюция Эффекта Финансового Заражения В Еврозоне В Период Долгового Кризиса // Evolution Of Financial Contagion In The Context Of The European Debt Crisis," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 20(2), pages 99-105.
    102. Murad A.Bein & Gulcay TUNA, 2015. "Volatility Transmission and Dynamic Correlation Analysis between Developed and Emerging European Stock Markets during Sovereign Debt Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 61-80, June.
    103. Samarakoon, Lalith P., 2011. "Stock market interdependence, contagion, and the U.S. financial crisis: The case of emerging and frontier markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 724-742.
    104. Ana Escribano & Cristina Íñiguez, 2021. "The contagion phenomena of the Brexit process on main stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4462-4481, July.
    105. Gordon de Brouwer, 2002. "The IMF and East Asia: A Changing Regional Financial Architecture," Asia Pacific Economic Papers 324, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University.
    106. Terhi Jokipii & Brian Lucey, 2005. "CEE Banking Sector Co-Movement: Contagion or Interdependence?," The Institute for International Integration Studies Discussion Paper Series iiisdp077, IIIS.
    107. Mr. Jorge A Chan-Lau & Mr. Iryna V. Ivaschenko, 2002. "Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia," IMF Working Papers 2002/154, International Monetary Fund.
    108. Fukuhara, Masahiro & Saruwatari, Yasufumi, 2003. "An Analysis of Contagion in Emerging Currency Markets Using Multivariate Extreme Value Theory," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 21(2), pages 113-131, August.
    109. Toni Gravelle & Maral Kichian & James Morley, 2002. "Detecting shift-contagion in currency and bond markets," Computing in Economics and Finance 2002 58, Society for Computational Economics.
    110. Martin Ademmer & Wolfram Horn & Josefine Quast, 2022. "Stock market dynamics and the relative importance of domestic, foreign, and common shocks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 3911-3923, October.
    111. Joanna Olbrys & Elzbieta Majewska, 2016. "Crisis periods and contagion effects in the CEE stock markets: the influence of the 2007 US subprime crisis," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 6(2), pages 124-137.
    112. Julijana Angelovska, 2017. "Long and Short-Term Dynamic Relationship between Macedonian and Croatian Stock Markets," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 20(2), pages 11-20, November.
    113. Aslanidis, Nektarios & Dungey, Mardi & Savva, Christos S., 2008. "Progress Towards to Equity Market Integration in Eastern Europe," Working Papers 2072/13265, Universitat Rovira i Virgili, Department of Economics.
    114. Galina Hale & Elliot Marks & Fernanda Nechio, 2012. "Are U.S. corporate bonds exposed to Europe?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue jun4.
    115. Hatice Gaye Gencer & Sercan Demiralay, 2016. "The Contagion Effects on Real Economy: Emerging Markets during the Recent Crises," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 104-121, March.
    116. J. Idier & T. Piquard, 2017. "Pandemic crises in financial systems: a simulation-model to complement stress-testing frameworks," Working papers 621, Banque de France.
    117. Davidson, Sharada Nia, 2020. "Interdependence or contagion: A model switching approach with a focus on Latin America," Economic Modelling, Elsevier, vol. 85(C), pages 166-197.
    118. Olbryś Joanna & Majewska Elżbieta, 2015. "Testing Integration Effects Between the Cee and U.S. Stock Markets During the 2007–2009 Global Financial Crisis," Folia Oeconomica Stetinensia, Sciendo, vol. 15(1), pages 101-113, June.
    119. Zorgati, Imen & Lakhal, Faten, 2020. "Spatial contagion in the subprime crisis context: Adjusted correlation versus local correlation approaches," Economic Modelling, Elsevier, vol. 92(C), pages 162-169.
    120. Sergio Andenmatten & Felix Brill, 2011. "Measuring Co-Movements of CDS Premia during the Greek Debt Crisis," Diskussionsschriften dp1104, Universitaet Bern, Departement Volkswirtschaft.
    121. Sanae Ohno, 2013. "European Sovereign Risk: The Knock-on Effects of Default Risk across the Public and Financial Sectors," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 9(1), pages 139-170, January.
    122. Jon Wongswan, 2003. "Contagion: an empirical test," International Finance Discussion Papers 775, Board of Governors of the Federal Reserve System (U.S.).
    123. MeiChi Huang, 2014. "Monetary policy implications of housing shift-contagion across regional markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(4), pages 589-608, October.

  51. Roberto Rigobon, 2000. "Identification through Heteroskedasticity: Measuring "Contagion: betweenArgentinean and Mexican Sovereign Bonds," NBER Working Papers 7493, National Bureau of Economic Research, Inc.

    Cited by:

    1. Beirne, John & Gieck, Jana, 2012. "Interdependence and contagion in global asset markets," Working Paper Series 1480, European Central Bank.
    2. Forbes, Kristin J. & Rigobon, Roberto, 2001. "Contagion in Latin America: definitions, measurement, and policy implications," LSE Research Online Documents on Economics 123085, London School of Economics and Political Science, LSE Library.
    3. Roberta De Santis, 2004. "Has Trade Structure Any Importance in the Trasmission of Currency Shocks? An Empirical Application for Central and Eastern European Acceding Countries to Eu," ISAE Working Papers 43, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    4. Favero, Carlo A. & Giavazzi, Francesco, 2002. "Is the international propagation of financial shocks non-linear?: Evidence from the ERM," Journal of International Economics, Elsevier, vol. 57(1), pages 231-246, June.
    5. Etkin Ozen & Cem Sahin & Ibrahim Unalmis, 2013. "External Financial Stress and External Financing Vulnerability in Turkey : Some Policy Implications for Financial Stability," Working Papers 1317, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    6. Dewandaru, Ginanjar & Masih, Rumi & Masih, A. Mansur M., 2016. "What can wavelets unveil about the vulnerabilities of monetary integration? A tale of Eurozone stock markets," Economic Modelling, Elsevier, vol. 52(PB), pages 981-996.
    7. Vincent (Vincent Peter) Hogan & Roberto Rigobon, 2002. "Using heteroscedasticity to estimate the returns to education," Open Access publications 10197/1100, School of Economics, University College Dublin.
    8. Toni Gravelle & Maral Kichian & James Morley, 2003. "Shift Contagion in Asset Markets," Staff Working Papers 03-5, Bank of Canada.
    9. Giavazzi, Francesco & Favero, Carlo A., 2000. "Looking for Contagion: the Evidence from the ERM," CEPR Discussion Papers 2591, C.E.P.R. Discussion Papers.

  52. Kristin Forbes & Roberto Rigobon, 2000. "Contagion in Latin America: Definitions, Measurement, and Policy Implications," NBER Working Papers 7885, National Bureau of Economic Research, Inc.

    Cited by:

    1. Sandra Lizarazo, 2009. "Contagion of Financial Crises in Sovereing Debt Markets," Working Papers 0906, Centro de Investigacion Economica, ITAM.
    2. Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2020. "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Working Papers 667, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    3. Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola, 2005. "Testing for contagion: a conditional correlation analysis," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 476-489, June.
    4. Essahbi Essaadi & Jamel Jouini & Walih Khallouli, 2007. "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Working Papers 0725, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
    5. Weber, Enzo, 2009. "Financial Contagion, Vulnerability and Information Flow: Empirical Identification," University of Regensburg Working Papers in Business, Economics and Management Information Systems 431, University of Regensburg, Department of Economics.
    6. Md Shahedur R. Chowdhury & Damian S. Damianov & Diego Escobari, 2024. "Price Exuberance and Contagion across Housing Markets: Evidence from US Metropolitan Areas," The Journal of Real Estate Finance and Economics, Springer, vol. 69(1), pages 132-163, July.
    7. Markus Brunnermeier & Laurent Clerc & Yanis El Omari & Silvia Gabrieli & Steffen Kern & Christoph Memmel & Tuomas Peltonen & Natalia Podlich & Martin Scheicher & Guillaume Vuillemey, 2013. "Assessing contagion risks from the CDS market," ESRB Occasional Paper Series 04, European Systemic Risk Board.
    8. Oussama Tilfani & Paulo Ferreira & My Youssef El Boukfaoui, 2021. "Dynamic cross-correlation and dynamic contagion of stock markets: a sliding windows approach with the DCCA correlation coefficient," Empirical Economics, Springer, vol. 60(3), pages 1127-1156, March.
    9. Graciela L. Kaminsky, 2008. "Crises and Sudden Stops: Evidence from International Bond and Syndicated-Loan Markets," NBER Working Papers 14249, National Bureau of Economic Research, Inc.
    10. Ciccarelli, Matteo & Rebucci, Alessandro, 2003. "Measuring contagion with a Bayesian, time-varying coefficient model," Working Paper Series 263, European Central Bank.
    11. Elena Corallo, 2005. "The effect of the war risk: a comparison of the consequences of the two Iraq wars on some financial variables," LIUC Papers in Economics 171, Cattaneo University (LIUC).
    12. Younes Boujelbène & Majdi Ksantini, 2009. "La transmission entre les marchés boursiers :Une analyse en composante principale," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 52(2), pages 161-194.
    13. Manuel Agosin & Franklin Huaita, 2009. "Overreaction in capital flows to emerging markets: Booms and sudden stops," Working Papers wp295, University of Chile, Department of Economics.
    14. Mohamed Ben Abdallah & Iuliana Matei, 2005. "Crise et contagion : cas des pays de l'Europe de l'Est," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00194873, HAL.
    15. Alfonso Mendoza, 2004. "Modelling Long Memory and Risk Premia in Latin American Sovereign Bond Markets," Econometrics 0410004, University Library of Munich, Germany.
    16. Wuyi Ye & Kebing Luo & Shaofu Du, 2014. "Measuring Contagion of Subprime Crisis Based on MVMQ-CAViaR Method," Discrete Dynamics in Nature and Society, Hindawi, vol. 2014, pages 1-12, June.
    17. Radovan Vadovic, 2009. "Early, Late, and Multiple Bidding in Internet Auctions," Working Papers 0904, Centro de Investigacion Economica, ITAM.
    18. Moheeput, Ashwin, 2008. "Financial Fragility, Systemic Risks and Informational Spillovers : Modelling Banking Contagion as State-Contingent Change in Cross-Bank Correlation," The Warwick Economics Research Paper Series (TWERPS) 853, University of Warwick, Department of Economics.
    19. Boubaker, Sabri & Jouini, Jamel & Lahiani, Amine, 2016. "Financial contagion between the US and selected developed and emerging countries: The case of the subprime crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 14-28.
    20. Gunther Capelle-Blancard & Hélène Raymond-Feingold & Michel Beine, 2008. "International nonlinear causality between stock markets," Post-Print halshs-00305387, HAL.
    21. Mehdi Mili & Jean‐Michel Sahut & Frédéric Teulon, 2020. "Shift‐contagion in energy markets and global crisis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 725-736, August.
    22. Tillmann, Peter, 2004. "External shocks and the non-linear dynamics of Brady bond spreads in a regime-switching VAR," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(5), pages 439-454, December.
    23. Lizarazo, Sandra Valentina, 2013. "Default risk and risk averse international investors," Journal of International Economics, Elsevier, vol. 89(2), pages 317-330.
    24. Henri Audigé, 2013. "A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis," Working Papers hal-04141224, HAL.
    25. Frankel, Jeffrey, 2010. "Monetary Policy in Emerging Markets," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 25, pages 1439-1520, Elsevier.
    26. Smimou, K. & Khallouli, W., 2016. "On the intensity of liquidity spillovers in the Eurozone," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 388-405.
    27. Franklin Huaita & Manuel Agosín Trumper, 2007. "Why Should Emerging-Market Countries (Still) Concern Themselves With Capital Inflows?," Working Papers wp268, University of Chile, Department of Economics.
    28. Bodart, V. & Candelon, B., 2005. "Evidences of interdependence and contagion using a frequency domain framework," Research Memorandum 023, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    29. Maurice Obstfeld & Alan M. Taylor, 2002. "Globalization and Capital Markets," NBER Working Papers 8846, National Bureau of Economic Research, Inc.
    30. Ben Rejeb, Aymen & Arfaoui, Mongi, 2016. "Financial market interdependencies: A quantile regression analysis of volatility spillover," Research in International Business and Finance, Elsevier, vol. 36(C), pages 140-157.
    31. Morar Triandafil, Cristina & Brezeanu, Petre & Huidumac, Catalin & Morar Triandafil, Adrian, 2011. "The Drivers of the CEE Exchange Rate Volatility - Empirical Perspective in the context of the Recent Financial Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 212-229, March.
    32. Sophie Brana & Delphine Lahet, 2005. "La propagation des crises financieres dans les pays emergents : la contagion est-elle discriminante ?," Economie Internationale, CEPII research center, issue 103, pages 73-96.
    33. Ballester, Laura & Díaz-Mendoza, Ana Carmen & González-Urteaga, Ana, 2019. "A systematic review of sovereign connectedness on emerging economies," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 157-163.
    34. Rodrigo César de Castro Miranda & Benjamin Miranda Tabak & Mauricio Medeiros Junior, 2012. "Contagion in CDS, Banking and Equity Markets," Working Papers Series 293, Central Bank of Brazil, Research Department.
    35. Guyot, Alexis & Lagoarde-Segot, Thomas & Neaime, Simon, 2014. "Foreign shocks and international cost of equity destabilization. Evidence from the MENA region," Emerging Markets Review, Elsevier, vol. 18(C), pages 101-122.
    36. Zaiter Lahimer, Mahjouba, 2011. "L’impact des entrées de capitaux privés sur la croissance économique dans les pays en développement," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/7670 edited by Sterdyniak, Henri.
    37. Metiu, N., 2011. "Financial contagion in developed sovereign bond markets," Research Memorandum 004, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    38. Hemche, Omar & Jawadi, Fredj & Maliki, Samir B. & Cheffou, Abdoulkarim Idi, 2016. "On the study of contagion in the context of the subprime crisis: A dynamic conditional correlation–multivariate GARCH approach," Economic Modelling, Elsevier, vol. 52(PA), pages 292-299.
    39. Cifarelli, Giulio & Paladino, Giovanna, 2004. "The impact of the Argentine default on volatility co-movements in emerging bond markets," Emerging Markets Review, Elsevier, vol. 5(4), pages 427-446, December.
    40. Zouheir Mighri & Faysal Mansouri, 2013. "Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 637-661.
    41. Cardona, Laura & Gutiérrez, Marcela & Agudelo, Diego A., 2017. "Volatility transmission between US and Latin American stock markets: Testing the decoupling hypothesis," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 115-127.
    42. Perri, Fabrizio & Kalemli-Özcan, Sebnem & Papaioannou, Elias, 2012. "Global Banks and Crisis Transmission," CEPR Discussion Papers 9044, C.E.P.R. Discussion Papers.
    43. Nazmi, Nader, 2002. "Global finance, sovereign risk and economic performance of Brazil," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(5), pages 865-874.
    44. Kamila Tomczak, 2023. "Transmission of the 2007–2008 financial crisis in advanced countries of the European Union," Bulletin of Economic Research, Wiley Blackwell, vol. 75(1), pages 40-64, January.
    45. Aymen Ben Rejeb, 2013. "Volatility spillovers and contagion: an empirical analysis of structural changes in emerging market volatility," Economics Bulletin, AccessEcon, vol. 33(1), pages 56-71.
    46. Iskandar Simorangkir, 2011. "Bank Run Determinants in Indonesia: Bad Luck or Fundamental Factors?," EcoMod2011 3557, EcoMod.
    47. Zorgati, Imen & Lakhal, Faten & Zaabi, Elmoez, 2019. "Financial contagion in the subprime crisis context: A copula approach," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 269-282.
    48. Zakaria Boulanouar & Ghassane Benrhmach & Rihab Grassa & Sonia Abdennadher & Mariam Aldhaheri, 2024. "Exploring the predictive power of artificial neural networks in linking global Islamic indices with a local Islamic index," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-11, December.
    49. Gwenhamo, Farayi & Fedderke, Johannes W., 2013. "The composition of foreign capital stocks in South Africa: The role of institutions, domestic risk and neighbourhood effects," Economic Modelling, Elsevier, vol. 35(C), pages 763-770.
    50. Renatas Kizys & Christian Pierdzioch, 2011. "The Financial Crisis and the Stock Markets of the CEE Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(2), pages 153-172, June.
    51. Ijaz Younis & Cheng Longsheng & Muhammad Farhan Basheer & Ahmed Shafique Joyo, 2020. "Stock market comovements among Asian emerging economies: A wavelet-based approach," PLOS ONE, Public Library of Science, vol. 15(10), pages 1-23, October.
    52. Chebbi, Ali & Hedhli, Amel, 2022. "Revisiting the accuracy of standard VaR methods for risk assessment: Using the Copula–EVT multidimensional approach for stock markets in the MENA region," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 430-445.
    53. Daugherty, Mary Schmid & Jithendranathan, Thadavillil, 2015. "A study of linkages between frontier markets and the U.S. equity markets using multivariate GARCH and transfer entropy," Journal of Multinational Financial Management, Elsevier, vol. 32, pages 95-115.
    54. Scott W. Hegerty, 2014. "Interest-rate volatility and volatility transmission in nine Latin American countries," Applied Financial Economics, Taylor & Francis Journals, vol. 24(13), pages 927-937, July.
    55. Jonathan W. Welburn, 2020. "Crises Beyond Belief: Findings on Contagion, the Role of Beliefs, and the Eurozone Debt Crisis from a Borrower–Lender Game," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 263-317, August.
    56. María José Melendez & Marco Morales & Guillermo Yáñez, 2010. "Transmisión de Shocks y Acoplamiento con Mercados Accionarios Externos: Efectos Asimétricos y Quiebre Estructural," Working Papers 11, Facultad de Economía y Empresa, Universidad Diego Portales.
    57. Neaime, Simon, 2012. "The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets," Emerging Markets Review, Elsevier, vol. 13(3), pages 268-282.
    58. Gillen, David & Lall, Ashish, 2003. "International transmission of shocks in the airline industry," Journal of Air Transport Management, Elsevier, vol. 9(1), pages 37-49.
    59. Jianping Shi & Yu Gao, 2010. "A study on KLR financial crisis early-warning model," Frontiers of Economics in China, Springer;Higher Education Press, vol. 5(2), pages 254-275, June.
    60. Billio, Monica & Pelizzon, Loriana, 2003. "Contagion and interdependence in stock markets: Have they been misdiagnosed?," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 405-426.
    61. Dieter Smeets, 2016. "Financial Contagion During the European Sovereign Debt Crisis," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 4(2), pages 46-59, April.
    62. Jiang, Haotong & Zhao, Mingen & Zhang, Zirui & Luo, Tianyuan, 2023. "Evaluating financial contagion through Ricci curvature on multivariate reactive point processes," Finance Research Letters, Elsevier, vol. 58(PA).
    63. Petmezas, Dimitris & Santamaria, Daniel, 2014. "Investor induced contagion during the banking and European sovereign debt crisis of 2007–2012: Wealth effect or portfolio rebalancing?," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 401-424.
    64. Krishna Reddy Chittedi, 2015. "Financial Crisis and Contagion Effects to Indian Stock Market: ‘DCC–GARCH’ Analysis," Global Business Review, International Management Institute, vol. 16(1), pages 50-60, February.
    65. Haile, Fasika & Pozo, Susan, 2008. "Currency crisis contagion and the identification of transmission channels," International Review of Economics & Finance, Elsevier, vol. 17(4), pages 572-588, October.
    66. Anastasopoulos, Alexia, 2018. "Testing for financial contagion: New evidence from the Greek crisis and yuan devaluation," Research in International Business and Finance, Elsevier, vol. 45(C), pages 499-511.
    67. Sandoval Paucar, Giovanny, 2021. "A Conditional Correlation Analysis For The Colombian Stock Market," MPRA Paper 107963, University Library of Munich, Germany.
    68. Ferhat Camlica & Didem Gunes & Etkin Ozen, 2017. "A Financial Connectedness Analysis for Turkey," Working Papers 1719, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    69. Domingo Rodríguez Benavides & Ignacio Perrotini Hernández, 2019. "Las correlaciones dinámicas de contagio financiero:Estados Unidos y América Latina," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(2), pages 151-168, Abril-Jun.
    70. Jianping Shi & Yu Gao, 2010. "A Study on KLR Financial Crisis Early-Warning Model," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, vol. 5(2), pages 254-275, June.
    71. Aymen Ben Rejeb & Adel Boughrara, 2015. "Financial integration in emerging market economies: Effects on volatility transmission and contagion," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 15(3), pages 161-179, September.
    72. Khan, Nazmus Sadat, 2011. "Cyclical Behaviour of Macroeconomic Policies and Capital Flows: A Study of Asian Countries," Bangladesh Development Studies, Bangladesh Institute of Development Studies (BIDS), vol. 34(2), pages 47-85, June.
    73. Berger, Dave & Pukthuanthong, Kuntara, 2012. "Market fragility and international market crashes," Journal of Financial Economics, Elsevier, vol. 105(3), pages 565-580.
    74. Samarakoon, Lalith P., 2011. "Stock market interdependence, contagion, and the U.S. financial crisis: The case of emerging and frontier markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 724-742.
    75. Sandoval Paucar, Giovanny, 2018. "Contagio Financiero: Una Breve Revisión De Literatura [Financial Contagio: A Review Literature]," MPRA Paper 89554, University Library of Munich, Germany.
    76. Moheeput, Ashwin, 2008. "Financial Fragility, Systemic Risks and Informational Spillovers: Modelling Banking Contagion as State-Contingent Change in Cross-Bank Correlation," Economic Research Papers 269851, University of Warwick - Department of Economics.
    77. Pineda, Julián & Cortés, Lina M. & Perote, Javier, 2022. "Financial contagion drivers during recent global crises," Economic Modelling, Elsevier, vol. 117(C).
    78. Marie‐Helene Gagnon & Celine Gimet, 2020. "Unconventional economic policies and sentiment: An international assessment," The World Economy, Wiley Blackwell, vol. 43(6), pages 1544-1591, June.
    79. Diasakos, Theodoros M, 2013. "Comparative Statics of Asset Prices: the effect of other assets' risk," SIRE Discussion Papers 2013-94, Scottish Institute for Research in Economics (SIRE).
    80. Rajan Sruthi & Santhakumar Shijin, 2020. "Investigating liquidity constraints as a channel of contagion: a regime switching approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-21, December.
    81. Germán González & Victoria Giordano, 2023. "Gravity Approach to the Impact of Crises on MERCOSUR Trade," Working Papers 280, Red Nacional de Investigadores en Economía (RedNIE).
    82. Davidson, Sharada Nia, 2020. "Interdependence or contagion: A model switching approach with a focus on Latin America," Economic Modelling, Elsevier, vol. 85(C), pages 166-197.
    83. Sebastian Missio & Sebastian Watzka, 2011. "Financial Contagion and the European Debt Crisis," CESifo Working Paper Series 3554, CESifo.
    84. Sergio Andenmatten & Felix Brill, 2011. "Measuring Co-Movements of CDS Premia during the Greek Debt Crisis," Diskussionsschriften dp1104, Universitaet Bern, Departement Volkswirtschaft.
    85. Javier Díaz-Cassou & Alicia García-Herrero & Luis Molina, 2006. "What kind of capital flows does the IMF catalyze and when?," Working Papers 0617, Banco de España.
    86. Ur Rehman, Mobeen & Al Rababa'a, Abdel Razzaq & El-Nader, Ghaith & Alkhataybeh, Ahmad & Vo, Xuan Vinh, 2022. "Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    87. Buch, Claudia M. & Heinrich, Ralph P. & Pierdzioch, Christian, 2001. "Globalisierung der Finanzmärkte: Freier Kapitalverkehr oder Tobin-Steuer?," Kiel Discussion Papers 381, Kiel Institute for the World Economy (IfW Kiel).
    88. Claudeci Da Silva & Hugo Agudelo Murillo & Joaquim Miguel Couto, 2014. "Early Warning Systems: Análise De Ummodelo Probit De Contágio De Crise Dos Estados Unidos Para O Brasil(2000-2010)," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 110, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    89. Iulia LUPU, 2015. "European Stock Markets Correlations In A Markov Switching Framework," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 103-119, September.

  53. Ilan Goldfajn & Roberto Rigobon, 2000. "Hard currency and financial development," Textos para discussão 438, Department of Economics PUC-Rio (Brazil).

    Cited by:

    1. Honohan, Patrick & Shi, Anging, 2001. "Deposit dollarization and the financial sector in emerging economies," Policy Research Working Paper Series 2748, The World Bank.
    2. Fatih Ozatay & Guven Sak, 2003. "Banking Sector Fragility and Turkey�s 2000�01 Financial Crisis," Working Papers 0308, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.

  54. Roberto Rigobon, 1999. "On the Measurement of the International Propagation of Shocks," NBER Working Papers 7354, National Bureau of Economic Research, Inc.

    Cited by:

    1. Forbes, Kristin J. & Rigobon, Roberto, 2001. "Contagion in Latin America: definitions, measurement, and policy implications," LSE Research Online Documents on Economics 123085, London School of Economics and Political Science, LSE Library.
    2. Sebastian Edwards & Javier Gomez Biscarri & Fernando Perez de Gracia, 2003. "Stock Market Cycles, Financial Liberalization and Volatility," NBER Working Papers 9817, National Bureau of Economic Research, Inc.
    3. Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola, 2005. "Testing for contagion: a conditional correlation analysis," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 476-489, June.
    4. MARAIS Elise, 2004. "La contagion financi`ere : une ´etude empirique sur les causalités lors de la crise asiatique," International Finance 0404003, University Library of Munich, Germany.
    5. Mardi Dungey & George Milunovich & Susan Thorp, 2008. "Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH," NCER Working Paper Series 22, National Centre for Econometric Research.
    6. Chue, Timothy K., 2002. "Time-varying risk preferences and emerging market co-movements," Journal of International Money and Finance, Elsevier, vol. 21(7), pages 1053-1072, December.
    7. David Backus & Silverio Foresi & Liuren Wu, 2002. "Contagion in Financial Markets," Finance 0207009, University Library of Munich, Germany.
    8. Roberto Rigobon & Dani Rodrik, 2004. "Rule of Law, Democracy, Openness, and Income: Estimating the Interrelationships," NBER Working Papers 10750, National Bureau of Economic Research, Inc.
    9. Lucía Cuadro Sáez & Marcel Fratzscher & Christian Thimann, 2007. "The transmission of emerging market shocks to global equity markets," Working Papers 0727, Banco de España.
    10. Roberta De Santis, 2004. "Has Trade Structure Any Importance in the Trasmission of Currency Shocks? An Empirical Application for Central and Eastern European Acceding Countries to Eu," ISAE Working Papers 43, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    11. Drakos, Konstantinos & Kutan, Ali M., 2001. "Opposites attract: The case of Greek and Turkish financial markets," ZEI Working Papers B 06-2001, University of Bonn, ZEI - Center for European Integration Studies.
    12. Rockinger, M. & Jondeau, E., 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Working papers 82, Banque de France.
    13. Beirne, John & Caporale, Guglielmo Maria & Schulze-Ghattas, Marianne & Spagnolo, Nicola, 2009. "Volatility spillovers and contagion from mature to emerging stock markets," Working Paper Series 1113, European Central Bank.
    14. Geert Bekaert & Campbell R. Harvey, 2003. "Market Integration and Contagion," NBER Working Papers 9510, National Bureau of Economic Research, Inc.
    15. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    16. Lopes, José Mário & Nunes, Luis C., 2012. "A Markov regime switching model of crises and contagion: The case of the Iberian countries in the EMS," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1141-1153.
    17. Favero, Carlo A. & Giavazzi, Francesco, 2002. "Is the international propagation of financial shocks non-linear?: Evidence from the ERM," Journal of International Economics, Elsevier, vol. 57(1), pages 231-246, June.
    18. Marais, E. & Bates, S., 2006. "An empirical study to identify shift contagion during the Asian crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(5), pages 468-479, December.
    19. Vance L. Martin & Brenda Gonzalez-Hermosillo, & Mardi Dungey & Renee A. Fry, 2004. "Empirical Modelling of Contagion: A Review of Methodologies," Econometric Society 2004 Australasian Meetings 243, Econometric Society.
    20. Roberto Rigobon, 2002. "Contagion: How to Measure It?," NBER Chapters, in: Preventing Currency Crises in Emerging Markets, pages 269-334, National Bureau of Economic Research, Inc.
    21. Toni Gravelle & Maral Kichian & James Morley, 2003. "Shift Contagion in Asset Markets," Staff Working Papers 03-5, Bank of Canada.
    22. Roberto Rigobon, 2001. "The Curse of Non-Investment Grade Countries," NBER Working Papers 8636, National Bureau of Economic Research, Inc.
    23. Voronkova, Svitlana, 2004. "Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 633-647.
    24. Ramirez, Manuel & Martínez, Constanza, 2009. "International propagation of shocks: an evaluation of contagion effects for some Latin American countries," Documentos de Trabajo 5789, Universidad del Rosario.
    25. Andres Kuusk & Tiiu Paas, 2010. "Contagion Of Financial Crises With Special Emphasis On Cee Economies: A Metaanalysis," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 66, Faculty of Economics and Business Administration, University of Tartu (Estonia).
    26. Elise MARAIS, 2007. "Mécanismes De Propag Ation Régionale De La Crise Boursière Asiatique," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 26, pages 13-33.
    27. Giavazzi, Francesco & Favero, Carlo A., 2000. "Looking for Contagion: the Evidence from the ERM," CEPR Discussion Papers 2591, C.E.P.R. Discussion Papers.
    28. Ahmet Asici & Charles Wyplosz, 2003. "The Art of Gracefully Exiting a Peg," The Economic and Social Review, Economic and Social Studies, vol. 34(3), pages 211-228.
    29. K. Minderhoud, 2006. "Systemic Risk in the Dutch Financial Sector," De Economist, Springer, vol. 154(2), pages 177-195, June.
    30. Y.L. Cheung & Y.W. Cheung & K.C. Ng, 2003. "East Asian Equity Markets, Financial Crises, and the Japanese Currency," Working Papers 032003, Hong Kong Institute for Monetary Research.
    31. Dorota Witkowska & Krzysztof Kompa & Aleksandra Matuszewska-Janica, 2012. "Analysis of Linkages between Central and Eastern European Capital Markets," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 19-34.
    32. Ahmed Ayadi & Marjène Gana & Stéphane Goutte & Khaled Guesmi, 2021. "Equity-Commodity Contagion During Four Recent Crises: Evidence from the USA, Europe and the BRICS," Working Papers halshs-03169699, HAL.
    33. Alejandro Jara & Camilo Tovar, 2008. "Monetary and financial stability implications of capital flows in Latin America and the Caribbean," BIS Papers, Bank for International Settlements, number 43, October –.
    34. Killeen, William P. & Lyons, Richard K. & Moore, Michael J., 2006. "Fixed versus flexible: Lessons from EMS order flow," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 551-579, June.
    35. Kristin Forbes, 2000. "The Asian Flu and Russian Virus: Firm-level Evidence on How Crises are Transmitted Internationally," NBER Working Papers 7807, National Bureau of Economic Research, Inc.
    36. Mr. Ranil M Salgado & Mr. Luca A Ricci & Mr. Francesco Caramazza, 2000. "Trade and Financial Contagion in Currency Crises," IMF Working Papers 2000/055, International Monetary Fund.
    37. Uppal, Raman & Das, Sanjiv Ranjan, 2002. "Systemic Risk and International Portfolio Choice," CEPR Discussion Papers 3305, C.E.P.R. Discussion Papers.
    38. Avishek Bhandari, 2020. "A wavelet analysis of inter-dependence, contagion and long memory among global equity markets," Papers 2003.14110, arXiv.org.
    39. Michael D. Bordo & Antu P. Murshid, 2000. "Are Financial Crises Becoming Increasingly More Contagious? What is the Historical Evidence on Contagion?," NBER Working Papers 7900, National Bureau of Economic Research, Inc.
    40. Eric Santor, 2007. "Contagion and the composition of Canadian banks' foreign asset portfolios: do financial crises matter?," CGFS Papers chapters, in: Bank for International Settlements (ed.), Research on global financial stability: the use of BIS international financial statistics, volume 29, pages 32-52, Bank for International Settlements.

  55. Kristin Forbes & Roberto Rigobon, 1999. "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," NBER Working Papers 7267, National Bureau of Economic Research, Inc.

    Cited by:

    1. Colin Ellis, 2020. "Are Corporate Bond Defaults Contagious across Sectors?," IJFS, MDPI, vol. 8(1), pages 1-17, January.
    2. Manish Kumar, 2011. "Return and volatility spillovers: evidence from Indian exchange rates," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 3(4), pages 371-387.
    3. Ricardo Mora & Georges Siotis, 2000. "External Factors in Emerging Market Recoveries: An Empirical Investigation," Econometric Society World Congress 2000 Contributed Papers 1415, Econometric Society.
    4. Joanna Olbrys, 2013. "Price and Volatility Spillovers in the Case of Stock Markets Located in Different Time Zones," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S2), pages 145-157, March.
    5. Binici, Mahir & Köksal, Bülent & Orman, Cüneyt, 2012. "Stock return comovement and systemic risk in the Turkish banking system," MPRA Paper 38663, University Library of Munich, Germany.
    6. Zhang, Xingwei & Zheng, Xiaolong & Zeng, Daniel Dajun, 2017. "The dynamic interdependence of international financial markets: An empirical study on twenty-seven stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 472(C), pages 32-42.
    7. Tola, Albi & Wälti, Sébastien, 2012. "Deciphering financial contagion in the euro area during the crisis," MPRA Paper 49251, University Library of Munich, Germany.
    8. Kan Li & Randall Morck & Fan Yang & Bernard Yeung, 2003. "Firm-Specific Variation and Openness in Emerging Markets," William Davidson Institute Working Papers Series 2003-623, William Davidson Institute at the University of Michigan.
    9. Marfatia, Hardik A., 2017. "A fresh look at integration of risks in the international stock markets: A wavelet approach," Review of Financial Economics, Elsevier, vol. 34(C), pages 33-49.
    10. Elyasiani, Elyas & Mansur, Iqbal & Pagano, Michael S., 2007. "Convergence and risk-return linkages across financial service firms," Journal of Banking & Finance, Elsevier, vol. 31(4), pages 1167-1190, April.
    11. Fabio C. Bagliano & Claudio Morana, 2006. "International Macroeconomic Dynamics: a Factor Vector Autoregressive Approach," ICER Working Papers 41-2006, ICER - International Centre for Economic Research.
    12. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," Center for Financial Institutions Working Papers 99-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
    13. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, September.
    14. de Bandt, Olivier & Hartmann, Philipp, 2000. "Systemic Risk: A Survey," CEPR Discussion Papers 2634, C.E.P.R. Discussion Papers.
    15. Gallegati, Marco, 2012. "A wavelet-based approach to test for financial market contagion," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3491-3497.
    16. Dirk G. Baur & Thomas K. McDermott, "undated". "Is gold a safe haven? International evidence," The Institute for International Integration Studies Discussion Paper Series iiisdp310, IIIS.
    17. Mattiussi, V. & Iori, G., 2006. "Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis," Working Papers 06/09, Department of Economics, City University London.
    18. Kenourgios, Dimitris & Naifar, Nader & Dimitriou, Dimitrios, 2016. "Islamic financial markets and global crises: Contagion or decoupling?," Economic Modelling, Elsevier, vol. 57(C), pages 36-46.
    19. De Santis, Roberto A. & Sarno, Lucio, 2008. "Assessing the benefits of international portfolio diversification in bonds and stocks," Working Paper Series 883, European Central Bank.
    20. Naifar, Nader, 2016. "Do global risk factors and macroeconomic conditions affect global Islamic index dynamics? A quantile regression approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 29-39.
    21. Yeyati, Eduardo Levy & Williams, Tomas, 2012. "Emerging economies in the 2000s : real decoupling and financial recoupling," Policy Research Working Paper Series 5961, The World Bank.
    22. Koulakiotis, Athanasios & Kartalis, Nikos & Lyroudi, Katerina & Papasyriopoulos, Nicholas, 2013. "The impact of corporate governance, regulatory differences and futures contracts on movements among portfolios of cross-listed equities: The case of Germany," Journal of Multinational Financial Management, Elsevier, vol. 23(1), pages 34-53.
    23. Alex Mandilaras & Graham Bird, 2007. "Foreign exchange markets in south-east Asia 1990-2004: An empirical analysis of spillovers during crisis and non-crisis periods," Money Macro and Finance (MMF) Research Group Conference 2006 40, Money Macro and Finance Research Group.
    24. Anna Pavlova & Roberto Rigobon, 2008. "The Role of Portfolio Constraints in the International Propagation of Shocks," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 75(4), pages 1215-1256.
    25. Charles Ka Yui Leung & Joe Cho Yiu Ng, 2018. "Macro Aspects of Housing," Globalization Institute Working Papers 340, Federal Reserve Bank of Dallas.
    26. Trenca Ioan & Petria Nicolae & Dezsi Eva, 2013. "An Inquiry Into Contagion Transmission And Spillover Effects In Stock Markets," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 472-482, December.
    27. Mahfuzul Haque & Hannarong Shamsub, 2015. "Do Markets Cointegrate after Financial Crises? Evidence from G-20 Stock Markets," IJFS, MDPI, vol. 3(4), pages 1-30, December.
    28. el Alaoui, AbdelKader O. & Ismath Bacha, Obiyathulla & Masih, Mansur & Asutay, Mehmet, 2017. "Leverage versus volatility: Evidence from the capital structure of European firms," Economic Modelling, Elsevier, vol. 62(C), pages 145-160.
    29. Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2019. "Return spillovers around the globe: A network approach," Economic Modelling, Elsevier, vol. 77(C), pages 133-146.
    30. Boubakri, Salem & Guillaumin, Cyriac, 2015. "Regional integration of the East Asian stock markets: An empirical assessment," Journal of International Money and Finance, Elsevier, vol. 57(C), pages 136-160.
    31. Dimitriou, Dimitrios & Kenourgios, Dimitris, 2013. "Financial crises and dynamic linkages among international currencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 319-332.
    32. Marçal, Emerson Fernandes & Pereira, Pedro L. Valls, 2008. "Testing the Hypothesis of Contagion Using Multivariate Volatility Models," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 28(2), November.
    33. Evrim Imer-Ertunga, 2011. "Global financing conditions and sovereign debt yields of emerging market countries," Applied Financial Economics, Taylor & Francis Journals, vol. 21(4), pages 207-215.
    34. Sensoy, Ahmet & Sobaci, Cihat, 2014. "Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market: The case of Turkey," Economic Modelling, Elsevier, vol. 43(C), pages 448-457.
    35. Pedro Bação & João Maia Domingues & António Portugal Duarte, 2012. "Financial Crisis and Domino Effect," GEMF Working Papers 2012-10, GEMF, Faculty of Economics, University of Coimbra.
    36. Radosław Kurach, 2013. "Does Beta Explain Global Equity Market Volatility – Some Empirical Evidence," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 7(2), June.
    37. Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008. "On the Stability of Domestic Financial Market Linkages in the Presence of time-varying Volatility," Working Papers 0810, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    38. Marçal, Emerson Fernandes & Cunha, Ronan & Merlin, Giovanni Tondin & Simões, Oscar, 2017. "The aftermath of 2008 turmoil on Brazilian economy: Tsunami or “Marolinha”?," Textos para discussão 459, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    39. Claeys, Peter & Vašíček, Bořek, 2014. "Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe," Working Paper Series 1666, European Central Bank.
    40. Khaled GUESMI & Salma FATTOUM, 2014. "The Relationship between Oil Price and OECD Stock Markets: A Multivariate Approach," Economics Bulletin, AccessEcon, vol. 34(1), pages 510-519.
    41. Mokni, Khaled & Youssef, Manel, 2019. "Measuring persistence of dependence between crude oil prices and GCC stock markets: A copula approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 14-33.
    42. Forbes, Kristin J. & Rigobon, Roberto, 2001. "Contagion in Latin America: definitions, measurement, and policy implications," LSE Research Online Documents on Economics 123085, London School of Economics and Political Science, LSE Library.
    43. Caicedo-Llano, Juliana & Dionysopoulos, Thomas, 2008. "Market integration: A risk-budgeting guide for pure alpha investors," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 313-327, October.
    44. el Alaoui, Abdelkader O. & Dewandaru, Ginanjar & Azhar Rosly, Saiful & Masih, Mansur, 2015. "Linkages and co-movement between international stock market returns: Case of Dow Jones Islamic Dubai Financial Market index," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 53-70.
    45. Kuchin I.I., 2016. "Exchange rate risk exposure in asset pricing theory," World of economics and management / Vestnik NSU. Series: Social and Economics Sciences, Socionet, vol. 16(3), pages 31-41.
    46. Bunda, Irina & Hamann, A. Javier & Lall, Subir, 2009. "Correlations in emerging market bonds: The role of local and global factors," Emerging Markets Review, Elsevier, vol. 10(2), pages 67-96, June.
    47. Fratzscher, Marcel & Beirne, John, 2012. "The Pricing of Sovereign Risk and Contagion during the European Sovereign Debt Crisis," CEPR Discussion Papers 9249, C.E.P.R. Discussion Papers.
    48. Aviral Kumar Tiwari & Mihai Ioan Mutascu & Claudiu Tiberiu Albulescu, 2016. "Continuous wavelet transform and rolling correlation of European stock markets," Post-Print hal-03528475, HAL.
    49. Randall Morck & Daniel Wolfenzon & Bernard Yeung, 2004. "Corporate Governance, Economic Entrenchment and Growth," NBER Working Papers 10692, National Bureau of Economic Research, Inc.
    50. Kim Hiang Liow & Qing Ye, 2018. "Regime dependent volatilities and correlation in international securitized real estate markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(3), pages 457-487, August.
    51. Beine, Michel & Laurent, Sébastien & Palm, Franz C., 2009. "Central bank FOREX interventions assessed using realized moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 112-127, February.
    52. Yip, Pick Schen & Lau, Wee-Yeap & Brooks, Robert, 2024. "Portfolio balance effect of the U.S. QE between commodities and financial assets in commodity-exporting countries," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    53. Małgorzata Doman & Ryszard Doman, 2013. "Dynamic linkages between stock markets: the effects of crises and globalization," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 12(2), pages 87-112, August.
    54. Michel Beine & Bertrand Candelon, 2011. "Liberalisation and stock market co-movement between emerging economies," ULB Institutional Repository 2013/169589, ULB -- Universite Libre de Bruxelles.
    55. Saiful Izzuan Hussain & Steven Li, 2018. "The dynamic dependence between stock markets in the greater China economic area: a study based on extreme values and copulas," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(2), pages 207-233, May.
    56. Dimitriou, Dimitrios & Kenourgios, Dimitris & Simos, Theodore, 2013. "Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 46-56.
    57. Shin-ichi Fukuda & Mariko Tanaka, 2017. "The Impacts of Emerging Asia on Global Financial Markets," CIRJE F-Series CIRJE-F-1050, CIRJE, Faculty of Economics, University of Tokyo.
    58. He, Hongbo & Chen, Shou & Yao, Shujie & Ou, Jinghua, 2014. "Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 434-444.
    59. Gus, Garita & Chen, Zhou, 2011. "Averting Currency Crises: The Pros and Cons of Financial Openness," MPRA Paper 30218, University Library of Munich, Germany.
    60. Fernanda Fuentes & Rodrigo Herrera & Adam Clements, 2016. "Modelling Extreme Risks in Commodities and Commodity Currencies," NCER Working Paper Series 115, National Centre for Econometric Research.
    61. Sebastian Edwards & Javier Gomez Biscarri & Fernando Perez de Gracia, 2003. "Stock Market Cycles, Financial Liberalization and Volatility," NBER Working Papers 9817, National Bureau of Economic Research, Inc.
    62. Schaeck, K. & Silva Buston, C.F. & Wagner, W.B., 2013. "The Two Faces of Interbank Correlation," Discussion Paper 2013-077, Tilburg University, Center for Economic Research.
    63. Horvath, Roman & Poldauf, Petr, 2011. "International stock market comovements: what happened during the financial crisis?," MPRA Paper 35317, University Library of Munich, Germany.
    64. Stanislaus Maier-Paape & Andreas Platen, 2016. "Lead–Lag Relationship Using a Stop-and-Reverse-MinMax Process," Risks, MDPI, vol. 4(3), pages 1-20, July.
    65. Jonathan Heathcote, 2003. "Financial Globalization and Real Regionalization," Working Papers gueconwpa~03-03-20, Georgetown University, Department of Economics.
    66. Jayech, Selma, 2016. "The contagion channels of July–August-2011 stock market crash: A DAG-copula based approach," European Journal of Operational Research, Elsevier, vol. 249(2), pages 631-646.
    67. Muñoz, Mª Pilar & Márquez, María Dolores & Sánchez, Josep A., 2011. "Contagion between United States and european markets during the recent crises," MPRA Paper 35993, University Library of Munich, Germany.
    68. Jian Zhou & Yanmin Gao, 2012. "Tail Dependence in International Real Estate Securities Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 128-151, June.
    69. Kuo-Jung Lee & Su-Lien Lu & You Shih, 2018. "Contagion Effect of Natural Disaster and Financial Crisis Events on International Stock Markets," JRFM, MDPI, vol. 11(2), pages 1-25, March.
    70. Syed Jawad Hussain Shahzad & Saba Ameer & Muhammad Shahbaz, 2016. "Disaggregating the correlation under bearish and bullish markets: A Quantile-quantile approach," Post-Print hal-02013740, HAL.
    71. Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola, 2005. "Testing for contagion: a conditional correlation analysis," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 476-489, June.
    72. Urbina, Jilber, 2013. "Financial Spillovers Across Countries: Measuring shock transmissions," MPRA Paper 75756, University Library of Munich, Germany.
    73. Jinjarak, Yothin, 2014. "Equity prices and financial globalization," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 49-57.
    74. Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis," Working Papers del Instituto Complutense de Estudios Internacionales 1501, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
    75. Srivastava, Sasha & Lin, Hai & Premachandra, Inguruwatte M. & Roberts, Helen, 2016. "Global risk spillover and the predictability of sovereign CDS spread: International evidence," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 371-390.
    76. Chiang, Thomas C., 2019. "Empirical analysis of intertemporal relations between downside risks and expected returns—Evidence from Asian markets," Research in International Business and Finance, Elsevier, vol. 47(C), pages 264-278.
    77. Baur, Dirk G. & Schulze, Niels, 2009. "Financial market stability--A test," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 506-519, July.
    78. Payal Jain & Sanjay Sehgal, 2019. "An examination of return and volatility spillovers between mature equity markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 180-210, January.
    79. MARAIS Elise, 2004. "La contagion financi`ere : une ´etude empirique sur les causalités lors de la crise asiatique," International Finance 0404003, University Library of Munich, Germany.
    80. Alexander Karmann & Rodrigo Herrera, 2014. "Special Issue: Issues in Asia. Guest Editor: Laixun Zhao," Review of Development Economics, Wiley Blackwell, vol. 18(2), pages 354-371, May.
    81. Landier, Augustin & Sraer, David & Thesmar, David, 2017. "Banking integration and house price co-movement," Journal of Financial Economics, Elsevier, vol. 125(1), pages 1-25.
    82. Shahzad, Syed Jawad Hussain & Kumar, Ronald Ravinesh & Ali, Sajid & Ameer, Saba, 2016. "Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 8-33.
    83. Essahbi Essaadi & Jamel Jouini & Walih Khallouli, 2007. "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Working Papers 0725, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
    84. Rodrigo Alfaro A. & Rodrigo Cifuentes S., 2009. "FinanciaL Stability, Monetary Policy and Central Banking: an Overview," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 12(2), pages 5-10, August.
    85. Situngkir, Hokky, 2012. "Indonesian Stock Market Crisis Observation with Spectral and Composite Index," MPRA Paper 35961, University Library of Munich, Germany.
    86. Abu S. Amin & Lucjan T. Orlowski, 2014. "Returns, Volatilities, and Correlations Across Mature, Regional, and Frontier Markets: Evidence from South Asia," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(3), pages 5-27, May.
    87. Brunetti, Celso & Harris, Jeffrey H. & Mankad, Shawn & Michailidis, George, 2019. "Interconnectedness in the interbank market," Journal of Financial Economics, Elsevier, vol. 133(2), pages 520-538.
    88. Jorge A. Chan-Lau & Donald J. Mathieson & James Y. Yao, 2004. "Extreme Contagion in Equity Markets," IMF Staff Papers, Palgrave Macmillan, vol. 51(2), pages 1-8.
    89. Hsin, Chin-Wen, 2004. "A multilateral approach to examining the comovements among major world equity markets," International Review of Financial Analysis, Elsevier, vol. 13(4), pages 433-462.
    90. Cesa-Bianchi, Ambrogio & Imbs, Jean & Saleheen, Jumana, 2019. "Finance and synchronization," Journal of International Economics, Elsevier, vol. 116(C), pages 74-87.
    91. Abdelghani Maddi, 2018. "Analyse scientométrique de la crise économique," CEPN Working Papers 2018-08, Centre d'Economie de l'Université de Paris Nord.
    92. Lucey, Brian M. & Vigne, Samuel A. & Ballester, Laura & Barbopoulos, Leonidas & Brzeszczynski, Janusz & Carchano, Oscar & Dimic, Nebojsa & Fernandez, Viviana & Gogolin, Fabian & González-Urteaga, Ana , 2018. "Future directions in international financial integration research - A crowdsourced perspective," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 35-49.
    93. Bonfiglioli, Alessandra & Gancia, Gino, 2015. "Economic Uncertainty and Structural Reforms," CEPR Discussion Papers 10937, C.E.P.R. Discussion Papers.
    94. Guidi, Francesco, 2010. "Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets," MPRA Paper 19853, University Library of Munich, Germany.
    95. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
    96. Vanderlei Kleinschmidt & Roberto Meurer, 2008. "Interdependence in conditional variances between Latin American stock markets," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807211543080, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    97. Das, Sonali & Demirer, Riza & Gupta, Rangan & Mangisa, Siphumlile, 2019. "The effect of global crises on stock market correlations: Evidence from scalar regressions via functional data analysis," Structural Change and Economic Dynamics, Elsevier, vol. 50(C), pages 132-147.
    98. Brière, Marie & Chapelle, Ariane & Szafarz, Ariane, 2012. "No contagion, only globalization and flight to quality," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1729-1744.
    99. Elahi, M.A., 2011. "Essays on financial fragility," Other publications TiSEM 882f55bb-10dc-4e49-95ef-e, Tilburg University, School of Economics and Management.
    100. Weber, Enzo, 2009. "Financial Contagion, Vulnerability and Information Flow: Empirical Identification," University of Regensburg Working Papers in Business, Economics and Management Information Systems 431, University of Regensburg, Department of Economics.
    101. 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.
    102. Gagnon, Louis & Karolyi, G. Andrew, 2004. "Multi-market Trading and Arbitrage," Working Paper Series 2004-9, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    103. David Zimmer, 2015. "Asymmetric dependence in house prices: evidence from USA and international data," Empirical Economics, Springer, vol. 49(1), pages 161-183, August.
    104. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "“Causality and Contagion in EMU Sovereign Debt Markets”," IREA Working Papers 201403, University of Barcelona, Research Institute of Applied Economics, revised Feb 2014.
    105. Haas, Markus & Mittnik, Stefan, 2008. "Multivariate regimeswitching GARCH with an application to international stock markets," CFS Working Paper Series 2008/08, Center for Financial Studies (CFS).
    106. Kim, In Joon & Kim, So Jung & Yoon, Sun-Joong, 2014. "A dark side of international capital market integration: Domestic investors' view," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 238-256.
    107. Jotikasthira, Chotibhak & Le, Anh & Lundblad, Christian, 2015. "Why do term structures in different currencies co-move?," Journal of Financial Economics, Elsevier, vol. 115(1), pages 58-83.
    108. Asongu Simplice, 2011. "Political Crises and Risk of Financial Contagion in Developing Countries: Evidence from Africa," Working Papers of the African Governance and Development Institute. 11/003, African Governance and Development Institute..
    109. Lucian Liviu ALBU & Radu LUPU & Adrian Cantemir CALIN, 2017. "Risk Generating Industries for European Stock Markets," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 51(4), pages 5-17.
    110. Wagner, Alexander F. & Schrimpf, Paul & Petzev, Ivan, 2015. "Has the Pricing of Stocks Become More Global?," CEPR Discussion Papers 10966, C.E.P.R. Discussion Papers.
    111. Albuquerque, Rui & Ramadorai, Tarun & Watugala, Sumudu W., 2015. "Trade credit and cross-country predictable firm returns," Journal of Financial Economics, Elsevier, vol. 115(3), pages 592-613.
    112. Massimiliano Marzo & Paolo Zagaglia, 2010. "Gold and the U.S. Dollar: Tales from the Turmoil," Working Paper series 08_10, Rimini Centre for Economic Analysis.
    113. D Brookfield & A Azizan, 2006. "Contagion and the Role of Market Development: the Case of the Malaysian Futures Market during the East Asian Crisis of 1997," Economic Issues Journal Articles, Economic Issues, vol. 11(2), pages 1-18, September.
    114. Tunc, Ahmet, 2024. "ETFs amidst the COVID-induced technological transformation: Sectoral insights from time-varying dynamics of tail risk transmissions," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    115. Patrick J. Wilson & Ralf Zurbruegg & Richard Gerlach, 2002. "Structural Breaks and Diversification: The Impact of the 1997 Asian Financial Crisis on the Integration of Asia Pacific Real Estate Markets," ERES eres2002_140, European Real Estate Society (ERES).
    116. Tobias Basse & Robinson Kruse & Christoph Wegener, 2017. "The Walking Debt Crisis," CREATES Research Papers 2017-06, Department of Economics and Business Economics, Aarhus University.
    117. Mr. Thomas Helbling & Mr. Tamim Bayoumi, 2003. "Are they All in the Same Boat? the 2000-2001 Growth Slowdown and the G-7 Business Cycle Linkages," IMF Working Papers 2003/046, International Monetary Fund.
    118. Zheng, Tingguo & Zuo, Haomiao, 2013. "Reexamining the time-varying volatility spillover effects: A Markov switching causality approach," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 643-662.
    119. Diebold, Francis X. & Yilmaz, Kamil, 2015. "Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring," OUP Catalogue, Oxford University Press, number 9780199338306.
    120. Maghyereh, Aktham I. & Awartani, Basel & Hilu, Khalil Al, 2015. "Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 123-138.
    121. Grammatikos, Theoharry & Vermeulen, Robert, 2012. "Transmission of the financial and sovereign debt crises to the EMU: Stock prices, CDS spreads and exchange rates," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 517-533.
    122. Fratzscher, Marcel & Forbes, Kristin & Straub, Roland, 2012. "Bubble Thy Neighbor: Portfolio Effects and Externalities from Capital Controls," CEPR Discussion Papers 8979, C.E.P.R. Discussion Papers.
    123. Marcel Fratzscher, 2011. "Capital Flows, Push versus Pull Factors and the Global Financial Crisis," NBER Working Papers 17357, National Bureau of Economic Research, Inc.
    124. Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
      • Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
      • Tobias Adrian & Markus K. Brunnermeier, 2016. "CoVaR," American Economic Review, American Economic Association, vol. 106(7), pages 1705-1741, July.
    125. Pragidis, I.C. & Aielli, G.P. & Chionis, D. & Schizas, P., 2015. "Contagion effects during financial crisis: Evidence from the Greek sovereign bonds market," Journal of Financial Stability, Elsevier, vol. 18(C), pages 127-138.
    126. Afanasiev, Dmitriy (Афанасьев, Дмитрий) & Fedorova, Elena, 2016. "Currency integration of Russia and other CIS countries: what is changing in a crisis? [Валютная Интеграция России И Других Стран Снг: Что Меняется В Кризис?]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 2, pages 133-147, April.
    127. Richard Friberg & Mark Sanctuary, 2022. "Matched trade at the firm level and the micro origins of international business‐cycle comovement," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 2997-3009, July.
    128. Haakon Kavli & Kevin Kotzé, 2014. "Spillovers in Exchange Rates and the Effects of Global Shocks on Emerging Market Currencies," South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 209-238, June.
    129. María Cantero Sáiz & Sergio Sanfilippo Azofra & Begoña Torre Olmo, 2019. "The single supervision mechanism and contagion between bank and sovereign risk," Journal of Regulatory Economics, Springer, vol. 55(1), pages 67-106, February.
    130. Gauthier, Céline & Lehar, Alfred & Souissi, Moez, 2012. "Macroprudential capital requirements and systemic risk," Journal of Financial Intermediation, Elsevier, vol. 21(4), pages 594-618.
    131. Hill, Jonathan B. & Aguilar, Mike, 2013. "Moment condition tests for heavy tailed time series," Journal of Econometrics, Elsevier, vol. 172(2), pages 255-274.
    132. Mardi Dungey & George Milunovich & Susan Thorp, 2008. "Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH," NCER Working Paper Series 22, National Centre for Econometric Research.
    133. Wahbeeah Mohti & Andreia Dionísio & Paulo Ferreira & Isabel Vieira, 2019. "Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis," Economies, MDPI, vol. 7(1), pages 1-14, February.
    134. Francis X. Diebold / Kamil Yilmaz, 2009. "Equity Market Spillovers in the Americas," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 12(2), pages 55-65, August.
    135. Viviana Fernández, 2006. "Extremal dependence in European capital markets," Journal of Applied Economics, Universidad del CEMA, vol. 9, pages 275-293, November.
    136. Peng Chen & Shu Wu, 2013. "On international stock market co-movements and macroeconomic risks," Applied Economics Letters, Taylor & Francis Journals, vol. 20(10), pages 978-982, July.
    137. Graciela L. Kaminsky, 2008. "Crises and Sudden Stops: Evidence from International Bond and Syndicated-Loan Markets," NBER Working Papers 14249, National Bureau of Economic Research, Inc.
    138. Wei Zhou, 2017. "Dynamic and Asymmetric Contagion Reactions of Financial Markets During the Last Subprime Crisis," Computational Economics, Springer;Society for Computational Economics, vol. 50(2), pages 207-230, August.
    139. Asif Ahmad & Richard Mcmanus & Gulcin Ozkan, 2024. "Does fear of floating shape monetary policy and does it matter?," Economics Bulletin, AccessEcon, vol. 44(3), pages 1055-1095.
    140. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2011. "The Japanese economy in crises: A time series segmentation study," Economics Discussion Papers 2011-24, Kiel Institute for the World Economy (IfW Kiel).
    141. Ying Li & Hossein Kazemi, 2007. "Conditional Properties of Hedge Funds: Evidence from Daily Returns," European Financial Management, European Financial Management Association, vol. 13(2), pages 211-238, March.
    142. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Kumar, Ronald Ravinesh & Mensi, Walid, 2017. "Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 310-324.
    143. Oikonomikou, Leoni Eleni, 2018. "Modeling financial market volatility in transition markets: a multivariate case," Research in International Business and Finance, Elsevier, vol. 45(C), pages 307-322.
    144. Dimpfl, Thomas & Peter, Franziska J., 2014. "The impact of the financial crisis on transatlantic information flows: An intraday analysis," University of Tübingen Working Papers in Business and Economics 70, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
    145. Agata Kliber, 2014. "The Dynamics of Sovereign Credit Default Swaps and the Evolution of the Financial Crisis in Selected Central European Economies," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(4), pages 330-350, September.
    146. Muhammad Aamir & Syed Zulfiqar Ali Shah, 2018. "Determinants of Stock Market Co-Movements between Pakistan and Asian Emerging Economies," JRFM, MDPI, vol. 11(3), pages 1-14, June.
    147. Welburn, Jonathan William & Hausken, Kjell, 2015. "A Game-Theoretic Model with Empirics of Economic Crises," UiS Working Papers in Economics and Finance 2015/7, University of Stavanger.
    148. Geert Bekaert & Michael Ehrmann & Marcel Fratzscher & Arnaud Mehl, 2014. "The Global Crisis and Equity Market Contagion," Discussion Papers of DIW Berlin 1352, DIW Berlin, German Institute for Economic Research.
    149. Eraslan, Sercan & Ali, Faek Menla, 2017. "Financial crises and the dynamic linkages between stock and bond returns," Discussion Papers 17/2017, Deutsche Bundesbank.
    150. Chue, Timothy K., 2002. "Time-varying risk preferences and emerging market co-movements," Journal of International Money and Finance, Elsevier, vol. 21(7), pages 1053-1072, December.
    151. Jeffrey A. Frankel, 2010. "Monetary Policy in Emerging Markets: A Survey," NBER Working Papers 16125, National Bureau of Economic Research, Inc.
    152. Emanuele BACCHIOCCHI, 2015. "On the Identification of Interdependence and Contagion of Financial Crises," Departmental Working Papers 2015-12, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    153. Gebka, Bartosz & Serwa, Dobromil, 2007. "Intra- and inter-regional spillovers between emerging capital markets around the world," Research in International Business and Finance, Elsevier, vol. 21(2), pages 203-221, June.
    154. Zouheir Mighri & Faysal Mansouri, 2014. "Modeling international stock market contagion using multivariate fractionally integrated APARCH approach," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-25, December.
    155. Gazi Salah Uddin & Mohamed Arouri & Aviral Kumar Tiwari, 2014. "Co-movements between Germany and International Stock Markets: Some New Evidence from DCC-GARCH and Wavelet Approaches," Working Papers 2014-143, Department of Research, Ipag Business School.
    156. Ariel M. Viale & David A. Bessler & James W. Kolari, 2014. "On the structure of financial contagion: Econometric tests and Mercosur evidence," Journal of Applied Economics, Universidad del CEMA, vol. 17, pages 373-400, November.
    157. Michel Beine & Antonio Cosma & Robert Vermeulen, 2008. "The Dark Side of Global Integration: Increasing Tail Dependence," DEM Discussion Paper Series 08-03, Department of Economics at the University of Luxembourg.
    158. Sander, Harald & Kleimeier, Stefanie, 2003. "Contagion and causality: an empirical investigation of four Asian crisis episodes," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(2), pages 171-186, April.
    159. Mun, Kyung-Chun, 2005. "Contagion and impulse response of international stock markets around the 9-11 terrorist attacks," Global Finance Journal, Elsevier, vol. 16(1), pages 48-68, August.
    160. Diamandis, Panayiotis F., 2008. "Financial liberalization and changes in the dynamic behaviour of emerging market volatility: Evidence from four Latin American equity markets," Research in International Business and Finance, Elsevier, vol. 22(3), pages 362-377, September.
    161. Chaudhuri, Kausik & Sen, Rituparna & Tan, Zheng, 2018. "Testing extreme dependence in financial time series," Economic Modelling, Elsevier, vol. 73(C), pages 378-394.
    162. Marcel Fratzscher, 2000. "On Currency Crises and Contagion," Working Paper Series WP00-9, Peterson Institute for International Economics.
    163. Kole, H.J.W.G. & Koedijk, C.G. & Verbeek, M.J.C.M., 2003. "Stress Testing with Student's t Dependence," ERIM Report Series Research in Management ERS-2003-056-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    164. Carlos C. Bautista & Philippe Rous & Amine Tarazi, 2008. "The Determinants of Domestic and Cross Border Bank Contagion Risk in Southeast Asia," Post-Print hal-00838543, HAL.
    165. Brunnermeier, Markus K. & Oehmke, Martin, 2013. "Bubbles, Financial Crises, and Systemic Risk," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1221-1288, Elsevier.
    166. Zied Ftiti & Aviral Tiwari & Amél Belanès & Khaled Guesmi, 2014. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis," Working Papers 2014-577, Department of Research, Ipag Business School.
    167. Francis X. Diebold & Kamil Yilmaz, 2008. "Measuring financial asset return and volatility spillovers, with application to global equity markets," Working Papers 08-16, Federal Reserve Bank of Philadelphia.
    168. Gagnon, Louis & Karolyi, G. Andrew, 2009. "Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(4), pages 953-986, August.
    169. Christiansen, Charlotte & Ranaldo, Angelo, 2009. "Extreme coexceedances in new EU member states' stock markets," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1048-1057, June.
    170. Harvey, A., 2008. "Dynamic distributions and changing copulas," Cambridge Working Papers in Economics 0839, Faculty of Economics, University of Cambridge.
    171. Lucey, Brian & Sevic, Aleksandar, 2010. "Investigating the determinants of banking coexceedances in Europe in the summer of 2008," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(3), pages 275-283, July.
    172. Javier De Peña & Luis A. Gil-Alana, 2002. "Do Spanish Stock Market Prices Follow a Random Walk?," Faculty Working Papers 01/02, School of Economics and Business Administration, University of Navarra.
    173. Nagayasu, Jun, 2015. "Global and country-specific factors in real effective exchange rates," MPRA Paper 64217, University Library of Munich, Germany.
    174. Cipollini, Andrea & Cascio, Iolanda Lo & Muzzioli, Silvia, 2015. "Volatility co-movements: A time-scale decomposition analysis," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 34-44.
    175. Virginie Coudert & Cécile Couharde & Valérie Mignon, 2010. "Exchange Rate Flexibility across Financial Crises," CEPN Working Papers hal-00845254, HAL.
    176. Kate Phylaktis & Lichuan Xia, 2009. "Equity Market Comovement and Contagion: A Sectoral Perspective," Financial Management, Financial Management Association International, vol. 38(2), pages 381-409, June.
    177. David Backus & Silverio Foresi & Liuren Wu, 2002. "Contagion in Financial Markets," Finance 0207009, University Library of Munich, Germany.
    178. Guglielmo Maria Caporale & Alessandro Girardi, 2012. "Business Cycles, International Trade and Capital Flows: Evidence from Latin America," Discussion Papers of DIW Berlin 1254, DIW Berlin, German Institute for Economic Research.
    179. Fratzscher, Marcel & Chudik, Alexander, 2012. "Liquidity, Risk and the Global Transmission of the 2007-08 Financial Crisis and the 2010-11 Sovereign Debt Crisis," CEPR Discussion Papers 8787, C.E.P.R. Discussion Papers.
    180. Honghai Yu & Wencong Sun & Xiangting Ye & Libing Fang, 2019. "Measuring the increasing connectedness of Chinese assets with global assets: using a variance decompositions method," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(5), pages 1261-1290, March.
    181. Zynobia Barson & Kwame Simpe Ofori & Peterson Owusu Junior & Kwabena G. Boakye & George Oppong Appiagyei Ampong, 2024. "Time-varying Connectedness Between ESG Stocks and BRVM Traditional Stocks," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 23(3), pages 306-335, September.
    182. Stefan Avdjiev & Paolo Giudici & Alessandro Spelta, 2019. "Measuring contagion risk in international banking," BIS Working Papers 796, Bank for International Settlements.
    183. Zongxin Qian & Qian Luo, 2016. "Regime-Dependent Determinants of China’s Sovereign Credit Default Swap Spread," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(1), pages 10-21, January.
    184. Dennis P. Quinn & Hans-Joachim Voth, 2008. "A Century of Global Equity Market Correlations," American Economic Review, American Economic Association, vol. 98(2), pages 535-540, May.
    185. Dror Y. Kenett & Xuqing Huang & Irena Vodenska & Shlomo Havlin & H. Eugene Stanley, 2015. "Partial correlation analysis: applications for financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 15(4), pages 569-578, April.
    186. 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.
    187. Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2013. "Estimating non-linear serial and cross-interdependence between financial assets," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 837-846.
    188. Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2013. "Granger-causality in peripheral EMU public debt markets: A dynamic approach," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4627-4649.
    189. Mohammad Karimi & Marcel-Cristian Voia, 2019. "Empirics of currency crises: A duration analysis approach," Post-Print hal-03528952, HAL.
    190. Reboredo, Juan C. & Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu, 2015. "An analysis of dependence between Central and Eastern European stock markets," Economic Systems, Elsevier, vol. 39(3), pages 474-490.
    191. Abdulnasser Hatemi-J & Eduardo Roca, 2005. "Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries," Applied Financial Economics, Taylor & Francis Journals, vol. 15(8), pages 539-546.
    192. Strohsal, Till & Weber, Enzo, 2012. "The signal of volatility," SFB 649 Discussion Papers 2012-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    193. Rezayat, Fahimeh & Yavas, Burhan F., 2006. "International portfolio diversification: A study of linkages among the U.S., European and Japanese equity markets," Journal of Multinational Financial Management, Elsevier, vol. 16(4), pages 440-458, October.
    194. Amir Saadaoui & Younes Boujelbene, 2016. "Volatility Transmission between Dow Jones Stock Index and Emerging Bond Index," EuroEconomica, Danubius University of Galati, issue 2(12), pages 194-216, April.
    195. P. Evans & David G. McMillan & Fiona J. McMillan, 2017. "Time-varying correlations and interrelations: Firm-level-based sector evidence," Journal of Asset Management, Palgrave Macmillan, vol. 18(3), pages 209-221, May.
    196. Jinghan Cai & Xiaobing Li, 2018. "Logistics and stock market inter-dependence: the case of China," International Journal of Logistics Economics and Globalisation, Inderscience Enterprises Ltd, vol. 7(3), pages 292-306.
    197. Ranjan Dasgupta, 2017. "Association of South-East Asian Nations-US Stock Market Associations in and Around US 2007-09 Financial Crisis: An Autoregressive Distributed Lag Application for Policy Implications," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 684-705.
    198. Alexakis, Panayotis D. & Kenourgios, Dimitris & Dimitriou, Dimitrios, 2016. "On emerging stock market contagion: The Baltic region," Research in International Business and Finance, Elsevier, vol. 36(C), pages 312-321.
    199. Vance L. Martin & Mardi Dungey, 2007. "Unravelling financial market linkages during crises," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 89-119.
    200. HEGERTY, Scott W., 2014. "Exchange Market Pressure And Regional Price Spillovers In Russia, Ukraine, And Belarus," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 14(2).
    201. Korkmaz, Turhan & Çevik, Emrah İ. & Atukeren, Erdal, 2012. "Return and volatility spillovers among CIVETS stock markets," Emerging Markets Review, Elsevier, vol. 13(2), pages 230-252.
    202. Fratzscher, Marcel & Rieth, Malte, 2015. "Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area," CEPR Discussion Papers 10370, C.E.P.R. Discussion Papers.
    203. Luis Fernando Melo & Hernán Rincón, 2013. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 31(71), pages 1-35, June.
    204. Elyas Elyasiani & Elena Kalotychou & Sotiris Staikouras & Gang Zhao, 2015. "Return and Volatility Spillover among Banks and Insurers: Evidence from Pre-Crisis and Crisis Periods," Journal of Financial Services Research, Springer;Western Finance Association, vol. 48(1), pages 21-52, August.
    205. Leila Ali & Marie Lebreton, 2007. "The ERM breakdown: a spatial econometric approach," Applied Economics Letters, Taylor & Francis Journals, vol. 14(3), pages 197-201.
    206. Lucía Cuadro Sáez & Marcel Fratzscher & Christian Thimann, 2007. "The transmission of emerging market shocks to global equity markets," Working Papers 0727, Banco de España.
    207. Richard C. K. Burdekin & Pierre L. Siklos, 2011. "Enter the Dragon: Interactions between Chinese, US and Asia-Pacific Equity Markets, 1995-2010," Working Papers 232011, Hong Kong Institute for Monetary Research.
    208. Ovidiu Stoica & Mark J. Perry & Seyed Mehdian, 2015. "An Empirical Analysis of the Diffusion of Information across Stock Markets of Central and Eastern Europe," Prague Economic Papers, Prague University of Economics and Business, vol. 2015(2), pages 192-210.
    209. Takashi Miyazaki & Shigeyuki Hamori, 2016. "The determinants of a simultaneous crash in gold and stock markets: An ordered logit approach," Discussion Papers 1603, Graduate School of Economics, Kobe University.
    210. Kam-hon CHU & Bob Y. C. Chan & Chor-yiu Sin, 2000. "Contagion Effects, Informational Effects, and Economic Fundamentals: An Analysis of Exchange Rate Dynamics during the Asian Currency Crisis," Working Papers 022000, Hong Kong Institute for Monetary Research.
    211. Panagiotidis, Theodore & Stengos, Thanasis & Vravosinos, Orestis, 2018. "On the determinants of bitcoin returns: A LASSO approach," Finance Research Letters, Elsevier, vol. 27(C), pages 235-240.
    212. Dungey, Mardi & Gajurel, Dinesh, 2014. "Contagion and banking crisis — internatonal evidence for 2007-2009," Working Papers 2014-10, University of Tasmania, Tasmanian School of Business and Economics.
    213. Gagnon, Louis & Karolyi, G. Andrew, 2006. "Price and Volatility Transmission across Borders," Working Paper Series 2006-5, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    214. Massimiliano Caporin & Rangan Gupta & Francesco Ravazzolo, 2019. "Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach," Working Papers 201913, University of Pretoria, Department of Economics.
    215. Vyrost, Tomas, 2015. "Country and industry effects in CEE stock market networks: Preliminary results," MPRA Paper 65775, University Library of Munich, Germany.
    216. Roberta De Santis, 2004. "Has Trade Structure Any Importance in the Trasmission of Currency Shocks? An Empirical Application for Central and Eastern European Acceding Countries to Eu," ISAE Working Papers 43, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    217. Zied Ftiti & Aviral Tiwari & Amél Belanès & Khaled Guesmi, 2015. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis Versus Wavelet Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 575-611, December.
    218. Trabelsi, Mohamed Ali & Hmida, Salma, 2018. "Impact of the Credit Rating Revision on the Eurozone Stock Markets," MPRA Paper 89152, University Library of Munich, Germany, revised 2018.
    219. Büyükşahin, Bahattin & Robe, Michel A., 2014. "Speculators, commodities and cross-market linkages," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 38-70.
    220. Carlos León & Geun-Young Kim & Constanza Martínez & Daeyup Lee, 2017. "Equity markets’ clustering and the global financial crisis," Quantitative Finance, Taylor & Francis Journals, vol. 17(12), pages 1905-1922, December.
    221. Chen, J. & Kobayashi, M. & McAleer, M.J., 2017. "Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models," Econometric Institute Research Papers TI 2017-022/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    222. Bastian Gribisch, 2016. "Multivariate Wishart stochastic volatility and changes in regime," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 100(4), pages 443-473, October.
    223. Hegerty, Scott W., 2012. "Money market pressure in emerging economies: International contagion versus domestic determinants," Economic Systems, Elsevier, vol. 36(4), pages 506-521.
    224. Degryse, Hans & Elahi, Muhammad Ather & Penas, María Fabiana, 2013. "Determinants of banking system fragility: a regional perspective," Working Paper Series 1567, European Central Bank.
    225. Zhengyang Chi & Junbin Gao & Chao Wang, 2024. "Graph Signal Processing for Global Stock Market Volatility Forecasting," Papers 2410.22706, arXiv.org.
    226. Bellenzier, Lucia & Vitting Andersen, Jørgen & Rotundo, Giulia, 2016. "Contagion in the world's stock exchanges seen as a set of coupled oscillators," Economic Modelling, Elsevier, vol. 59(C), pages 224-236.
    227. da Silva, Marcus Fernandes & de Area Leão Pereira, Éder Johnson & da Silva Filho, Aloisio Machado & de Castro, Arleys Pereira Nunes & Miranda, José Garcia Vivas & Zebende, Gilney Figueira, 2016. "Quantifying the contagion effect of the 2008 financial crisis between the G7 countries (by GDP nominal)," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 1-8.
    228. Graham Bird & Wenti Du & Eric Pentecost & Thomas Willett, 2017. "Safe haven or contagion? The disparate effects of Euro-zone crises on non-Euro-zone neighbours," Applied Economics, Taylor & Francis Journals, vol. 49(59), pages 5895-5904, December.
    229. Walid Mensi & Salem Adel Ziadat & Xuan Vinh Vo & Sang Hoon Kang, 2024. "Spillovers and Portfolio Management Between the Uncertainty Indices of Oil and Gold and G7 Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 2233-2262, October.
    230. Morgan Kelly, 2008. "Financial market contagion," Open Access publications 10197/524, School of Economics, University College Dublin.
    231. Numan Ülkü, 2011. "Modeling Comovement among Emerging Stock Markets: The Case of Budapest and Istanbul," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(3), pages 277-304, July.
    232. Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Nguyen, Duc Khuong, 2011. "Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 130-141, January.
    233. Matteo Foglia & Eliana Angelini, 2019. "The Time-Spatial Dimension of Eurozone Banking Systemic Risk," Risks, MDPI, vol. 7(3), pages 1-25, July.
    234. Alfonso Mendoza, 2004. "Modelling Long Memory and Risk Premia in Latin American Sovereign Bond Markets," Econometrics 0410004, University Library of Munich, Germany.
    235. Antonio Diez de los Rios, 2007. "Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets," Staff Working Papers 07-29, Bank of Canada.
    236. Toni Ahnert & Christoph Bertsch, 2015. "A Wake-Up-Call Theory of Contagion," Staff Working Papers 15-14, Bank of Canada.
    237. DUMITRESCU, Sorin, 2015. "European Equity Market Return, Volatility And Liquidity Spillover Dynamics During The Eurozone Debt Crisis," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 19(2), pages 30-50.
    238. Bartram, Söhnke M. & Wang, Yaw-Huei, 2015. "European financial market dependence: An industry analysis," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 146-163.
    239. Aladesanmi, Olalekan & Casalin, Fabrizio & Metcalf, Hugh, 2019. "Stock market integration between the UK and the US: Evidence over eight decades," Global Finance Journal, Elsevier, vol. 41(C), pages 32-43.
    240. Guglielmo Maria Caporale & Antoaneta Serguieva & Hao Wu, 2009. "Financial contagion: evolutionary optimization of a multinational agent‐based model," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 16(1‐2), pages 111-125, January.
    241. Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2015. "Sovereigns and banks in the euro area: A tale of two crises," Working Papers 15-01, Asociación Española de Economía y Finanzas Internacionales.
    242. Filip Smolik & Lukas Vacha, 2015. "Time-scale analysis of co-movement in EU sovereign bond markets," Papers 1506.03347, arXiv.org, revised Mar 2016.
    243. Sensoy, Ahmet & Eraslan, Veysel & Erturk, Mutahhar, 2016. "Do sovereign rating announcements have an impact on regional stock market co-movements? The case of Central and Eastern Europe," Economic Systems, Elsevier, vol. 40(4), pages 552-567.
    244. James Chong & Alexandra Krystalogianni & Simon Stevenson, "undated". "Dynamic Correlations across REIT Sub-Sectors," Real Estate & Planning Working Papers rep-wp2011-07, Henley Business School, University of Reading.
    245. René Garcia & Georges Tsafack, 2009. "Dependence Structure and Extreme Comovements in International Equity and Bond Markets," CIRANO Working Papers 2009s-21, CIRANO.
    246. Bua, Giovanna & Trecroci, Carmine, 2016. "International Equity Markets Interdependence: Bigger Shocks or Contagion in the 21st Century?," MPRA Paper 74771, University Library of Munich, Germany.
    247. Yoko Shinagawa, 2014. "Determinants of Financial Market Spillovers: The Role of Portfolio Diversification, Trade, Home Bias, and Concentration," IMF Working Papers 2014/187, International Monetary Fund.
    248. Kalemli-Ozcan, Sebnem & Papaioannou, Elias & Peydró, José-Luis, 2010. "Financial regulation, financial globalization and the synchronization of economic activity," Working Paper Series 1221, European Central Bank.
    249. Monica Billio & Massimiliano Caporin, 2007. "Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion," Working Papers 2007_18, Department of Economics, University of Venice "Ca' Foscari".
    250. Eddie C. M. Hui & Ka Kwan Kevin Chan, 2018. "Is there really any Contagion among Major Equity and Securitized Real Estate Markets? Analysis from a New Perspective," The Journal of Real Estate Finance and Economics, Springer, vol. 56(4), pages 567-586, May.
    251. Twm Evans & David G. McMillan, 2009. "Financial co-movement and correlation: evidence from 33 international stock market indices," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 1(3), pages 215-241.
    252. Radovan Vadovic, 2009. "Early, Late, and Multiple Bidding in Internet Auctions," Working Papers 0904, Centro de Investigacion Economica, ITAM.
    253. Julien Chevallier & Florian Ielpo, 2013. "Volatility spillovers in commodity markets," Applied Economics Letters, Taylor & Francis Journals, vol. 20(13), pages 1211-1227, September.
    254. Graham Bird & Wenti Du & Eric Pentecost & Thomas Willett, 2017. "Was it different the second time? An empirical analysis of contagion during the crises in Greece 2009–15," The World Economy, Wiley Blackwell, vol. 40(12), pages 2530-2542, December.
    255. S. T. M. Straetmans & W. F. C. Verschoor & C. C. P. Wolff, 2008. "Extreme US stock market fluctuations in the wake of 9|11," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 17-42.
    256. Krämer, Walter & van Kampen, Maarten, 2011. "A simple nonparametric test for structural change in joint tail probabilities," Economics Letters, Elsevier, vol. 110(3), pages 245-247, March.
    257. Kaminsky, Graciela & Lyons, Richard K. & Schmukler, Sergio L., 2004. "Managers, investors, and crises: mutual fund strategies in emerging markets," Journal of International Economics, Elsevier, vol. 64(1), pages 113-134, October.
    258. Ramona Dumitriu & Razvan Stefanescu, 2016. "Impact of the NYSE Shocks on the European Developed Capital Markets," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 327-334.
    259. Iuliia Brushko & Ms. Yuko Hashimoto, 2014. "The Role of Country Concentration in the International Portfolio Investment Positions for the European Union Members," IMF Working Papers 2014/074, International Monetary Fund.
    260. Nadhem Selmi & Nejib Hachicha, 2014. "Were Oil Price Markets the Source of Credit Crisis in European Countries? Evidence Using a VAR-MGARCH-DCC Model," International Journal of Energy Economics and Policy, Econjournals, vol. 4(2), pages 169-177.
    261. Shaun Bond & Mardi Dungey & Renée Fry, 2006. "A Web Of Shocks: Crises Across Asian Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 253-274, May.
    262. Beirne, John & Caporale, Guglielmo Maria & Schulze-Ghattas, Marianne & Spagnolo, Nicola, 2009. "Volatility spillovers and contagion from mature to emerging stock markets," Working Paper Series 1113, European Central Bank.
    263. Dungey, Mardi & Flavin, Thomas J. & Lagoa-Varela, Dolores, 2020. "Are banking shocks contagious? Evidence from the eurozone," Journal of Banking & Finance, Elsevier, vol. 112(C).
    264. Mardi Dungey & Abdullah Yalama, 2009. "Detecting Contagion with Correlation: Volatility and Timing Matter," CAMA Working Papers 2009-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    265. Boubaker, Sabri & Jouini, Jamel & Lahiani, Amine, 2016. "Financial contagion between the US and selected developed and emerging countries: The case of the subprime crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 14-28.
    266. Gropp, Reint & Moerman, Gerard, 2003. "Measurement of contagion in banks' equity prices," Working Paper Series 297, European Central Bank.
    267. David Zimmer, 2015. "Time-Varying Correlation in Housing Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 51(1), pages 86-100, July.
    268. Ye, Wuyi & Luo, Kebing & Liu, Xiaoquan, 2017. "Time-varying quantile association regression model with applications to financial contagion and VaR," European Journal of Operational Research, Elsevier, vol. 256(3), pages 1015-1028.
    269. Sercan Demiralay & Veysel Ulusoy, 2017. "How Has the Behavior of Cross-Market Correlations Altered During Financial and Debt Crises?," Manchester School, University of Manchester, vol. 85(6), pages 765-794, December.
    270. Tata Subba Rao & Granville Tunnicliffe Wilson & Geir Drage Berentsen & Ricardo Cao & Mario Francisco-Fernández & Dag TjØstheim, 2017. "Some Properties of Local Gaussian Correlation and Other Nonlinear Dependence Measures," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 352-380, March.
    271. Prasad, Nalin & Grant, Andrew & Kim, Suk-Joong, 2018. "Time varying volatility indices and their determinants: Evidence from developed and emerging stock markets," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 115-126.
    272. Juan M. Londono, 2016. "Bad Bad Contagion," International Finance Discussion Papers 1178, Board of Governors of the Federal Reserve System (U.S.).
    273. Fratzscher, Marcel, 2001. "Financial market integration in Europe: on the effects of EMU on stock markets," Working Paper Series 48, European Central Bank.
    274. Heather M. Anderson & Farshid Vahid, 2013. "Common non-linearities in multiple series of stock market volatility," Monash Econometrics and Business Statistics Working Papers 1/13, Monash University, Department of Econometrics and Business Statistics.
    275. Barunik, Jozef & Krehlik, Tomas, 2016. "Measuring the frequency dynamics of financial and macroeconomic connectedness," FinMaP-Working Papers 54, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    276. Gunther Capelle-Blancard & Hélène Raymond-Feingold & Michel Beine, 2008. "International nonlinear causality between stock markets," Post-Print halshs-00305387, HAL.
    277. Amira, Khaled & Tsafack, Georges, 2009. "What Drives International Equity Correlations? Volatility or Market Direction?," UC3M Working papers. Economics we094122, Universidad Carlos III de Madrid. Departamento de Economía.
    278. Pais, Amelia & Stork, Philip A., 2011. "Contagion risk in the Australian banking and property sectors," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 681-697, March.
    279. Dahiru A. Balaa & Taro Takimotob, 2017. "Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 17(1), pages 25-48, March.
    280. Donou-Adonsou, Ficawoyi, 2019. "Colonialism ties and stock markets: Evidence from Sub-Saharan Africa," Research in International Business and Finance, Elsevier, vol. 47(C), pages 327-343.
    281. Aviral Kumar Tiwari & Goodness C. Aye & Rangan Gupta & Konstantinos Gkillas, 2019. "Gold-Oil Dependence Dynamics and the Role of Geopolitical Risks: Evidence from a Markov-Switching Time-Varying Copula Model," Working Papers 201918, University of Pretoria, Department of Economics.
    282. Getachew, Yoseph Yilma, 2016. "Credit constraints, growth and inequality dynamics," Economic Modelling, Elsevier, vol. 54(C), pages 364-376.
    283. Geert Bekaert & Campbell R. Harvey, 2003. "Market Integration and Contagion," NBER Working Papers 9510, National Bureau of Economic Research, Inc.
    284. Karol Szafranek, 2015. "Financialisation of the commodity markets. Conclusions from the VARX DCC GARCH," NBP Working Papers 213, Narodowy Bank Polski.
    285. Anderton, Robert & Hijzen, Alexander & De Santis, Roberto A., 2004. "On the determinants of euro area FDI to the United States: the knowledge- capital-Tobin's Q framework," Working Paper Series 329, European Central Bank.
    286. Jamal Bouoiyour & Refk Selmi, 2016. "The responses of BRICS Equities to China's Slowdown: A Multi-Scale Causality Analysis," Working papers of CATT hal-01880323, HAL.
    287. Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2014. "How did the financial crisis alter the correlations of U.S. yield spreads?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 362-385.
    288. Xu, Yongdeng & Taylor, Nick & Lu, Wenna, 2018. "Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach," Cardiff Economics Working Papers E2018/6, Cardiff University, Cardiff Business School, Economics Section.
    289. Baldi, Lucia & Peri, Massimo & Vandone, Daniela, 2016. "Stock markets’ bubbles burst and volatility spillovers in agricultural commodity markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 277-285.
    290. Craig Ellis & Patrick J. Wilson & Ralf Zurbruegg, 2007. "Real Estate ‘Value’ Stocks and International Diversification," Journal of Property Research, Taylor & Francis Journals, vol. 24(3), pages 265-287, September.
    291. Giovanni Millo, 2016. "The S-curve and Reality," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 41(4), pages 608-625, October.
    292. Ou, Yinlin & Hsiao, Cody Yu-Ling & Chui, Chin Man, 2024. "How does the supply chain market respond to policy shocks? Evidence from solar photovoltaic sectors in China," Renewable Energy, Elsevier, vol. 232(C).
    293. Sensoy, Ahmet & Soytas, Ugur & Yildirim, Irem & Hacihasanoglu, Erk, 2014. "Dynamic relationship between Turkey and European countries during the global financial crisis," Economic Modelling, Elsevier, vol. 40(C), pages 290-298.
    294. Elisabetta Croci Angelini & Francesco Farina & Enzo Valentini, 2014. "Contagion across Eurozone's sovereign spreads and the Core-Periphery divide," Working Papers 45-2014, Macerata University, Department of Studies on Economic Development (DiSSE), revised Jan 2015.
    295. Abdurohman & Budy P. Resosudarmo, 2017. "The Behavior Of Fiscal Policy In Indonesia In Response To Economic Cycles," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 62(02), pages 377-401, June.
    296. Yushi Yoshida, 2010. "Is this time different for Asia?: Evidence from stock Markets," Discussion Papers 40, Kyushu Sangyo University, Faculty of Economics.
    297. Bekiros, Stelios & Nguyen, Duc Khuong & Sandoval Junior, Leonidas & Uddin, Gazi Salah, 2017. "Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets," European Journal of Operational Research, Elsevier, vol. 256(3), pages 945-961.
    298. Volosovych, Vadym, 2011. "Measuring financial market integration over the long run: Is there a U-shape?," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1535-1561.
    299. E.Panopoulou & T. Pantelidis, 2005. "Integration at a cost: Evidence from volatility impulse response functions," Economics Department Working Paper Series n1540305, Department of Economics, National University of Ireland - Maynooth.
    300. Lee, Seohyun, 2017. "Three essays on uncertainty: real and financial effects of uncertainty shocks," MPRA Paper 83617, University Library of Munich, Germany.
    301. Bonga-Bonga, Lumengo & Mwamba, Muteba, 2015. "A multivariate model for the prediction of stock returns in an emerging market: A comparison of parametric and non-parametric models," MPRA Paper 62028, University Library of Munich, Germany.
    302. Lizarazo, Sandra Valentina, 2013. "Default risk and risk averse international investors," Journal of International Economics, Elsevier, vol. 89(2), pages 317-330.
    303. Adrian, Tobias & Vogt, Erik & Stackman, Daniel, 2019. "Global Price of Risk and Stabilization Policies," CEPR Discussion Papers 13435, C.E.P.R. Discussion Papers.
    304. BenSaïda, Ahmed & Litimi, Houda & Abdallah, Oussama, 2018. "Volatility spillover shifts in global financial markets," Economic Modelling, Elsevier, vol. 73(C), pages 343-353.
    305. Kyungkeun Kim & Dongwon Lee, 2017. "Equity Market Globalization and Portfolio Rebalancing," Working Papers 2017-17, Economic Research Institute, Bank of Korea.
    306. Lucia Bellenzier & J{o}rgen Vitting Andersen & Giulia Rotundo, 2016. "Contagion in the world's stock exchanges seen as a set of coupled oscillators," Papers 1602.07452, arXiv.org.
    307. Paulo Horta & Carlos Mendes & Isabel Vieira, 2010. "Contagion effects of the subprime crisis in the European NYSE Euronext markets," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 9(2), pages 115-140, August.
    308. Graham, Michael & Kiviaho, Jarno & Nikkinen, Jussi, 2012. "Integration of 22 emerging stock markets: A three-dimensional analysis," Global Finance Journal, Elsevier, vol. 23(1), pages 34-47.
    309. Guidolin, Massimo & Hansen, Erwin & Pedio, Manuela, 2019. "Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach," Journal of Financial Markets, Elsevier, vol. 45(C), pages 83-114.
    310. Malgorzata Doman & Ryszard Doman, 2013. "The Dynamics and Strength of Linkages between the Stock Markets in the Czech Republic, Hungary and Poland after their EU Accession," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 5-32.
    311. Gareth Campbell & Meeghan Rogers, 2017. "Integration between the London and New York Stock Exchanges, 1825–1925," Economic History Review, Economic History Society, vol. 70(4), pages 1185-1218, November.
    312. Francisco Blasques & Siem Jan Koopman & Andre Lucas & Julia Schaumburg, 2014. "Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models," Tinbergen Institute Discussion Papers 14-107/III, Tinbergen Institute.
    313. Mohamed El Hedi Arouri & Shawkat Hammoudeh & Amine Lahiani & Duc Khuong Nguyen, 2013. "Long memory and structural breaks in modeling the return and volatility dynamics of precious metals," Working Papers hal-00798033, HAL.
    314. Lopes, José Mário & Nunes, Luis C., 2012. "A Markov regime switching model of crises and contagion: The case of the Iberian countries in the EMS," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1141-1153.
    315. Ippei Fujiwara & Koji Takahashi, 2012. "Asian Financial Linkage: Macro‐Finance Dissonance," Pacific Economic Review, Wiley Blackwell, vol. 17(1), pages 136-159, February.
    316. Zhongbo Jing & J. Paul Elhorst & Jan P. A. M. Jacobs & Jakob Haan, 2018. "The propagation of financial turbulence: interdependence, spillovers, and direct and indirect effects," Empirical Economics, Springer, vol. 55(1), pages 169-192, August.
    317. Kemper, Kris & Lee, Allissa & Simkins, Betty J., 2012. "Diversification revisited," Research in International Business and Finance, Elsevier, vol. 26(2), pages 304-316.
    318. Mardi Dungey & Rene Fry & Vance L. Martin, 2006. "Correlation, Contagion, and Asian Evidence," Asian Economic Papers, MIT Press, vol. 5(2), pages 32-72, Spring/Su.
    319. Bampinas, Georgios & Panagiotidis, Theodore, 2024. "How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages?," Research in International Business and Finance, Elsevier, vol. 70(PA).
    320. Md. Noman Siddikee & Mohammad Mafizur Rahman, 2017. "Effect of catastrophic disaster in financial market contagion," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1288772-128, January.
    321. Lestano & Jan Jacobs & Gerard H. Kuper, 2004. "Indicators of financial crises do work! An early-warning system for six Asian countries," International Finance 0409004, University Library of Munich, Germany.
    322. Garita, Gus, 2010. "An Inquiry into Banking Portfolios and Financial Stability Surrounding "The Great Recession"," MPRA Paper 25996, University Library of Munich, Germany.
    323. Barassi, Marco & Horvath, Lajos & Zhao, Yuqian, 2018. "Change Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models," MPRA Paper 87837, University Library of Munich, Germany.
    324. Xiaodong Du and Lihong Lu McPhail, 2012. "Inside the Black Box: the Price Linkage and Transmission between Energy and Agricultural Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
    325. Viviana Fernandez, 2004. "Extremal Dependence In Exchange Rate Markets," Econometric Society 2004 Latin American Meetings 13, Econometric Society.
    326. Frankel, Jeffrey, 2010. "Monetary Policy in Emerging Markets," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 25, pages 1439-1520, Elsevier.
    327. Renée Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin, 2017. "Joint tests of contagion with applications to financial crises," CAMA Working Papers 2017-65, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    328. Michael Ehrmann & Marcel Fratzscher, 2009. "Global Financial Transmission of Monetary Policy Shocks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 739-759, December.
    329. Bonga-Bonga, Lumengo, 2015. "Uncovering equity market contagion among BRICS countries: an application of the multivariate GARCH model," MPRA Paper 66262, University Library of Munich, Germany.
    330. Giampiero Gallo & Edoardo Otranto, 2007. "Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach," Econometrics Working Papers Archive wp2007_11, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    331. Chiang, Thomas C. & Zheng, Dazhi, 2010. "An empirical analysis of herd behavior in global stock markets," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1911-1921, August.
    332. Kei-Ichiro Inaba, 2018. "Global Stock Return Comovements: Trends and Determinants," Bank of Japan Working Paper Series 18-E-7, Bank of Japan.
    333. Can Sever, 2016. "Contagion: Recent Models in International Finance Literature," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 5(2), pages 59-66, June.
    334. Asongu, Simplice, 2013. "Globalization and Financial Market Contagion: Evidence from Financial Crisis and Natural Disasters," MPRA Paper 56803, University Library of Munich, Germany.
    335. Candelon, Bertrand & Carare, Alina & Miao, Keith, 2016. "Revisiting the new normal hypothesis," Journal of International Money and Finance, Elsevier, vol. 66(C), pages 5-31.
    336. Hui, Eddie C.M. & Chen, Jia, 2012. "Investigating the change of causality in emerging property markets during the financial tsunami," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(15), pages 3951-3962.
    337. Bernd Schwaab, 2012. "Conditional probabilities and contagion measures for euro area sovereign default risk," Research Bulletin, European Central Bank, vol. 17, pages 6-11.
    338. Johnson, Robert & Soenen, Luc, 2004. "The US stock market and the international value of the US dollar," Journal of Economics and Business, Elsevier, vol. 56(6), pages 469-481.
    339. Lin, Min & Wang, Gang-Jin & Xie, Chi & Stanley, H. Eugene, 2018. "Cross-correlations and influence in world gold markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 504-512.
    340. Susana Martins & Cristina Amado, 2018. "Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach," NIPE Working Papers 08/2018, NIPE - Universidade do Minho.
    341. Marcello Pericoli & Massimo Sbracia, 2003. "A Primer on Financial Contagion," Journal of Economic Surveys, Wiley Blackwell, vol. 17(4), pages 571-608, September.
    342. Jung, Sean S. & Chang, Woojin, 2016. "Clustering stocks using partial correlation coefficients," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 410-420.
    343. Fabrizio Durante & Roberta Pappadà & Nicola Torelli, 2014. "Clustering of financial time series in risky scenarios," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 8(4), pages 359-376, December.
    344. Chollete, Loran & Ning, Cathy, 2009. "The Dependence Structure of Macroeconomic Variables in the US," UiS Working Papers in Economics and Finance 2009/31, University of Stavanger.
    345. BenMim, Imen & BenSaïda, Ahmed, 2019. "Financial contagion across major stock markets: A study during crisis episodes," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 187-201.
    346. Maria Kasch & Massimiliano Caporin, 2008. "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," "Marco Fanno" Working Papers 0065, Dipartimento di Scienze Economiche "Marco Fanno".
    347. Benhmad, François, 2013. "Bull or bear markets: A wavelet dynamic correlation perspective," Economic Modelling, Elsevier, vol. 32(C), pages 576-591.
    348. Zhu, Hui-Ming & Li, Rong & Li, Sufang, 2014. "Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 208-223.
    349. Manner, Hans & Blatt, Dominik & Candelon, Bertrand, 2014. "Detecting financial contagion in a multivariate system," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100411, Verein für Socialpolitik / German Economic Association.
    350. Konstantinos Drakos, 2009. "Cross-Country Stock Market Reactions to Major Terror Events: The Role of Risk Perception," Economics of Security Working Paper Series 16, DIW Berlin, German Institute for Economic Research.
    351. Cappiello, Lorenzo & Gérard, Bruno & Kadareja, Arjan & Manganelli, Simone, 2006. "Financial integration of new EU Member States," Working Paper Series 683, European Central Bank.
    352. Abedifar, Pejman & Giudici, Paolo & Hashem, Shatha Qamhieh, 2017. "Heterogeneous market structure and systemic risk: Evidence from dual banking systems," Journal of Financial Stability, Elsevier, vol. 33(C), pages 96-119.
    353. Khaled Guesmi & Salma Fattoum, 2014. "Measuring contagion effects between crude oil and OECD stock markets," Working Papers 2014-90, Department of Research, Ipag Business School.
    354. Mohamed El Hedi Arouri & M. Bellalah & D. Nguyen, 2007. "The Comovements in International Stock Markets: New Evidence from Latin American Emerging Countries," Post-Print halshs-00207779, HAL.
    355. Wei, Shang-Jin & Prasad, Eswar & Rogoff, Kenneth & Kose, M. Ayhan, 2004. "Financial Globalization, Growth and Volatility in Developing Countries," CEPR Discussion Papers 4772, C.E.P.R. Discussion Papers.
    356. Pierre L. Siklos, 2011. "Emerging Market Yield Spreads: Domestic, External Determinants, and Volatility Spillovers," Working Paper series 03_11, Rimini Centre for Economic Analysis.
    357. Humayun Kabir, M. & Shakur, Shamim, 2018. "Regime-dependent herding behavior in Asian and Latin American stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 47(C), pages 60-78.
    358. Georgios Bampinas & Theodore Panagiotidis, 2017. "Oil and stock markets before and after financial crises : a local Gaussian correlation approach," Bank of Estonia Working Papers wp2016-11, Bank of Estonia, revised 06 Feb 2017.
    359. Dragan Tevdovski, 2014. "Extreme negative coexceedances in South Eastern European stock markets," CREATES Research Papers 2014-18, Department of Economics and Business Economics, Aarhus University.
    360. Smimou, K. & Khallouli, W., 2016. "On the intensity of liquidity spillovers in the Eurozone," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 388-405.
    361. Francis X. Diebold & Kamil Yilmaz, 2010. "Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers," Koç University-TUSIAD Economic Research Forum Working Papers 1001, Koc University-TUSIAD Economic Research Forum, revised Mar 2010.
    362. Cody Yu-Ling Hsiao & James Morley, 2015. "Debt and Financial Market Contagion," Discussion Papers 2015-02, School of Economics, The University of New South Wales.
    363. Herculano, Miguel C., 2018. "The role of contagion in the transmission of financial stress," ESRB Working Paper Series 81, European Systemic Risk Board.
    364. Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2014. "Contagion in Emerging Markets," Post-Print hal-01632778, HAL.
    365. Michał Adam, 2013. "Spillovers and contagion in the sovereign CDS market," Bank i Kredyt, Narodowy Bank Polski, vol. 44(6), pages 571-604.
    366. Mollah, Sabur & Quoreshi, A.M.M. Shahiduzzaman & Zafirov, Goran, 2016. "Equity market contagion during global financial and Eurozone crises: Evidence from a dynamic correlation analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 151-167.
    367. Wang, Xinya & Liu, Huifang & Huang, Shupei & Lucey, Brian, 2019. "Identifying the multiscale financial contagion in precious metal markets," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 209-219.
    368. Annastiina Silvennoinen & Susan Thorp, 2015. "Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics," NCER Working Paper Series 109, National Centre for Econometric Research.
    369. Mariem Talbi & Amel Ben Halima, 2019. "Global Contagion of Investor Sentiment during the US Subprime Crisis: The Case of the USA and the Region of Latin America," International Journal of Economics and Financial Issues, Econjournals, vol. 9(3), pages 163-174.
    370. Tae Yoon Kim & Hee Soo Lee, 2018. "The contagion versus interdependence controversy between hedge funds and equity markets," European Financial Management, European Financial Management Association, vol. 24(3), pages 309-330, June.
    371. Sarai Criado Nuevo, "undated". "Some critics to the contagion correlation test," Working Papers on International Economics and Finance 05-01, FEDEA.
    372. Franck Martin & Jiangxingyun Zhang, 2017. "Impact of QE on European sovereign bond market," Economics Working Paper Archive (University of Rennes & University of Caen) 2017-04, Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS.
    373. Bruce Q. Budd, 2018. "The transmission of international stock market volatilities," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 155-173, January.
    374. Hui An & Qianmiao Zou & Ying Zhang & Rakesh Gupta, 2019. "Property Prices: How Effective is a Property-Purchasing Limitation Policy for Managing Affordability?," International Real Estate Review, Global Social Science Institute, vol. 22(2), pages 197-229.
    375. Ziadat, Salem Adel & Mensi, Walid & Al-Kharusi, Sami & Vo, Xuan Vinh & Kang, Sang Hoon, 2024. "Are clean energy markets hedges for stock markets? A tail quantile connectedness regression," Energy Economics, Elsevier, vol. 136(C).
    376. Yiuman Tse & Lin Zhao, 2011. "The Relationship between Currency Carry Trades and U.S. Stocks The article examines the relationship between daily returns of currency carry trades and U.S. stocks from January 1995 through September ," Working Papers 0005, College of Business, University of Texas at San Antonio.
    377. Angelovska, Julijana, 2017. "The Impact Of Financial Crises On The Short-Term Interaction Between Balkan Stock Markets," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 8(2), pages 53-66.
    378. BenSaïda, Ahmed, 2019. "Good and bad volatility spillovers: An asymmetric connectedness," Journal of Financial Markets, Elsevier, vol. 43(C), pages 78-95.
    379. Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk & Tabak, Benjamin M., 2017. "Not all emerging markets are the same: A classification approach with correlation based networks," Journal of Financial Stability, Elsevier, vol. 33(C), pages 163-186.
    380. Sergio Andenmatten & Felix Brill, 2011. "Did the CDS Market Push up Risk Premia for Sovereign Credit?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 147(III), pages 275-302, September.
    381. MacDonald, Ronald & Bayoumi, Tamim & Kumar, Manmohan & Fazio, Giorgio, 2003. "Fatal Attraction," CEPR Discussion Papers 3870, C.E.P.R. Discussion Papers.
    382. De Bruyckere, Valerie & Gerhardt, Maria & Schepens, Glenn & Vander Vennet, Rudi, 2013. "Bank/sovereign risk spillovers in the European debt crisis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4793-4809.
    383. Dungey, Mardi & Gajurel, Dinesh, 2013. "Equity Market Contagion during the Global Financial Crisis: Evidence from the World’s Eight Largest Economies," Working Papers 17213, University of Tasmania, Tasmanian School of Business and Economics, revised 16 Oct 2013.
    384. Das, Debojyoti & Kannadhasan, M. & Bhattacharyya, Malay, 2019. "Do the emerging stock markets react to international economic policy uncertainty, geopolitical risk and financial stress alike?," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 1-19.
    385. Yarovaya, Larisa & Brzeszczyński, Janusz & Lau, Chi Keung Marco, 2017. "Asymmetry in spillover effects: Evidence for international stock index futures markets," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 94-111.
    386. Mensi, Walid & Boubaker, Ferihane Zaraa & Al-Yahyaee, Khamis Hamed & Kang, Sang Hoon, 2018. "Dynamic volatility spillovers and connectedness between global, regional, and GIPSI stock markets," Finance Research Letters, Elsevier, vol. 25(C), pages 230-238.
    387. Zhang, Guofu & Liu, Wei, 2018. "Analysis of the international propagation of contagion between oil and stock markets," Energy, Elsevier, vol. 165(PA), pages 469-486.
    388. John Cotter & Francois Longin, 2011. "Implied Correlation from VaR," Working Papers 200618, Geary Institute, University College Dublin.
    389. Lai, Richard, 2007. "Inventory and the Shape of the Earth," MPRA Paper 4754, University Library of Munich, Germany.
    390. Rubén Albeiro Loaiza Maya & José Eduardo Gómez-González & Luis Fernando Melo Velandia, 2014. "Exchange Rates Contagion in Latin America," Borradores de Economia 12105, Banco de la Republica.
    391. Ordu, Beyza Mina & Oran, Adil & Soytas, Ugur, 2018. "Is food financialized? Yes, but only when liquidity is abundant," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 82-96.
    392. Philip R. Lane, 2002. "The Cyclical Behaviour of Fiscal Policy: Evidence from the OECD," Trinity Economics Papers 20022, Trinity College Dublin, Department of Economics.
    393. Yan, Cheng & Phylaktis, Kate & Fuertes, Ana-Maria, 2016. "On cross-border bank credit and the U.S. financial crisis transmission to equity markets," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 108-134.
    394. Tihana Škrinjarić, 2018. "Revisiting Herding Investment Behavior on the Zagreb Stock Exchange: A Quantile Regression Approach," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 3(2), pages 119-162, December.
    395. Renée Fry-McKibbin & Cody Yu-Ling Hsiao, 2015. "Extremal dependence tests for contagion," CAMA Working Papers 2015-40, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    396. Baumöhl, Eduard, 2013. "Stock market integration between the CEE-4 and the G7 markets: Asymmetric DCC and smooth transition approach," MPRA Paper 43834, University Library of Munich, Germany.
    397. Vidal-Tomás, David & Alfarano, Simone, 2018. "An agent based early warning indicator for financial market instability," MPRA Paper 89693, University Library of Munich, Germany.
    398. Jozef Baruník & Evžen Kocenda & Lukáš Vácha, 2015. "Gold, Oil, and Stocks: Dynamic Correlations," CESifo Working Paper Series 5333, CESifo.
    399. Marais, E. & Bates, S., 2006. "An empirical study to identify shift contagion during the Asian crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(5), pages 468-479, December.
    400. Yan Zhang, 2018. "China, Japan and the US Stock Markets and the Global Financial Crisis," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 25(1), pages 23-45, March.
    401. Sugimoto, Kimiko & Matsuki, Takashi & Yoshida, Yushi, 2014. "The global financial crisis: An analysis of the spillover effects on African stock markets," Emerging Markets Review, Elsevier, vol. 21(C), pages 201-233.
    402. Dewandaru, Ginanjar & Alaoui, Abdelkader & Masih, A. Mansur M. & Alhabshi, Syed Othman, 2013. "Comovement and resiliency of Islamic equity market: Evidence from GCC Islamic equity index based on wavelet analysis," MPRA Paper 56980, University Library of Munich, Germany.
    403. Kalbaska, A. & Gątkowski, M., 2012. "Eurozone sovereign contagion: Evidence from the CDS market (2005–2010)," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 657-673.
    404. Ing-Haw Cheng & Wei Xiong, 2014. "Financialization of Commodity Markets," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 419-441, December.
    405. Asher A. Blass & Osnat Peled & Yishay Yafeh, 2004. "The Determinants Of Israel’S Cost Of Capital: Globalization, Reforms And Politics," Israel Economic Review, Bank of Israel, vol. 2(1), pages 29-54.
    406. Luis V. Bejarano-Bejarano & Jose E. Gomez-Gonzalez & Luis F. Melo-Velandia & Jhon E. Torres-Gorron, 2015. "Financial Contagion in Latin America," Borradores de Economia 12820, Banco de la Republica.
    407. Francis, Bill B. & Hasan, Iftekhar & Hunter, Delroy M., 2002. "Return-volatility linkages in the international equity and currency markets," Bank of Finland Research Discussion Papers 9/2002, Bank of Finland.
    408. Sheheryar Malik & Ms. TengTeng Xu, 2017. "Interconnectedness of Global Systemically-Important Banks and Insurers," IMF Working Papers 2017/210, International Monetary Fund.
    409. Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2012. "Stock market networks: The dynamic conditional correlation approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(16), pages 4147-4158.
    410. Chester Curme & Michele Tumminello & Rosario N. Mantegna & H. Eugene Stanley & Dror Y. Kenett, 2014. "Emergence of statistically validated financial intraday lead-lag relationships," Papers 1401.0462, arXiv.org.
    411. Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2012. "Liquidity Contagion. The Emerging Sovereign Debt Markets example," Post-Print hal-01632803, HAL.
    412. Mensi, Walid & Hammoudeh, Shawkat & Al-Jarrah, Idries Mohammad Wanas & Sensoy, Ahmet & Kang, Sang Hoon, 2017. "Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications," Energy Economics, Elsevier, vol. 67(C), pages 454-475.
    413. Koulakiotis, Athanasios & Babalos, Vassilios & Papasyriopoulos, Nicholas, 2016. "Financial crisis, liquidity and dynamic linkages between large and small stocks: Evidence from the Athens Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 46-62.
    414. Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2015. "Measuring sovereign contagion in Europe," SAFE Working Paper Series 103, Leibniz Institute for Financial Research SAFE.
    415. Vitali Alexeev & Mardi Dungey, 2015. "Equity portfolio diversification with high frequency data," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1205-1215, July.
    416. Philip R. Lane & Sébastien Wälti, 2007. "The Euro and Financial Integration," Palgrave Macmillan Books, in: David Cobham (ed.), The Travails of the Eurozone, chapter 9, pages 208-232, Palgrave Macmillan.
    417. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2011. "Causality and contagion in peripheral EMU public debt markets: a dynamic approach," Working Papers del Instituto Complutense de Estudios Internacionales 1108, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
    418. Beine, Michel, 2004. "Conditional covariances and direct central bank interventions in the foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1385-1411, June.
    419. Kaiser, Jonas & Krämer, Walter, 2011. "A cautionary note on computing conditional from unconditional correlations," Economics Letters, Elsevier, vol. 111(2), pages 176-179, May.
    420. Corina Maria Ene & Carmen Marilena Uzlau & Iulian Panait, 2013. "Stylized Facts Of The Daily, Weekly And Monthly Returns On Bucharest Stock Exchange During 2007-2012," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(15), pages 1-15.
    421. Delphine Lautier & Julien Ling & Franck Raynaud, 2015. "Integration of commodity derivative markets: Has it gone too far?," Post-Print hal-01653757, HAL.
    422. Olivier Niyitegeka & Dev D Tewari, 2019. "Modelling Financial Contagion in the South African Equity Markets Following the Subprime Crisis," Journal of Economics and Behavioral Studies, AMH International, vol. 10(6), pages 164-176.
    423. Camara, Omar, 2017. "Industry herd behaviour in financing decision making," Journal of Economics and Business, Elsevier, vol. 94(C), pages 32-42.
    424. Felix Goltz & Lionel Martellini & Mathieu Vaissié, 2007. "Hedge Fund Indices: Reconciling Investability and Representativity," European Financial Management, European Financial Management Association, vol. 13(2), pages 257-286, March.
    425. Elena Kalotychou & Eli Remolona & Eliza Wu, 2014. "What Makes Systemic Risk Systemic? Contagion and Spillovers in the International Sovereign Debt Market," Working Papers 072014, Hong Kong Institute for Monetary Research.
    426. Andrea Cipollini & Iolanda Lo Cascio, 2010. "Testing for Contagion: a Time-Scale Decomposition," Center for Economic Research (RECent) 047, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    427. Alfaro, Laura & Chari, Anusha & Kanczuk, Fabio, 2017. "The real effects of capital controls: Firm-level evidence from a policy experiment," Journal of International Economics, Elsevier, vol. 108(C), pages 191-210.
    428. Lucas, André & Schwaab, Bernd & Zhang, Xin, 2013. "Conditional euro area sovereign default risk," Working Paper Series 269, Sveriges Riksbank (Central Bank of Sweden).
    429. Haakon Kavli & Nicola Viegi, 2017. "Are Determinants of Portfolio Flows Always the Same? - South African Results from a Time Varying Parameter Var Model," South African Journal of Economics, Economic Society of South Africa, vol. 85(1), pages 3-27, March.
    430. Semei Coronado & Omar Rojas & Rafael Romero-Meza & Francisco Venegas-Martinez, 2015. "A study of co-movements between USA and Latin American stock markets: a cross-bicorrelations perspective," Papers 1503.06926, arXiv.org.
    431. Simplice A ASONGU, 2012. "Globalization Financial Crisis And Contagion Time Dynamic Evidence From Financial Markets Of Developing Countries," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 3(2), pages 131-139.
    432. Park, Yung Chul & Park, Hail, 2014. "Stock Market Co-Movement and Exchange Rate Flexibility: Experience of the Republic of Korea," ADBI Working Papers 479, Asian Development Bank Institute.
    433. Lukasz Prorokowski, 2013. "Lessons from financial crisis contagion simulation in Europe," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 30(2), pages 159-188, May.
    434. Renee Fry & Vance L. Martin & Chrismin Tang, 2008. "A New Class Of Tests Of Contagion With Applications To Real Estate Markets," CAMA Working Papers 2008-01, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    435. Chibuike R. Oguanobi* & Anthony A. Akamobi & Ogonna E. Ifebi & Anne C. Maduka, 2015. "Does interest rate shocks transmit from united states to Ghana? Evidence from vector auto-regression," Journal of Developing Areas, Tennessee State University, College of Business, vol. 49(3), pages 1-12, July-Sepe.
    436. Shumpei Takemori & Kenji Wada, 2003. "Crisis and Creative Destruction: Cases of Korean and Japanese Stock Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(4), pages 301-317, December.
    437. Julien Chevallier & Duc Khuong Nguyen & Jonathan Siverskog & Gazi Salah Uddin, 2017. "Market Integration and Financial Linkages among Stock Markets in Pacific Basin Countries," Working Papers 2017-005, Department of Research, Ipag Business School.
    438. Hai-Chin Yu & Ming-Chang Huang, 2004. "Statistical properties of volatility in fractal dimensions and probability distribution among six stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(15), pages 1087-1095.
    439. Galvani, Valentina, 2021. "The value premium during flights," Finance Research Letters, Elsevier, vol. 39(C).
    440. MacDonald, Ronald & Sogiakas, Vasilios & Tsopanakis, Andreas, 2018. "Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 17-36.
    441. Mehl, Arnaud, 2013. "Large global volatility shocks, equity markets and globalisation: 1885-2011," Working Paper Series 1548, European Central Bank.
    442. Drew Dahl & Andrew Logan, 2005. "The exposure of international bank loans to third-country risk: an empirical analysis of overdue claims," Bank of England working papers 247, Bank of England.
    443. Arouri, Mohamed El Hedi & Hammoudeh, Shawkat & Lahiani, Amine & Nguyen, Duc Khuong, 2013. "On the short- and long-run efficiency of energy and precious metal markets," Energy Economics, Elsevier, vol. 40(C), pages 832-844.
    444. L. Spierdijk & J.A. Bikker & P. van den Hoek, 2010. "Mean Reversion in International Stock Markets: An Empirical Analysis of the 20th Century," Working Papers 10-07, Utrecht School of Economics.
    445. Doruk Kucuksarac & Pinar Ozlu & Deren Unalmis, 2012. "Kuresel Kriz, Avrupa Borc Krizi ve Gelismekte Olan Piyasalarda Bulasicilik Etkisi," CBT Research Notes in Economics 1204, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    446. Raddant, Matthias & Kenett, Dror, 2016. "Interconnectedness in the global financial market," VfS Annual Conference 2016 (Augsburg): Demographic Change 145560, Verein für Socialpolitik / German Economic Association.
    447. Sebastien Valeyre & Sofiane Aboura & Denis Grebenkov, 2019. "The Reactive Beta Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 42(1), pages 71-113, March.
    448. Ben Rejeb, Aymen & Arfaoui, Mongi, 2016. "Financial market interdependencies: A quantile regression analysis of volatility spillover," Research in International Business and Finance, Elsevier, vol. 36(C), pages 140-157.
    449. Galati, Davide & Sitzia, Bruno, 2000. "Sovereign bond ratings and market spreads. a dynamic panel analysis," MPRA Paper 8984, University Library of Munich, Germany.
    450. Sun, Hang, 2016. "Crisis-Contingent Dynamics of Connectedness: An SVAR-Spatial-Network “Tripod” Model with Thresholds," Research Memorandum 032, Maastricht University, Graduate School of Business and Economics (GSBE).
    451. Bekiros, S. & Georgoutsos, D., 2006. "Estimating the Correlation of International Equity Markets with Multivariate Extreme and Garch models," CeNDEF Working Papers 06-17, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    452. Anginer, Deniz & Demirguc-Kunt, Asli, 2011. "Has the global banking system become more fragile over time ?," Policy Research Working Paper Series 5849, The World Bank.
    453. Riadh Aloui & Mohamed Safouane Ben Aïssa & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management," Working Papers 2014-590, Department of Research, Ipag Business School.
    454. Sandra Lizarazo & Jose Maria Da-Rocha, 2009. "Money, Credit and Default," Working Papers 0908, Centro de Investigacion Economica, ITAM.
    455. Dewandaru, Ginanjar & Masih, Rumi & Masih, A. Mansur M., 2016. "What can wavelets unveil about the vulnerabilities of monetary integration? A tale of Eurozone stock markets," Economic Modelling, Elsevier, vol. 52(PB), pages 981-996.
    456. Sofiane Aboura & Julien Chevallier, 2015. "Volatility returns with vengeance: Financial markets vs. commodities," Post-Print hal-01529747, HAL.
    457. Forbes, Kristin J. & Chinn, Menzie David, 2003. "A Decomposition Of Global Linkages In Financial Markets Over Time," Santa Cruz Department of Economics, Working Paper Series qt4391b5w7, Department of Economics, UC Santa Cruz.
    458. Hai-Chin YU & Ming-Chang Huang, 2003. "Statistical properties of volatility in fractal dimension and probability distribution among six stock markets - USA, Japan, Taiwan, South Korea, Singapore, and Hong Kong," Econometrics 0308002, University Library of Munich, Germany, revised 18 Aug 2003.
    459. Pilar Abad & Helena Chuliá, 2013. "“European Government Bond Markets and Monetary Policy Surprises: Returns, Volatility and Integration”," IREA Working Papers 201325, University of Barcelona, Research Institute of Applied Economics, revised Dec 2013.
    460. Wided Ben Moussa, 2014. "Bank Stock Volatility And Contagion: An Empirical Investigation With Application Of Multivariate Garch Models," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 39(2), pages 1-24, June.
    461. Özkan, Oktay & Meo, Muhammad Saeed & Younus, Mehak, 2024. "Unearthing the hedge and safe-haven potential of green investment funds for energy commodities," Energy Economics, Elsevier, vol. 138(C).
    462. Chollete, Loran & Pena, Victor de la & Lu, Ching-Chih, 2009. "International Diversification: A Copula Approach," UiS Working Papers in Economics and Finance 2009/27, University of Stavanger.
    463. Chesnay, F. & Jondeau, E., 2000. "Does Correlation between Stock Returns Really Increase during Turbulent Period?," Working papers 73, Banque de France.
    464. Kim Hiang Liow & Qing Ye, 2014. "Switching volatility and cross-market linkages in public property markets," Journal of Property Research, Taylor & Francis Journals, vol. 31(4), pages 287-314, December.
    465. David G. McMillan & Isabel Ruiz, 2009. "Volatility dynamics in three euro exchange rates: correlations, spillovers and commonality," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 1(1), pages 64-74.
    466. Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek, 2013. "Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory," Working Papers 2013/14, Czech National Bank.
    467. Ms. Brenda Gonzalez-Hermosillo & Mr. Vance Martin & Ms. Renee Fry & Mr. Mardi Dungey, 2003. "Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998," IMF Working Papers 2003/084, International Monetary Fund.
    468. Baele, Lieven, 2005. "Volatility Spillover Effects in European Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(2), pages 373-401, June.
    469. António Afonso & Mina Kazemi, 2018. "Sovereign Bond Yields Spreads Spillovers in the EMU," Working Papers REM 2018/52, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    470. Amar Gande & David Parsley, 2003. "News Spillovers in the Sovereign Debt Market," Working Papers 062003, Hong Kong Institute for Monetary Research.
    471. Zihui Yang & Yinggang Zhou, 2017. "Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes," Management Science, INFORMS, vol. 63(2), pages 333-354, February.
    472. Papavassiliou, Vassilios G., 2014. "Cross-asset contagion in times of stress," Journal of Economics and Business, Elsevier, vol. 76(C), pages 133-139.
    473. Taylor, Mark & Mody, Ashoka, 2003. "Common Vulnerabilities," CEPR Discussion Papers 3759, C.E.P.R. Discussion Papers.
    474. Michela Verardo & Andrew Patton, 2009. "Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows," FMG Discussion Papers dp630, Financial Markets Group.
    475. Kee-Hong Bae & G. Andrew Karolyi & Rene M. Stulz, 2000. "A New Approach to Measuring Financial Contagion," NBER Working Papers 7913, National Bureau of Economic Research, Inc.
    476. Rudiger Ahrend & Antoine Goujard, 2012. "International Capital Mobility and Financial Fragility - Part 6. Are all Forms of Financial Integration Equally Risky in Times of Financial Turmoil?: Asset Price Contagion During the Global Financial ," OECD Economics Department Working Papers 969, OECD Publishing.
    477. Troug, Haytem Ahmed & Murray, Matt, 2015. "Crisis Determination and Financial Contagion: An Analysis of the Hong Kong and Tokyo Stock Markets using an MSBVAR Approach," MPRA Paper 68706, University Library of Munich, Germany.
    478. Wu, Chih-Chiang & Chiu, Junmao, 2017. "Economic evaluation of asymmetric and price range information in gold and general financial markets," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 53-68.
    479. Kenourgios, Dimitris & Padhi, Puja, 2012. "Emerging markets and financial crises: Regional, global or isolated shocks?," Journal of Multinational Financial Management, Elsevier, vol. 22(1), pages 24-38.
    480. Akhtaruzzaman, Md & Shamsuddin, Abul & Easton, Steve, 2014. "Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 378-396.
    481. Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2012. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Working Papers 15030, University of Tasmania, Tasmanian School of Business and Economics, revised 29 Aug 2012.
    482. Ehrmann, Michael & Fratzscher, Marcel, 2017. "Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 26-44.
    483. Stefanescu, Razvan & Dumitriu, Ramona, 2016. "Particularitǎţi ale evoluţiei variabilelor financiare [Some particularities of the financial variables evolution]," MPRA Paper 73481, University Library of Munich, Germany, revised 02 Sep 2016.
    484. Andrew K. Rose & Mark M. Spiegel, 2009. "Cross-Country Causes and Consequences of the 2008 Crisis: International Linkages and American Exposure," NBER Working Papers 15358, National Bureau of Economic Research, Inc.
    485. Coudert, Virginie & Couharde, Cécile & Mignon, Valérie, 2011. "Exchange rate volatility across financial crises," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3010-3018, November.
    486. I‐Chun Tsai & Cheng‐Feng Lee, 2012. "The convergent behavior in REIT markets," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 30(1), pages 42-57, February.
    487. Irfan Akbar Kazi & Mohamed Mehanaoui & Farhan Akbar, 2014. "The shift-contagion effect of global financial crisis and the European debt crisis on OECD Countries," Working Papers 2014-128, Department of Research, Ipag Business School.
    488. Pat Wilson & Ralf Zurbruegg, 2003. "International Diversification of Real Estate Assets - Is it Worth It? Evidence from the Literature," Working Paper Series 126, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    489. Lee, Yen-Hsien & Tucker, Alan L. & Wang, David K. & Pao, Hsin-Ting, 2014. "Global contagion of market sentiment during the US subprime crisis," Global Finance Journal, Elsevier, vol. 25(1), pages 17-26.
    490. Hans Manner & Bertrand Candelon, 2010. "Testing For Asset Market Linkages: A New Approach Based On Time‐Varying Copulas," Pacific Economic Review, Wiley Blackwell, vol. 15(3), pages 364-384, August.
    491. Chang Shu & Dong He & Jinyue Dong & Honglin Wang, 2016. "Regional pull vs global push factors: China and US influence on Asia-Pacific financial markets," BIS Working Papers 579, Bank for International Settlements.
    492. Bianchi, Daniele & Billio, Monica & Casarin, Roberto & Guidolin, Massimo, 2019. "Modeling systemic risk with Markov Switching Graphical SUR models," Journal of Econometrics, Elsevier, vol. 210(1), pages 58-74.
    493. Enrique G. Mendoza, 2002. "Credit, Prices, and Crashes: Business Cycles with a Sudden Stop," NBER Chapters, in: Preventing Currency Crises in Emerging Markets, pages 335-392, National Bureau of Economic Research, Inc.
    494. Ms. Brenda Gonzalez-Hermosillo & Mr. Christian A Johnson, 2014. "Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain, but not Greece," IMF Working Papers 2014/076, International Monetary Fund.
    495. Dirk G. Baur, 2010. "Stock-bond co-movements and cross-country linkages," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 2(2), pages 111-129.
    496. Kamil Yilmaz, 2009. "Return and Volatility Spillovers among the East Asian Equity Markets," Koç University-TUSIAD Economic Research Forum Working Papers 0907, Koc University-TUSIAD Economic Research Forum.
    497. Kohonen, Anssi, 2012. "Transmission of Government Default Risk in the Eurozone," MPRA Paper 43823, University Library of Munich, Germany.
    498. Vance L. Martin & Brenda Gonzalez-Hermosillo, & Mardi Dungey & Renee A. Fry, 2004. "Empirical Modelling of Contagion: A Review of Methodologies," Econometric Society 2004 Australasian Meetings 243, Econometric Society.
    499. Kim Hiang LIOW & Qing YE, 2017. "Switching Regime Beta Analysis of Global Financial Crisis: Evidence from International Public Real Estate Markets," Journal of Real Estate Research, American Real Estate Society, vol. 39(1), pages 127-164.
    500. Gourène, Grakolet Arnold Zamereith & Mendy, Pierre, 2015. "Oil Prices and African Stock Markets Co-movement: A Time and Frequency Analysis," MPRA Paper 75852, University Library of Munich, Germany.
    501. Pami Dua & Divya Tuteja, 2016. "Contagion in International Stock and Currency Markets During Recent Crisis Episodes," Working papers 258, Centre for Development Economics, Delhi School of Economics.
    502. Jin, Xin & Maheu, John M., 2016. "Modeling covariance breakdowns in multivariate GARCH," Journal of Econometrics, Elsevier, vol. 194(1), pages 1-23.
    503. Jitendra Aswani, 2015. "Analyzing the impact of global financial crisis on the interconnectedness of Asian stock markets using network science," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2015-020, Indira Gandhi Institute of Development Research, Mumbai, India.
    504. Tachibana, Minoru, 2018. "Relationship between stock and currency markets conditional on the US stock returns: A vine copula approach," Journal of Multinational Financial Management, Elsevier, vol. 46(C), pages 75-106.
    505. Fuchun Li, 2010. "Identifying Asymmetric Comovements of International Stock Market Returns," Staff Working Papers 10-21, Bank of Canada.
    506. Horta, Paulo & Lagoa, Sérgio & Martins, Luís, 2014. "The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 140-153.
    507. Sophie Brana & Delphine Lahet, 2005. "La propagation des crises financieres dans les pays emergents : la contagion est-elle discriminante ?," Economie Internationale, CEPII research center, issue 103, pages 73-96.
    508. Yang, Hsin-Feng & Liu, Chih-Liang & Chou, Ray Yeutien, 2014. "Interest rate risk propagation: Evidence from the credit crunch," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 242-264.
    509. Ballester, Laura & Díaz-Mendoza, Ana Carmen & González-Urteaga, Ana, 2019. "A systematic review of sovereign connectedness on emerging economies," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 157-163.
    510. Markwat, Thijs & Kole, Erik & van Dijk, Dick, 2009. "Contagion as a domino effect in global stock markets," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 1996-2012, November.
    511. Emanuele Bacchiocchi & Marta Bevilacqua, 2009. "International crises, instability periods and contagion: the case of the ERM," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 56(2), pages 105-122, June.
    512. Klein, Arne C., 2013. "Time-variations in herding behavior: Evidence from a Markov switching SUR model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 291-304.
    513. Roberto Guimarães-Filho & Mr. Gee Hee Hong, 2016. "Dynamic Connectedness of Asian Equity Markets," IMF Working Papers 2016/057, International Monetary Fund.
    514. Karan Bhanot & Natasha Burns & Delroy Hunter & Michael Williams, 2013. "News Spillovers from the Greek Debt Crisis: Impact on the Eurozone Financial Sector," Working Papers 0176fin, College of Business, University of Texas at San Antonio.
    515. Jing Zhang & Dominique Guegan, 2008. "Pricing bivariate option under GARCH processes with time-varying copula," Post-Print halshs-00286054, HAL.
    516. Baele, Lieven & Inghelbrecht, Koen, 2010. "Time-varying integration, interdependence and contagion," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 791-818, September.
    517. Alfranseder, Emanuel, 2015. "Does the financial crisis affect distressed or constrained firms more heavily?," Knut Wicksell Working Paper Series 2015/4, Lund University, Knut Wicksell Centre for Financial Studies.
    518. Li, Bin & Li, Tuo & Yu, Man & Chen, Bin, 2017. "Can equalization of public services narrow the regional disparities in China? A spatial econometrics approach," China Economic Review, Elsevier, vol. 44(C), pages 67-78.
    519. Apostolakis, George, 2016. "Spreading crisis: Evidence of financial stress spillovers in the Asian financial markets," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 542-551.
    520. Roy, Rudra Prosad & Sinha Roy, Saikat, 2017. "Financial contagion and volatility spillover: An exploration into Indian commodity derivative market," Economic Modelling, Elsevier, vol. 67(C), pages 368-380.
    521. Peltonen, Tuomas A., 2006. "Are emerging market currency crises predictable? A test," Working Paper Series 571, European Central Bank.
    522. Cem Payaslioglu, 2008. "Revisiting East Asian exchange rates: the same spirit under a different sky," Applied Financial Economics, Taylor & Francis Journals, vol. 18(15), pages 1263-1276.
    523. Sophie Brana & Delphine Lahet, 2011. "Foreign banks and the stability of foreign and domestic credit in CEECs," Working Papers hal-00637686, HAL.
    524. Claudio Borio & Craig Furfine & Philip Lowe, 2001. "Procyclicality of the financial system and financial stability: issues and policy options," BIS Papers chapters, in: Bank for International Settlements (ed.), Marrying the macro- and micro-prudential dimensions of financial stability, volume 1, pages 1-57, Bank for International Settlements.
    525. Tsutsui, Yoshiro & Hirayama, Kenjiro, 2005. "Estimation of the common and country-specific shock to stock prices," Journal of the Japanese and International Economies, Elsevier, vol. 19(3), pages 322-337, September.
    526. Cărăușu Dumitru-Nicușor, 2017. "Financial Contagion in the Recent Financial Crisis: Evidence from the Romanian Capital Market," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 519-524, December.
    527. Peter Claeys & Borek Vasicek, 2012. "Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News," Working Papers 2012/07, Czech National Bank.
    528. Luis Fernando Melo & Hernán Rincon, 2012. "External Shocks and Asset Prices in Latin America before and after Lehman Brothers’ Bankruptcy," Borradores de Economia 704i, Banco de la Republica de Colombia.
    529. Wu, Eliza & Erdem, Magdalena & Kalotychou, Elena & Remolona, Eli, 2016. "The anatomy of sovereign risk contagion," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 264-286.
    530. Barry Harrison & Winston Moore, 2009. "Spillover effects from London and Frankfurt to Central and Eastern European stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 19(18), pages 1509-1521.
    531. Diana Barro & Elio Canestrelli & Fabio Lanza, 2014. "Volatility vs. downside risk: optimally protecting against drawdowns and maintaining portfolio performance," Working Papers 2014:18, Department of Economics, University of Venice "Ca' Foscari".
    532. Baur, Dirk G. & Lucey, Brian M., 2009. "Flights and contagion--An empirical analysis of stock-bond correlations," Journal of Financial Stability, Elsevier, vol. 5(4), pages 339-352, December.
    533. Mohamed Arbi Madani & Zied Ftiti, 2019. "The Generalisation of the DMCA Coefficient to Serve Distinguishing Between Hedge and Safe Haven Capabilities of the Gold," Papers 1912.12590, arXiv.org.
    534. Ozer-Imer, Itir & Ozkan, Ibrahim, 2014. "An empirical analysis of currency volatilities during the recent global financial crisis," Economic Modelling, Elsevier, vol. 43(C), pages 394-406.
    535. Fujii, Eiji, 2005. "Intra and inter-regional causal linkages of emerging stock markets: evidence from Asia and Latin America in and out of crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(4), pages 315-342, October.
    536. Benjamin M. Tabak & Solange M. Guerra & Rodrigo C. Miranda & Sergio Rubens S. de Souza, 2012. "Teste de Estresse para Risco de Liquidez: o caso do sistema bancário brasileiro," Working Papers Series 302, Central Bank of Brazil, Research Department.
    537. Steven Beach & Alexei Orlov, 2007. "An application of the Black–Litterman model with EGARCH-M-derived views for international portfolio management," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(2), pages 147-166, June.
    538. Bong-Han Kim & Hyeongwoo Kim & Hong-Ghi Min, 2011. "Reassessing the Link between the Japanese Yen and Emerging Asian Currencies," Auburn Economics Working Paper Series auwp2011-05, Department of Economics, Auburn University.
    539. Jorge Pérez-Rodríguez, 2006. "The Euro and Other Major Currencies Floating Against the U.S. Dollar," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 34(4), pages 367-384, December.
    540. Ivanov, Ivan & Kabaivanov, Stanimir & Bogdanova, Boryana, 2016. "Stock market recovery from the 2008 financial crisis: The differences across Europe," Research in International Business and Finance, Elsevier, vol. 37(C), pages 360-374.
    541. Hsiao, Cody Yu-Ling & Chen, Hsing Hung, 2018. "The contagious effects on economic development after resuming construction policy for nuclear power plants in Coastal China," Energy, Elsevier, vol. 152(C), pages 291-302.
    542. Ping Wang & Tomoe Moore, 2008. "Stock Market Integration For The Transition Economies: Time‐Varying Conditional Correlation Approach," Manchester School, University of Manchester, vol. 76(s1), pages 116-133, September.
    543. Chang, Guang-Di & Chen, Chia-Shih, 2014. "Evidence of contagion in global REITs investment," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 148-158.
    544. Rodrigo César de Castro Miranda & Benjamin Miranda Tabak & Mauricio Medeiros Junior, 2012. "Contagion in CDS, Banking and Equity Markets," Working Papers Series 293, Central Bank of Brazil, Research Department.
    545. Shih-Yung Wei & Li-Wei Lin & Surong Yan & Lu-jie Zhu, 2019. "Empirical Analysis on Price-Volume Relation in the Stock Market of China," International Journal of Economics and Financial Issues, Econjournals, vol. 9(5), pages 94-103.
    546. Andrey Pavlov & Eva Steiner & Susan Wachter, 2018. "The Consequences of REIT Index Membership for Return Patterns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 46(1), pages 210-250, March.
    547. Otranto, Edoardo, 2010. "Identifying financial time series with similar dynamic conditional correlation," Computational Statistics & Data Analysis, Elsevier, vol. 54(1), pages 1-15, January.
    548. Григорьев Р.А., 2019. "Одновременные Эффекты Несинхронных Временных Рядов: Проблемы Var-Модели," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 55(2), pages 118-129, апрель.
    549. Yi, Shuyue & Xu, Zishuang & Wang, Gang-Jin, 2018. "Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 98-114.
    550. Bertrand Candelon & Sessi Tokpavi, 2016. "A Nonparametric Test for Granger Causality in Distribution With Application to Financial Contagion," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 240-253, April.
    551. Bong-Han Kim & Hyeongwoo Kim, 2011. "Spillover Effects of the US Financial Crisis on Financial Markets in Emerging Asian Countries," Auburn Economics Working Paper Series auwp2011-04, Department of Economics, Auburn University.
    552. Linyue Li & Nan Zhang & Thomas D. Willett, 2012. "Measuring macroeconomic and financial market interdependence: a critical survey," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 4(2), pages 128-145, May.
    553. BenSaïda, Ahmed, 2018. "The contagion effect in European sovereign debt markets: A regime-switching vine copula approach," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 153-165.
    554. Albuquerque, Rui & Vega, Clara, 2006. "Asymmetric Information in the Stock Market: Economic News and Co-movement," CEPR Discussion Papers 5598, C.E.P.R. Discussion Papers.
    555. Francesco Lamperti, 2015. "An Information Theoretic Criterion for Empirical Validation of Time Series Models," LEM Papers Series 2015/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    556. David McMillan & Isabel Ruiz & Alan Speight, 2010. "Correlations and spillovers among three euro rates: evidence using realised variance," The European Journal of Finance, Taylor & Francis Journals, vol. 16(8), pages 753-767.
    557. Martin Hoesli & Kustrim Reka, 2011. "Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets," ERES eres2011_63, European Real Estate Society (ERES).
    558. Sewraj, Deeya & Gebka, Bartosz & Anderson, Robert D.J., 2019. "Day-of-the-week effects in financial contagion," Finance Research Letters, Elsevier, vol. 28(C), pages 221-226.
    559. Manuel Buchholz & Lena Tonzer, 2016. "Sovereign Credit Risk Co-Movements in the Eurozone: Simple Interdependence or Contagion?," International Finance, Wiley Blackwell, vol. 19(3), pages 246-268, December.
    560. Roberto Rigobon, 2002. "Contagion: How to Measure It?," NBER Chapters, in: Preventing Currency Crises in Emerging Markets, pages 269-334, National Bureau of Economic Research, Inc.
    561. Hartwell, Christopher A., 2018. "The impact of institutional volatility on financial volatility in transition economies," Journal of Comparative Economics, Elsevier, vol. 46(2), pages 598-615.
    562. Michael Ehrmann & Marcel Fratzscher, 2015. "Euro Area Government Bonds: Integration and Fragmentation during the Sovereign Debt Crisis," Discussion Papers of DIW Berlin 1479, DIW Berlin, German Institute for Economic Research.
    563. Kristin Forbes, 2012. "The "Big C": Identifying Contagion," NBER Working Papers 18465, National Bureau of Economic Research, Inc.
    564. Eli Bouri & Andre Eid & Imad Kachacha, 2014. "The Dynamic Behaviour and Determinants of Linkages among Middle Eastern and North African Stock Exchanges," Economic Issues Journal Articles, Economic Issues, vol. 19(1), pages 1-22, March.
    565. Matteo Cominetta, 2016. "Financial Contagion: A New Perspective (and a New Test)," Working Papers 12, European Stability Mechanism.
    566. Ming‐yuan leon Li, 2009. "Change In Volatility Regimes And Diversification In Emerging Stock Markets," South African Journal of Economics, Economic Society of South Africa, vol. 77(1), pages 59-80, March.
    567. Bartosz Gębka, 2012. "The Dynamic Relation Between Returns, Trading Volume, And Volatility: Lessons From Spillovers Between Asia And The United States," Bulletin of Economic Research, Wiley Blackwell, vol. 64(1), pages 65-90, January.
    568. Miller, J. Isaac & Ratti, Ronald A., 2009. "Crude oil and stock markets: Stability, instability, and bubbles," Energy Economics, Elsevier, vol. 31(4), pages 559-568, July.
    569. Samuel Maveyraud & Antoine Parent, 2017. "The International Contagion of Short-Run Interest Rates During the Great Depression," Post-Print hal-02273091, HAL.
    570. Toni Gravelle & Maral Kichian & James Morley, 2003. "Shift Contagion in Asset Markets," Staff Working Papers 03-5, Bank of Canada.
    571. Thomas Lagoarde-Segot & Brian Lucey, 2006. "Financial Contagion in Emerging Markets: Evidence from the Middle East and North Africa," The Institute for International Integration Studies Discussion Paper Series iiisdp114, IIIS.
    572. Thomas Flavin & Ekaterini Panopoulou, 2006. "Shift versus traditional contagion in Asian markets," The Institute for International Integration Studies Discussion Paper Series iiisdp176, IIIS.
    573. Kamel Malik BENSAFTA, 2014. "A Regional Analysis of Markets Uncertainty Spillover," LEO Working Papers / DR LEO 2243, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    574. Harry Kelejian & George Tavlas & George Hondroyiannis, 2006. "A Spatial Modelling Approach to Contagion Among Emerging Economies," Open Economies Review, Springer, vol. 17(4), pages 423-441, December.
    575. Francisca Pérez, 2013. "Are International Market Linkages Stronger? Comparison between 1990s and 2000s," Working Papers Central Bank of Chile 687, Central Bank of Chile.
    576. Beyer, Andreas & Alter, Adrian, 2013. "The dynamics of spillover effects during the European sovereign debt crisis," Working Paper Series 1558, European Central Bank.
    577. Harald HAU & Sandy LAI, 2011. "The Role of Equity Funds in the Financial Crisis Propagation," Swiss Finance Institute Research Paper Series 11-35, Swiss Finance Institute.
    578. Sanjay Sehgal & Piyush Pandey & Florent Deisting, 2018. "Stock Market Integration Dynamics and its Determinants in the East Asian Economic Community Region," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(2), pages 389-425, June.
    579. Dima Rahman, 2009. "Are Banking Systems Increasingly Fragile ? Investigating Financial Institutions’ CDS Returns Extreme Co-Movements," Working Papers hal-04140856, HAL.
    580. Leung, Charles Ka Yui & CHEUNG, W. Y. Patrick & TANG, C. H. Edward, 2011. "Financial Crisis and the Comovements of Housing Sub-markets: Do relationships change after a crisis?," MPRA Paper 31627, University Library of Munich, Germany.
    581. Hemche, Omar & Jawadi, Fredj & Maliki, Samir B. & Cheffou, Abdoulkarim Idi, 2016. "On the study of contagion in the context of the subprime crisis: A dynamic conditional correlation–multivariate GARCH approach," Economic Modelling, Elsevier, vol. 52(PA), pages 292-299.
    582. Thomas Flavin & David Cronin & Lisa Sheenan, 2016. "Contagion in Eurozone Sovereign Bond Markets? The Good, the Bad and the Ugly," Economics Department Working Paper Series n267-16.pdf, Department of Economics, National University of Ireland - Maynooth.
    583. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla I. & Masih, A. Mansur M., 2014. "The Role of Islamic Asset Classes in the Diversified Portfolios: Mean Variance Spanning Test," MPRA Paper 56857, University Library of Munich, Germany.
    584. Xu, Shiyun & Shao, Menglin & Qiao, Wenxuan & Shang, Pengjian, 2018. "Generalized AIC method based on higher-order moments and entropy of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 1127-1138.
    585. Boyson, Nicole & Stahel, Christof & Stulz, Rene, 2008. "Is There Hedge Fund Contagion?," Working Papers 08-2, University of Pennsylvania, Wharton School, Weiss Center.
    586. Zouheir Mighri & Faysal Mansouri, 2013. "Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 637-661.
    587. Savona, Roberto, 2014. "Hedge fund systemic risk signals," European Journal of Operational Research, Elsevier, vol. 236(1), pages 282-291.
    588. TRENCA Ioan & PETRIA Nicolae & DEZSI Eva, 2014. "Linkages Between The Stock Markets Of Eastern Europe," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 66(1), pages 91-104.
    589. Anubha Goel & Aparna Mehra, 2019. "Analyzing Contagion Effect in Markets During Financial Crisis Using Stochastic Autoregressive Canonical Vine Model," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 921-950, March.
    590. Marcel Aloy & Gilles de Truchis & Gilles Dufrénot & Benjamin Keddad, 2014. "Shift-Volatility Transmission in East Asian Equity Markets," AMSE Working Papers 1402, Aix-Marseille School of Economics, France, revised Mar 2014.
    591. Thomas Chiang & Lin Tan & Huimin Li, 2007. "Empirical analysis of dynamic correlations of stock returns: evidence from Chinese A-share and B-share markets," Quantitative Finance, Taylor & Francis Journals, vol. 7(6), pages 651-667.
    592. Stefanie Kleimeier & Thorsten Lehnert & Willem F. C. Verschoor, 2008. "Measuring Financial Contagion Using Time‐Aligned Data: The Importance of the Speed of Transmission of Shocks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(4), pages 493-508, August.
    593. Sheenan, Lisa & Schweers, Koen & Klein, Tony, 2024. "Interactions between sustainable bonds, renewable energy and other financial markets: A macroprudential perspective," Energy Economics, Elsevier, vol. 138(C).
    594. Sebastian Edwards & Raul Susmel, 2000. "Interest Rate Volatility and Contagion in Emerging Markets: Evidence from the 1990s," NBER Working Papers 7813, National Bureau of Economic Research, Inc.
    595. Andrea Beltratti & Claudio Morana, 2006. "Comovements in International Stock Markets," ICER Working Papers 3-2006, ICER - International Centre for Economic Research.
    596. Schmitt, Noemi & Westerhoff, Frank, 2014. "Speculative behavior and the dynamics of interacting stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 262-288.
    597. Tejeda, Hernan A. & Goodwin, Barry K. & Pelletier, Denis, 2009. "A State Dependent Regime Switching Model of Dynamic Correlations," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49370, Agricultural and Applied Economics Association.
    598. Roberto Rigobon, 2001. "The Curse of Non-Investment Grade Countries," NBER Working Papers 8636, National Bureau of Economic Research, Inc.
    599. Podlich, Natalia & Wedow, Michael, 2011. "Credit contagion between financial systems," Discussion Paper Series 2: Banking and Financial Studies 2011,15, Deutsche Bundesbank.
    600. Chia-Ching Chang & Sheng-Syan Chen & Robin Chou & Chin-Wen Hsin, 2011. "Intraday return spillovers and its variations across trading sessions," Review of Quantitative Finance and Accounting, Springer, vol. 36(3), pages 355-390, April.
    601. Stefan Erdorf & Nicolas Heinrichs, 2011. "Co-movement of revenue: structural changes in the business cycle," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(4), pages 411-433, December.
    602. Thomas Flavin & Ekaterini Panopoulou, 2006. "International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility," The Institute for International Integration Studies Discussion Paper Series iiisdp167, IIIS.
    603. Irfan Akbar Kazi & Suzanne Salloy, 2014. "Dynamics in the correlations of the Credit Default Swaps’ G14 dealers: Are there any contagion effects due to Lehman Brothers’ bankruptcy and the global financial crisis?," Working Papers 2014-237, Department of Research, Ipag Business School.
    604. Mr. Tamim Bayoumi & Mr. Manmohan S. Kumar & Mr. Giorgio Fazio & Mr. Ronald MacDonald, 2003. "Fatal Attraction: A New Measure of Contagion," IMF Working Papers 2003/080, International Monetary Fund.
    605. Grillini, Stefano & Ozkan, Aydin & Sharma, Abhijit & Al Janabi, Mazin A.M., 2019. "Pricing of time-varying illiquidity within the Eurozone: Evidence using a Markov switching liquidity-adjusted capital asset pricing model," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 145-158.
    606. Sebastian Edwards, 2000. "Contagion," The World Economy, Wiley Blackwell, vol. 23(7), pages 873-900, July.
    607. Ribeiro, André L.P. & Hotta, Luiz K., 2013. "An analysis of contagion among Asian countries using the canonical model of contagion," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 62-69.
    608. Cărăușu Dumitru-Nicușor, 2018. "Contagion and Comovement – Does the Initiator Matter," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 570-576, December.
    609. Philipp Hartmann & Stefan Straetmans & Casper de Vries, 2007. "Banking System Stability. A Cross-Atlantic Perspective," NBER Chapters, in: The Risks of Financial Institutions, pages 133-188, National Bureau of Economic Research, Inc.
    610. Kocaarslan, Baris & Sari, Ramazan & Gormus, Alper & Soytas, Ugur, 2017. "Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets," Journal of Commodity Markets, Elsevier, vol. 7(C), pages 41-56.
    611. Yu, Bo & Ouyang, Haiqin & Guan, Chao & Lin, Binzhao, 2024. "Network measurement and influence mechanism of dynamic risk contagion among global stock markets: Based on time-varying spillover index and complex network method," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    612. Dominique Guegan & Jing Zhang, 2007. "Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market," Post-Print halshs-00188248, HAL.
    613. Daryl Collins & Shana Gavron, 2004. "Channels of financial market contagion," Applied Economics, Taylor & Francis Journals, vol. 36(21), pages 2461-2469.
    614. Mahadeo, Scott M.R. & Heinlein, Reinhold & Legrenzi, Gabriella D., 2019. "Energy contagion analysis: A new perspective with application to a small petroleum economy," Energy Economics, Elsevier, vol. 80(C), pages 890-903.
    615. Alter, Adrian & Beyer, Andreas, 2012. "The dynamics of spillover effects during the European sovereign debt turmoil," CFS Working Paper Series 2012/13, Center for Financial Studies (CFS).
    616. Abdulnasser Hatemi-J & Eduardo Roca, 2010. "The Impact of the US Real Estate Market on Other Major Markets During Normal and Crisis Periods," Discussion Papers in Finance finance:201003, Griffith University, Department of Accounting, Finance and Economics.
    617. Shen, Pei-Long & Li, Wen & Wang, Xiao-Ting & Su, Chi-Wei, 2015. "Contagion effect of the European financial crisis on China's stock markets: Interdependence and pure contagion," Economic Modelling, Elsevier, vol. 50(C), pages 193-199.
    618. Idier, J., 2008. "Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models," Working papers 218, Banque de France.
    619. Pym Manopimoke & Suthawan Prukumpai & Yuthana Sethapramote, 2018. "Dynamic Connectedness in Emerging Asian Equity Markets," PIER Discussion Papers 82, Puey Ungphakorn Institute for Economic Research.
    620. Amir Saadaoui & Younes Boujelbene, 2016. "Volatility Transmission between Dow Jones Stock Index and Emerging Bond Index," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 12(2), pages 194-216, April.
    621. Sehgal, Sanjay & Gupta, Priyanshi & Deisting, Florent, 2014. "Assessing Time-Varying Stock Market Integration in EMU for Normal and Crisis Periods," MPRA Paper 64078, University Library of Munich, Germany.
    622. Dror Y. Kenett & Xuqing Huang & Irena Vodenska & Shlomo Havlin & H. Eugene Stanley, 2014. "Partial correlation analysis: Applications for financial markets," Papers 1402.1405, arXiv.org.
    623. Andres Kuusk & Tiiu Paas, 2010. "Contagion Of Financial Crises With Special Emphasis On Cee Economies: A Metaanalysis," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 66, Faculty of Economics and Business Administration, University of Tartu (Estonia).
    624. Thomas Flavin & Lisa Sheenan, 2015. "The role of U.S. subprime mortgage-backed assets in propagating the crisis:contagion or interdependence?," Economics Department Working Paper Series n260-15.pdf, Department of Economics, National University of Ireland - Maynooth.
    625. Horvath, Roman & Petrovski, Dragan, 2013. "International stock market integration: Central and South Eastern Europe compared," Economic Systems, Elsevier, vol. 37(1), pages 81-91.
    626. Kanas, Angelos, 2005. "Regime linkages between the Mexican currency market and emerging equity markets," Economic Modelling, Elsevier, vol. 22(1), pages 109-125, January.
    627. Armanious, Amir, 2024. "Too-systemic-to-fail: Empirical comparison of systemic risk measures in the Eurozone financial system," Journal of Financial Stability, Elsevier, vol. 73(C).
    628. Reint Gropp & Marco Lo Duca & Jukka Vesala, 2009. "Cross-Border Bank Contagion in Europe," International Journal of Central Banking, International Journal of Central Banking, vol. 5(1), pages 97-139, March.
    629. Hong Li & Vincent Daly, 2017. "Stock Market Integration and Financial Crises: Evidence from Chinese Sectoral Portfolios," Review of Economics & Finance, Better Advances Press, Canada, vol. 10, pages 33-48, November.
    630. Rua, António & Nunes, Luís C., 2009. "International comovement of stock market returns: A wavelet analysis," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 632-639, September.
    631. Andrea Cipollini & George Kapetanios, 2003. "A Dynamic Factor Analysis of Financial Contagion in Asia," Working Papers 498, Queen Mary University of London, School of Economics and Finance.
    632. Scott W. Hegerty, 2013. "Exchange market pressure, stock prices, and commodity prices in West Africa," International Review of Applied Economics, Taylor & Francis Journals, vol. 27(6), pages 750-765, November.
    633. Ahmad, Wasim & Sehgal, Sanjay & Bhanumurthy, N.R., 2013. "Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?," Economic Modelling, Elsevier, vol. 33(C), pages 209-225.
    634. Marcet, Francisco, 2017. "Analyst coverage network and stock return comovement in emerging markets," Emerging Markets Review, Elsevier, vol. 32(C), pages 1-27.
    635. Ters, Kristyna & Urban, Jörg, 2018. "Intraday dynamics of credit risk contagion before and during the euro area sovereign debt crisis: Evidence from central Europe," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 123-142.
    636. Vyrost, Tomas & Baumöhl, Eduard & Lyocsa, Stefan, 2013. "What Drives the Stock Market Integration in the CEE-3?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 61(1), pages 67-81.
    637. Christiansen, Charlotte & Ranaldo, Angelo & Söderlind, Paul, 2011. "The Time-Varying Systematic Risk of Carry Trade Strategies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(4), pages 1107-1125, August.
    638. Mink, Mark, 2015. "Measuring stock market contagion: Local or common currency returns?," Emerging Markets Review, Elsevier, vol. 22(C), pages 18-24.
    639. Claudiu Tiberiu Albulescu & Daniel Goyeau & Aviral Kumar Tiwari, 2017. "Co-movements and contagion between international stock index futures markets," Empirical Economics, Springer, vol. 52(4), pages 1529-1568, June.
    640. Wasim Ahmad & N.R. Bhanumurthy & Sanjay Sehgal, 2014. "The Eurozone crisis and its contagion effects on the European stock markets," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 31(3), pages 325-352, July.
    641. Berger, Dave & Turtle, H.J., 2011. "Emerging market crises and US equity market returns," Global Finance Journal, Elsevier, vol. 22(1), pages 32-41.
    642. Noureddine BENLAGHA & Slim MSEDDI, 2016. "The Macroeconomic And Financial Impacts Of European Crisis On Saudi Arabia," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 16(1).
    643. Ms. Renee Fry & Mr. Vance Martin & Ms. Brenda Gonzalez-Hermosillo & Mr. Mardi Dungey, 2002. "International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse," IMF Working Papers 2002/074, International Monetary Fund.
    644. Fernández-Rodríguez, Fernando & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 126-145.
    645. Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2008. "International stock return comovements," Working Paper Series 931, European Central Bank.
    646. Solnik, Bruno H & Longin, François, 2000. "Extreme Correlation of International Equity Markets," CEPR Discussion Papers 2538, C.E.P.R. Discussion Papers.
    647. Huaibing Yu, 2019. "An Econometric Analysis on Influential Power Across Global Stock Markets," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 8(3), pages 1-1.
    648. Akhter, Selim & Daly, Kevin, 2017. "Contagion risk for Australian banks from global systemically important banks: Evidence from extreme events," Economic Modelling, Elsevier, vol. 63(C), pages 191-205.
    649. Strohsal, Till & Weber, Enzo, 2015. "Time-varying international stock market interaction and the identification of volatility signals," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 28-36.
    650. de Bandt,O. & Malik, S., 2010. "Is there Evidence of Shift-Contagion in International Housing Markets?," Working papers 295, Banque de France.
    651. Ang, Andrew & Chen, Joseph, 2002. "Asymmetric correlations of equity portfolios," Journal of Financial Economics, Elsevier, vol. 63(3), pages 443-494, March.
    652. Elise MARAIS, 2007. "Mécanismes De Propag Ation Régionale De La Crise Boursière Asiatique," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 26, pages 13-33.
    653. Cayon, Edgardo & Thorp, Susan & Wu, Eliza, 2018. "Immunity and infection: Emerging and developed market sovereign spreads over the Global Financial Crisis," Emerging Markets Review, Elsevier, vol. 34(C), pages 162-174.
    654. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2012. "The Japanese economy in crises: A time series segmentation study," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-81.
    655. Kim Hiang Liow & Graeme Newell, 2012. "Investment Dynamics of the Greater China Securitized Real Estate Markets," Journal of Real Estate Research, American Real Estate Society, vol. 34(3), pages 399-428.
    656. Chang Shu & Dong He & Honglin Wang & Jinyue Dong, 2015. "The influence of Chinese and US financial markets on Asia-Pacific," BIS Papers chapters, in: Bank for International Settlements (ed.), Cross-border Financial Linkages: Challenges for Monetary Policy and Financial Stability, volume 82, pages 7-24, Bank for International Settlements.
    657. Simplice A., Asongu, 2011. "The 2011 Japanese earthquake, tsunami and nuclear crisis: evidence of contagion from international financial markets," MPRA Paper 31174, University Library of Munich, Germany.
    658. McMillan, David G. & Speight, Alan E.H., 2010. "Return and volatility spillovers in three euro exchange rates," Journal of Economics and Business, Elsevier, vol. 62(2), pages 79-93, March.
    659. Khalifa, Ahmed A.A. & Hammoudeh, Shawkat & Otranto, Edoardo, 2014. "Patterns of volatility transmissions within regime switching across GCC and global markets," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 512-524.
    660. Wen, Xiaoqian & Wei, Yu & Huang, Dengshi, 2012. "Measuring contagion between energy market and stock market during financial crisis: A copula approach," Energy Economics, Elsevier, vol. 34(5), pages 1435-1446.
    661. Saker Sabkha & Christian de Peretti & Dorra Hmaied, 2018. "The Credit Default Swap market contagion during recent crises: International evidence," Post-Print hal-01572510, HAL.
    662. Stracca, Livio, 2015. "Our currency, your problem? The global effects of the euro debt crisis," European Economic Review, Elsevier, vol. 74(C), pages 1-13.
    663. Gourène, Grakolet Arnold Zamereith & Mendy, Pierre & Ake N'gbo, Gilbert Marie, 2017. "Multiple time-xcales analysis of global stock markets spillovers effects in African stock markets," MPRA Paper 77632, University Library of Munich, Germany.
    664. Lyócsa, Štefan & Baumöhl, Eduard, 2015. "Similarity of emerging market returns under changing market conditions: Markets in the ASEAN-4, Latin America, Middle East, and BRICs," Economic Systems, Elsevier, vol. 39(2), pages 253-268.
    665. Sebastian Edwards & Raul Susmel, 2001. "Volatility Dependence and Contagion in Emerging Equity Markets," NBER Working Papers 8506, National Bureau of Economic Research, Inc.
    666. Douglas Sutherland & Peter Hoeller, 2013. "Growth-promoting Policies and Macroeconomic Stability," OECD Economics Department Working Papers 1091, OECD Publishing.
    667. Milda Maria Burzala, 2013. "Determination of the Time of Contagion in Capital Markets Based on the Switching Model," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 69-86.
    668. Balazs Egert & Evzen Kocenda, 2005. "Contagion Across and Integration of Central and Eastern European Stock Markets: Evidence from Intraday Data," William Davidson Institute Working Papers Series wp798, William Davidson Institute at the University of Michigan.
    669. Pan, Zhiyuan & Zheng, Xu & Gong, Yuting, 2015. "A model-free test for contagion between crude oil and stock markets," Economics Letters, Elsevier, vol. 130(C), pages 1-4.
    670. 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.
    671. Jing Zhang & Dominique Guegan, 2008. "Pricing bivariate option under GARCH processes with time-varying copula," Post-Print halshs-00259242, HAL.
    672. Mandilaras, Alex & Bird, Graham, 2010. "A Markov switching analysis of contagion in the EMS," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 1062-1075, October.
    673. Cho, Sungjun & Hyde, Stuart & Nguyen, Ngoc, 2015. "Time-varying regional and global integration and contagion: Evidence from style portfolios," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 109-131.
    674. Sharma, Susan Sunila & Narayan, Paresh Kumar & Zheng, Xinwei, 2011. "An analysis of firm and market volatility," Working Papers fe_2011_02, Deakin University, Department of Economics.
    675. Mr. Salvatore Dell'Erba & Mr. Emanuele Baldacci & Mr. Tigran Poghosyan, 2011. "Spatial Spillovers in Emerging Market Spreads," IMF Working Papers 2011/221, International Monetary Fund.
    676. Ji, Qiang & Liu, Bing-Yue & Cunado, Juncal & Gupta, Rangan, 2020. "Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    677. 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.
    678. Enrique Sentana, 2018. "Volatility, Diversification and Contagion," Working Papers wp2018_1803, CEMFI.
    679. Silvo Dajcman, 2012. "The Dynamics of Return Comovement and Spillovers Between the Czech and European Stock Markets in the Period 1997–2010," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(4), pages 368-390, August.
    680. James Chong & Alexandra Krystalogianni & Simon Stevenson, 2012. "Dynamic correlations between REIT sub-sectors and the implications for diversification," Applied Financial Economics, Taylor & Francis Journals, vol. 22(13), pages 1089-1109, July.
    681. Apergis, Nicholas & Christou, Christina & Kynigakis, Iason, 2019. "Contagion across US and European financial markets: Evidence from the CDS markets," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 1-12.
    682. Chau Le & Dickinson David, 2014. "Asset price volatility and financial contagion: analysis using the MS-VAR framework," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 4(2), pages 133-162, December.
    683. Miguel Ampudia & Michael Ehrmann, 2014. "Macroeconomic Experiences and Risk Taking of Euro Area Households," Staff Working Papers 14-10, Bank of Canada.
    684. Štefan Lyócsa & Roman Horváth, 2018. "Stock Market Contagion: a New Approach," Open Economies Review, Springer, vol. 29(3), pages 547-577, July.
    685. Chollete, Loran & Ning, Cathy, 2012. "Asymmetric Dependence in the US Economy: Application to Money and the Phillips Curve," UiS Working Papers in Economics and Finance 2012/1, University of Stavanger.
    686. Baur, Dirk G. & Heaney, Richard, 2017. "Bubbles in the Australian housing market," Pacific-Basin Finance Journal, Elsevier, vol. 44(C), pages 113-126.
    687. Claudiu Tiberiu Albulescu & Daniel Goyeau & Aviral Kumar Tiwari, 2015. "Contagion and Dynamic Correlation of the Main European Stock Index Futures Markets: A Time-frequency Approach," Post-Print hal-01376756, HAL.
    688. Dua, Pami & Tuteja, Divya, 2016. "Financial crises and dynamic linkages across international stock and currency markets," Economic Modelling, Elsevier, vol. 59(C), pages 249-261.
    689. Zouheir Mighri, 2018. "On the Dynamic Linkages Among International Emerging Currencies," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(2), pages 427-473, June.
    690. Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004. "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings 77, Econometric Society.
    691. Carmignani, Fabrizio, 2015. "The international effect of US government expenditure," Economic Modelling, Elsevier, vol. 47(C), pages 63-73.
    692. Aymen Ben Rejeb, 2013. "Volatility spillovers and contagion: an empirical analysis of structural changes in emerging market volatility," Economics Bulletin, AccessEcon, vol. 33(1), pages 56-71.
    693. Mustapha Olalekan Ojo & Luís Aguiar-Conraria & Maria Joana Soares, 2019. "A Time-Frequency Analysis of Sovereign Debt Contagion in Europe," NIPE Working Papers 11/2019, NIPE - Universidade do Minho.
    694. Mun, Kyung-Chun, 2007. "Volatility and correlation in international stock markets and the role of exchange rate fluctuations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(1), pages 25-41, February.
    695. Chun-An Li & Min-Ching Lee & Chin-Sheng Huang, 2018. "Taiwan And U.S. Equity Market Interdependence And Contagion: Evidence From Four-Factor Model," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 12(2), pages 95-115.
    696. Idier, J., 2006. "Stock exchanges industry consolidation and shock transmission," Working papers 159, Banque de France.
    697. Piccotti, Louis R., 2017. "Financial contagion risk and the stochastic discount factor," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 230-248.
    698. Gębka, Bartosz & Karoglou, Michail, 2013. "Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3639-3653.
    699. Marek Dabrowski, 2002. "Currency Crises in Emerging - Market Economis: Causes, Consequences and Policy Lessons," CASE Network Reports 0051, CASE-Center for Social and Economic Research.
    700. de Carvalho, Pablo Jose Campos & Gupta, Aparna, 2018. "A network approach to unravel asset price comovement using minimal dependence structure," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 119-132.
    701. Jan Frederik Slijkerman & Dirk Schoenmaker & Casper de Vries, 2005. "Risk Diversification by European Financial Conglomerates," Tinbergen Institute Discussion Papers 05-110/2, Tinbergen Institute.
    702. El Alaoui, Marwane & Benbachir, Saâd, 2012. "Spillover Effect in the MENA Area: Case of Four Financial Markets," MPRA Paper 48682, University Library of Munich, Germany.
    703. Bailey, Warren & Choi, J. Jay, 2003. "International market linkages," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 399-404.
    704. Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2015. "Intra-daily volatility spillovers in international stock markets," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 95-114.
    705. Giavazzi, Francesco & Favero, Carlo A., 2000. "Looking for Contagion: the Evidence from the ERM," CEPR Discussion Papers 2591, C.E.P.R. Discussion Papers.
    706. Erika Corona & Sabrina Ecca & Michele Marchesi & Alessio Setzu, 2008. "The Interplay Between Two Stock Markets and a Related Foreign Exchange Market: A Simulation Approach," Computational Economics, Springer;Society for Computational Economics, vol. 32(1), pages 99-119, September.
    707. Sulaiman T. Al-Abduljader, 2019. "Interdependence of Securitized Real Estate in Frontier Markets," International Real Estate Review, Global Social Science Institute, vol. 22(1), pages 83-108.
    708. Thomas J.Flavin & Ekaterini Panopoulou, 2007. "On the robustness of international portfolio diversification benefits to regime-switching volatility," Economics Department Working Paper Series n1801007.pdf, Department of Economics, National University of Ireland - Maynooth.
    709. Ferreira, Paulo & Pereira, Éder Johson de Area Leão & Silva, Marcus Fernandes da & Pereira, Hernane Borges, 2019. "Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 86-96.
    710. Hon, Mark T. & Strauss, Jack K. & Yong, Soo-Keong, 2007. "Deconstructing the Nasdaq bubble: A look at contagion across international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 213-230, July.
    711. Luís Aguiar-Conraria & Maria Joana Soares, 2014. "The Continuous Wavelet Transform: Moving Beyond Uni- And Bivariate Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 28(2), pages 344-375, April.
    712. Maugis, Pierre-André G., 2019. "Correlation extrapolated," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 89-95.
    713. 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).
    714. Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2017. "Do International Investors Cause Stock Market Comovements? Comparing Responses of Cross-Listed Stocks between Accessible and Inaccessible Markets," Discussion Papers in Economics and Business 17-01, Osaka University, Graduate School of Economics.
    715. Chilosi, David & Murphy, Tommy E. & Studer, Roman & Tunçer, A. Coşkun, 2013. "Europe's many integrations: Geography and grain markets, 1620–1913," Explorations in Economic History, Elsevier, vol. 50(1), pages 46-68.
    716. Bekaert, Geert & Mehl, Arnaud, 2019. "On the global financial market integration “swoosh” and the trilemma," Journal of International Money and Finance, Elsevier, vol. 94(C), pages 227-245.
    717. Støve, Bård & Tjøstheim, Dag & Hufthammer, Karl Ove, 2014. "Using local Gaussian correlation in a nonlinear re-examination of financial contagion," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 62-82.
    718. Alberto Dreassi & Stefano Miani & Andrea Paltrinieri & Alex Sclip, 2018. "Bank-Insurance Risk Spillovers: Evidence from Europe," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 43(1), pages 72-96, January.
    719. Kim Hiang Liow, 2014. "The dynamics of return co-movements and volatility spillover effects in Greater China public property markets and international linkages," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 32(6), pages 610-641, August.
    720. Henrich R. Greve & Ji-Yub (Jay) Kim, 2014. "Running for the Exit: Community Cohesion and Bank Panics," Organization Science, INFORMS, vol. 25(1), pages 204-221, February.
    721. Lee, Sokbae & Seo, Myung Hwan, 2007. "Semiparametric estimation of a binary response model with a change-point due to a covariate threshold," LSE Research Online Documents on Economics 6806, London School of Economics and Political Science, LSE Library.
    722. Margarida Abreu, 2003. "Contagion Phenomena in Financial Crises: Evidence from the Portuguese and Spanish Exchange Rate Crises in the Early 1990s," International Finance, Wiley Blackwell, vol. 6(2), pages 201-225, July.
    723. Liu, Yuna, 2016. "Trust and stock market correlation: a cross-country analysis," Umeå Economic Studies 924, Umeå University, Department of Economics.
    724. Victor Pontines & Reza Y. Siregar, 2007. "Tranquil and Crisis Windows, Heteroscedasticity, and Contagion Measurement: MS-VAR Application of the DCC Procedure," School of Economics and Public Policy Working Papers 2007-02, University of Adelaide, School of Economics and Public Policy.
    725. Franck Martin & Jiangxingyun Zhang, 2014. "Correlation and volatility on bond markets during the EMU crisis: does the OMT change the process ?," Post-Print halshs-01101986, HAL.
    726. Kenneth A. Froot & Paul G.J. O'Connell & Mark S. Seasholes, 1998. "The Portfolio Flows of International Investors, I," NBER Working Papers 6687, National Bureau of Economic Research, Inc.
    727. Urbina, Jilber, 2013. "A component model for Dynamic Conditional Correlations: Disentangling interdependence from contagion," MPRA Paper 75579, University Library of Munich, Germany, revised 13 Dec 2016.
    728. Panagiotidis, Theodore & Stengos, Thanasis & Vravosinos, Orestis, 2019. "The effects of markets, uncertainty and search intensity on bitcoin returns," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 220-242.
    729. Polanco-Martínez, J.M. & Fernández-Macho, J. & Neumann, M.B. & Faria, S.H., 2018. "A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1211-1227.
    730. Stan Hurn & Peter C. B. Phillips & Shu-Ping Shi, 2016. ""Change Detection and the Causal Impact of the Yield Curve," Cowles Foundation Discussion Papers 2058, Cowles Foundation for Research in Economics, Yale University.
    731. Kim Hiang Liow & Shao Yue Angela, 2017. "Return and co-movement of major public real estate markets during global financial crisis," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 35(5), pages 489-508, August.
    732. Michal Adam & Piotr Banbula & Michal Markun, 2015. "International Dependence and Contagion across Asset Classes: The Case of Poland," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(3), pages 254-270, May.
    733. Daryl Collins & Shana Gavron, 2005. "Measuring equity market contagion in multiple financial events," Applied Financial Economics, Taylor & Francis Journals, vol. 15(8), pages 531-538.
    734. De Vries, C.G., 2005. "The simple economics of bank fragility," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 803-825, April.
    735. Sundusit Saekow & Phisanu Chiawkhun & Woraphon Yamaka & Nawapon Nakharutai & Parkpoom Phetpradap, 2024. "Estimation of Contagion: Bayesian Model Averaging on Tail Dependence of Mixture Copula," Mathematics, MDPI, vol. 12(21), pages 1-23, October.
    736. Galin K. Todorov, 2017. "Are International Portfolio Diversification Opportunities Decreasing? Evidence from Principal Component Analysis," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 639-661.
    737. Alar Kein, 2005. "An Investigation of the Role of Cross-Border Spillover of Returns and Volatility in the Estonian Stock Market," Working Papers 120, Tallinn School of Economics and Business Administration, Tallinn University of Technology.
    738. Òscar Jordà & Moritz Schularick & Alan M. Taylor & Felix Ward, 2018. "Global Financial Cycles and Risk Premiums," Working Paper Series 2018-5, Federal Reserve Bank of San Francisco.
    739. Strohsal, Till & Weber, Enzo, 2013. "Identifying Volatility Signals from Time-Varying Simultaneous Stock Market Interaction," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79903, Verein für Socialpolitik / German Economic Association.
    740. Adams, Zeno & Fuess, Roland & Glueck, Thorsten, 2016. "Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance," Working Papers on Finance 1613, University of St. Gallen, School of Finance.
    741. Roszkowska Paulina & Prorokowski Łukasz, 2013. "Model of Financial Crisis Contagion: A Survey-based Simulation by Means of the Modified Kaplan-Meier Survival Plots," Folia Oeconomica Stetinensia, Sciendo, vol. 13(1), pages 22-55, December.
    742. Schwaab, Bernd & Lucas, André & Zhang, Xin, 2013. "Conditional and joint credit risk," Working Paper Series 1621, European Central Bank.
    743. Sébastien Wälti, 2003. "Contagion and interdependence among Central European economies: the impact of common external shocks," IHEID Working Papers 02-2003, Economics Section, The Graduate Institute of International Studies.
    744. Jozef Barunik & Lukas Vacha, 2013. "Contagion among Central and Eastern European stock markets during the financial crisis," Papers 1309.0491, arXiv.org, revised Sep 2013.
    745. Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Causes and hazards of the euro area sovereign debt crisis: Pure and fundamentals-based contagion," Economic Modelling, Elsevier, vol. 56(C), pages 133-147.
    746. Fengler, Matthias R. & Herwartz, Helmut, 2015. "Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models," Economics Working Paper Series 1517, University of St. Gallen, School of Economics and Political Science.
    747. Aït-Sahalia, Yacine & Cacho-Diaz, Julio & Laeven, Roger J.A., 2015. "Modeling financial contagion using mutually exciting jump processes," Journal of Financial Economics, Elsevier, vol. 117(3), pages 585-606.
    748. Kamel Malik BENSAFTA & Gervasio SEMEDO, 2013. "Transmission de la volatilité et central banking : quelles réactions durant la crise des subprimes ?," LEO Working Papers / DR LEO 1694, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    749. K. Minderhoud, 2006. "Systemic Risk in the Dutch Financial Sector," De Economist, Springer, vol. 154(2), pages 177-195, June.
    750. Faten Ben Slimane & Mohamed Mehanaoui & Irfan Akbar Kazi, 2013. "How Does the Financial Crisis Affect Volatility Behavior and Transmission Among European Stock Markets?," IJFS, MDPI, vol. 1(3), pages 1-21, August.
    751. Mr. Serkan Arslanalp & Wei Liao & Shi Piao & Dulani Seneviratne, 2016. "China’s Growing Influence on Asian Financial Markets," IMF Working Papers 2016/173, International Monetary Fund.
    752. Ilyes Abid & Abderrazak Dhaoui & Stéphane Goutte & Khaled Guesmi, 2019. "Contagion and bond pricing: The case of the ASEAN region," Post-Print halshs-02148928, HAL.
    753. Becker, Christoph & Schmidt, Wolfgang M., 2015. "How past market movements affect correlation and volatility," Journal of International Money and Finance, Elsevier, vol. 50(C), pages 78-107.
    754. Thomas Lagoarde‐Segot & Brian M. Lucey, 2009. "Shift‐contagion Vulnerability in the MENA Stock Markets," The World Economy, Wiley Blackwell, vol. 32(10), pages 1478-1497, October.
    755. Nishimura, Yusaku & Tsutsui, Yoshiro & Hirayama, Kenjiro, 2018. "Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets," Economic Modelling, Elsevier, vol. 69(C), pages 237-248.
    756. Jean Pisani-Ferry & André Sapir & Guntram Wolff, 2013. "EU-IMF assistance to euro area countries: an early assessment," ULB Institutional Repository 2013/387063, ULB -- Universite Libre de Bruxelles.
    757. Ilyes Abid & Khaled Guesmi & Olfa Kaabia, 2013. "Does Bayesian Shrinkage Help to Better Reflect What Happened During the Subprime Crisis?," Post-Print hal-01410575, HAL.
    758. Avdiu, Besart & Gruhle, Tobias, 2018. "Contagion and Information Frictions in Emerging Markets: The Role of Joint Signals," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181570, Verein für Socialpolitik / German Economic Association.
    759. Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel, 2017. "Realized (co)variances of eurozone sovereign yields during the crisis: The impact of news and the Securities Markets Programme," Journal of International Money and Finance, Elsevier, vol. 75(C), pages 14-31.
    760. Ana Carolina Costa Correa & Tabajara Pimenta Júnior & Luiz Eduardo Gaio, 2018. "Interdependence and asymmetries: Latin American ADRs and developed markets," Brazilian Business Review, Fucape Business School, vol. 15(4), pages 391-409, July.
    761. Kae-Yih Tzeng & Christina Tay, 2014. "Transmission of the U.S. Subprime Crisis and the European Sovereign Debt Crisis to Emerging Markets," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 4(3), pages 1-12.
    762. Fuchun Li, 2009. "Testing for Financial Contagion with Applications to the Canadian Banking System," Staff Working Papers 09-14, Bank of Canada.
    763. Lewis, Yimai & Bozos, Konstantinos, 2019. "Mitigating post-acquisition risk: the interplay of cross-border uncertainties," Journal of World Business, Elsevier, vol. 54(5), pages 1-1.
    764. Sema Bayraktar & Thomas C. Chiang, 2017. "Comovements of Stock Markets between Turkey and Global Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(3), pages 250-275, June.
    765. Friedrich Schmid & Rafael Schmidt, 2007. "Nonparametric inference on multivariate versions of Blomqvist’s beta and related measures of tail dependence," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 66(3), pages 323-354, November.
    766. Baek, In-Mee & Jun, Jongbyung, 2011. "Testing contagion of the 1997-98 crisis in Asian stock markets with structural breaks and incubation periods," Journal of Asian Economics, Elsevier, vol. 22(5), pages 356-368, October.
    767. David Matesanz & Guillermo Ortega, 2014. "Network analysis of exchange data: interdependence drives crisis contagion," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(4), pages 1835-1851, July.
    768. Kenourgios, Dimitris & Asteriou, Dimitrios & Samitas, Aristeidis, 2013. "Testing for asymmetric financial contagion: New evidence from the Asian crisis," The Journal of Economic Asymmetries, Elsevier, vol. 10(2), pages 129-137.
    769. Louis Logogye & Godfred Aawaar & Kwasi Poku, 2024. "Regional and global shock spillovers to Africa’s equity markets: evidence from the global financial crisis and COVID-19 pandemic," SN Business & Economics, Springer, vol. 4(12), pages 1-31, December.
    770. Xue-Zhong He & Kai Li & Chuncheng Wang, 2018. "Time-varying economic dominance in financial markets: A bistable dynamics approach," Published Paper Series 2018-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    771. Borri, Nicola, 2018. "Local currency systemic risk," Emerging Markets Review, Elsevier, vol. 34(C), pages 111-123.
    772. Pukthuanthong, Kuntara & Roll, Richard, 2009. "Global market integration: An alternative measure and its application," Journal of Financial Economics, Elsevier, vol. 94(2), pages 214-232, November.
    773. Daniel Stefan ARMEANU & Adrian ENCIU & Sorin-Iulian CIOACA, 2017. "How Important is the Contagion Effect for the Romanian Capital Market?," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 265-282, June.
    774. Adnen Ben Nasr & Juncal Cunado & Rıza Demirer & Rangan Gupta, 2018. "Country Risk Ratings and Stock Market Returns in Brazil, Russia, India, and China (BRICS) Countries: A Nonlinear Dynamic Approach," Risks, MDPI, vol. 6(3), pages 1-22, September.
    775. Osama M Badr & Wajih Khallouli, 2019. "Testing for Shift-Contagion Vulnerability Among MENA Stock Markets During the Turkish Financial Crisis," Applied Economics and Finance, Redfame publishing, vol. 6(1), pages 53-63, January.
    776. Pierluigi Bologna & Arianna Miglietta & Anatoli Segura, 2018. "Contagion in the CoCos market? A case study of two stress events," Temi di discussione (Economic working papers) 1201, Bank of Italy, Economic Research and International Relations Area.
    777. Jarno Kiviaho & Jussi Nikkinen & Vanja Piljak & Timo Rothovius, 2014. "The Co†movement Dynamics of European Frontier Stock Markets," European Financial Management, European Financial Management Association, vol. 20(3), pages 574-595, June.
    778. Mensah, Jones Odei & Alagidede, Paul, 2017. "How are Africa's emerging stock markets related to advanced markets? Evidence from copulas," Economic Modelling, Elsevier, vol. 60(C), pages 1-10.
    779. Derek Bunn & Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2017. "Fundamental and Financial Influences on the Co-movement of Oil and Gas prices," Post-Print hal-01619890, HAL.
    780. Thomas J. Flavin and Ekaterini Panopoulou, 2007. "Detecting Shift and Pure Contagion in East Asian Equity Markets: A Unified Approach," The Institute for International Integration Studies Discussion Paper Series iiisdp236, IIIS.
    781. Kang, Sang Hoon & Yoon, Seong-Min, 2016. "Dynamic spillovers between Shanghai and London nonferrous metal futures markets," Finance Research Letters, Elsevier, vol. 19(C), pages 181-188.
    782. Mohamed Arouri & Duc Khuong Nguyen & Kuntara Pukthuanthong, 2014. "Diversification benefits and strategic portfolio allocation across asset classes: The case of the US markets," Working Papers 2014-294, Department of Research, Ipag Business School.
    783. Paolo Pesenti & Cédric Tille, 2000. "The economics of currency crises and contagion: an introduction," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 3-16.
    784. Dalkir, Mehmet, 2009. "Revisiting stock market index correlations," Finance Research Letters, Elsevier, vol. 6(1), pages 23-33, March.
    785. Raffaela Giordano & Marcello Pericoli & Pietro Tommasino, 2013. "Pure or Wake-up-Call Contagion? Another Look at the EMU Sovereign Debt Crisis," International Finance, Wiley Blackwell, vol. 16(2), pages 131-160, June.
    786. Michael Beenstock & Mahmood Khatib, 2018. "Contagion And Correlation In Empirical Models Of Bank Credit Risk In Israel," Israel Economic Review, Bank of Israel, vol. 15(1), pages 1-34.
    787. Nagayasu, Jun, 2013. "Co-movements in Real Effective Exchange Rates: Evidence from the Dynamic Hierarchical Factor Model," SIRE Discussion Papers 2013-66, Scottish Institute for Research in Economics (SIRE).
    788. Upper, Christian, 2011. "Simulation methods to assess the danger of contagion in interbank markets," Journal of Financial Stability, Elsevier, vol. 7(3), pages 111-125, August.
    789. Kim Chang Sik, 2009. "Test for Spatial Dominances in the Distribution of Stock Returns: Evidence from the Korean Stock Market Before and After the East Asian Financial Crisis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(4), pages 1-27, September.
    790. Qian Chen & David E. Giles & Hui Feng, 2012. "The extreme-value dependence between the Chinese and other international stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 22(14), pages 1147-1160, July.
    791. Dewandaru, Ginanjar & Masih, Rumi & Masih, A. Mansur M., 2015. "Why is no financial crisis a dress rehearsal for the next? Exploring contagious heterogeneities across major Asian stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 241-259.
    792. M. Barari & Brian Lucey & S. Voronkova, 2008. "Reassessing co-movements among G7 equity markets: evidence from iShares," Applied Financial Economics, Taylor & Francis Journals, vol. 18(11), pages 863-877.
    793. Orlov, Alexei G., 2009. "A cospectral analysis of exchange rate comovements during Asian financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 742-758, December.
    794. Wang, Lihong, 2014. "Who moves East Asian stock markets? The role of the 2007–2009 global financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 182-203.
    795. Nicholas G. Polson & James G. Scott, 2011. "An empirical test for Eurozone contagion using an asset-pricing model with heavy-tailed stochastic volatility," Papers 1110.5789, arXiv.org, revised Mar 2012.
    796. Yarovaya, Larisa & Lau, Marco Chi Keung, 2016. "Stock market comovements around the Global Financial Crisis: Evidence from the UK, BRICS and MIST markets," Research in International Business and Finance, Elsevier, vol. 37(C), pages 605-619.
    797. Bradford Case & Yawei Yang & Yildiray Yildirim, 2012. "Dynamic Correlations Among Asset Classes: REIT and Stock Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 44(3), pages 298-318, April.
    798. Dorota Witkowska & Krzysztof Kompa & Aleksandra Matuszewska-Janica, 2012. "Analysis of Linkages between Central and Eastern European Capital Markets," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 19-34.
    799. Konermann, Patrick & Meinerding, Christoph & Sedova, Olga, 2013. "Asset allocation in markets with contagion: The interplay between volatilities, jump intensities, and correlations," Review of Financial Economics, Elsevier, vol. 22(1), pages 36-46.
    800. Park, Ji-Woo & Jeong, Kim, 2018. "Empirical Similarities and Differences Between the Global Financial Crisis and the Asian Crisis," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 4(Winter Ed), pages 228-236.
    801. Boschi, Melisso, 2004. "International Financial Contagion: Evidence from the Argentine Crisis of 2001-2002," MPRA Paper 28546, University Library of Munich, Germany.
    802. Peter Christoffersen & Vihang Errunza & Kris Jacobs & Hugues Langlois, 2012. "Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach," CREATES Research Papers 2012-48, Department of Economics and Business Economics, Aarhus University.
    803. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2012. "International diversification: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 871-885.
    804. Broto, Carmen & Pérez-Quirós, Gabriel, 2015. "Disentangling contagion among sovereign CDS spreads during the European debt crisis," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 165-179.
    805. Nicholas Sly & Caroline Weber, 2013. "International Fiscal Policy Coordination and GDP Comovement," CESifo Working Paper Series 4358, CESifo.
    806. Kitamura, Yoshihiro, 2010. "Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets," Research in International Business and Finance, Elsevier, vol. 24(2), pages 158-171, June.
    807. Al-Nassar, Nassar S. & Assaf, Rima & Chaibi, Anis & Makram, Beljid, 2024. "The nexus between mineral, renewable commodities, and regional stock sectors during health and military crises," Resources Policy, Elsevier, vol. 96(C).
    808. Grahame Thompson, 2011. "Financial Globalization? History, Conditions and Prospects," Chapters, in: Jonathan Michie (ed.), The Handbook of Globalisation, Second Edition, chapter 2, Edward Elgar Publishing.
    809. Filippo Brutti & Philip Sauré, 2012. "Transmission of Sovereign Risk in the Euro Crisis," Working Papers 12.01, Swiss National Bank, Study Center Gerzensee.
    810. Viviana Fernandez, 2004. "Time-Scale Decomposition of Price Transmission in International Markets," Documentos de Trabajo 189, Centro de Economía Aplicada, Universidad de Chile.
    811. Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Sovereign-bank linkages: Quantifying directional intensity of risk transfers in EMU countries," Journal of International Money and Finance, Elsevier, vol. 63(C), pages 137-164.
    812. Martin Schmitz, 2013. "Financial Markets And International Risk Sharing In Emerging Market Economies," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 18(3), pages 266-277, July.
    813. Jin, Xiaoye, 2016. "The impact of 2008 financial crisis on the efficiency and contagion of Asian stock markets: A Hurst exponent approach," Finance Research Letters, Elsevier, vol. 17(C), pages 167-175.
    814. Busetti, F. & Harvey, A., 2008. "When is a copula constant? A test for changing relationships," Cambridge Working Papers in Economics 0841, Faculty of Economics, University of Cambridge.
    815. Mehmet Balcilar & Rangan Gupta & Duc Khuong Nguyen & Mark E. Wohar, 2018. "Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach," Applied Economics, Taylor & Francis Journals, vol. 50(53), pages 5712-5727, November.
    816. Chandar, Nandini & Patro, Dilip K. & Yezegel, Ari, 2009. "Crises, contagion and cross-listings," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1709-1729, September.
    817. Christos Floros, 2005. "Price Linkages Between the US, Japan and UK Stock Markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(2), pages 169-178, August.
    818. Dror Y Kenett & Matthias Raddant & Thomas Lux & Eshel Ben-Jacob, 2012. "Evolvement of Uniformity and Volatility in the Stressed Global Financial Village," PLOS ONE, Public Library of Science, vol. 7(2), pages 1-8, February.
    819. French, Joseph J. & Li, Wei-Xuan, 2017. "Sentiment, foreign equity flows, and returns: Evidence from Thailand’s stock markets," Research in International Business and Finance, Elsevier, vol. 42(C), pages 816-831.
    820. David Bessler & James Kolari & Thein Maung, 2011. "Dynamic linkages among equity markets: local versus basket currencies," Applied Economics, Taylor & Francis Journals, vol. 43(14), pages 1703-1719.
    821. Juneja, Januj A., 2016. "Financial crises and estimation bias in international bond markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 593-607.
    822. Rizvi, Syed Aun R. & Arshad, Shaista & Alam, Nafis, 2015. "Crises and contagion in Asia Pacific — Islamic v/s conventional markets," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 315-326.
    823. Sunil S. Poshakwale & Anandadeep Mandal, 2017. "Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 859-892, May.
    824. Pablo Jose Campos de Carvalho & Aparna Gupta, 2018. "Multivariate Jump Diffusion Model with Markovian Contagion," Working Papers Series 482, Central Bank of Brazil, Research Department.
    825. Pedro H. Albuquerque, 2020. "Optimal Time Interval Selection in Long-Run Correlation Estimation," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(1), pages 53-79, March.
    826. Kenourgios, Dimitris & Dimitriou, Dimitrios, 2015. "Contagion of the Global Financial Crisis and the real economy: A regional analysis," Economic Modelling, Elsevier, vol. 44(C), pages 283-293.
    827. Blommestein, Hans & Eijffinger, Sylvester & Qian, Zongxin, 2016. "Regime-dependent determinants of Euro area sovereign CDS spreads," Journal of Financial Stability, Elsevier, vol. 22(C), pages 10-21.
    828. Laih, Yih-Wenn, 2014. "Measuring rank correlation coefficients between financial time series: A GARCH-copula based sequence alignment algorithm," European Journal of Operational Research, Elsevier, vol. 232(2), pages 375-382.
    829. Giampaolo Gabbi & Alesia Kalbaska & Alessandro Vercelli, 2014. "Factors generating and transmitting the financial crisis: The role of incentives: securitization and contagion," Working papers wpaper56, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
    830. Faten Ben Slimane & Mohamed Mehanaoui & Irfan A. Kazi, 2014. "Interdependency and Spillover during the Financial Crisis of 2007 to 2009 – Evidence from High Frequency Intraday Data," Working Papers 2014-126, Department of Research, Ipag Business School.
    831. Ahmed El Ghini & Youssef Saidi, 2015. "Financial market contagion during the global financial crisis: evidence from the Moroccan stock market," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 4(1), pages 78-95.
    832. Vermeulen, Robert, 2013. "International diversification during the financial crisis: A blessing for equity investors?," Journal of International Money and Finance, Elsevier, vol. 35(C), pages 104-123.
    833. Wang, Ping & Moore, Tomoe, 2012. "The integration of the credit default swap markets during the US subprime crisis: Dynamic correlation analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 1-15.
    834. Lian, Yu-Min & Chen, Jun-Home, 2019. "Portfolio selection in a multi-asset, incomplete-market economy," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 228-238.
    835. Buse, Rebekka & Schienle, Melanie, 2019. "Measuring connectedness of euro area sovereign risk," International Journal of Forecasting, Elsevier, vol. 35(1), pages 25-44.
    836. Boryana Bogdanova, 2014. "Measuring the degree of integration within a group of stock markets," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 6, pages 26-46.
    837. Cruces, Juan J., 2006. "Statistical properties of country credit ratings," Emerging Markets Review, Elsevier, vol. 7(1), pages 27-51, March.
    838. Irina Bunda & A. Javier Hamann & Subir Lall, 2007. "Emerging Debt Markets: What Do Correlations and Spreads Tell Us?," Post-Print halshs-00424468, HAL.
    839. Richard McManus & F. Gulcin Ozkan, 2015. "On the Consequences of Pro‐Cyclical Fiscal Policy," Fiscal Studies, Institute for Fiscal Studies, vol. 36, pages 29-50, March.
    840. Yamamoto, Shugo, 2014. "Transmission of US financial and trade shocks to Asian economies: Implications for spillover of the 2007–2009 US financial crisis," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 88-103.
    841. Schmid, Friedrich & Schmidt, Rafael, 2007. "Multivariate conditional versions of Spearman's rho and related measures of tail dependence," Journal of Multivariate Analysis, Elsevier, vol. 98(6), pages 1123-1140, July.
    842. Meegan, Andrew & Corbet, Shaen & Larkin, Charles, 2018. "Financial market spillovers during the quantitative easing programmes of the global financial crisis (2007–2009) and the European debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 128-148.
    843. Thanaset Chevapatrakul & Kai-Hong Tee, 2014. "The Effects of News Events on Market Contagion: Evidence from the 2007-2009 Financial Crisis," Discussion Papers 2014/08, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    844. Jozef Barunik & Tomas Krehlik, 2015. "Measuring the frequency dynamics of financial connectedness and systemic risk," Papers 1507.01729, arXiv.org, revised Dec 2017.
    845. Ahlgren, Niklas & Antell, Jan, 2008. "Cobreaking of Stock Prices and Contagion," Working Papers 537, Hanken School of Economics.
    846. Vergote, Olivier, 2016. "Credit risk spillover between financials and sovereigns in the euro area during 2007-2015," Working Paper Series 1898, European Central Bank.
    847. Garita, Gus, 2009. "Risk-Factor Portfolios and Financial Stability," MPRA Paper 19611, University Library of Munich, Germany, revised 11 Dec 2009.
    848. Nafeesa Yunus, 2019. "Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis," The Journal of Real Estate Finance and Economics, Springer, vol. 58(2), pages 264-289, February.
    849. Yoav Friedmann & Itay Goldstein, 2004. "Globalization of Capital Movements: Potential Disadvantages and their efect on Israel," Israel Economic Review, Bank of Israel, vol. 2(2), pages 45-78.
    850. Balduzzi, Pierluigi & Brancati, Emanuele & Brianti, Marco & Schiantarelli, Fabio, 2020. "Populism, Political Risk and the Economy: Lessons from Italy," IZA Discussion Papers 12929, Institute of Labor Economics (IZA).
    851. Libo Yin & Liyan Han, 2013. "Exogenous Shocks and Information Transmission in Global Copper Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(8), pages 724-751, August.
    852. Insel, Aysu & Korkmaz, Abdurrahman, 2010. "The contagion effect: evidences from former Soviet Economies in Eastern Europe," MPRA Paper 24999, University Library of Munich, Germany.
    853. Maximilian-Benedikt Herwarth Kohn & Pedro L. Valls Pereira, 2017. "Speculative bubbles and contagion: Analysis of volatility’s clusters during the DotCom bubble based on the dynamic conditional correlation model," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1411453-141, January.
    854. Bahram Adrangi & Arjun Chatrath & Joseph Macri & Kambiz Raffiee, 2016. "The US Monetary Base and Major World Equity Markets: An Empirical Investigation," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 49-64, August.
    855. Martin Schmitz, 2007. "Financial Markets and International Risk Sharing," The Institute for International Integration Studies Discussion Paper Series iiisdp233, IIIS.
    856. Nikos Nomikos & Enrique Salvador, 2014. "The role of volatility regimes on volatility transmission patterns," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 1-13, January.
    857. Chen, Peng, 2018. "Understanding international stock market comovements: A comparison of developed and emerging markets," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 451-464.
    858. Gonzalez-Hermosillo Gonzalez, B.M., 2008. "Transmission of shocks across global financial markets : The role of contagion and investors' risk appetite," Other publications TiSEM d684f3c7-7ad8-4e93-88cf-a, Tilburg University, School of Economics and Management.
    859. Ahrend, Rudiger & Goujard, Antoine, 2014. "Are all forms of financial integration equally risky? Asset price contagion during the global financial crisis," Journal of Financial Stability, Elsevier, vol. 14(C), pages 35-53.
    860. Berger, Theo, 2015. "A wavelet based approach to measure and manage contagion at different time scales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 338-350.
    861. Doruk Kucuksarac & Pinar Ozlu & Deren Unalmis, 2012. "Kuresel Kriz, Avrupa Borc Krizi ve Gelismekte Olan Piyasalarda Bulasicilik Etkisi (Global Crisis, European Debt Crisis and Contagion in Emerging Markets)," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 12(2), pages 25-35.
    862. Ebenezer Asem & Vishaal Baulkaran & Rossitsa Yalamova & Xiaofei Zhang, 2017. "Internal Market Efficiency, Market Co-movement, and Cross-Market Efficiency: The Case of Hong Kong and Shanghai Stock Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(4), pages 253-267, December.
    863. Massacci, D., 2007. "Identification and Estimation in an Incoherent Model of Contagion," Cambridge Working Papers in Economics 0744, Faculty of Economics, University of Cambridge.
    864. Harrison, Barry & Moore, Winston, 2009. "Stock Market Como Vement In The European Union And Transition Countries," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 13(3), pages 124-151.
    865. Jackman, Mahalia & Moore, Winston, 2008. "Economic policy Co-Movement in Latin America and the Caribbean," Journal of Policy Modeling, Elsevier, vol. 30(6), pages 1107-1114.
    866. Irfan Akbar Kazi & Suzanne Salloy, 2013. "Contagion effect due to Lehman Brothers’ bankruptcy and the global financial crisis - From the perspective of the Credit Default Swaps’ G14 dealers," EconomiX Working Papers 2013-6, University of Paris Nanterre, EconomiX.
    867. Mr. Gianni De Nicolo & Mr. Myron L. Kwast, 2002. "Systemic Risk and Financial Consolidation: Are they Related?," IMF Working Papers 2002/055, International Monetary Fund.
    868. Shyh‐Wei Chen & Chung‐Hua Shen, 2004. "Price Common Volatility or Volume Common Volatility? Evidence from Taiwan's Exchange Rate and Stock Markets," Asian Economic Journal, East Asian Economic Association, vol. 18(2), pages 185-211, June.
    869. Klaus Grobys, 2011. "Are Different National Stock Markets Driven by the Same Stochastic Hidden Variable?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 3(1), pages 021-030, June.
    870. Tim Pullen & Karen Benson & Robert Faff, 2014. "A Comparative Analysis of the Investment Characteristics of Alternative Gold Assets," Abacus, Accounting Foundation, University of Sydney, vol. 50(1), pages 76-92, March.
    871. Naysary, Babak & Shrestha, Keshab, 2024. "Financial technology and ESG market: A wavelet-DCC GARCH approach," Research in International Business and Finance, Elsevier, vol. 71(C).
    872. Bekiros, Stelios & Nguyen, Duc Khuong & Uddin, Gazi Salah & Sjö, Bo, 2016. "On the time scale behavior of equity-commodity links: Implications for portfolio management," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 30-46.
    873. Nafeesa Yunus, 2016. "Modelling interactions among the housing market and key US sectors," Journal of Property Research, Taylor & Francis Journals, vol. 33(2), pages 121-146, April.
    874. El Ghini, Ahmed & Saidi, Youssef, 2014. "Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis," MPRA Paper 53439, University Library of Munich, Germany.
    875. Dewandaru, Ginanjar & Masih, Rumi & Masih, A. Mansur M., 2016. "Contagion and interdependence across Asia-Pacific equity markets: An analysis based on multi-horizon discrete and continuous wavelet transformations," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 363-377.
    876. Pierre L. Siklos, 2008. "Determinants of Emerging Market Spreads: Domestic, Global Factors, and Volatility," Working Papers 182008, Hong Kong Institute for Monetary Research.
    877. Yoon, Seong-Min & Al Mamun, Md & Uddin, Gazi Salah & Kang, Sang Hoon, 2019. "Network connectedness and net spillover between financial and commodity markets," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 801-818.
    878. Lagunes, Mario & Watkins, Karen, 2009. "Efectos de las Crisis Anticipadas y No Anticipadas sobre El Contagio Financiero Internacional," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(08), pages 101-148, primer se.
    879. Berben, Robert-Paul & Jansen, W. Jos, 2005. "Comovement in international equity markets: A sectoral view," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 832-857, September.
    880. María Lorena Mari del Cristo & Marta Gómez-Puig, 2017. "Dollarization and the relationship between EMBI and fundamentals in Latin American Countries," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 40(112), pages 14-30, Enero.
    881. Pereira, Pedro L. Valls & Marçal, Emerson Fernandes & Martin, Diógenes Manoel Leiva & Nakamura, Wilson Toshiro, 2009. "Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals," Textos para discussão 177, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    882. Daniel Stefan ARMEANU & Adrian ENCIU & Carmen OBREJA & Sorin-Iulian CIOACÃ, 2016. "The Financial Crisis’ Impact on the Central and Eastern Europe Capital Markets," REVISTA DE MANAGEMENT COMPARAT INTERNATIONAL/REVIEW OF INTERNATIONAL COMPARATIVE MANAGEMENT, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 17(5), pages 420-431, December.
    883. Giampiero Gallo & Edoardo Otranto, 2006. "Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model," Econometrics Working Papers Archive wp2006_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    884. Ballester, Laura & González-Urteaga, Ana, 2017. "How credit ratings affect sovereign credit risk: Cross-border evidence in Latin American emerging markets," Emerging Markets Review, Elsevier, vol. 30(C), pages 200-214.
    885. P. Manasse & L. Zavalloni, 2013. "Sovereign Contagion in Europe: Evidence from the CDS Market," Working Papers wp863, Dipartimento Scienze Economiche, Universita' di Bologna.
    886. Kuang-Liang Chang, 2011. "The optimal value-at-risk hedging strategy under bivariate regime switching ARCH framework," Applied Economics, Taylor & Francis Journals, vol. 43(21), pages 2627-2640.
    887. Jinjarak, Yothin & Zheng, Huanhuan, 2014. "Granular institutional investors and global market interdependence," Journal of International Money and Finance, Elsevier, vol. 46(C), pages 61-81.
    888. Christos S Savva, 2011. "Modeling interbank relations during the international financial crisis," Economics Bulletin, AccessEcon, vol. 31(1), pages 916-924.
    889. Monica Billio & Michael Donadelli & Antonio Paradiso & Max Riedel, 2015. "Measuring Financial Integration: Lessons from the Correlation," Working Papers 2015:23, Department of Economics, University of Venice "Ca' Foscari".
    890. Kenneth Smith & Joe Brocato, 2010. "Applying the Inclan-Tsiao breakpoint algorithm in the search for the flight-to-safety phenomenon," Applied Financial Economics, Taylor & Francis Journals, vol. 20(5), pages 371-380.
    891. Das, Debojyoti & Bhowmik, Puja & Jana, R.K., 2018. "A multiscale analysis of stock return co-movements and spillovers: Evidence from Pacific developed markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 379-393.
    892. Kee Tuan Teng & Siew Hwa Yen & Soo Y. Chua & Hooi Hooi Lean, 2016. "Time-Varying Linkages of Economic Activities in China and the Stock Markets in ASEAN-5," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 10(2), June.
    893. Emilios C. Galariotis & Styliani-Iris Krokida & Spyros I. Spyrou, 2016. "Herd behavior and equity market liquidity: Evidence from major markets," Post-Print hal-01418021, HAL.
    894. Jarl G. Kallberg & Crocker H. Liu & Paolo Pasquariello, 2014. "On the Price Comovement of U.S. Residential Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(1), pages 71-108, March.
    895. Lin, Fu-Lai & Chen, Yu-Fen & Yang, Sheng-Yung, 2016. "Does the value of US dollar matter with the price of oil and gold? A dynamic analysis from time–frequency space," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 59-71.
    896. Hossein Asgharian & Charlotte Christiansen & Rangan Gupta & Ai Jun Hou, 2016. "Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation," CREATES Research Papers 2016-29, Department of Economics and Business Economics, Aarhus University.
    897. Baba, Naohiko & Sakurai, Yuji, 2011. "When and how US dollar shortages evolved into the full crisis? Evidence from the cross-currency swap market," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1450-1463, June.
    898. Clerc, L., 2007. "Understanding Asset Prices: Determinants and Policy Implications," Working papers 168, Banque de France.
    899. A. Khalifa & S. Hammoudeh & E. Otranto, 2012. "Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment," Working Paper CRENoS 201209, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    900. Marie Steen & Ole Gjolberg, 2013. "Are commodity markets characterized by herd behaviour?," Applied Financial Economics, Taylor & Francis Journals, vol. 23(1), pages 79-90, January.
    901. José Carlos Vides & Antonio A. Golpe & Jesús Iglesias, 2018. "How did the Sovereign debt crisis affect the Euro financial integration? A fractional cointegration approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(4), pages 685-706, November.
    902. Scott W. Hegerty, 2014. "Interest-rate volatility and volatility transmission in nine Latin American countries," Applied Financial Economics, Taylor & Francis Journals, vol. 24(13), pages 927-937, July.
    903. De Santis, Roberto A. & Ehling, Paul, 2007. "Do international portfolio investors follow firms' foreign investment decisions?," Working Paper Series 815, European Central Bank.
    904. Ludwig, Alexander, 2014. "A unified approach to investigate pure and wake-up-call contagion: Evidence from the Eurozone's first financial crisis," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 125-146.
    905. Juan M. Londono, 2011. "The variance risk premium around the world," International Finance Discussion Papers 1035, Board of Governors of the Federal Reserve System (U.S.).
    906. Panait, Iulian & Constantinescu, Alexandru, 2012. "Stylized facts of the daily and monthly returns for the European stock indices during 2007-2012," MPRA Paper 44249, University Library of Munich, Germany.
    907. Jonathan William Welburn & Kjell Hausken, 2017. "Game Theoretic Modeling of Economic Systems and the European Debt Crisis," Computational Economics, Springer;Society for Computational Economics, vol. 49(2), pages 177-226, February.
    908. Irena Vodenska & Alexander P. Becker & Di Zhou & Dror Y. Kenett & H. Eugene Stanley & Shlomo Havlin, 2016. "Community Analysis of Global Financial Markets," Risks, MDPI, vol. 4(2), pages 1-15, May.
    909. Castagneto-Gissey, G. & Nivorozhkin, E., 2016. "No contagion from Russia toward global equity markets after the 2014 international sanctions," Economic Analysis and Policy, Elsevier, vol. 52(C), pages 79-98.
    910. Jin, Xiaoye & An, Ximeng, 2016. "Global financial crisis and emerging stock market contagion: A volatility impulse response function approach," Research in International Business and Finance, Elsevier, vol. 36(C), pages 179-195.
    911. Dewandaru, Ginanjar & Masih, Rumi & Masih, Mansur, 2017. "Regional spillovers across transitioning emerging and frontier equity markets: A multi-time scale wavelet analysis," Economic Modelling, Elsevier, vol. 65(C), pages 30-40.
    912. Lucey, Brian M. & Voronkova, Svitlana, 2008. "Russian equity market linkages before and after the 1998 crisis: Evidence from stochastic and regime-switching cointegration tests," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1303-1324, December.
    913. Li, Fuchun & Zhu, Hui, 2014. "Testing for financial contagion based on a nonparametric measure of the cross-market correlation," Review of Financial Economics, Elsevier, vol. 23(3), pages 141-147.
    914. Tjøstheim, Dag & Hufthammer, Karl Ove, 2013. "Local Gaussian correlation: A new measure of dependence," Journal of Econometrics, Elsevier, vol. 172(1), pages 33-48.
    915. Bertrand Candelon, 2010. "Introduction To The Special Issue Of Pacific Economic Review On Contagion," Pacific Economic Review, Wiley Blackwell, vol. 15(3), pages 336-339, August.
    916. Darrat, Ali F. & Zhong, Maosen, 2005. "Equity market linkage and multinational trade accords: The case of NAFTA," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 793-817, September.
    917. Imbs, Jean & Pauwels, Laurent, 2019. "Fundamental Moments," CEPR Discussion Papers 13662, C.E.P.R. Discussion Papers.
    918. D. Collins & N. Biekpe, 2003. "Contagion And Interdependence In African Stock Markets," South African Journal of Economics, Economic Society of South Africa, vol. 71(1), pages 181-194, March.
    919. Gourène, Grakolet Arnold Zamereith & Mendy, Pierre, 2014. "Beginning an African Stock Markets Integration? A Wavelet Analysis," MPRA Paper 76048, University Library of Munich, Germany.
    920. Wu, Weiou & Lau, Marco Chi Keung & Vigne, Samuel A., 2017. "Modelling asymmetric conditional dependence between Shanghai and Hong Kong stock markets," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1137-1149.
    921. Bai, Ye & Green, Christopher J. & Leger, Lawrence, 2012. "Industry and country factors in emerging market returns: Did the Asian crisis make a difference?," Emerging Markets Review, Elsevier, vol. 13(4), pages 559-580.
    922. Razvan Stefanescu & Ramona Dumitriu, 2015. "Impact Of The Shocks From Nyse On The Romanian Capital Markets," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 371-376.
    923. Choe, Kwang-il & Choi, Pilsun & Nam, Kiseok & Vahid, Farshid, 2012. "Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 271-291.
    924. George Milunovich & Stefan Trück, 2013. "Regional and global contagion in real estate investment trusts," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 31(1), pages 53-77, February.
    925. Mobarek, Asma & Muradoglu, Gulnur & Mollah, Sabur & Hou, Ai Jun, 2016. "Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods," Journal of Financial Stability, Elsevier, vol. 24(C), pages 1-11.
    926. Michel Beine & Sébastien Laurent & Franz Palm, 2007. "Central bank intervention in the foreign exchange markets assessed using realized moments," ULB Institutional Repository 2013/10407, ULB -- Universite Libre de Bruxelles.
    927. Grothe, Oliver & Schnieders, Julius & Segers, Johan, 2014. "Measuring association and dependence between random vectors," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 96-110.
    928. Chris Stivers & Licheng Sun, 2002. "Stock market uncertainty and the relation between stock and bond returns," FRB Atlanta Working Paper 2002-3, Federal Reserve Bank of Atlanta.
    929. Chowdhury, Biplob & Dungey, Mardi & Kangogo, Moses & Sayeed, Mohammad Abu & Volkov, Vladimir, 2019. "The changing network of financial market linkages: The Asian experience," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 71-92.
    930. Lee A. Smales & Jardee N. Kininmonth, 2016. "FX Market Returns and Their Relationship to Investor Fear," International Review of Finance, International Review of Finance Ltd., vol. 16(4), pages 659-675, December.
    931. Kyriakos C. Neanidis & Christos S. Savva, 2015. "Is Loan Dollarization Contagious across Countries? Evidence from Transition Economies," Centre for Growth and Business Cycle Research Discussion Paper Series 200, Economics, The University of Manchester.
    932. Georgios Chalamandaris & Andrianos Tsekrekos, 2010. "The correlation structure of FX option markets before and since the financial crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 20(1-2), pages 73-84.
    933. Schotman, Peter C. & Zalewska, Anna, 2006. "Non-synchronous trading and testing for market integration in Central European emerging markets," Journal of Empirical Finance, Elsevier, vol. 13(4-5), pages 462-494, October.
    934. Bogdan Dima & Stefana Maria Dima & Anca-Adriana Saraolu (Ionascuti), 2024. "The Time Dependence and Interconnectedness of Developed Stock Markets," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 16(2), pages 273-293, December.
    935. Feldman, Todd, 2010. "Portfolio manager behavior and global financial crises," Journal of Economic Behavior & Organization, Elsevier, vol. 75(2), pages 192-202, August.
    936. Cai, Charlie X. & Mobarek, Asma & Zhang, Qi, 2017. "International stock market leadership and its determinants," Journal of Financial Stability, Elsevier, vol. 33(C), pages 150-162.
    937. Oanea, Dumitru-Cristian, 2015. "Financial markets integration: A vector error-correction approach," The Journal of Economic Asymmetries, Elsevier, vol. 12(2), pages 153-161.
    938. María José Melendez & Marco Morales & Guillermo Yáñez, 2010. "Transmisión de Shocks y Acoplamiento con Mercados Accionarios Externos: Efectos Asimétricos y Quiebre Estructural," Working Papers 11, Facultad de Economía y Empresa, Universidad Diego Portales.
    939. Peter Claeys & Rosina Moreno & Jordi Suriñach, 2010. "Fiscal Policy and Interest Rates: The Role of Financial and Economic Integration," Advances in Spatial Science, in: Antonio Páez & Julie Gallo & Ron N. Buliung & Sandy Dall'erba (ed.), Progress in Spatial Analysis, pages 311-336, Springer.
    940. George Horia Ionescu & DragoÅŸ Mihai Ungureanu & Ruxandra Dana Vilag & Florian Bogdan Stoian, 2009. "Financial Contagion And Investors Behavior," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(11), pages 1-57.
    941. Renée Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin, 2018. "Measuring financial interdependence in asset returns with an application to euro zone equities," CAMA Working Papers 2018-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    942. de Oliveira, Felipe A. & Maia, Sinézio F. & de Jesus, Diego P. & Besarria, Cássio da N., 2018. "Which information matters to market risk spreading in Brazil? Volatility transmission modelling using MGARCH-BEKK, DCC, t-Copulas," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 83-100.
    943. MArdi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin & Chrismin Tang, 2008. "Are Financial Crises Alike?," CAMA Working Papers 2008-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    944. Chen, Cathy Yi-Hsuan & Chiang, Thomas C. & Härdle, Wolfgang Karl, 2018. "Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 21-32.
    945. Theoharry Grammatikos & Thorsten Lehnert & Yoichi Otsubo, 2014. "Market Perceptions of US and European Policy Actions Around the Subprime Crisis," IMES Discussion Paper Series 14-E-11, Institute for Monetary and Economic Studies, Bank of Japan.
    946. Ding, Liang & Huang, Yirong & Pu, Xiaoling, 2014. "Volatility linkage across global equity markets," Global Finance Journal, Elsevier, vol. 25(2), pages 71-89.
    947. Youta Ishii, 2008. "International transmissions in US-Japanese stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 18(15), pages 1193-1200.
    948. Ke Cheng & Xiaoguang Yang, 2017. "Interdependence between the stock market and the bond market in one country: evidence from the subprime crisis and the European debt crisis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-22, December.
    949. Bal??zs ??gert & Ev??en Kocenda, 2007. "Time-Varying Comovements in Developed and Emerging European Stock Markets: Evidence from Intraday Data," William Davidson Institute Working Papers Series wp861, William Davidson Institute at the University of Michigan.
    950. Kim, Bong-Han & Kim, Seewon, 2013. "Transmission of the global financial crisis to Korea," Journal of Policy Modeling, Elsevier, vol. 35(2), pages 339-353.
    951. Alamá-Sabater, Luisa & Heid, Benedikt & Jiménez-Fernández, Eduardo & Márquez-Ramos, Laura, 2016. "What drives interdependence of FDI among host countries? The role of geographic proximity and similarity in public debt," Economic Modelling, Elsevier, vol. 58(C), pages 466-474.
    952. Sandoval Paucar, Giovanny, 2018. "Efectos de desbordamiento sobre los mercados financieros de Colombia. Identificación a través de la heterocedasticidad [Spillovers effects on financial markets of Colombia. Identification through h," MPRA Paper 90422, University Library of Munich, Germany.
    953. Silva-Buston, Consuelo, 2019. "Systemic risk and competition revisited," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 188-205.
    954. Pagano, Michael S., 2008. "Credit, cronyism, and control: Evidence from the Americas," Journal of International Money and Finance, Elsevier, vol. 27(3), pages 387-410, April.
    955. Maher Asal, 2011. "The Impact of Euro on Sectoral Equity Returns and Portfolio Risk," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 17(2), pages 119-133, May.
    956. Agya Atabani Adi, 2017. "Returns Effect, Shocks and Volatility Transmission between Foreign Exchange-Stock Markets in Nigeria," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 3(1), pages 29-38, March.
    957. Yi-Hsuan Chen & Kehluh Wang & Anthony Tu, 2011. "Default correlation at the sovereign level: evidence from some Latin American markets," Applied Economics, Taylor & Francis Journals, vol. 43(11), pages 1399-1411.
    958. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "“EMU sovereign debt market crisis: Fundamentals-based or pure contagion?”," IREA Working Papers 201402, University of Barcelona, Research Institute of Applied Economics, revised May 2014.
    959. Mohammad Alomari & David. M. Power & Nongnuch Tantisantiwong, 2018. "Determinants of equity return correlations: a case study of the Amman Stock Exchange," Review of Quantitative Finance and Accounting, Springer, vol. 50(1), pages 33-66, January.
    960. Ahmed, Abdullahi D. & Huo, Rui, 2018. "China–Africa financial markets linkages: Volatility and interdependence," Journal of Policy Modeling, Elsevier, vol. 40(6), pages 1140-1164.
    961. Lei Wu & Qingbin Meng & Kuan Xu, 2015. "'Slow-burn' spillover and 'fast and furious' contagion: a study of international stock markets," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 933-958, June.
    962. Dimitrios Vortelinos & Konstantinos Gkillas (Gillas) & Costas Syriopoulos & Argyro Svingou, 2017. "Asymmetric and nonlinear inter-relations of US stock indices," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 14(1), pages 78-129, December.
    963. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's Major Trading Partners across the GFC," Tinbergen Institute Discussion Papers 14-106/III, Tinbergen Institute.
    964. Kuan-Min Wang, 2013. "Did Vietnam stock market avoid the “contagion risk” from China and the U.S.? The contagion effect test with dynamic correlation coefficients," Quality & Quantity: International Journal of Methodology, Springer, vol. 47(4), pages 2143-2161, June.
    965. Jaeun Shin, 2005. "Stock Returns and Volatility in Emerging Stock Markets," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 4(1), pages 31-43, April.
    966. Eric Jondeau & Michael Rockinger, 2002. "Conditional Dependency of Financial Series: The Copula-GARCH Model," FAME Research Paper Series rp69, International Center for Financial Asset Management and Engineering.
    967. Yunus Kilic & Mehmet Fatih Bugan, 2016. "Are Islamic Equity Markets “Safe Havens”? Testing the Contagion Effect using DCC-GARCH," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 6(4), pages 167-176, October.
    968. Robert Maderitsch, 2015. "Spillovers from the USA to stock markets in Asia: a quantile regression approach," Applied Economics, Taylor & Francis Journals, vol. 47(44), pages 4714-4727, September.
    969. Marçal, Emerson F. & Valls Pereira, Pedro L., 2008. "Testando A Hipótese De Contágio A Partir De Modelos Multivariados De Volatilidade [Testing the contagion hypotheses using multivariate volatility models]," MPRA Paper 10356, University Library of Munich, Germany.
    970. Gang-Jin Wang & Chi Xie & Shou Chen, 2017. "Multiscale correlation networks analysis of the US stock market: a wavelet analysis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(3), pages 561-594, October.
    971. Roberto Rigobon, 1999. "On the Measurement of the International Propagation of Shocks," NBER Working Papers 7354, National Bureau of Economic Research, Inc.
    972. Billio, M. & Donadelli, M. & Paradiso, A. & Riedel, M., 2017. "Which market integration measure?," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 150-174.
    973. Jarl G. Kallberg & Paolo Pasquariello, 2005. "An Examination of the Asian Crisis: Regime Shifts in Currency and Equity Markets," The Journal of Business, University of Chicago Press, vol. 78(1), pages 169-212, January.
    974. Awartani, Basel & Maghyereh, Aktham I. & Shiab, Mohammad Al, 2013. "Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 224-242.
    975. Claudio Morana, 2008. "International stock markets comovements: the role of economic and financial integration," Empirical Economics, Springer, vol. 35(2), pages 333-359, September.
    976. Yang, Lu & Cai, Xiao Jing & Zhang, Huimin & Hamori, Shigeyuki, 2016. "Interdependence of foreign exchange markets: A wavelet coherence analysis," Economic Modelling, Elsevier, vol. 55(C), pages 6-14.
    977. Anagnostidis, P. & Varsakelis, C. & Emmanouilides, C.J., 2016. "Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 116-128.
    978. Zhang, Bing & Li, Xindan & Yu, Honghai, 2013. "Has recent financial crisis changed permanently the correlations between BRICS and developed stock markets?," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 725-738.
    979. Silvapulle, Param & Fenech, Jean Pierre & Thomas, Alice & Brooks, Rob, 2016. "Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries," Economic Modelling, Elsevier, vol. 58(C), pages 83-92.
    980. Paul Castillo & Carlos Montoro & Vicente Tuesta, 2006. "Measuring the Natural Interest Rate for the Peruvian Economy," Working Papers 2006-003, Banco Central de Reserva del Perú.
    981. George Milunovich & Antony Tan, 2013. "Testing for contagion in US industry portfolios -- a four-factor pricing approach," Applied Financial Economics, Taylor & Francis Journals, vol. 23(1), pages 15-26, January.
    982. Koch, Nicolas, 2014. "Tail events: A new approach to understanding extreme energy commodity prices," Energy Economics, Elsevier, vol. 43(C), pages 195-205.
    983. Hatemi-J, Abdulnasser & Roca, Eduardo, 2011. "How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test," Economic Modelling, Elsevier, vol. 28(6), pages 2560-2565.
    984. Bhanot, Karan & Burns, Natasha & Hunter, Delroy & Williams, Michael, 2014. "News spillovers from the Greek debt crisis: Impact on the Eurozone financial sector," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 51-63.
    985. Tony-Okeke, Uchenna & Ahmadu-Bello, Jaliyyah & Niklewski, Jacek & Rodgers, Timothy, 2018. "Financial contagion and capital asset pricing in Africa: The impact of the 2007–09 and Euro-Zone crises on natural resources sector Beta in African emerging markets," Research in International Business and Finance, Elsevier, vol. 45(C), pages 54-61.
    986. Reboredo, Juan C., 2012. "Do food and oil prices co-move?," Energy Policy, Elsevier, vol. 49(C), pages 456-467.
    987. Martín-Barragán, Belén & Ramos, Sofía B. & Veiga, Helena, 2013. "Correlations between oil and stock markets : a wavelet-based approach," DES - Working Papers. Statistics and Econometrics. WS ws130504, Universidad Carlos III de Madrid. Departamento de Estadística.
    988. Akhtaruzzaman, Md & Shamsuddin, Abul, 2016. "International contagion through financial versus non-financial firms," Economic Modelling, Elsevier, vol. 59(C), pages 143-163.
    989. Ming-Chu Chiang & I-Chun Tsai, 2016. "Ripple effect and contagious effect in the US regional housing markets," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 56(1), pages 55-82, January.
    990. Connolly, Robert A. & Stivers, Chris & Sun, Licheng, 2007. "Commonality in the time-variation of stock-stock and stock-bond return comovements," Journal of Financial Markets, Elsevier, vol. 10(2), pages 192-218, May.
    991. William B. English & Mico Loretan, 2000. "Evaluating \"correlation breakdowns\" during periods of market volatility," International Finance Discussion Papers 658, Board of Governors of the Federal Reserve System (U.S.).
    992. Alexakis, Christos & Pappas, Vasileios, 2018. "Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes," Economic Modelling, Elsevier, vol. 73(C), pages 222-239.
    993. Kamel Malik Bensafta & Gervasio Semedo, 2014. "Transmission de la volatilité et Central-Banking," Working Papers halshs-01012058, HAL.
    994. Akiko Terada-hagiwara, 2005. "Explaining the Real Exchange Rate during Sudden Stops and Tranquil Periods," International Finance 0504006, University Library of Munich, Germany.
    995. Lucey, Brian M. & Voronkova, Svitlana, 2005. "Russian equity market linkages before and after the 1998 crisis: evidence from time-varying and stochastic cointegration tests," BOFIT Discussion Papers 12/2005, Bank of Finland Institute for Emerging Economies (BOFIT).
    996. Hong-Ghi Min & Young-Soon Hwang, 2012. "Dynamic correlation analysis of US financial crisis and contagion: evidence from four OECD countries," Applied Financial Economics, Taylor & Francis Journals, vol. 22(24), pages 2063-2074, December.
    997. LONGIN, François & SOLNIK, Bruno, 2000. "Extreme correlation of international equity markets," HEC Research Papers Series 705, HEC Paris.
    998. De Santis, Roberto A. & Zimic, Srečko, 2017. "Spillovers among sovereign debt markets: identification by absolute magnitude restrictions," Working Paper Series 2055, European Central Bank.
    999. Larry D. Neal & Marc D. Weidenmier, 2003. "Crises in the Global Economy from Tulips to Today," NBER Chapters, in: Globalization in Historical Perspective, pages 473-514, National Bureau of Economic Research, Inc.
    1000. Kristin Forbes, 2000. "The Asian Flu and Russian Virus: Firm-level Evidence on How Crises are Transmitted Internationally," NBER Working Papers 7807, National Bureau of Economic Research, Inc.
    1001. Dirk G Baur & Thomas K.J. McDermott, 2012. "Safe Haven Assets and Investor Behavior Under Uncertainty," Working Paper Series 173, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    1002. Ming-Chu Chiang & I-Chun Tsai, 2016. "Ripple effect and contagious effect in the US regional housing markets," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 56(1), pages 55-82, January.
    1003. Mohti, Wahbeeah & Dionísio, Andreia & Vieira, Isabel & Ferreira, Paulo, 2019. "Financial contagion analysis in frontier markets: Evidence from the US subprime and the Eurozone debt crises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1388-1398.
    1004. Korkmaz, Turhan & Cevik, Emrah Ismail & Gurkan, Serhan, 2010. "Testing the international capital asset pricing model with Markov switching model in emerging markets," MPRA Paper 71481, University Library of Munich, Germany, revised 2010.
    1005. Dirk Baur & Renee Fry, 2006. "Endogenous Contagion - A Panel Data Analysis," CAMA Working Papers 2006-09, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    1006. Nagayasu, Jun, 2016. "Commonality and Heterogeneity in Real Effective Exchange Rates: Evidence from Advanced and Developing Countries," MPRA Paper 70078, University Library of Munich, Germany.
    1007. Elie I Bouri, 2013. "Correlation and Volatility of the MENA Equity Markets in Turbulent Periods, and Portfolio Implications," Economics Bulletin, AccessEcon, vol. 33(2), pages 1575-1593.
    1008. Zhou, Xiangyi & Zhang, Weijin & Zhang, Jie, 2012. "Volatility spillovers between the Chinese and world equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 247-270.
    1009. Asif Ahmad & Richard McManus & F. Gulcin Ozkan, 2021. "Fiscal space and the procyclicality of fiscal policy: The case for making hay while the sun shines," Economic Inquiry, Western Economic Association International, vol. 59(4), pages 1687-1701, October.
    1010. Allard Bruinshoofd & Bertrand Candelon & Katharina Raabe, 2010. "Banking Sector Fragility and the Transmission of Currency Crises," Open Economies Review, Springer, vol. 21(2), pages 263-292, April.
    1011. Konstantin Tyurin, 2007. "Midwest Econometric Group annual meeting (in Russian)," Quantile, Quantile, issue 2, pages 99-106, March.
    1012. Nicole M. Boyson & Christof W. Stahel & Rene M. Stulz, 2008. "Hedge Fund Contagion and Liquidity," NBER Working Papers 14068, National Bureau of Economic Research, Inc.
    1013. Murad A. BEIN & Gulcay TUNA, 2016. "Comparing Spillover Effects Among Emerging Markets With A Higher (Lower) Share Of Commodity Exports: Evidence From The Two Major Crises," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(3), pages 265-284.
    1014. Andrew S. Duncan & Alain Kabundi, 2014. "Global Financial Crises and Time-Varying Volatility Comovement in World Equity Markets," South African Journal of Economics, Economic Society of South Africa, vol. 82(4), pages 531-550, December.
    1015. Dungey, Mardi & Jacobs, Jan & Lestano, 2010. "Financial crises in Asia: concordance by asset market or country?," Working Papers 10575, University of Tasmania, Tasmanian School of Business and Economics, revised 01 Nov 2010.
    1016. Li, Hong, 2012. "The impact of China's stock market reforms on its international stock market linkages," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 358-368.
    1017. houidi, Fatma & Ellouz, Siwar, 2021. "Volatility spillovers and Financial contagion during global financial crisis: Islamic versus conventional equity indices with Multivariate GARCH approch," MPRA Paper 122530, University Library of Munich, Germany.
    1018. Lukasz Prorokowski, 2011. "Recovery from the current banking crisis," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 3(3), pages 193-223, October.
    1019. Michel Beine & Pierre-Yves Preumont & Ariane Szafarz, 2006. "Sector diversification during crises: a European perspective," DULBEA Working Papers 06-07.RS, ULB -- Universite Libre de Bruxelles.
    1020. Cappiello, Lorenzo & Manganelli, Simone & Kadareja, Arjan, 2008. "The impact of the euro on equity markets: a country and sector decomposition," Working Paper Series 906, European Central Bank.
    1021. Riadh El Abed, 2017. "On the Co-movements among East Asian Foreign Exchange Markets: A Multivariate FIAPARCH-DCC approach," Economics Bulletin, AccessEcon, vol. 37(3), pages 2247-2259.
    1022. Thomas C. Chiang & Lanjun Lao & Qingfeng Xue, 2016. "Comovements between Chinese and global stock markets: evidence from aggregate and sectoral data," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1003-1042, November.
    1023. Petmezas, Dimitris & Santamaria, Daniel, 2014. "Investor induced contagion during the banking and European sovereign debt crisis of 2007–2012: Wealth effect or portfolio rebalancing?," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 401-424.
    1024. José Dias & Sofia Ramos, 2014. "The aftermath of the subprime crisis: a clustering analysis of world banking sector," Review of Quantitative Finance and Accounting, Springer, vol. 42(2), pages 293-308, February.
    1025. Krishna Reddy Chittedi, 2015. "Financial Crisis and Contagion Effects to Indian Stock Market: ‘DCC–GARCH’ Analysis," Global Business Review, International Management Institute, vol. 16(1), pages 50-60, February.
    1026. Staer, Arsenio & Sottile, Pedro, 2018. "Equivalent volume and comovement," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 143-157.
    1027. Andreas Humpe & David G. McMillan, 2018. "Equity/bond yield correlation and the FED model: evidence of switching behaviour from the G7 markets," Journal of Asset Management, Palgrave Macmillan, vol. 19(6), pages 413-428, October.
    1028. Julian, Inchauspe & Helen, Cabalu, 2013. "What Drives the Shanghai Stock Market? An Examination of its Linkage to Macroeconomic Fundamentals," MPRA Paper 93049, University Library of Munich, Germany.
    1029. Sungyong Park & Wendun Wang & Naijing Huang, 2015. "Testing for Stock Market Contagion: A Quantile Regression Approach," Tinbergen Institute Discussion Papers 15-040/III, Tinbergen Institute.
    1030. Ding, Haoyuan & Kim, Hyung-Gun & Park, Sung Y., 2016. "Crude oil and stock markets: Causal relationships in tails?," Energy Economics, Elsevier, vol. 59(C), pages 58-69.
    1031. Maderitsch, R., 2015. "Information transmission between stock markets in Hong Kong, Europe and the US: New evidence on time- and state-dependence," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 13-36.
    1032. Leila Ali & Yan Kestens, 2006. "Contagion and Crises Clusters: Toward a Regional Warning System?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 142(4), pages 814-839, December.
    1033. Mardi Dungey & Diana Zhumabekova, 2001. "Factor analysis of a model of stock market returns using simulation-based estimation techniques," Pacific Basin Working Paper Series 2001-08, Federal Reserve Bank of San Francisco.
    1034. Hong Li & Shamim Ahmed & Thanaset Chevapatrakul, 2016. "Volatility spillovers across European stock markets around the Brexit referendum," Discussion Papers 2016/06, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    1035. González-Hermosillo, Brenda & Johnson, Christian, 2017. "Transmission of financial stress in Europe: The pivotal role of Italy and Spain, but not Greece," Journal of Economics and Business, Elsevier, vol. 90(C), pages 49-64.
    1036. Cerqueti, Roy & Fenga, Livio & Ventura, Marco, 2018. "Does the U.S. exercise contagion on Italy? A theoretical model and empirical evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 436-442.
    1037. Dewandaru, Ginanjar & Alaoui, AbdelKader & Bacha, Obiyathulla & Masih, Mansur, 2014. "Stock Market Co-movement and Shock Transmission: Islamic versus Conventional Equity Indices," MPRA Paper 56888, University Library of Munich, Germany.
    1038. Sha Zhu, 2018. "The Spillover and Transmission of Chinese Financial Markets Risk," International Business Research, Canadian Center of Science and Education, vol. 11(8), pages 66-75, August.
    1039. Huang, Shupei & An, Haizhong & Gao, Xiangyun & Wen, Shaobo & Jia, Xiaoliang, 2016. "The global interdependence among oil-equity nexuses," Energy, Elsevier, vol. 107(C), pages 259-271.
    1040. Anastasopoulos, Alexia, 2018. "Testing for financial contagion: New evidence from the Greek crisis and yuan devaluation," Research in International Business and Finance, Elsevier, vol. 45(C), pages 499-511.
    1041. Raphael Hekimian & David Le Bris, 2016. "US Crashes of 2008 and 1929 How did the French market react? An empirical study," EconomiX Working Papers 2016-21, University of Paris Nanterre, EconomiX.
    1042. Jiangying Wei & Ridong Hu & Feng Chen, 2024. "The Path to Sustainable Stability: Can ESG Investing Mitigate the Spillover Effects of Risk in China’s Financial Markets?," Sustainability, MDPI, vol. 16(23), pages 1-25, November.
    1043. Sebastian Edwards, 2000. "Interest Rates, Contagion and Capital Controls," NBER Working Papers 7801, National Bureau of Economic Research, Inc.
    1044. Nicolas Melissas, 2009. "On Bid Disclosure in OCS Wildcat Auctions," Working Papers 0905, Centro de Investigacion Economica, ITAM.
    1045. Martin Hess, 2006. "Timing and diversification: A state-dependent asset allocation approach," The European Journal of Finance, Taylor & Francis Journals, vol. 12(3), pages 189-204.
    1046. Khalid, Ahmed M. & Kawai, Masahiro, 2003. "Was financial market contagion the source of economic crisis in Asia?: Evidence using a multivariate VAR model," Journal of Asian Economics, Elsevier, vol. 14(1), pages 131-156, February.
    1047. Uppal, Raman & Das, Sanjiv Ranjan, 2002. "Systemic Risk and International Portfolio Choice," CEPR Discussion Papers 3305, C.E.P.R. Discussion Papers.
    1048. Chang, Guang-Di & Cheng, Po-Ching, 2016. "Evidence of cross-asset contagion in U.S. markets," Economic Modelling, Elsevier, vol. 58(C), pages 219-226.
    1049. Mohamed Ben Abdallah & Zouheir Bouchaddakh, 2013. "Banking and Monetary Crises: Impacts on Exports of MENA Countries," Working Papers 786, Economic Research Forum, revised Oct 2013.
    1050. Antonio Díez de los Ríos & Alicia García Herrero, 2003. "Contagion and portfolio shift in emerging countries' sovereign bonds," Working Papers 0317, Banco de España.
    1051. Harju, Kari & Hussain, Syed Mujahid, 2006. "Intraday Linkages Across International Equity Markets," Working Papers 516, Hanken School of Economics.
    1052. Kim Hiang Liow, 2012. "Co‐movements and Correlations Across Asian Securitized Real Estate and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 40(1), pages 97-129, March.
    1053. Cronin, David, 2014. "The interaction between money and asset markets: A spillover index approach," Journal of Macroeconomics, Elsevier, vol. 39(PA), pages 185-202.
    1054. Mardi Dungey & Eric Renault, 2018. "Identifying contagion," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 227-250, March.
    1055. Nadhem Selmi & Meriam Chihi-Bouaziz & Nejib Hachicha & Younes Boujelbène & Damien Bazin, 2013. "Testing for Contagion of the Subprime Financial Crisis under Asymmetric Dynamics," Post-Print halshs-01070751, HAL.
    1056. Alexander, Gordon J. & Baptista, Alexandre M., 2009. "Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 65-92, January.
    1057. Magnolia Miriam Sosa Castro & Christian Bucio Pacheco & Alejandra Cabello Rosales, 2018. "Contagion and Stock Interdependence in the BRIC+M Block," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, vol. 48(1), pages 173-196, Enero-Jun.
    1058. Pieterse-Bloem, Mary & Qian, Zhaowen & Verschoor, Willem & Zwinkels, Remco, 2016. "Time-varying importance of country and industry factors in European corporate bonds," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 429-448.
    1059. Hwang, Eugene & Min, Hong-Ghi & Kim, Bong-Han & Kim, Hyeongwoo, 2013. "Determinants of stock market comovements among US and emerging economies during the US financial crisis," Economic Modelling, Elsevier, vol. 35(C), pages 338-348.
    1060. Choudhry, Taufiq & Lu, Lin & Peng, Ke, 2007. "Common stochastic trends among Far East stock prices: Effects of the Asian financial crisis," International Review of Financial Analysis, Elsevier, vol. 16(3), pages 242-261.
    1061. Christopher M. Meissner, 2013. "Capital Flows, Credit Booms, and Financial Crises in the Classical Gold Standard Era," NBER Working Papers 18814, National Bureau of Economic Research, Inc.
    1062. Mei Qiu & Pinfold & Rose, 2015. "A currency preferential approach to international equity investment," Applied Economics, Taylor & Francis Journals, vol. 47(49), pages 5247-5261, October.
    1063. Ye, Wuyi & Liu, Xiaoquan & Miao, Baiqi, 2012. "Measuring the subprime crisis contagion: Evidence of change point analysis of copula functions," European Journal of Operational Research, Elsevier, vol. 222(1), pages 96-103.
    1064. Yannick Le Pen & Benoît Sévi, 2013. "Futures Trading and the Excess Comovement of Commodity Prices," AMSE Working Papers 1301, Aix-Marseille School of Economics, France, revised Jan 2013.
    1065. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2011. "International diversification: A copula approach," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 403-417, February.
    1066. Evrim Imer-Ertunga, 2010. "Renewable natural resources from the view of oil dependent countries: the case of Turkey," Journal of Environmental Planning and Management, Taylor & Francis Journals, vol. 53(6), pages 759-766.
    1067. Balli, Faruk & Hajhoj, Hassan Rafdan & Basher, Syed Abul & Ghassan, Hassan Belkacem, 2015. "An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 311-325.
    1068. Suh, Sangwon, 2015. "Measuring sovereign risk contagion in the Eurozone," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 45-65.
    1069. Lavan Mahadeva & Javier Gómez Pineda, 2009. "The international cycle and Colombian monetary policy," Borradores de Economia 5406, Banco de la Republica.
    1070. Uddin, Gazi Salah & Rahman, Md Lutfur & Hedström, Axel & Ahmed, Ali, 2019. "Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes," Energy Economics, Elsevier, vol. 80(C), pages 743-759.
    1071. Aymen Ben Rejeb & Adel Boughrara, 2015. "Financial integration in emerging market economies: Effects on volatility transmission and contagion," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 15(3), pages 161-179, September.
    1072. Jinliang Li, 2016. "When noise trading fades, volatility rises," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 475-512, October.
    1073. Lee, Hsiu-Chuan & Hsu, Chih-Hsiang & Lee, Yun-Huan, 2016. "Location of trade, return comovements, and diversification benefits: Evidence from Asian country ETFs," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 279-296.
    1074. Ferreira, Miguel A. & Gama, Paulo M., 2010. "Correlation dynamics of global industry portfolios," Journal of Multinational Financial Management, Elsevier, vol. 20(1), pages 35-47, February.
    1075. Edgardo Cayón, 2014. "The Effects of Contagion During the Global Financial Crisis in Government-Regulated and Sponsored Assets in Emerging Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2014, January-A.
    1076. A. Maghyereh & B. Awartani, 2012. "Return and volatility spillovers between Dubai financial market and Abu Dhabi Stock Exchange in the UAE," Applied Financial Economics, Taylor & Francis Journals, vol. 22(10), pages 837-848, May.
    1077. Chen, Xiaoyu & Chiang, Thomas C., 2016. "Stock returns and economic forces—An empirical investigation of Chinese markets," Global Finance Journal, Elsevier, vol. 30(C), pages 45-65.
    1078. Cubillos-Rocha, Juan S. & Gomez-Gonzalez, Jose E. & Melo-Velandia, Luis F., 2019. "Detecting exchange rate contagion using copula functions," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 13-22.
    1079. Albert S. Kyle & Wei Xiong, 2001. "Contagion as a Wealth Effect," Journal of Finance, American Finance Association, vol. 56(4), pages 1401-1440, August.
    1080. Ahlgren, Niklas & Antell, Jan, 2010. "Stock market linkages and financial contagion: A cobreaking analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(2), pages 157-166, May.
    1081. John Cotter & Mark Hallam & Kamil Yilmaz, 2017. "Mixed-frequency macro-financial spillovers," Working Papers 201704, Geary Institute, University College Dublin.
    1082. Kateryna Anatoliyevna Kopyl & John Byong-Tek Lee, 2016. "How safe are the safe haven assets?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(4), pages 453-482, November.
    1083. Sébastien WÄLTI, 2003. "Testing for Contagion in International Financial Markets: Which Way to Go?," FAME Research Paper Series rp92, International Center for Financial Asset Management and Engineering.
    1084. Voth, Hans-Joachim & Quinn, Dennis, 2008. "Free Flows, Limited Diversification: Explaining the Fall and Rise of Stock Market Correlations, 1890-2001," CEPR Discussion Papers 7013, C.E.P.R. Discussion Papers.
    1085. Zhenxi Chen & Jan F. Kiviet & Weihong Huang, 2015. "On the integration of China's main stock exchange with the international financial market," Economic Growth Centre Working Paper Series 1505, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    1086. Christos Kollias & Stephanos Papadamou & Costas Siriopoulos, 2013. "European Markets’ Reactions to Exogenous Shocks: A High Frequency Data Analysis of the 2005 London Bombings," IJFS, MDPI, vol. 1(4), pages 1-14, November.
    1087. Reiny IRIANA & Fredrik SJÖHOLM, 2002. "Indonesia'S Economic Crisis: Contagion And Fundamentals," The Developing Economies, Institute of Developing Economies, vol. 40(2), pages 135-151, June.
    1088. Dewandaru, Ginanjar & Rizvi, Syed Aun R. & Masih, Rumi & Masih, Mansur & Alhabshi, Syed Othman, 2014. "Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis," Economic Systems, Elsevier, vol. 38(4), pages 553-571.
    1089. Tsai, I-C., 2014. "Spillover of fear: Evidence from the stock markets of five developed countries," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 281-288.
    1090. Boubaker, Heni & Raza, Syed Ali, 2016. "On the dynamic dependence and asymmetric co-movement between the US and Central and Eastern European transition markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 459(C), pages 9-23.
    1091. Shen, Yifan, 2018. "International risk transmission of stock market movements," Economic Modelling, Elsevier, vol. 69(C), pages 220-236.
    1092. Sarantis Tsiaplias & Chew Lian Chua, 2013. "A Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of Shocks," Econometric Reviews, Taylor & Francis Journals, vol. 32(2), pages 244-271, February.
    1093. Seema Narayan, 2019. "The Influence of Domestic and Foreign Shocks on Portfolio Diversification Gains and the Associated Risks," JRFM, MDPI, vol. 12(4), pages 1-26, October.
    1094. Marco Centoni & Gianluca Cubadda, 2011. "Modelling Comovements of Economic Time Series: A Selective Survey," CEIS Research Paper 215, Tor Vergata University, CEIS, revised 26 Oct 2011.
    1095. Ngwu, Franklin N. & Chen, Zheyang, 2016. "Regulation of securitisation in China: Learning from the US experience," Research in International Business and Finance, Elsevier, vol. 37(C), pages 477-488.
    1096. Hui, Eddie Chi-man & Chan, Ka Kwan Kevin, 2014. "The global financial crisis: Is there any contagion between real estate and equity markets?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 216-225.
    1097. Syllignakis, Manolis N. & Kouretas, Georgios P., 2011. "Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 717-732, October.
    1098. Philippas, Dionisis & Siriopoulos, Costas, 2013. "Putting the “C” into crisis: Contagion, correlations and copulas on EMU bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 161-176.
    1099. Karanasos, Menelaos & Yfanti, Stavroula & Karoglou, Michail, 2016. "Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 332-349.
    1100. Ding, Liang & Pu, Xiaoling, 2012. "Market linkage and information spillover: Evidence from pre-crisis, crisis, and recovery periods," Journal of Economics and Business, Elsevier, vol. 64(2), pages 145-159.
    1101. M. Fatih Oztek & Nadir Ocal, 2012. "Integration of China Stock Markets with International Stock Markets: An application of Smooth Transition Conditional Correlation with Double Transition Functions," ERC Working Papers 1209, ERC - Economic Research Center, Middle East Technical University, revised Dec 2012.
    1102. Nguyen, Cuong & Ishaq Bhatti, M. & Henry, Darren, 2017. "Are Vietnam and Chinese stock markets out of the US contagion effect in extreme events?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 480(C), pages 10-21.
    1103. Rizvi, Aun & Masih, Mansur, 2014. "Oil price shocks and GCC capital markets: who drives whom?," MPRA Paper 56993, University Library of Munich, Germany.
    1104. Tai, Chu-Sheng, 2004. "Looking for risk premium and contagion in Asia-Pacific foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 13(4), pages 381-409.
    1105. Sandoval, Leonidas & Franca, Italo De Paula, 2012. "Correlation of financial markets in times of crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 187-208.
    1106. Baumöhl, Eduard & Lyócsa, Štefan, 2014. "Volatility and dynamic conditional correlations of worldwide emerging and frontier markets," Economic Modelling, Elsevier, vol. 38(C), pages 175-183.
    1107. Kris James Mitchener & Marc D. Weidenmier, 2007. "The Baring Crisis and the Great Latin American Meltdown of the 1890s," NBER Working Papers 13403, National Bureau of Economic Research, Inc.
    1108. A. M. M. Shahiduzzaman Quoreshi & Reaz Uddin & Viroj Jienwatcharamongkhol, 2019. "Equity Market Contagion in Return Volatility during Euro Zone and Global Financial Crises: Evidence from FIMACH Model," JRFM, MDPI, vol. 12(2), pages 1-18, June.
    1109. E. Otranto, 2008. "Clustering Heteroskedastic Time Series by Model-Based Procedures," Working Paper CRENoS 200801, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    1110. Samarakoon, Lalith P., 2011. "Stock market interdependence, contagion, and the U.S. financial crisis: The case of emerging and frontier markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 724-742.
    1111. Eric Friedman & Simon Johnson & Adam Landsberg, 2001. "Large-Scale Synchrony, Global Interdependence and Contagion," Departmental Working Papers 200103, Rutgers University, Department of Economics.
    1112. GABRIEL, Victor Manuel de Sousa & MANSO, José Ramos Pires, 2014. "Financial Crisis And Stock Market Linkages," Revista Galega de Economía, University of Santiago de Compostela. Faculty of Economics and Business., vol. 23(4), pages 133-148.
    1113. Long, Ling & Tsui, Albert K. & Zhang, Zhaoyong, 2014. "Estimating time-varying currency betas with contagion: New evidence from developed and emerging financial markets," Japan and the World Economy, Elsevier, vol. 30(C), pages 10-24.
    1114. Mensi, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Kang, Sang Hoon, 2016. "Global financial crisis and spillover effects among the U.S. and BRICS stock markets," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 257-276.
    1115. Lu, Jingen & Chen, Xiaohong & Liu, Xiaoxing, 2018. "Stock market information flow: Explanations from market status and information-related behavior," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 837-848.
    1116. Kenourgios, Dimitris, 2014. "On financial contagion and implied market volatility," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 21-30.
    1117. Atif HUSSAIN* & Tahir SAEED*, 2016. "Cointegration of Stock Market Returns: A Case of Asian Countries," Pakistan Journal of Applied Economics, Applied Economics Research Centre, vol. 26(2), pages 153-181.
    1118. Fiess, Norbert, 2003. "Capital flows, country risk, and contagion," Policy Research Working Paper Series 2943, The World Bank.
    1119. Chakrabarti, Rajesh & Roll, Richard, 2002. "East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisis," Journal of Financial Markets, Elsevier, vol. 5(1), pages 1-30, January.
    1120. James Morley, 2016. "Macro-Finance Linkages," Journal of Economic Surveys, Wiley Blackwell, vol. 30(4), pages 698-711, September.
    1121. Zhi Da & Sophie Shive, 2018. "Exchange traded funds and asset return correlations," European Financial Management, European Financial Management Association, vol. 24(1), pages 136-168, January.
    1122. Cheng, Zishu & Li, Mingchen & Cui, Ruhong & Wei, Yunjie & Wang, Shouyang & Hong, Yongmiao, 2024. "The impact of COVID-19 on global financial markets: A multiscale volatility spillover analysis," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    1123. Trabelsi, Mohamed Ali & Hmida, Salma, 2017. "A Dynamic Correlation Analysis of Financial Contagion: Evidence from the Eurozone Stock Markets," MPRA Paper 83718, University Library of Munich, Germany, revised 2017.
    1124. Raja Kali & Javier Reyes, 2010. "Financial Contagion On The International Trade Network," Economic Inquiry, Western Economic Association International, vol. 48(4), pages 1072-1101, October.
    1125. Lux, Thomas, 2018. "Inference for nonlinear state space models: A comparison of different methods applied to Markov-switching multifractal models," Economics Working Papers 2018-07, Christian-Albrechts-University of Kiel, Department of Economics.
    1126. Ma, Pengcheng & Li, Daye & Li, Shuo, 2016. "Efficiency and cross-correlation in equity market during global financial crisis: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 163-176.
    1127. contact_cb@yahoo.com. & Simona STAMULE & Iulian Cornel LOLEA, 2021. "The Spillover Effect on the CEE Equity Markets and the Financial Contagion in the Context of Financial Integration," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 155-170, December.
    1128. Simona Moagăr-Poladian & Dorina Clichici & Cristian-Valeriu Stanciu, 2019. "The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe," Sustainability, MDPI, vol. 11(14), pages 1-22, July.
    1129. Hee Soo Lee & Tae Yoon Kim, 2018. "Hedge Fund Styles and their Contagion from the Equity Market," International Review of Finance, International Review of Finance Ltd., vol. 18(1), pages 91-112, March.
    1130. Joscha Beckmann & Theo Berger & Robert Czudaj, 2016. "Oil price and FX-rates dependency," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 477-488, March.
    1131. Tonzer, Lena, 2015. "Cross-border interbank networks, banking risk and contagion," Journal of Financial Stability, Elsevier, vol. 18(C), pages 19-32.
    1132. Kei Ikeda, 2017. "Impact of Japanese Banks' Strategic Stockholdings on their Cost of Capital," Bank of Japan Working Paper Series 17-E-4, Bank of Japan.
    1133. Masih, Mansur & Majid, Hamdan Abdul, 2013. "The Volatility and Correlations of Stock Returns of Some Crisis-Hit Countries: US, Greece, Thailand and Malaysia: Evidence from MGARCH-DCC applications," MPRA Paper 58946, University Library of Munich, Germany.
    1134. Niţoi, Mihai & Pochea, Maria Miruna, 2019. "What drives European Union stock market co-movements?," Journal of International Money and Finance, Elsevier, vol. 97(C), pages 57-69.
    1135. Ballester, Laura & Casu, Barbara & González-Urteaga, Ana, 2016. "Bank fragility and contagion: Evidence from the bank CDS market," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 394-416.
    1136. Máté Csiki & Gábor Dávid Kiss, 2018. "Capital Market Contagion in the Stock Markets of Visegrád Countries Based on the Heckman Selection Model," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 17(4), pages 23-52.
    1137. Chevapatrakul, Thanaset & Tee, Kai-Hong, 2014. "The effects of news events on market contagion: Evidence from the 2007–2009 financial crisis," Research in International Business and Finance, Elsevier, vol. 32(C), pages 83-105.
    1138. Muhammad Owais Qarni & Gulzar Saqib, 2018. "Return and Volatility Spillover across stock markets of China and its Major Trading Partners: Evidence from Shanghai Stock Exchange Crash," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 10(3), pages 1-20, September.
    1139. Aguilar, Mike & Hill, Jonathan B., 2015. "Robust score and portmanteau tests of volatility spillover," Journal of Econometrics, Elsevier, vol. 184(1), pages 37-61.
    1140. Fan, Ying & Yang, Zan & Yavas, Abdullah, 2019. "Understanding real estate price dynamics: The case of housing prices in five major cities of China✰," Journal of Housing Economics, Elsevier, vol. 43(C), pages 37-55.
    1141. Terhi Jokipii & Brian Lucey, 2005. "CEE Banking Sector Co-Movement: Contagion or Interdependence?," The Institute for International Integration Studies Discussion Paper Series iiisdp077, IIIS.
    1142. François, LONGIN & Bruno, SOLNIK, 1998. "Correlation Structure of International Equity Markets During Extremely Volatile Periods," HEC Research Papers Series 646, HEC Paris.
    1143. Eric Girardin & Dijun Tan & Woon K. Wong, 2010. "Information Content of Order Flow and Cross-market Portfolio Rebalancing: Evidence for the Chinese Stock, Treasury and Corporate Bond Markets," Working Papers 022010, Hong Kong Institute for Monetary Research.
    1144. Moore, Tomoe & Wang, Ping, 2014. "Dynamic linkage between real exchange rates and stock prices: Evidence from developed and emerging Asian markets," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 1-11.
    1145. Eddie C.M. Hui & Ka Kwan Kevin Chan, 2013. "The European sovereign debt crisis: contagion across European real estate markets," Journal of Property Research, Taylor & Francis Journals, vol. 30(2), pages 87-102, June.
    1146. Sewraj, Deeya & Gebka, Bartosz & Anderson, Robert D.J., 2018. "Identifying contagion: A unifying approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 224-240.
    1147. Yoon, Gawon, 2005. "Has the U.S. economy really become less correlated with that of the rest of the world?," Economic Modelling, Elsevier, vol. 22(1), pages 147-158, January.
    1148. Diego A. Agudelo & Daimer J. Múnera, 2016. "Are foreigners the vectors of Contagion? A study of six emerging markets," Documentos de Trabajo de Valor Público 16989, Universidad EAFIT.
    1149. Mensah, Jones Odei & Premaratne, Gamini, 2014. "Dependence patterns among Banking Sectors in Asia: A Copula Approach," MPRA Paper 60119, University Library of Munich, Germany.
    1150. Grigoryev, Ruslan & Jaffry, Shabbar & Marchenko, German, 2012. "Investigation of the consequences of ignoring daily data non-synchronism in cross-market linkages: BRIC and developed countries," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 26(2), pages 92-112.
    1151. Murat Taşdemir & Abdullah Yalama, 2014. "Volatility Spillover Effects in Interregional Equity Markets: Empirical Evidence from Brazil and Turkey," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(2), pages 190-202, March.
    1152. Manuel J. Rocha Armada & Joao Leitao & Júlio Lobao, 2011. "The Contagion Effects of Financial Crisis on Stock Markets: What Can We Learn From a Cointegrated Vector Autoregressive Approach for Developed Countries?," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 6(1), pages 29-53, Julio-Dic.
    1153. Giampiero M. Gallo & Edoardo Otranto, 2005. "Volatility Transmission in Financial Markets: A New Approach," Econometrics Working Papers Archive wp2005_10, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    1154. Heejoon Han, 2016. "Quantile Dependence between Stock Markets and its Application in Volatility Forecasting," Papers 1608.07193, arXiv.org.
    1155. Deven Bathia & Don Bredin & Dirk Nitzsche, 2016. "International Sentiment Spillovers in Equity Returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(4), pages 332-359, October.
    1156. Flavin, Thomas J. & Sygelaki, Eirini, 2009. "Financial vs. Non-financial Stocks: Time-varying Correlations and Risks," The Journal of Economic Asymmetries, Elsevier, vol. 6(3), pages 71-92.
    1157. Samarakoon, Lalith P., 2017. "Contagion of the eurozone debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 49(C), pages 115-128.
    1158. Lucia Bellenzier & Jørgen Vitting Andersen & Giulia Rotundo, 2016. "Contagion in the World's Stock Exchanges Seen as a Set of Coupled Oscillators," Post-Print hal-01215620, HAL.
    1159. Shikimi, Masayo & Yamada, Kazuo, 2019. "Trade and financial channels as the transmission mechanism of the financial crisis," International Review of Economics & Finance, Elsevier, vol. 63(C), pages 364-381.
    1160. Abbas, Qaisar & Khan, Sabeen & Shah, Syed Zulfiqar Ali, 2013. "Volatility transmission in regional Asian stock markets," Emerging Markets Review, Elsevier, vol. 16(C), pages 66-77.
    1161. António Rua & Junho Lee & Miguel de Carvalho & Julio Avila, 2024. "Bayesian smoothing for time-varying extremal dependence," Working Papers w202406, Banco de Portugal, Economics and Research Department.
    1162. Welburn, Jonathan & Hausken, Kjell, 2014. "A Game Theoretic Model of Economic Crises," UiS Working Papers in Economics and Finance 2014/23, University of Stavanger.
    1163. Wälti, Sébastien, 2009. "The myth of decoupling," MPRA Paper 20870, University Library of Munich, Germany.
    1164. Kohonen, Anssi, 2013. "On detection of volatility spillovers in overlapping stock markets," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 140-158.
    1165. Albulescu, Claudiu Tiberiu & Aubin, Christian & Goyeau, Daniel & Tiwari, Aviral Kumar, 2018. "Extreme co-movements and dependencies among major international exchange rates: A copula approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 56-69.
    1166. John Simpson, 2010. "Were there warning signals from banking sectors for the 2008/2009 global financial crisis?," Applied Financial Economics, Taylor & Francis Journals, vol. 20(1-2), pages 45-61.
    1167. Hafner, C.M. & van Dijk, D.J.C. & Franses, Ph.H.B.F., 2005. "Semi-Parametric Modelling of Correlation Dynamics," Econometric Institute Research Papers EI 2005-26, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    1168. Renée Fry-McKibbin & Cody Hsiao & Chrismin Tang, 2014. "Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes," Open Economies Review, Springer, vol. 25(3), pages 521-570, July.
    1169. Martins, Luis F. & Gabriel, Vasco J., 2014. "Modelling long run comovements in equity markets: A flexible approach," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 288-295.
    1170. Elvira Sojli, 2007. "Contagion in emerging markets: the Russian crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 17(3), pages 197-213.
    1171. Chiang, Thomas C. & Jeon, Bang Nam & Li, Huimin, 2007. "Dynamic correlation analysis of financial contagion: Evidence from Asian markets," Journal of International Money and Finance, Elsevier, vol. 26(7), pages 1206-1228, November.
    1172. Wichita State University, 2016. "Contagion, Interdependence and Diversification across Regional UK Housing Markets," International Real Estate Review, Global Social Science Institute, vol. 19(3), pages 327-351.
    1173. Sophie Brana & Delphine Lahet, 2011. "Foreign Banks and the Stability of Foreign and Domestic Credit in CEECs," Larefi Working Papers 201107, Larefi, Université Bordeaux 4.
    1174. Moussa MAAMRI & Hocine IFOURAH, 2016. "La croissance économique entre ouverture, qualité institutionnelle et dépendance énergétique : quelle évidence pour l’économie algérienne ?," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 7(1), June.
    1175. Prachi Mishra & Raghuram G. Rajan, 2016. "Rules of the Monetary Game," Working Papers id:10533, eSocialSciences.
    1176. Britta Niehof, 2014. "Spillover Effects in Government Bond Spreads: Evidence from a GVAR Model," MAGKS Papers on Economics 201458, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    1177. Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi, 2012. "Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 222-223, February.
    1178. Chan Joshua C.C. & Fry-McKibbin Renée A. & Hsiao Cody Yu-Ling, 2019. "A regime switching skew-normal model of contagion," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(1), pages 1-24, February.
    1179. Jung, R.C. & Maderitsch, R., 2014. "Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 331-342.
    1180. Lieven Baele & Pilar Soriano, 2010. "The determinants of increasing equity market comovement: economic or financial integration?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 146(3), pages 573-589, September.
    1181. Jedrzej Białkowski & Dobromił Serwa, 2005. "Financial contagion, spillovers and causality in the Markov switching framework," Quantitative Finance, Taylor & Francis Journals, vol. 5(1), pages 123-131.
    1182. Elie Bouri & Rangan Gupta & Shixuan Wang, 2019. "Contagion between Stock and Real Estate Markets: International Evidence from a Local Gaussian Correlation Approach," Working Papers 201917, University of Pretoria, Department of Economics.
    1183. Arouri, Mohamed El Hedi & Lahiani, Amine & Nguyen, Duc Khuong, 2011. "Return and volatility transmission between world oil prices and stock markets of the GCC countries," Economic Modelling, Elsevier, vol. 28(4), pages 1815-1825, July.
    1184. Ling, Chengxiu, 2019. "Asymptotics of multivariate conditional risk measures for Gaussian risks," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 205-215.
    1185. Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," Post-Print halshs-00368336, HAL.
    1186. Bowman, Robert G. & Chan, Kam Fong & Comer, Matthew R., 2010. "Diversification, rationality and the Asian economic crisis," Pacific-Basin Finance Journal, Elsevier, vol. 18(1), pages 1-23, January.
    1187. International Monetary Fund, 2018. "Euro Area Policies: Financial Sector Assessment Program-Technical Note-Systemic Risk Analysis," IMF Staff Country Reports 2018/231, International Monetary Fund.
    1188. Wang, Gang-Jin & Xie, Chi & Lin, Min & Stanley, H. Eugene, 2017. "Stock market contagion during the global financial crisis: A multiscale approach," Finance Research Letters, Elsevier, vol. 22(C), pages 163-168.
    1189. Anusha Chari & Karlye Dilts Stedman & Christian Lundblad, 2017. "Taper Tantrums: QE, its Aftermath and Emerging Market Capital Flows," NBER Working Papers 23474, National Bureau of Economic Research, Inc.
    1190. Simon Stevenson, 2016. "Macro-Economic and Financial Determinants of Comovement across Global Real Estate Security Markets," Journal of Real Estate Research, American Real Estate Society, vol. 38(4), pages 595-624.
    1191. Paulo Ferreira & Éder Pereira, 2019. "Contagion Effect in Cryptocurrency Market," JRFM, MDPI, vol. 12(3), pages 1-8, July.
    1192. Boamah, Nicholas Addai, 2017. "The dynamics of the relative global sector effects and contagion in emerging markets equity returns," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 433-453.
    1193. Boako, Gideon & Alagidede, Paul, 2018. "African stock markets in the midst of the global financial crisis: Recoupling or decoupling?," Research in International Business and Finance, Elsevier, vol. 46(C), pages 166-180.
    1194. Diseko, Nomathemba Veronica & Bonga-Bonga, Lumengo & Manguzvane, Mathias Mandla, 2015. "Dynamic portfolio rebalancing with safe-haven assets," MPRA Paper 123408, University Library of Munich, Germany.
    1195. Kang, Hyunju & Suh, Hyunduk, 2015. "Reverse spillover: Evidence during emerging market financial turmoil in 2013–2014," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 97-115.
    1196. Bensafta, Kamel Malik & Semedo, Gervasio, 2009. "De la transmission de la volatilité à la contagion entre marchés boursiers : l’éclairage d’un modèle VAR non linéaire avec bris structurels en variance," L'Actualité Economique, Société Canadienne de Science Economique, vol. 85(1), pages 13-76, mars.
    1197. Amanjot Singh & Manjit Singh, 2017. "Conditional Co-Movement And Dynamic Interactions: Us And Bric Equity Markets," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 62(212), pages 85-112, January -.
    1198. Dovern, Jonas & van Roye, Björn, 2014. "International transmission and business-cycle effects of financial stress," Journal of Financial Stability, Elsevier, vol. 13(C), pages 1-17.
    1199. Campbell, Rachel A.J. & Forbes, Catherine S. & Koedijk, Kees G. & Kofman, Paul, 2008. "Increasing correlations or just fat tails?," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 287-309, March.
    1200. Chollete, Loran & de la Pena , Victor & Lu, Ching-Chih, 2009. "International Diversification: An Extreme Value Approach," UiS Working Papers in Economics and Finance 2009/26, University of Stavanger.
    1201. Yang, Jian & Bessler, David A., 2008. "Contagion around the October 1987 stock market crash," European Journal of Operational Research, Elsevier, vol. 184(1), pages 291-310, January.
    1202. Juan Brida & Wiston Risso, 2010. "Dynamics and Structure of the 30 Largest North American Companies," Computational Economics, Springer;Society for Computational Economics, vol. 35(1), pages 85-99, January.
    1203. David Gray, 2014. "Central European foreign exchange markets: a cross-spectral analysis of the 2007 financial crisis," The European Journal of Finance, Taylor & Francis Journals, vol. 20(6), pages 550-567, June.
    1204. Plasmans, J.E.J., 2001. "Currency Crises and Economic Monetary Cooperation : An Application to South East Asia and Comparison with Mexico, Brazil and Europe," Other publications TiSEM d740e32a-4dff-44ad-ae39-0, Tilburg University, School of Economics and Management.
    1205. Fiedor, Paweł, 2014. "Sector strength and efficiency on developed and emerging financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 180-188.
    1206. Kenourgios, Dimitris & Samitas, Aristeidis & Paltalidis, Nikos, 2011. "Financial crises and stock market contagion in a multivariate time-varying asymmetric framework," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 92-106, February.
    1207. Nikolay Gospodinov, 2017. "Asset Co-movements: Features and Challenges," FRB Atlanta Working Paper 2017-11, Federal Reserve Bank of Atlanta.
    1208. Patrick Bernet & Thomas Getzen, 2008. "Can a violation of investor trust lead to financial contagion in the market for tax-exempt hospital bonds?," International Journal of Health Economics and Management, Springer, vol. 8(1), pages 27-51, March.
    1209. Shu, Chang & He, Dong & Dong, Jinyue & Wang, Honglin, 2018. "Regional pull vs global push factors: China and US influence on Asian financial markets," Journal of International Money and Finance, Elsevier, vol. 87(C), pages 112-132.
    1210. Thomas C. Chiang & Yuanqing Zhang, 2018. "An Empirical Investigation of Risk-Return Relations in Chinese Equity Markets: Evidence from Aggregate and Sectoral Data," IJFS, MDPI, vol. 6(2), pages 1-22, March.
    1211. Kolluri, Bharat & Wahab, Susan & Wahab, Mahmoud, 2015. "An examination of co-movements of India's stock and government bond markets," Journal of Asian Economics, Elsevier, vol. 41(C), pages 39-56.
    1212. Bartosz Gębka & Michail Karoglou, 2013. "Is there life in the old dogs yet? Making break-tests work on financial contagion," Review of Quantitative Finance and Accounting, Springer, vol. 40(3), pages 485-507, April.
    1213. Mokni, Khaled & Mansouri, Faysal, 2017. "Conditional dependence between international stock markets: A long memory GARCH-copula model approach," Journal of Multinational Financial Management, Elsevier, vol. 42, pages 116-131.
    1214. Xiao Jing Cai & Shuairu Tian & Shigeyuki Hamori, 2016. "Dynamic correlation and equicorrelation analysis of global financial turmoil: evidence from emerging East Asian stock markets," Applied Economics, Taylor & Francis Journals, vol. 48(40), pages 3789-3803, August.
    1215. Changqing, Luo & Chi, Xie & Cong, Yu & Yan, Xu, 2015. "Measuring financial market risk contagion using dynamic MRS-Copula models: The case of Chinese and other international stock markets," Economic Modelling, Elsevier, vol. 51(C), pages 657-671.
    1216. Wang, Kuan-Min & Nguyen Thi, Thanh-Binh, 2007. "Testing for contagion under asymmetric dynamics: Evidence from the stock markets between US and Taiwan," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 422-432.
    1217. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2006. "Phase-Locking and Switching Volatility in Hedge Funds," Working Papers 2006_54, Department of Economics, University of Venice "Ca' Foscari".
    1218. Heni Boubaker & Nadia Sghaier, 2015. "On the Dynamic Dependence between US and other Developed Stock Markets: An Extreme-value Time-varying Copula Approach," Bankers, Markets & Investors, ESKA Publishing, issue 136-137, pages 80-93, May-June.
    1219. Aloui, Chaker & Hkiri, Besma, 2014. "Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis," Economic Modelling, Elsevier, vol. 36(C), pages 421-431.
    1220. Papafilis, Michalis-Panayiotis & Psillaki, Maria & Margaritis, Dimitris, 2015. "Interdependence between Sovereign and Bank CDS Spreads in Eurozone during the European Debt Crisis - The PSI Effect," MPRA Paper 68037, University Library of Munich, Germany.
    1221. Alain Kabundi & Andrew S. Duncan, 2011. "Global Financial Crises and Time-varying Volatility Comovement in World Equity Markets," Working Papers 253, Economic Research Southern Africa.
    1222. Cevdet Aydemir, A., 2008. "Risk sharing and counter-cyclical variation in market correlations," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3084-3112, October.
    1223. Chen, Wang & Wei, Yu & Lang, Qiaoqi & Lin, Yu & Liu, Maojuan, 2014. "Financial market volatility and contagion effect: A copula–multifractal volatility approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 289-300.
    1224. Audrino, Francesco & Tetereva, Anastasija, 2019. "Sentiment spillover effects for US and European companies," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 542-567.
    1225. Jawadi, Fredj & Louhichi, Waël & Idi Cheffou, Abdoulkarim, 2015. "Testing and modeling jump contagion across international stock markets: A nonparametric intraday approach," Journal of Financial Markets, Elsevier, vol. 26(C), pages 64-84.
    1226. Wajih Khallouli, 2008. "Shift-Contagion in Middle East and North Africa Stock Markets," Working Papers 420, Economic Research Forum, revised 06 Jan 2008.
    1227. Platonov, Konstantin, 2024. "Confidence spillovers, financial contagion, and stagnation," Journal of International Money and Finance, Elsevier, vol. 148(C).
    1228. Liu, Lu, 2014. "Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 39-48.
    1229. Roberto Casarin & Domenico Sartore & Marco Tronzano, 2018. "A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 101-114, January.
    1230. Dias, Rui & da Silva, Jacinto Vidigal & Dionísio, Andreia, 2019. "Financial markets of the LAC region: Does the crisis influence the financial integration?," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 160-173.
    1231. Sanjay Sehgal & Payal Jain, 2017. "Information linkages among emerging equity markets—an empirical study," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 44(1), pages 15-38, March.
    1232. Berger, Dave & Pukthuanthong, Kuntara & Jimmy Yang, J., 2011. "International diversification with frontier markets," Journal of Financial Economics, Elsevier, vol. 101(1), pages 227-242, July.
    1233. Pami Dua & Divya Tuteja, 2016. "Linkages between Indian and US financial markets: impact of global financial crisis and Eurozone debt crisis," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 9(3), pages 217-240, September.
    1234. Joanna Olbrys & Elzbieta Majewska, 2016. "Crisis periods and contagion effects in the CEE stock markets: the influence of the 2007 US subprime crisis," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 6(2), pages 124-137.
    1235. Larry Neal & Marc Weidenmier, 2002. "Crises in the Global Economy from Tulips to Today: Contagion and Consequences," NBER Working Papers 9147, National Bureau of Economic Research, Inc.
    1236. Ms. Franziska L Ohnsorge & Marcin Wolski & Ms. Yuanyan S Zhang, 2014. "Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices," IMF Working Papers 2014/081, International Monetary Fund.
    1237. Peng, Yu-Tung & Au Yong, Hue Hwa & Treepongkaruna, Sirimon, 2014. "Contagion And Flight-To-Quality: Evidences From The Asia-Pacific Economic Cooperation (Apec) Region," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 10(1-2), January.
    1238. Anderson, Randy I. & Chen, Yi-Chi & Wang, Li-Min, 2015. "A range-based volatility approach to measuring volatility contagion in securitized real estate markets," Economic Modelling, Elsevier, vol. 45(C), pages 223-235.
    1239. Jae-Kwang Hwang, 2012. "Dynamic Correlation Analysis of Asian Stock Markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 18(2), pages 227-237, May.
    1240. Klein, Arne C. & Pliszka, Kamil, 2018. "The time-varying impact of systematic risk factors on corporate bond spreads," Discussion Papers 14/2018, Deutsche Bundesbank.
    1241. Rehman, Mobeen Ur & Apergis, Nicholas, 2019. "Determining the predictive power between cryptocurrencies and real time commodity futures: Evidence from quantile causality tests," Resources Policy, Elsevier, vol. 61(C), pages 603-616.
    1242. Inci, A. Can & Li, H.C. & McCarthy, Joseph, 2011. "Financial contagion: A local correlation analysis," Research in International Business and Finance, Elsevier, vol. 25(1), pages 11-25, January.
    1243. Amir Saadaoui & Younes Boujelbene, 2014. "Volatility Transmission between Bond and Stock Markets: Case of Emerging Financial Markets," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 6(6), pages 84-98, December.
    1244. Han, Liyan & Zhou, Yimin & Yin, Libo, 2015. "Exogenous impacts on the links between energy and agricultural commodity markets," Energy Economics, Elsevier, vol. 49(C), pages 350-358.
    1245. Heni Boubaker & Nadia Sghaier, 2014. "On the dynamic dependence between US and other developed stock markets: An extreme-value time-varying copula approach," Working Papers 2014-281, Department of Research, Ipag Business School.
    1246. Gkillas, Konstantinos & Tsagkanos, Athanasios & Vortelinos, Dimitrios I., 2019. "Integration and risk contagion in financial crises: Evidence from international stock markets," Journal of Business Research, Elsevier, vol. 104(C), pages 350-365.
    1247. Andreou, Elena & Matsi, Maria & Savvides, Andreas, 2013. "Stock and foreign exchange market linkages in emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 248-268.
    1248. Renatas Kizys & Christian Pierdzioch, 2013. "A note on decoupling, recoupling and speculative bubble: some empirical evidence for Latin America," Applied Financial Economics, Taylor & Francis Journals, vol. 23(13), pages 1057-1065, July.
    1249. Nathaniel Frank, 2009. "Linkages between asset classes during the financial crisis, accounting for market microstructure noise and non-synchronous trading," Economics Papers 2009-W04, Economics Group, Nuffield College, University of Oxford.
    1250. Gebka, Bartosz, 2006. "Leaders and Laggards: International Evidence on Spillovers in Returns, Variance, and Trading Volume," Working Paper Series 2006,1, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
    1251. Zhang, Ivy Xiying, 2007. "Economic consequences of the Sarbanes-Oxley Act of 2002," Journal of Accounting and Economics, Elsevier, vol. 44(1-2), pages 74-115, September.
    1252. Aristeidis, Samitas & Elias, Kampouris, 2018. "Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 263-286.
    1253. Erdem Kilic & Veysel Ulusoy, 2015. "Evidence for Financial Contagion in Endogenous Volatile Periods," Review of Development Economics, Wiley Blackwell, vol. 19(1), pages 62-74, February.
    1254. Kristian Gundersen & Timothée Bacri & Jan Bulla & Sondre Hølleland & Antonello Maruotti & Bård Støve, 2024. "Testing for time‐varying nonlinear dependence structures: Regime‐switching and local Gaussian correlation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 51(3), pages 1012-1060, September.
    1255. Lucia Bellenzier & Jørgen Vitting Andersen & Giulia Rotundo, 2016. "Contagion in the World's Stock Exchanges Seen as a Set of Coupled Oscillators," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01215620, HAL.
    1256. Jessica James & Kristjan Kasikov & Kerry-Ann Edwards, 2012. "The end of diversification," Quantitative Finance, Taylor & Francis Journals, vol. 12(11), pages 1629-1636, November.
    1257. Malliaris, M.E., 2012. "Comparison Of Currency Movement Before And After October 2008," The Journal of Economic Asymmetries, Elsevier, vol. 9(2), pages 45-57.
    1258. Tsai, I-Chun, 2015. "Dynamic information transfer in the United States housing and stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 215-230.
    1259. Belke, Ansgar, 2014. "Exit Strategies and Their Impact on the Euro Area - A Model Based View," Ruhr Economic Papers 467, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    1260. Fuertes, Ana-Maria & Kalotychou, Elena & Saka, Orkun, 2014. "ECB Policy and Eurozone Fragility: Was De Grauwe Right?," CEPS Papers 9414, Centre for European Policy Studies.
    1261. Sohel Azad, A.S.M. & Batten, Jonathan A. & Fang, Victor & Wickramanayake, Jayasinghe, 2015. "International swap market contagion and volatility," Economic Modelling, Elsevier, vol. 47(C), pages 355-371.
    1262. David Laibson & Andrea Repetto & Jeremy Tobacman, 2003. "Wealth Accumulation, Credit Card Borrowing, and Consuption-Income Comovement," Documentos de Trabajo 166, Centro de Economía Aplicada, Universidad de Chile.
    1263. Ozgur Ozel & Mustafa Utku Ozmen & Erdal Yilmaz, 2015. "Importance of Foreign Ownership and Staggered Adjustment of Capital Outflows," Working Papers 1531, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    1264. Olbryś Joanna & Majewska Elżbieta, 2015. "Testing Integration Effects Between the Cee and U.S. Stock Markets During the 2007–2009 Global Financial Crisis," Folia Oeconomica Stetinensia, Sciendo, vol. 15(1), pages 101-113, June.
    1265. Jian Yang & Yinggang Zhou, 2013. "Credit Risk Spillovers Among Financial Institutions Around the Global Credit Crisis: Firm-Level Evidence," Management Science, INFORMS, vol. 59(10), pages 2343-2359, October.
    1266. Guedes, E. & Dionísio, A. & Ferreira, P.J. & Zebende, G.F., 2017. "DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 38-47.
    1267. Yunus, Nafeesa, 2015. "Trends and convergence in global housing markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 100-112.
    1268. Bartram, Sohnke M. & Wang, Yaw-Huei, 2005. "Another look at the relationship between cross-market correlation and volatility," Finance Research Letters, Elsevier, vol. 2(2), pages 75-88, June.
    1269. Mr. Paul R Masson, 1999. "Multiple Equilibria, Contagion, and the Emerging Market Crises," IMF Working Papers 1999/164, International Monetary Fund.
    1270. Ludwig, Alexander, 2013. "Sovereign risk contagion in the Eurozone: A time-varying coefficient approach," Dresden Discussion Paper Series in Economics 02/13, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
    1271. Berna Aydoğan & Gökçe Tunç & Tezer Yelkenci, 2017. "The impact of oil price volatility on net-oil exporter and importer countries’ stock markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 7(2), pages 231-253, August.
    1272. Podlich, Natalia & Wedow, Michael, 2014. "Crossborder financial contagion to Germany: How important are OTC dealers?," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 1-9.
    1273. Metiu, Norbert, 2012. "Sovereign risk contagion in the Eurozone," Economics Letters, Elsevier, vol. 117(1), pages 35-38.
    1274. Weiß, Gregor N.F. & Bostandzic, Denefa & Neumann, Sascha, 2014. "What factors drive systemic risk during international financial crises?," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 78-96.
    1275. Jach, Agnieszka, 2017. "International stock market comovement in time and scale outlined with a thick pen," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 115-129.
    1276. Tao You & Paweł Fiedor & Artur Hołda, 2015. "Network Analysis of the Shanghai Stock Exchange Based on Partial Mutual Information," JRFM, MDPI, vol. 8(2), pages 1-19, June.
    1277. Chollete, Loran & Ning, Cathy, 2010. "Asymmetric Dependence in US Financial Risk Factors?," UiS Working Papers in Economics and Finance 2011/2, University of Stavanger.
    1278. Ms. Gabriela Inchauste & Mr. Bernardin Akitoby & Mr. Benedict J. Clements & Mr. Sanjeev Gupta, 2004. "The Cyclical and Long-Term Behavior of Government Expenditures in Developing Countries," IMF Working Papers 2004/202, International Monetary Fund.
    1279. George Tzagkarakis & Juliana Caicedo-Llano & Thomas Dionysopoulos, 2016. "Time-Frequency Adapted Market Integration Measure Based on Hough Transformed Multiscale Decompositions," Computational Economics, Springer;Society for Computational Economics, vol. 48(1), pages 1-27, June.
    1280. Benjamin Sahel & Jukka Vesala, 2001. "Financial stability analysis using aggregated data," BIS Papers chapters, in: Bank for International Settlements (ed.), Marrying the macro- and micro-prudential dimensions of financial stability, volume 1, pages 160-185, Bank for International Settlements.
    1281. Igor Kravchuk, 2017. "Interconnectedness and Contagion Effects in International Financial Instruments Markets," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 13(3), pages 161-174.
    1282. Fabrizio Durante & Enrico Foscolo & Alex Weissensteiner, 2017. "Dependence between Stock Returns of Italian Banks and the Sovereign Risk," Econometrics, MDPI, vol. 5(2), pages 1-14, June.
    1283. Corbet, Shaen & Larkin, Charles & McMullan, Caroline, 2018. "Chemical industry disasters and the sectoral transmission of financial market contagion," Research in International Business and Finance, Elsevier, vol. 46(C), pages 490-501.
    1284. Kilic, Erdem, 2017. "Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets," Economic Modelling, Elsevier, vol. 62(C), pages 51-67.
    1285. Lee, Hsien-Yi & Wu, Hsing-Chi & Wang, Yung-Jang, 2007. "Contagion effect in financial markets after the South-East Asia Tsunami," Research in International Business and Finance, Elsevier, vol. 21(2), pages 281-296, June.
    1286. Nektarios Aslanidis & Christos S. Savva, 2011. "Are There Still Portfolio Diversification Benefits In Eastern Europe? Aggregate Versus Sectoral Stock Market Data," Manchester School, University of Manchester, vol. 79(6), pages 1323-1352, December.
    1287. Ryan Lemand, 2003. "Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach," Econometrics 0307004, University Library of Munich, Germany, revised 07 Dec 2020.
    1288. Vasile George MARICA & Lucian Claudiu ANGHEL, 2015. "Sovereign Default Analysis through Extreme Events Identification," Management Dynamics in the Knowledge Economy, College of Management, National University of Political Studies and Public Administration, vol. 3(2), pages 339-353, June.
    1289. Chuluun, Tuugi, 2017. "Global portfolio investment network and stock market comovement," Global Finance Journal, Elsevier, vol. 33(C), pages 51-68.
    1290. Kotkatvuori-Örnberg, Juha & Nikkinen, Jussi & Äijö, Janne, 2013. "Stock market correlations during the financial crisis of 2008–2009: Evidence from 50 equity markets," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 70-78.
    1291. Guidolin, Massimo & Pedio, Manuela, 2017. "Identifying and measuring the contagion channels at work in the European financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 117-134.
    1292. Olan T. Henry & Nilss Olekalns & Kalvinder Shields, 2004. "Time Variation And Asymmetry In The World Price Of Covariance Risk: The Implications For International Diversification," Department of Economics - Working Papers Series 907, The University of Melbourne.
    1293. Andrade, Sandro C., 2009. "A model of asset pricing under country risk," Journal of International Money and Finance, Elsevier, vol. 28(4), pages 671-695, June.
    1294. Sergio Andenmatten & Felix Brill, 2011. "Measuring Co-Movements of CDS Premia during the Greek Debt Crisis," Diskussionsschriften dp1104, Universitaet Bern, Departement Volkswirtschaft.
    1295. Avdiu, Besart & Gruhle, Tobias, 2018. "Contagion and information frictions in emerging markets: the role of joint signals," MPRA Paper 84872, University Library of Munich, Germany.
    1296. Mardi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin, 2005. "Shocks And Systemic Influences: Contagion In Global Equity Markets In 1998," CAMA Working Papers 2005-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    1297. Forbes, Kristin J., 2004. "The Asian flu and Russian virus: the international transmission of crises in firm-level data," Journal of International Economics, Elsevier, vol. 63(1), pages 59-92, May.
    1298. Ankudinov, Andrei & Ibragimov, Rustam & Lebedev, Oleg, 2017. "Heavy tails and asymmetry of returns in the Russian stock market," Emerging Markets Review, Elsevier, vol. 32(C), pages 200-219.
    1299. Jiang, Junhua, 2017. "Discount rate or cash flow contagion? Evidence from the recent financial crises," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 315-326.
    1300. Amar Soebhag, 2018. "Investor Sentiment: Too Contagious to Ignore?," Applied Finance and Accounting, Redfame publishing, vol. 4(1), pages 54-72, February.
    1301. Leschinski, Christian & Bertram, Philip, 2017. "Time varying contagion in EMU government bond spreads," Journal of Financial Stability, Elsevier, vol. 29(C), pages 72-91.
    1302. George Hondroyiannis & Harry Kelejian & George Tavlas, 2009. "Spatial Aspects of Contagion among Emerging Economies," Spatial Economic Analysis, Taylor & Francis Journals, vol. 4(2), pages 191-211.
    1303. Omar Esqueda & Dave Jackson, 2012. "Currency depreciation effects on ADR returns: evidence from Latin America," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(3), pages 691-711, July.
    1304. Gündüz, Yalin & Kaya, Orcun, 2014. "Impacts of the financial crisis on eurozone sovereign CDS spreads," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 425-442.
    1305. Zhang, Yiting & Lee, Gladys Hui Ting & Wong, Jian Cheng & Kok, Jun Liang & Prusty, Manamohan & Cheong, Siew Ann, 2011. "Will the US economy recover in 2010? A minimal spanning tree study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2020-2050.
    1306. Celık, Sibel, 2012. "The more contagion effect on emerging markets: The evidence of DCC-GARCH model," Economic Modelling, Elsevier, vol. 29(5), pages 1946-1959.
    1307. Woon Sau Leung & Nicholas Taylor, 2013. "Testing for contagion: the impact of US structured markets on international financial markets," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 11, pages 256-284, Edward Elgar Publishing.
    1308. Kamel Malik Bensafta & Gervasio Semedo, 2014. "Market Volatility Transmission and Central Banking: What Happened during the Subprime Crisis?," International Economic Journal, Taylor & Francis Journals, vol. 28(4), pages 559-588, December.
    1309. Pierdzioch, Christian & Schertler, Andrea, 2005. "Investing in European Stock Markets for High-Technology Firms," Kiel Working Papers 1265, Kiel Institute for the World Economy (IfW Kiel).
    1310. Kliber, Agata & Łęt, Blanka, 2022. "Degree of connectedness and the transfer of news across the oil market and the European stocks," Energy, Elsevier, vol. 239(PC).
    1311. Andreia Teixeira Marques Dionísio, 2013. "Effect of the container terminal characteristics on performance," CEFAGE-UE Working Papers 2013_13, University of Evora, CEFAGE-UE (Portugal).
    1312. Paul Castillo & Carlos Montoro & Vicente Tuesta, 2006. "Stylized Facts of the Peruvian Economy," Working Papers 2006-005, Banco Central de Reserva del Perú.
    1313. Newaz, Mohammad Khaleq & Park, Jin Suk, 2019. "The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 79-94.
    1314. Sanae Ohno, 2013. "European Sovereign Risk: The Knock-on Effects of Default Risk across the Public and Financial Sectors," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 9(1), pages 139-170, January.
    1315. Kumar, Dilip, 2017. "Realized volatility transmission from crude oil to equity sectors: A study with economic significance analysis," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 149-167.
    1316. Moloney, Kitty & Killeen, Neill & Gilvarry, Oliver, 2014. "A Fragmentation Indicator for Euro Area Sovereign Bond Markets," Economic Letters 11/EL/14, Central Bank of Ireland.
    1317. Daniela Castro Camilo & Miguel de Carvalho & Jennifer Wadsworth, 2017. "Time-Varying Extreme Value Dependence with Application to Leading European Stock Markets," Papers 1709.01198, arXiv.org.
    1318. Gang-Jin Wang & Chi Xie & H. Eugene Stanley, 2018. "Correlation Structure and Evolution of World Stock Markets: Evidence from Pearson and Partial Correlation-Based Networks," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 607-635, March.
    1319. Soobin Kim & Chang Sik Kim, 2010. "Do S&P 500 and KOSPI Move Together?: A Functional Regression Approach," Korean Economic Review, Korean Economic Association, vol. 26, pages 401-430.
    1320. Kim Hiang Liow & Xiaoxia Zhou & Qing Ye, 2015. "Correlation Dynamics and Determinants in International Securitized Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(3), pages 537-585, September.
    1321. Jian Zhou, 2012. "Multiscale Analysis of International Linkages of REIT Returns and Volatilities," The Journal of Real Estate Finance and Economics, Springer, vol. 45(4), pages 1062-1087, November.
    1322. Chia-Hao Lee & Pei-I Chou, 2012. "Trading Activity and Financial Market Integration," The Financial Review, Eastern Finance Association, vol. 47(3), pages 589-616, August.
    1323. Karim Belcaid & Sara El Aoufi & Mamdouh Abdulaziz Saleh Al-Faryan, 2024. "Dynamics of Contagion Risk Among World Markets in Times of Crises: A Financial Network Perspective," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(4), pages 1007-1033, December.
    1324. Blatt, Dominik & Candelon, Bertrand & Manner, Hans, 2015. "Detecting contagion in a multivariate time series system: An application to sovereign bond markets in Europe," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 1-13.
    1325. Yu, Honghai & Fang, Libing & Sun, Boyang & Du, Donglei, 2018. "Risk contribution of the Chinese stock market to developed markets in the post-crisis period," Emerging Markets Review, Elsevier, vol. 34(C), pages 87-97.
    1326. Baur, Dirk, 2003. "Testing for contagion--mean and volatility contagion," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 405-422, December.
    1327. Zhu, Huiming & Guo, Yawei & You, Wanhai & Xu, Yaqin, 2016. "The heterogeneity dependence between crude oil price changes and industry stock market returns in China: Evidence from a quantile regression approach," Energy Economics, Elsevier, vol. 55(C), pages 30-41.
    1328. Mongi Gharsellaoui, 2013. "Subprime Crisis and Financial Contagion: Evidence from Tunisia," International Journal of Economics and Financial Issues, Econjournals, vol. 3(1), pages 153-162.
    1329. Alessandro Schiavone, 2018. "Estimating the contagion effect through the portfolio channel using a network approach," Questioni di Economia e Finanza (Occasional Papers) 429, Bank of Italy, Economic Research and International Relations Area.
    1330. Roberto Casarin & Flaminio Squazzoni, 2012. "Financial press and stock markets in times of crisis," Working Papers 2012_04, Department of Economics, University of Venice "Ca' Foscari".
    1331. Thi Bich Ngoc TRAN, 2018. "Contagion Risks in Emerging Stock Markets: New Evidence from Asia and Latin America," JRFM, MDPI, vol. 11(4), pages 1-20, December.
    1332. Kim Hiang Liow & Xiaoxia Zhou & Qiang Li & Yuting Huang, 2019. "Co-movement between the US and the securitised real estate markets of the Asian-Pacific economies," Journal of Property Research, Taylor & Francis Journals, vol. 36(1), pages 27-58, January.
    1333. Jon Wongswan, 2003. "Contagion: an empirical test," International Finance Discussion Papers 775, Board of Governors of the Federal Reserve System (U.S.).
    1334. Mateus, Cesario & Chinthalapati, Raju & Mateus, Irina B., 2017. "Intraday industry-specific spillover effect in European equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 278-298.
    1335. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
    1336. Wang, Yudong & Guo, Zhuangyue, 2018. "The dynamic spillover between carbon and energy markets: New evidence," Energy, Elsevier, vol. 149(C), pages 24-33.
    1337. Janiga-Ćmiel Anna, 2014. "Detecting Shocks in The Economic Development Dynamics of Selected Countries," Folia Oeconomica Stetinensia, Sciendo, vol. 13(2), pages 120-133, July.
    1338. Olmo, José, 2005. "Contagion versus flight to quality in financial markets," UC3M Working papers. Economics we051810, Universidad Carlos III de Madrid. Departamento de Economía.
    1339. Pappas, Vasileios & Ingham, Hilary & Izzeldin, Marwan & Steele, Gerry, 2016. "Will the crisis “tear us apart”? Evidence from the EU," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 346-360.
    1340. Francesco Maria Chelli & Francesca Mariani & Maria Cristina Recchioni & Andrea Rimondi, 2018. "Stock return comovements and economic wealth conditions," RIEDS - Rivista Italiana di Economia, Demografia e Statistica - The Italian Journal of Economic, Demographic and Statistical Studies, SIEDS Societa' Italiana di Economia Demografia e Statistica, vol. 72(4), pages 5-16, October-D.
    1341. MeiChi Huang, 2014. "Monetary policy implications of housing shift-contagion across regional markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(4), pages 589-608, October.
    1342. Chiang, Min-Hsien & Wang, Li-Min, 2011. "Volatility contagion: A range-based volatility approach," Journal of Econometrics, Elsevier, vol. 165(2), pages 175-189.
    1343. Smolik, Filip & Vacha, Lukas, 2015. "Time-scale analysis of sovereign bonds market co-movement in the EU," FinMaP-Working Papers 44, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    1344. Manolis Syllignakis & Georgios Kouretas, 2006. "Long And Short-Run Linkages In Cee Stock Markets: Implications For Portfolio Diversification And Stock Market Integration," William Davidson Institute Working Papers Series wp832, William Davidson Institute at the University of Michigan.
    1345. Heni Boubaker & Nadia Sghaier, 2014. "On the dynamic dependence between US and other developed stock markets: An extreme," Working Papers 2014-94, Department of Research, Ipag Business School.
    1346. Purba Mukerji, 2018. "Vulnerability to spillovers," Empirical Economics, Springer, vol. 55(1), pages 323-348, August.
    1347. Tai, Chu-Sheng, 2004. "Can bank be a source of contagion during the 1997 Asian crisis?," Journal of Banking & Finance, Elsevier, vol. 28(2), pages 399-421, February.
    1348. Mr. Se-Jik Kim, 2004. "Timing of International Bailouts," IMF Working Papers 2004/009, International Monetary Fund.
    1349. Brenner, Menachem & Pasquariello, Paolo & Subrahmanyam, Marti, 2009. "On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(6), pages 1265-1289, December.
    1350. Bu, Hui & Tang, Wenjin & Wu, Junjie, 2019. "Time-varying comovement and changes of comovement structure in the Chinese stock market: A causal network method," Economic Modelling, Elsevier, vol. 81(C), pages 181-204.
    1351. Claudeci Da Silva & Hugo Agudelo Murillo & Joaquim Miguel Couto, 2014. "Early Warning Systems: Análise De Ummodelo Probit De Contágio De Crise Dos Estados Unidos Para O Brasil(2000-2010)," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 110, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    1352. Souhir Chlibi & Fredj Jawadi & Mohamed Sellami, 2016. "Analyzing Heterogeneous Stock Price Comovements Through Hybrid Approaches," Open Economies Review, Springer, vol. 27(3), pages 541-559, July.

Articles

  1. Rigobon, Roberto, 2020. "What can online prices teach us about exchange rate pass-through?," Journal of International Money and Finance, Elsevier, vol. 106(C).

    Cited by:

    1. Fan, Rui & Talavera, Oleksandr & Tran, Vu, 2023. "Information flows and the law of one price," International Review of Financial Analysis, Elsevier, vol. 85(C).
    2. Núñez, Héctor M. & Otero, Jesús & Trujillo-Barrera, Andrés, 2023. "Wholesale price rigidities and exchange rate pass-through: Evidence from daily data of agricultural products," International Economics, Elsevier, vol. 176(C).

  2. Roberto Casarin & Matteo Iacopini & German Molina & Enrique ter Horst & Ramon Espinasa & Carlos Sucre & Roberto Rigobon, 2020. "Multilayer network analysis of oil linkages," The Econometrics Journal, Royal Economic Society, vol. 23(2), pages 269-296.

    Cited by:

    1. 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".
    2. Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2020. "Modeling Turning Points In Global Equity Market," DEM Working Papers Series 195, University of Pavia, Department of Economics and Management.
    3. 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.
    4. Ouyang, Zisheng & Zhou, Xuewei, 2023. "Interconnected networks: Measuring extreme risk connectedness between China’s financial sector and real estate sector," International Review of Financial Analysis, Elsevier, vol. 90(C).
    5. Peng Peng & Jessie P. H. Poon & Xiaowei Xie, 2024. "COVID-19 Medical Trade: Multilayer Network Analysis and Network Determinants," Networks and Spatial Economics, Springer, vol. 24(1), pages 27-48, March.
    6. 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).
    7. 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).

  3. Roberto Rigobón, 2019. "Contagion, Spillover, and Interdependence," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Spring 20), pages 69-99, April.
    See citations under working paper version above.
  4. Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2018. "Measuring sovereign contagion in Europe," Journal of Financial Stability, Elsevier, vol. 34(C), pages 150-181.
    See citations under working paper version above.
  5. Espinasa, Ramon & ter Horst, Enrique & Reyes, Sergio Guerra & Manzano, Osmel & Molina, German & Rigobon, Roberto, 2017. "A micro-based model for world oil market," Energy Economics, Elsevier, vol. 66(C), pages 431-449.

    Cited by:

    1. Henry Aray & David Vera, 2023. "A Tale of Oil Production Collapse," ThE Papers 23/10, Department of Economic Theory and Economic History of the University of Granada..
    2. Laura H Gunn & Enrique ter Horst & Talar W Markossian & German Molina, 2018. "Online interest regarding violent attacks, gun control, and gun purchase: A causal analysis," PLOS ONE, Public Library of Science, vol. 13(11), pages 1-15, November.
    3. Le, Thai-Ha & Le, Anh Tu & Le, Ha-Chi, 2021. "The historic oil price fluctuation during the Covid-19 pandemic: What are the causes?," Research in International Business and Finance, Elsevier, vol. 58(C).
    4. Theodosios Perifanis, 2019. "Detecting West Texas Intermediate (WTI) Prices’ Bubble Periods," Energies, MDPI, vol. 12(14), pages 1-16, July.
    5. Kheiravar, Khaled H, 2019. "Economic and Econometric Analyses of the World Petroleum Industry, Energy Subsidies, and Air Pollution," Institute of Transportation Studies, Working Paper Series qt3gj151w9, Institute of Transportation Studies, UC Davis.

  6. Alberto Cavallo & Roberto Rigobon, 2016. "The Billion Prices Project: Using Online Prices for Measurement and Research," Journal of Economic Perspectives, American Economic Association, vol. 30(2), pages 151-178, Spring.
    See citations under working paper version above.
  7. Fernando Borraz & Alberto Cavallo & Roberto Rigobon & Leandro Zipitria, 2016. "Distance and Political Boundaries: Estimating Border Effects under Inequality Constraints," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(1), pages 3-35, January.
    See citations under working paper version above.
  8. Alberto Cavallo & Brent Neiman & Roberto Rigobon, 2015. "The Price Impact of Joining a Currency Union: Evidence from Latvia," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 63(2), pages 281-297, September.
    See citations under working paper version above.
  9. Roberto Rigobón, 2015. "Presidential Address: Macroeconomics and Online Prices," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Spring 20), pages 199-213, February.

    Cited by:

    1. Philip ME Garboden, 2019. "Sources and Types of Big Data for Macroeconomic Forecasting," Working Papers 2019-3, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.

  10. Alberto Cavallo & Eduardo Cavallo & Roberto Rigobon, 2014. "Prices and Supply Disruptions during Natural Disasters," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 60(S2), pages 449-471, November.
    See citations under working paper version above.
  11. Alberto Cavallo & Brent Neiman & Roberto Rigobon, 2014. "Currency Unions, Product Introductions, and the Real Exchange Rate," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 129(2), pages 529-595.
    See citations under working paper version above.
  12. Tatiana Didier & Roberto Rigobon & Sergio L. Schmukler, 2013. "Unexploited Gains From International Diversification: Patterns Of Portfolio Holdings Around The World," The Review of Economics and Statistics, MIT Press, vol. 95(5), pages 1562-1583, December.
    See citations under working paper version above.
  13. Eduardo Cavallo & Andrew Powell & Roberto Rigobon, 2013. "Do Credit Rating Agencies Add Value? Evidence From The Sovereign Rating Business," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 18(3), pages 240-265, July.

    Cited by:

    1. Nicolas Jannone Bellot, MaLuisa Marti Selva, Leandro Garcia Menendez, 2017. "Herding Behaviour among Credit Rating Agencies," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 2(1), pages 56-83, March.
    2. Sami Ben Mim & Ridha Nouira & Fatma Mabrouk, 2023. "Non-Linear Determinants of Developing Countries’ Sovereign Ratings: Evidence from a Panel Threshold Regression (PTR) Model," Sustainability, MDPI, vol. 15(4), pages 1-23, February.
    3. Athari, Seyed Alireza & Kondoz, Mehmet & Kirikkaleli, Dervis, 2021. "Dependency between sovereign credit ratings and economic risk: Insight from Balkan countries," Journal of Economics and Business, Elsevier, vol. 116(C).
    4. Julian Caballero & Ugo Panizza & Andrew Powell, 2015. "The second wave of global liquidity: Why are firms acting like financial intermediaries?," IHEID Working Papers 21-2015, Economics Section, The Graduate Institute of International Studies.
    5. Michael R. King & Steven Ongena & Nikola Tarashev, 2020. "Bank Standalone Credit Ratings," International Journal of Central Banking, International Journal of Central Banking, vol. 16(4), pages 101-144, September.
    6. Boumparis, Periklis & Milas, Costas & Panagiotidis, Theodore, 2015. "Has the crisis affected the behavior of the rating agencies? Panel evidence from the Eurozone," Economics Letters, Elsevier, vol. 136(C), pages 118-124.
    7. Balios, Dimitris & Thomadakis, Stavros & Tsipouri, Lena, 2016. "Credit rating model development: An ordered analysis based on accounting data," Research in International Business and Finance, Elsevier, vol. 38(C), pages 122-136.
    8. Pineau, Edouard & Le, Phuong & Estran, Rémy, 2022. "Importance of ESG factors in sovereign credit ratings," Finance Research Letters, Elsevier, vol. 49(C).
    9. Ahmed A. Elamer & Collins G. Ntim & Hussein A. Abdou & Andrews Owusu & Mohamed Elmagrhi & Awad Elsayed Awad Ibrahim, 2021. "Are bank risk disclosures informative? Evidence from debt markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1270-1298, January.
    10. Teixeira, João C.A. & Silva, Francisco J.F. & Ferreira, Manuel B.S. & Vieira, José A.C., 2018. "Sovereign credit rating determinants under financial crises," Global Finance Journal, Elsevier, vol. 36(C), pages 1-13.
    11. Özmen, Erdal & Doğanay Yaşar, Özge, 2016. "Emerging market sovereign bond spreads, credit ratings and global financial crisis," Economic Modelling, Elsevier, vol. 59(C), pages 93-101.

  14. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, September.
    See citations under working paper version above.
  15. Pavlova, Anna & Rigobon, Roberto, 2010. "An asset-pricing view of external adjustment," Journal of International Economics, Elsevier, vol. 80(1), pages 144-156, January.
    See citations under working paper version above.
  16. Gita Gopinath & Oleg Itskhoki & Roberto Rigobon, 2010. "Currency Choice and Exchange Rate Pass-Through," American Economic Review, American Economic Association, vol. 100(1), pages 304-336, March.
    See citations under working paper version above.
  17. Victor Chernozhukov & Roberto Rigobon & Thomas M. Stoker, 2010. "Set identification and sensitivity analysis with Tobin regressors," Quantitative Economics, Econometric Society, vol. 1(2), pages 255-277, November.

    Cited by:

    1. Chalak, Karim & Kim, Daniel, 2020. "Measurement error in multiple equations: Tobin’s q and corporate investment, saving, and debt," Journal of Econometrics, Elsevier, vol. 214(2), pages 413-432.
    2. Kazi Musa & Kazi Sohag & Jamaliah Said & Farha Ghapar & Norli Ali, 2023. "Public Debt, Governance, and Growth in Developing Countries: An Application of Quantile via Moments," Mathematics, MDPI, vol. 11(3), pages 1-13, January.
    3. Karim Chalak, 2012. "Identification of Average Random Coefficients under Magnitude and Sign Restrictions on Confounding," Boston College Working Papers in Economics 816, Boston College Department of Economics.
    4. Juan Carlos Escanciano & Lin Zhu, 2013. "Set inferences and sensitivity analysis in semiparametric conditionally identified models," CeMMAP working papers 55/13, Institute for Fiscal Studies.
    5. Chalak, Karim, 2024. "Nonparametric Gini-Frisch bounds," Journal of Econometrics, Elsevier, vol. 238(1).
    6. Travis A. Smith, 2017. "Do School Food Programs Improve Child Dietary Quality?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 99(2), pages 339-356.
    7. Semenova, Vira, 2023. "Debiased machine learning of set-identified linear models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1725-1746.

  18. Edwards, Sebastian & Rigobon, Roberto, 2009. "Capital controls on inflows, exchange rate volatility and external vulnerability," Journal of International Economics, Elsevier, vol. 78(2), pages 256-267, July.

    Cited by:

    1. Vithessonthi, Chaiporn & Tongurai, Jittima, 2012. "The impact of capital account liberalization measures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 16-34.
    2. Kyuil Chung, 2013. "Capital Inflows and Exchange Rate Volatility in Korea," 2013 Meeting Papers 890, Society for Economic Dynamics.
    3. Mianshan Lai & Jia Hou, 2023. "Let us misinvoice more? The effect of de jure capital controls on trade misinvoicing," The World Economy, Wiley Blackwell, vol. 46(7), pages 2157-2186, July.
    4. Ghosh, Atish R. & Ostry, Jonathan D. & Qureshi, Mahvash S., 2018. "Taming the Tide of Capital Flows: A Policy Guide," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262037165, December.
    5. Sebastian Edwards, 2012. "The Federal Reserve, Emerging Markets, and Capital Controls: A High Frequency Empirical Investigation," NBER Working Papers 18557, National Bureau of Economic Research, Inc.
    6. Pierre-Richard Agénor & Luiz A. Pereira da Silva, 2013. "Inflation Targeting and Financial Stability: A Perspective from the Developing World," Working Papers Series 324, Central Bank of Brazil, Research Department.
    7. Ricardo Ffrench-Davis & Rodrigo Heresi, 2014. "La Economia Chilena Frente a la Crisis Financiera: Respuestas Contra-Ciclicas y Desafios Pendientes," Working Papers wp393, University of Chile, Department of Economics.
    8. Lambert, F. & Ramos-Tallada, J. & Rebillard, C., 2011. "Capital controls and spillover effects: evidence from Latin-American countries," Working papers 357, Banque de France.
    9. Gochoco-Bautista,, Maria Socorro & Jongwanich, Juthathip & Lee, Jong-Wha, 2011. "How Effective are Capital Controls in Asia?," ADB Economics Working Paper Series 224, Asian Development Bank.
    10. Mitchener, Kris James & Wandschneider, Kirsten, 2013. "Capital Controls and Recovery from the Financial Crisis of the 1930s," CAGE Online Working Paper Series 132, Competitive Advantage in the Global Economy (CAGE).
    11. Das, Mitali & Ordal, Hailey, 2022. "Macroeconomic stability or financial stability: How are capital controls used? Insights from a new database," Journal of Financial Stability, Elsevier, vol. 63(C).
    12. Matthew S. Yiu, 2011. "The Effect of Capital Flow Management Measures in Five Asian Economies on the Foreign Exchange Market," Working Papers 412011, Hong Kong Institute for Monetary Research.
    13. Marcos Chamon & Marcio Garcia, 2013. "Capital controls in Brazil: effective?," Textos para discussão 606, Department of Economics PUC-Rio (Brazil).
    14. Ding, Ding & Jinjarak, Yothin, 2012. "Development threshold, capital flows, and financial turbulence," The North American Journal of Economics and Finance, Elsevier, vol. 23(3), pages 365-385.
    15. Nie, Owen, 2022. "The information content of capital controls," Journal of International Money and Finance, Elsevier, vol. 127(C).
    16. Mr. Luca A Ricci & Mr. Thierry Tressel & Dennis B. S. Reinhardt, 2010. "International Capital Flows and Development: Financial Openness Matters," IMF Working Papers 2010/235, International Monetary Fund.
    17. Cartapanis, André & Gagnon, Marie-Hélène & Gimet, Céline, 2023. "Financially sustainable optimal currency areas," Finance Research Letters, Elsevier, vol. 58(PA).
    18. Vithessonthi, Chaiporn, 2023. "The consequences of bank loan growth: Evidence from Asia," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 252-270.
    19. Oseni Isiaq O. & Adekunle Ibrahim A. & Alabi Mumeen O., 2019. "Exchange rate volatility and industrial output growth in Nigeria," Journal of Economics and Management, Sciendo, vol. 38(4), pages 129-156, December.
    20. 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.
    21. Ouyang, Alice Y. & Guo, Shen, 2019. "Macro-prudential policies, the global financial cycle and the real exchange rate," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 147-167.
    22. Cantú, Carlos, 2019. "Effects of capital controls on foreign exchange liquidity," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 201-222.
    23. Louisa Chen & Estelle Xue Liu & Zijun Liu, 2022. "FX Resilience around the World: Fighting Volatile Cross-Border Capital Flows," Papers 2210.04648, arXiv.org.
    24. Vithessonthi, Chaiporn & Tongurai, Jittima, 2013. "Unremunerated reserve requirements, exchange rate volatility, and firm value," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 358-378.
    25. Sebastian Edwards, 2011. "Exchange-Rate Policies in Emerging Countries: Eleven Empirical Regularities From Latin America and East Asia," Open Economies Review, Springer, vol. 22(4), pages 533-563, September.
    26. Bijsterbosch, Martin & Falagiarda, Matteo & Pasricha, Gurnain & Aizenman, Joshua, 2015. "Domestic and multilateral effects of capital controls in emerging markets," Working Paper Series 1844, European Central Bank.
    27. Mukherjee, Sanchita, 2011. "Does the level of capital openness explain “fear of floating” amongst the inflation targeting countries?," MPRA Paper 30289, University Library of Munich, Germany.
    28. Zhitao Lin & Jinzhao Chen & Xingwang Qian, 2021. "Capital controls and the volatility of the renminbi covered interest deviation," Post-Print halshs-03436233, HAL.
    29. Sebastian Edwards, 2021. "Macroprudential Policies and The Covid-19 Pandemic: Risks and Challenges For Emerging Markets," NBER Working Papers 29441, National Bureau of Economic Research, Inc.
    30. Ila Patnaik & Ajay Shah, 2012. "Did the Indian Capital Controls Work as a Tool of Macroeconomic Policy?," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 60(3), pages 439-464, September.
    31. Ben Zeev, Nadav, 2017. "Capital controls as shock absorbers," Journal of International Economics, Elsevier, vol. 109(C), pages 43-67.
    32. Jean-Pierre Allegret, 2012. "Les mouvements de capitaux à destination des pays émergents après la crise financière liée aux subprimes," Post-Print hal-01410723, HAL.
    33. Nadav Ben Zeev, 2017. "Exchange Rate Regimes And Sudden Stops," Working Papers 1712, Ben-Gurion University of the Negev, Department of Economics.
    34. Sebastian Edwards, 2011. "Exchange Rates in Emerging Countries: Eleven Empirical Regularities from Latin America and East Asia," NBER Working Papers 17074, National Bureau of Economic Research, Inc.
    35. Weber, Christoph S., 2019. "The effect of central bank transparency on exchange rate volatility," Journal of International Money and Finance, Elsevier, vol. 95(C), pages 165-181.
    36. Ndubuisi, Gideon, 2020. "Fettered cross-border capital flows, external finance dependence, and international trade," International Economics, Elsevier, vol. 164(C), pages 206-216.
    37. Chen, Shikuan & Chang, Ming-Jen, 2015. "Capital control and exchange rate volatility," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 167-177.
    38. Piersanti, Giovanni, 2012. "The Macroeconomic Theory of Exchange Rate Crises," OUP Catalogue, Oxford University Press, number 9780199653126.
    39. Eichler, Stefan & Littke, Helge C. N., 2017. "Central bank transparency and the volatility of exchange rates," IWH Discussion Papers 22/2017, Halle Institute for Economic Research (IWH).
    40. Naoyuki Yoshino & Sahoko Kaji & Tamon Asonuma, 2016. "Dynamic Effects of Changes in the Exchange Rate System," Asian Development Review, MIT Press, vol. 33(1), pages 111-161, March.
    41. Montecino, Juan Antonio, 2015. "Capital controls and the real exchange rate: Do controls promote disequilibria?," UMASS Amherst Economics Working Papers 2015-02, University of Massachusetts Amherst, Department of Economics.
    42. Sebastian Edwards, 2018. "Finding equilibrium: on the relation between exchange rates and monetary policy," BIS Papers chapters, in: Bank for International Settlements (ed.), The price, real and financial effects of exchange rates, volume 96, pages 81-107, Bank for International Settlements.
    43. Edwards, Sebastian, 2010. "The international transmission of interest rate shocks: The Federal Reserve and emerging markets in Latin America and Asia," Journal of International Money and Finance, Elsevier, vol. 29(4), pages 685-703, June.
    44. Bruno Coelho & Kevin P. Gallagher, 2013. "The effectiveness of capital controls: evidence from Colombia and Thailand," International Review of Applied Economics, Taylor & Francis Journals, vol. 27(3), pages 386-403, May.
    45. Aguirre, Pablo & Alonso, José Antonio & Jerez, Miguel, 2019. "Effectiveness of capital account regulation: Lessons from Brazil and Peru," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 176-194.
    46. Hoffmann, Andreas & Loeffler, Axel, 2013. "Low interest rate policy and the use of reserve requirements in emerging markets," Working Papers 120, University of Leipzig, Faculty of Economics and Management Science.
    47. Wishnu Mahraddika, 2021. "How effective is capital flow management? The Indonesian experience," Departmental Working Papers 2021-15, The Australian National University, Arndt-Corden Department of Economics.
    48. Zero Deng, 2020. "Foreign Exchange Risk, Hedging, and Tax‐Motivated Outbound Income Shifting," Journal of Accounting Research, Wiley Blackwell, vol. 58(4), pages 953-987, September.
    49. Mitchener, Kris & Wandschneider, Kirsten, 2014. "Capital Controls and Recovery from the Financial Crisis of the 1930s," CEPR Discussion Papers 10019, C.E.P.R. Discussion Papers.
    50. Mr. Yan Carriere-Swallow & Mr. Pablo Garcia-Silva, 2013. "Capital Account Policies in Chile Macro-financial considerations along the path to liberalization," IMF Working Papers 2013/107, International Monetary Fund.
    51. Eichler, Stefan & Littke, Helge C.N., 2018. "Central bank transparency and the volatility of exchange rates," Journal of International Money and Finance, Elsevier, vol. 89(C), pages 23-49.
    52. Sebastian Edwards, 2012. "The Federal Reserve, the Emerging Markets, and Capital Controls: A High‐Frequency Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(s2), pages 151-184, December.
    53. Vithessonthi, Chaiporn & Tongurai, Jittima, 2013. "The perils of a central bank's capital control: How substantial is the effect on firm value?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 111-135.
    54. Bruno Coelho & Kevin Gallagher, 2010. "Capital Controls and 21st Century Financial Crises: Evidence from Colombia and Thailand," Working Papers wp213, Political Economy Research Institute, University of Massachusetts at Amherst.
    55. José De Gregorio, 2010. "Monetary Policy and Financial Stability: An Emerging Markets Perspective," International Finance, Wiley Blackwell, vol. 13(1), pages 141-156, March.
    56. Betts, Caroline & Devereux, Michael B, 2000. "International Monetary Policy Coordination and Competitive Depreciation: A Reevaluation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 32(4), pages 722-745, November.
    57. Richard J. Nugent, 2019. "Restrictions on Short-Term Capital Inflows and the Response of Direct Investment," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 45(3), pages 350-383, June.
    58. Arana, Rumile & Ramirez, Francisco A. & Wright, Allan, 2017. "Credit Risks and Monetary Policy within Caribbean Economies," IDB Publications (Working Papers) 8268, Inter-American Development Bank.

  19. Rigobon, Roberto & Stoker, Thomas M., 2009. "Bias From Censored Regressors," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(3), pages 340-353.

    Cited by:

    1. Bin Ni, 2015. "Productivity, Capital Intensity and ISO14001 Adoption \Theory and Evidence from Vietnam," Discussion Papers in Economics and Business 15-26, Osaka University, Graduate School of Economics.
    2. John Gilbert & Reza Oladi, 2011. "Net Campaign Contributions, Agricultural Interests, and Votes on Liberalizing Trade with China," Working Papers 2011-02, Utah State University, Department of Economics.
    3. Cao, Lihong & Du, Yan & Hansen, Jens Ørding, 2017. "Foreign institutional investors and dividend policy: Evidence from China," International Business Review, Elsevier, vol. 26(5), pages 816-827.
    4. Merkurieva, Irina, 2023. "Retirement coordination and leisure complementarity," Labour Economics, Elsevier, vol. 85(C).
    5. Lucidi, Francesco Simone & Pisa, Marta Maria & Tancioni, Massimiliano, 2024. "The effects of temperature shocks on energy prices and inflation in the Euro Area," European Economic Review, Elsevier, vol. 166(C).
    6. Young-Joon Seo & Jin Suk Park, 2018. "The role of seaports in regional employment: evidence from South Korea," Regional Studies, Taylor & Francis Journals, vol. 52(1), pages 80-92, January.
    7. Jing Qian & Sy Han Chiou & Jacqueline E. Maye & Folefac Atem & Keith A. Johnson & Rebecca A. Betensky, 2018. "Threshold regression to accommodate a censored covariate," Biometrics, The International Biometric Society, vol. 74(4), pages 1261-1270, December.
    8. Luca Agnello & Vitor Castro & João Tovar Jalles & Ricardo M. Sousa, 2017. "Income inequality, fiscal stimuli and political (in)stability," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 24(3), pages 484-511, June.
    9. Brachet, Tanguy & David, Guy, 2009. "On the Determinants of Organizational Forgetting," MPRA Paper 21464, University Library of Munich, Germany.
    10. Bernhardt, Paul W. & Wang, Huixia Judy & Zhang, Daowen, 2014. "Flexible modeling of survival data with covariates subject to detection limits via multiple imputation," Computational Statistics & Data Analysis, Elsevier, vol. 69(C), pages 81-91.
    11. Lee, JoAnn S. & Romich, Jennifer L. & Kang, Ji Young & Hook, Jennifer L. & Marcenko, Maureen O., 2017. "The impact of income on reunification among families with children in out-of-home care," Children and Youth Services Review, Elsevier, vol. 72(C), pages 91-99.
    12. Folefac D. Atem & Jing Qian & Jacqueline E. Maye & Keith A. Johnson & Rebecca A. Betensky, 2017. "Linear regression with a randomly censored covariate: application to an Alzheimer's study," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(2), pages 313-328, February.
    13. Cagatay Bircan, 2013. "Foreign direct investment and wages: does the level of ownership matter?," Working Papers 157, European Bank for Reconstruction and Development, Office of the Chief Economist.
    14. Tanguy Brachet & Guy David & Reena Duseja, 2010. "The Effect of Shift Structure on Performance: The Role of Fatigue for Paramedics," NBER Working Papers 16418, National Bureau of Economic Research, Inc.
    15. Mayo, Robert, 2017. "Decomposing Altruism - An Experiment to Measure Motivations for Giving by Demographic Group," MPRA Paper 98431, University Library of Munich, Germany.
    16. Gumpert, Anna & Hines, James R. & Schnitzer, Monika, 2011. "The use of tax havens in exemption regimes," Discussion Paper Series 1: Economic Studies 2011,30, Deutsche Bundesbank.
    17. Konstantin A. Kholodilin, 2015. "War, Housing Rents, and Free Market: A Case of Berlin's Rental Housing Market during the World War I," Discussion Papers of DIW Berlin 1477, DIW Berlin, German Institute for Economic Research.
    18. Aditya Jain & Sanjog Misra & Nils Rudi, 2020. "The Effect of Sales Assistance on Purchase Decisions: An analysis using retail video data," Quantitative Marketing and Economics (QME), Springer, vol. 18(3), pages 273-303, September.
    19. Caselli, Francesco & Tesei, Andrea, 2011. "Resource windfalls, political regimes, and political stability," LSE Research Online Documents on Economics 121753, London School of Economics and Political Science, LSE Library.
    20. Erfan Rezvani & Christian Rojas, 2022. "Firm responsiveness to consumers' reviews: The effect on online reputation," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 31(4), pages 898-922, November.
    21. Abhijeet Singh, 2014. "Emergence and evolution of learning gaps across countries: Linked panel evidence from Ethiopia, India, Peru and Vietnam," CSAE Working Paper Series 2014-28, Centre for the Study of African Economies, University of Oxford.
    22. Buncic, Daniel & Gisler, Katja I.M., 2017. "The role of jumps and leverage in forecasting volatility in international equity markets," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 1-19.
    23. Tessa Conroy & Sarah A. Low, 2022. "Entrepreneurship, Broadband, and Gender: Evidence from Establishment Births in Rural America," International Regional Science Review, , vol. 45(1), pages 3-35, January.
    24. Victor Chernozhukov & Roberto Rigobon & Thomas M. Stoker, 2010. "Set identification and sensitivity analysis with Tobin regressors," Quantitative Economics, Econometric Society, vol. 1(2), pages 255-277, November.
    25. Intan Suryani Abu Bakar & Arifur Khan & Paul Mather & George Tanewski, 2020. "Board monitoring and covenant restrictiveness in private debt contracts during the global financial crisis," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(S1), pages 661-692, April.

  20. Gita Gopinath & Roberto Rigobon, 2008. "Sticky Borders," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 123(2), pages 531-575.
    See citations under working paper version above.
  21. Anna Pavlova & Roberto Rigobon, 2008. "The Role of Portfolio Constraints in the International Propagation of Shocks," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 75(4), pages 1215-1256.
    See citations under working paper version above.
  22. Anna Pavlova & Roberto Rigobon, 2007. "Asset Prices and Exchange Rates," The Review of Financial Studies, Society for Financial Studies, vol. 20(4), pages 1139-1180.
    See citations under working paper version above.
  23. Roberto Rigobon & Thomas M. Stoker, 2007. "Estimation With Censored Regressors: Basic Issues," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(4), pages 1441-1467, November.

    Cited by:

    1. Bauer, Anja & Weber, Enzo, 2021. "Lockdown length and strength: labour-market effects in Germany during the COVID-19 pandemic," IAB-Discussion Paper 202110, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
    2. Achoja Roland Onomu, 2024. "Determinants of Indigenous Floral Foods’ Commercialization among Rural Households: The Outcome of Double and Triple Hurdles in Amathole District Rural Community," Sustainability, MDPI, vol. 16(19), pages 1-25, September.
    3. John Gilbert & Reza Oladi, 2011. "Net Campaign Contributions, Agricultural Interests, and Votes on Liberalizing Trade with China," Working Papers 2011-02, Utah State University, Department of Economics.
    4. Caselli, Francesco & Tesei, Andrea, 2011. "Resource Windfalls, Political Regimes, and Political Stability," CEPR Discussion Papers 8662, C.E.P.R. Discussion Papers.
    5. Stéphane Lhuillery, 2011. "Absorptive capacity, efficiency effect and competitors’ spillovers," Journal of Evolutionary Economics, Springer, vol. 21(4), pages 649-663, October.
    6. Björkegren, Evelina & Lindahl, Mikael & Palme, Mårten & Simeonova, Emilia, 2019. "Pre- and Post-Birth Components of Intergenerational Persistence in Health and Longevity: Lessons from a Large Sample of Adoptees," Working Papers in Economics 770, University of Gothenburg, Department of Economics.
    7. Bernhardt, Paul W. & Wang, Huixia Judy & Zhang, Daowen, 2014. "Flexible modeling of survival data with covariates subject to detection limits via multiple imputation," Computational Statistics & Data Analysis, Elsevier, vol. 69(C), pages 81-91.
    8. Murasko, Jason E., 2009. "Socioeconomic status, height, and obesity in children," Economics & Human Biology, Elsevier, vol. 7(3), pages 376-386, December.
    9. Lutz Kilian, 2009. "Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks," 2009 Meeting Papers 473, Society for Economic Dynamics.
    10. Folefac D. Atem & Jing Qian & Jacqueline E. Maye & Keith A. Johnson & Rebecca A. Betensky, 2017. "Linear regression with a randomly censored covariate: application to an Alzheimer's study," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(2), pages 313-328, February.
    11. Valizadeh, Pourya & Ng, Shu Wen, 2020. "The New school food standards and nutrition of school children: Direct and Indirect Effect Analysis," Economics & Human Biology, Elsevier, vol. 39(C).
    12. John Micklewright & Sylke V. Schnepf, 2009. "How Reliable are Income Data Collected with a Single Question?," DoQSS Working Papers 09-03, Quantitative Social Science - UCL Social Research Institute, University College London.
    13. Christophe Kolodziejczyk, 2020. "The effect of time to death on health care expenditures: taking into account the endogeneity and right censoring of time to death," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 21(6), pages 945-962, August.
    14. Stéphane Lhuillery, 2009. "In search of lost disincentive effect from intra-industry spillovers," CEMI Working Papers cemi-workingpaper-2009-00, Ecole Polytechnique Fédérale de Lausanne, Collège du Management de la Technologie, Management of Technology and Entrepreneurship Institute, Chaire en Economie et Management de l'Innovation.
    15. Sourafel Girma & Dev Vencappa, 2015. "Financing sources and firm level productivity growth: evidence from Indian manufacturing," Journal of Productivity Analysis, Springer, vol. 44(3), pages 283-292, December.
    16. Gumpert, Anna & Hines, James R. & Schnitzer, Monika, 2011. "The use of tax havens in exemption regimes," Discussion Paper Series 1: Economic Studies 2011,30, Deutsche Bundesbank.
    17. Travis A. Smith & Eliza M. Mojduszka & Shun Chen, 2021. "Did the New School Meal Standards Improve the Overall Quality of Children's Diets?," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 43(4), pages 1366-1384, December.
    18. Tsimikas, John V. & Bantis, Leonidas E. & Georgiou, Stelios D., 2012. "Inference in generalized linear regression models with a censored covariate," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1854-1868.
    19. Decker, Sandra L. & Lipton, Brandy J., 2015. "Do Medicaid benefit expansions have teeth? The effect of Medicaid adult dental coverage on the use of dental services and oral health," Journal of Health Economics, Elsevier, vol. 44(C), pages 212-225.
    20. Hanol Lee & Jong‐Wha Lee, 2021. "Patterns and determinants of intergenerational educational mobility: Evidence across countries," Pacific Economic Review, Wiley Blackwell, vol. 26(1), pages 70-90, February.
    21. Caselli, Francesco & Tesei, Andrea, 2011. "Resource windfalls, political regimes, and political stability," LSE Research Online Documents on Economics 121753, London School of Economics and Political Science, LSE Library.
    22. Erfan Rezvani & Christian Rojas, 2022. "Firm responsiveness to consumers' reviews: The effect on online reputation," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 31(4), pages 898-922, November.
    23. Huettel, Silke & Odening, Martin & Kataria, Karin & Balmann, Alfons, 2013. "Price Formation on Land Market Auctions in East Germany – An Empirical Analysis," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 62(02), pages 1-17, May.
    24. Andinet Woldemichael & Shiferaw Gurmu, 2018. "An Empirical Analysis of Health Shocks and Informal Risk Sharing Networks," African Development Review, African Development Bank, vol. 30(1), pages 100-111, March.
    25. Abhijeet Singh, 2014. "Emergence and evolution of learning gaps across countries: Linked panel evidence from Ethiopia, India, Peru and Vietnam," CSAE Working Paper Series 2014-28, Centre for the Study of African Economies, University of Oxford.
    26. Florian Schaffner, 2015. "Predicting US bank failures with internet search volume data," ECON - Working Papers 214, Department of Economics - University of Zurich.
    27. Jeon, Jin Q. & Ligon, James A., 2011. "How much is reasonable? The size of termination fees in mergers and acquisitions," Journal of Corporate Finance, Elsevier, vol. 17(4), pages 959-981, September.

  24. Hausmann, Ricardo & Panizza, Ugo & Rigobon, Roberto, 2006. "The long-run volatility puzzle of the real exchange rate," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 93-124, February.
    See citations under working paper version above.
  25. Rigobon, Roberto & Sack, Brian, 2005. "The effects of war risk on US financial markets," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1769-1789, July.
    See citations under working paper version above.
  26. Kearns, Jonathan & Rigobon, Roberto, 2005. "Identifying the efficacy of central bank interventions: evidence from Australia and Japan," Journal of International Economics, Elsevier, vol. 66(1), pages 31-48, May.

    Cited by:

    1. Eric Hillebrand & Gunther Schnabl & Yasemin Ulu, 2006. "Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility," CESifo Working Paper Series 1766, CESifo.
    2. Holub, Tomáš, 2004. "Foreign exchange interventions under inflation targeting: the Czech Experience," Research Notes 17, Deutsche Bank Research.
    3. Juan José Echavarría & Luis Fernando Melo Velandia & Santiago Téllez & Mauricio Villamizar, 2013. "The Impact of Pre-announced Day-to-day Interventions on the Colombian Exchange Rate," Borradores de Economia 10767, Banco de la Republica.
    4. Rodrigo Barbone Gonzalez & Dmitry Khametshin & José-Luis Peydró & Andrea Polo, 2018. "Hedger of last resort: Evidence from Brazilian FX interventions, local credit, and global financial cycles," Economics Working Papers 1648, Department of Economics and Business, Universitat Pompeu Fabra, revised Nov 2022.
    5. Kathryn M.E. Dominguez & Rasmus Fatum & Pavel Vacek, 2010. "Does Foreign Exchange Reserve Decumulation Lead to Currency Appreciation?," EPRU Working Paper Series 2010-06, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
    6. Jeffrey Frankel, 2019. "Systematic Managed Floating," Open Economies Review, Springer, vol. 30(2), pages 255-295, April.
    7. Christopher J. Neely, 2007. "Central bank authorities’ beliefs about foreign exchange intervention," Working Papers 2006-045, Federal Reserve Bank of St. Louis.
    8. Sergeyev, Dmitriy & Iovino, Luigi, 2018. "Central Bank Balance Sheet Policies Without Rational Expectations," CEPR Discussion Papers 13100, C.E.P.R. Discussion Papers.
    9. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
    10. Suk-Joong Kim & Jeffrey Sheen, 2018. "Interventions in the Yen-Dollar Spot Market: A Story of Price, Volatility and Volume," World Scientific Book Chapters, in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 3, pages 73-106, World Scientific Publishing Co. Pte. Ltd..
    11. Chih-nan Chen & Tsutomu Watanabe & Tomoyoshi Yabu, 2009. "A New Method for Identifying the Effects of Foreign Exchange Interventions," IMES Discussion Paper Series 09-E-06, Institute for Monetary and Economic Studies, Bank of Japan.
    12. Biswajit Banerjee & Juraj Zeman & Ľudovít Ódor & William O. Riiska, 2018. "On the Effectiveness of Central Bank Intervention in the Foreign Exchange Market: The Case of Slovakia, 1999–2007," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 60(3), pages 442-474, September.
    13. Pasquariello, Paolo, 2007. "Informative trading or just costly noise? An analysis of Central Bank interventions," Journal of Financial Markets, Elsevier, vol. 10(2), pages 107-143, May.
    14. Michel Beine & Jerome Lahaye & Sebastien Laurent & Christopher J. Neely & Franz C. Palm, 2007. "Central bank intervention and exchange rate volatility, its continuous and jump components," Working Papers 2006-031, Federal Reserve Bank of St. Louis.
    15. Fratzscher, Marcel & Mehl, Arnaud, 2009. "Do China and oil exporters influence major currency configurations?," Journal of Comparative Economics, Elsevier, vol. 37(3), pages 335-358, September.
    16. Michael Melvin & Lukas Menkhoff & Maik Schmeling, 2008. "Automating Exchange Rate Target Zones: Intervention via an Electronic Limit Order Book," CESifo Working Paper Series 2221, CESifo.
    17. Rasmus Fatum & Jesper Pedersen, 2007. "Real-Time Effects of Central Bank Interventions in the Euro Market," EPRU Working Paper Series 07-01, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
    18. Lukas Menkhoff & Malte Rieth & Tobias Stöhr, 2020. "The Dynamic Impact of FX Interventions on Financial Markets," Discussion Papers of DIW Berlin 1854, DIW Berlin, German Institute for Economic Research.
    19. Kim, Suk-Joong, 2007. "Intraday evidence of efficacy of 1991-2004 Yen intervention by the Bank of Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(4), pages 341-360, October.
    20. Schnabl, Gunther & Hillebrand, Eric, 2006. "A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility," Working Paper Series 650, European Central Bank.
    21. Rasmus Fatum & Michael M. Hutchison, 2006. "Evaluating Foreign Exchange Market Intervention: Self-Selection, Counterfactuals and Average Treatment Effects," EPRU Working Paper Series 06-04, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
    22. Garcia-Cicco Javier & Bucacos Elizabeth & Mello Miguel, 2023. "Foreign Exchange Interventions and Foreign Shocks: The case of Uruguay," Asociación Argentina de Economía Política: Working Papers 4657, Asociación Argentina de Economía Política.
    23. Ai-ru (Meg) Cheng & Kuntal Das & Takeshi Shimatani, 2013. "Central Bank Intervention and Exchange Rate Volatility: Evidence from Japan Using Realized Volatility," Working Papers in Economics 13/19, University of Canterbury, Department of Economics and Finance.
    24. 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).
    25. Ito, Takatoshi & Yabu, Tomoyoshi, 2007. "What prompts Japan to intervene in the Forex market? A new approach to a reaction function," Journal of International Money and Finance, Elsevier, vol. 26(2), pages 193-212, March.
    26. 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.
    27. Sebastián Fanelli & Ludwig Straub, 2020. "A Theory of Foreign Exchange Interventions," Working Papers wp2020_2019, CEMFI.
    28. Kao, Erin H. & Yeh, Chih-Chuan & Wang, Li-Hsun & Fung, Hung-Gay, 2018. "The relationship between CSR and performance: Evidence in China," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 155-170.
    29. Grégory Claeys & Chara Papioti & Andreas Tryphonides, 2023. "Liquidity risk, market power and the informational effects of policy," Post-Print hal-04164592, HAL.
    30. Melvin, Michael & Menkhoff, Lukas & Schmeling, Maik, 2009. "Exchange rate management in emerging markets: Intervention via an electronic limit order book," Journal of International Economics, Elsevier, vol. 79(1), pages 54-63, September.
    31. Christopher J. Neely, 2011. "A foreign exchange intervention in an era of restraint," Review, Federal Reserve Bank of St. Louis, vol. 93(Sep), pages 303-324.
    32. Smita Roy Trivedi, 2020. "The Moses effect: can central banks really guide foreign exchange markets?," Empirical Economics, Springer, vol. 58(6), pages 2837-2865, June.
    33. Richard K. Lyons & Ganesh Viswanath-Natraj, 2020. "What Keeps Stablecoins Stable?," NBER Working Papers 27136, National Bureau of Economic Research, Inc.
    34. Fayyaz Hussain & Abdul Jalil, 2006. "Effectiveness of Foreign Exchange Intervention: Evidence from Pakistan," SBP Working Paper Series 14, State Bank of Pakistan, Research Department.
    35. Naef, Alain, 2022. "Blowing against the Wind? A Narrative Approach to Central Bank Foreign Exchange Intervention," SocArXiv u59gc, Center for Open Science.
    36. Athanasiou, George & Kotsios, Stelios, 2008. "An algorithmic approach to exchange rate stabilization," Economic Modelling, Elsevier, vol. 25(6), pages 1246-1260, November.
    37. Charles Engel, 2010. "Exchange rate policies," BIS Papers chapters, in: Bank for International Settlements (ed.), The international financial crisis and policy challenges in Asia and the Pacific, volume 52, pages 229-250, Bank for International Settlements.
    38. Jeffrey Frankel, 2015. "The Plaza Accord, 30 Years Later," NBER Working Papers 21813, National Bureau of Economic Research, Inc.
    39. Simatele, Munacinga C H, 2004. "Financial sector reforms and monetary policy reforms in Zambia," MPRA Paper 21575, University Library of Munich, Germany.
    40. Martha Misas A & Juan José Echavarría S & Enrique López E, 2010. "Intervenciones cambiarias y política monetaria en Colombia. Un análisis de var estructural," Vniversitas Económica, Universidad Javeriana - Bogotá, vol. 0(0), pages 1-37, May.
    41. Ronald McDonald & Xuxin Mao, 2016. "Japan's Currency Intervention Regimes: A Microstructural Analysis with Speculation and Sentiment," Working Papers 2016_06, Business School - Economics, University of Glasgow.
    42. Beine, Michel & Bernal, Oscar, 2007. "Why do central banks intervene secretly?: Preliminary evidence from the BoJ," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 291-306, July.
    43. Shirota, Toyoichiro, 2018. "Evaluating the Unconventional Monetary Policy in Stock Markets : A Semi-parametric Approach," Discussion paper series. A 322, Graduate School of Economics and Business Administration, Hokkaido University.
    44. Michael Smith & Andrew Pitts, 2006. "Foreign Exchange Intervention by the Bank of Japan: Bayesian Analysis Using a Bivariate Stochastic Volatility Model," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 425-451.
    45. 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.
    46. João Barata Ribeiro Blanco Barroso, 2018. "Realized Volatility as an Instrument to Official Intervention," Investigación Conjunta-Joint Research, in: Alberto Ortiz-Bolaños (ed.), Monetary Policy and Financial Stability in Latin America and the Caribbean, edition 1, volume 1, chapter 8, pages 259-281, Centro de Estudios Monetarios Latinoamericanos, CEMLA.
    47. Balazs Egert & Lubos Komarek, 2005. "Foreign Exchange Interventions and Interest Rate Policy in the Czech Republic: Hand in Glove?," Working Papers 2005/07, Czech National Bank.
    48. Edwards, Sebastian & Rigobon, Roberto, 2009. "Capital controls on inflows, exchange rate volatility and external vulnerability," Journal of International Economics, Elsevier, vol. 78(2), pages 256-267, July.
    49. 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.
    50. Chen, Pei-Fen & Zeng, Jhih-Hong & Lee, Chien-Chiang, 2018. "Renminbi exchange rate assessment and competitors' exports: New perspective," China Economic Review, Elsevier, vol. 50(C), pages 187-205.
    51. 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.
    52. Edgar Ventura Neyra & Gabriel Rodríguez, 2015. "Explaining the Determinants of the Frequency of Exchange Rate Interventions in Peru Using Count Models," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, vol. 61(3), pages 261-292.
    53. Haryo Kuncoro & Caroline Geetha & Fafurida Fafurida, 2024. "Central Bank Intervention and Exchange Rate Volatility in the Inflation-Targeting Regime," Economic Research Guardian, Mutascu Publishing, vol. 14(1), pages 2-15, June.
    54. Frömmel, Michael & Midiliç, Murat, 2021. "Daily currency interventions in an emerging market: Incorporating reserve accumulation to the reaction function," Economic Modelling, Elsevier, vol. 97(C), pages 461-476.
    55. Reitz, Stefan & Ruelke, Jan C. & Taylor, Mark P., 2010. "On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates," Discussion Paper Series 1: Economic Studies 2010,08, Deutsche Bundesbank.
    56. Peter Andersen & Suk-Joong Kim, 2018. "Intraday Timing of AUD Intervention by the Reserve Bank of Australia: Evidence from Microstructural Analyses," World Scientific Book Chapters, in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 2, pages 43-71, World Scientific Publishing Co. Pte. Ltd..
    57. Juan José Echavarría & Diego Vásquez & Mauricio Villamizar, 2009. "Impacto de las Intervenciones Cambiarias sobre el Nivel y la Volatilidad de la Tasa de Cambio en Colombia," Borradores de Economia 5509, Banco de la Republica.
    58. Seok Gil Park, 2007. "Solving Endogeneity in Assessing the Efficacy of Foreign Exchange Market Interventions," CAEPR Working Papers 2007-004, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    59. Erick Lahura & Marco Vega, 2013. "Asymmetric effects of FOREX intervention using intraday data: evidence from Peru," BIS Working Papers 430, Bank for International Settlements.
    60. Zulfiqar Hyder & Muhammad Mazhar Khan, 2007. "Monetary Conditions Index for Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 3, pages 165-190.
    61. Adler, Gustavo & Lisack, Noëmie & Mano, Rui C., 2019. "Unveiling the effects of foreign exchange intervention: A panel approach," Emerging Markets Review, Elsevier, vol. 40(C), pages 1-1.
    62. Paolo Vitale, 2007. "An assessment of some open issues in the analysis of foreign exchange intervention," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 155-170.
    63. FATUM, Rasmus & YAMAMOTO, Yohei & CHEN, Binwei, 2023. "The Trend Effect of Foreign Exchange Intervention," Discussion paper series HIAS-E-132, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    64. Gabriela Mundaca, 2018. "Central bank interventions in a dollarized economy: managed floating versus inflation targeting," Empirical Economics, Springer, vol. 55(4), pages 1507-1535, December.
    65. 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.
    66. Ito, Takatoshi & Yabu, Tomoyoshi, 2020. "Japanese Foreign Exchange Interventions, 1971-2018: Estimating a Reaction Function Using the Best Proxy," Journal of the Japanese and International Economies, Elsevier, vol. 58(C).
    67. Tabak, Benjamin M. & Cajueiro, Daniel O., 2006. "Assessing inefficiency in euro bilateral exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 319-327.
    68. Adam Geršl, 2006. "Testing the Effectiveness of the Czech National Bank’s Foreign-Exchange Interventions," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(09-10), pages 398-415, September.
    69. Shawn Chen‐Yu Leu, 2009. "Managed Floating in Australia," Economic Papers, The Economic Society of Australia, vol. 28(4), pages 310-322, December.
    70. Sebastian Edwards & Roberto Rigobon, 2005. "Capital Controls, Exchange Rate Volatility and External Vulnerability," NBER Working Papers 11434, National Bureau of Economic Research, Inc.
    71. 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.
    72. Tsutomu Watanabe & Tomoyoshi Yabu, 2011. "The Great Intervention and Massive Money Injection: The Japanese Experience 2003-2004," CARF F-Series CARF-F-266, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    73. Ali, Amjad & Ehsan, Rehan & Audi, Marc & Hamadeh, Hani Fayad, 2022. "Does Globalization Promote Financial Integration in South Asian Economies? Unveiling the Role of Monetary and Fiscal Performance in Internationalization," MPRA Paper 115304, University Library of Munich, Germany.
    74. ABBUY, Kwami Edem, 2018. "An Empirical Test for the Effectiveness of Central Bank Interventions in Foreign Exchange Markets: An Application to the Canadian and Swiss Central Banks," MPRA Paper 89647, University Library of Munich, Germany.
    75. Jorge Carvalho & Gualter Couto & Pedro Pimentel, 2022. "EUR/USD Exchange Rate Characterization: Study of Events," Economies, MDPI, vol. 10(12), pages 1-14, November.
    76. Luis Felipe Céspedes & Andrés Velasco, 2012. "Macroeconomic Performance During Commodity Price Booms and Busts," NBER Working Papers 18569, National Bureau of Economic Research, Inc.
    77. Kim, Suk-Joong & Pham, Cyril Minh Dao, 2006. "Is foreign exchange intervention by central banks bad news for debt markets?: A case of Reserve Bank of Australia's interventions 1986-2003," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(5), pages 446-467, December.
    78. 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.
    79. Pontines, Victor & Siregar, Reza, 2009. "Intervention index and exchange rate regimes: the cases of selected East-Asian economies," MPRA Paper 17138, University Library of Munich, Germany.
    80. Herman Kamil, 2008. "Is Central Bank Intervention Effective Under Inflation Targeting Regimes? The Case of Colombia," IMF Working Papers 2008/088, International Monetary Fund.
    81. Alexandre Cunha, 2013. "On the relevance of floating exchange rate policies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 53(2), pages 357-382, June.
    82. Chen, Ho-Chyuan & Chang, Kuang-Liang & Yu, Shih-Ti, 2012. "Application of the Tobit model with autoregressive conditional heteroscedasticity for foreign exchange market interventions," Japan and the World Economy, Elsevier, vol. 24(4), pages 274-282.
    83. 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.
    84. Marjan Petreski, 2009. "A Critique On Inflation Targeting," Journal Articles, Center For Economic Analyses, pages 11-24, December.
    85. Nuttathum Chutasripanich & James Yetman, 2015. "Foreign exchange intervention: strategies and effectiveness," BIS Working Papers 499, Bank for International Settlements.
    86. Vitale, Paolo, 2006. "A Critical Appraisal of Recent Developments in the Analysis of Foreign Exchange Intervention," CEPR Discussion Papers 5729, C.E.P.R. Discussion Papers.
    87. Pontines, Victor, 2018. "Self-selection and treatment effects: Revisiting the effectiveness of foreign exchange intervention," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 299-316.
    88. Gabriele Galati & Patrick C. Higgins & Owen F. Humpage & William R. Melick, 2006. "Option prices, exchange market intervention, and the higher moment expectations channel: a user’s guide," Working Papers (Old Series) 0618, Federal Reserve Bank of Cleveland.
    89. Naef, Alain, 2024. "Blowing against the Wind? a narrative approach to central Bank foreign exchange intervention," Journal of International Money and Finance, Elsevier, vol. 146(C).
    90. Melesse Tashu, 2014. "Motives and Effectiveness of Forex Interventions: Evidence from Peru," IMF Working Papers 2014/217, International Monetary Fund.
    91. Mariko Hatase & Mototsugu Shintani & Tomoyoshi Yabu, 2013. "Great earthquakes, exchange rate volatility and government interventions," Vanderbilt University Department of Economics Working Papers 13-00007, Vanderbilt University Department of Economics.
    92. 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.
    93. Pippenger, John, 2007. "How should we think about markets for foreign exchange?," University of California at Santa Barbara, Economics Working Paper Series qt3w40w1b5, Department of Economics, UC Santa Barbara.

  27. Roberto Rigobon & Dani Rodrik, 2005. "Rule of law, democracy, openness, and income," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 13(3), pages 533-564, July.

    Cited by:

    1. Schönfelder, Nina & Wagner, Helmut, 2015. "The impact of European integration on institutional development," MPRA Paper 63392, University Library of Munich, Germany.
    2. Peverga, Kator., 2024. "Trade Openness and Economic Growth in Nigeria: An Autoregressive Distributed Lagged (ARDL) Model Approach," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 8(4), pages 248-261, April.
    3. Eicher, Theo S. & Schreiber, Till, 2010. "Structural policies and growth: Time series evidence from a natural experiment," Journal of Development Economics, Elsevier, vol. 91(1), pages 169-179, January.
    4. N.M. Odhiambo, 2022. "Does Foreign Direct Investment Spur Economic Growth? New Empirical Evidence from Sub-Saharan African Countries," Working Papers AESRI-2022-20, African Economic and Social Research Institute (AESRI), revised Jul 2022.
    5. Angela Münch, 2010. "Agri-Environmental Schemes and Grassland Biodiversity: Another Side of the Coin," Jena Economics Research Papers 2010-026, Friedrich-Schiller-University Jena.
    6. Beja, Edsel Jr., 2009. "Things are different when you open up: Economic openness, domestic economy, and income," MPRA Paper 16552, University Library of Munich, Germany, revised 01 Aug 2009.
    7. Andrei A. Levchenko, 2008. "International Trade and Institutional Change," Working Papers 579, Research Seminar in International Economics, University of Michigan.
    8. Lewkowicz, Jacek & Woźniak, Michał & Wrzesiński, Michał, 2022. "COVID-19 and erosion of democracy," Economic Modelling, Elsevier, vol. 106(C).
    9. Niclas Berggren & Christian Bjørnskov, 2012. "Does Religiosity Promote Property Rights and the Rule of Law?," Economics Working Papers 2012-08, Department of Economics and Business Economics, Aarhus University.
    10. Duha T. Altindag & Junyue Xu, 2009. "The Impact of Institutions and Development on Happiness," Departmental Working Papers 2009-17, Department of Economics, Louisiana State University.
    11. Ignacio Amate-Fortes & Almudena Guarnido-Rueda & Agustin Molina-Morales, 2017. "Economic and Social Determinants of Human Development: A New Perspective," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 133(2), pages 561-577, September.
    12. Frederic Docquier & Elisabetta Lodigiani & Hillel Rapoport & Maurice Schiff, 2011. "Emigration and democracy," RF Berlin - CReAM Discussion Paper Series 1102, Rockwool Foundation Berlin (RF Berlin) - Centre for Research and Analysis of Migration (CReAM).
    13. Sambit Bhattacharyya & Steve Dowrick & Jane Golley, 2009. "Institutions and Trade: Competitors or Complements in Economic Development?," The Economic Record, The Economic Society of Australia, vol. 85(270), pages 318-330, September.
    14. Raul V. Fabella, 2011. "The peso appreciation and the sustainability of Philippine growth: need we worry?," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, vol. 48(1), pages 1-12, June.
    15. Gunitsky, Seva, 2014. "From Shocks to Waves: Hegemonic Transitions and Democratization in the Twentieth Century," International Organization, Cambridge University Press, vol. 68(3), pages 561-597, July.
    16. O'Rourke, Kevin & Taylor, Alan M., 2006. "Democracy and Protectionism," CEPR Discussion Papers 5698, C.E.P.R. Discussion Papers.
    17. Wilhelm Kohler, 2012. "Feenstra, R.C.: Product variety and the gains from international trade," Journal of Economics, Springer, vol. 106(2), pages 183-193, June.
    18. Martin Roessler, 2019. "Political regimes and publicly provided goods: why democracy needs development," Public Choice, Springer, vol. 180(3), pages 301-331, September.
    19. Pavel, Md Sadik & Burhan, Seikh Ruksana & Papiya, Tanim, 2018. "Should Bangladesh exports to countries with better institutional or comparatively similar institutional form?," MPRA Paper 91976, University Library of Munich, Germany, revised 11 Nov 2018.
    20. Mr. Antonio Spilimbergo, 2007. "Democracy and Foreign Education," IMF Working Papers 2007/051, International Monetary Fund.
    21. Sebastian Garmann, 2018. "God save the queen, god save us all? Monarchies and institutional quality," Scottish Journal of Political Economy, Scottish Economic Society, vol. 65(2), pages 186-204, May.
    22. Roberto Antonietti & Jasmine Mondolo, 2022. "Inward FDI and the quality of domestic institutions: a crosscountry panel VAR analysis," Discussion Paper series in Regional Science & Economic Geography 2022-01, Gran Sasso Science Institute, Social Sciences, revised Sep 2024.
    23. Jaromir Baxa & Michal Paulus, 2020. "Exchange Rate Misalignments, Growth, and Institutions," Working Papers IES 2020/27, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2020.
    24. Pelin Berkmen & Eduardo A. Cavallo, 2007. "Exchange Rate Policy and Liability Dollarization: An Empirical Study," IMF Working Papers 2007/033, International Monetary Fund.
    25. Francisco Rodriguez, 2007. "Openness and growth: what have we learned?," Working Papers 51, United Nations, Department of Economics and Social Affairs.
    26. Tchouassi Tchouassi, 2013. "Are Trade Liberalization and Democracy Driving Development in Central Africa Region? Empirical Lessons," Journal of Social and Development Sciences, AMH International, vol. 4(3), pages 131-140.
    27. Giesenow, Federico M. & de Wit, Juliette & de Haan, Jakob, 2020. "The political and institutional determinants of fiscal adjustments and expansions: Evidence for a large set of countries," European Journal of Political Economy, Elsevier, vol. 64(C).
    28. Andrew Myburgh & Jordi Paniagua, 2016. "Does International Commercial Arbitration Promote Foreign Direct Investment?," Journal of Law and Economics, University of Chicago Press, vol. 59(3), pages 597-627.
    29. de Bromhead, Alan, 2015. "Women voters and trade protectionism in the interwar years," QUCEH Working Paper Series 15-03, Queen's University Belfast, Queen's University Centre for Economic History.
    30. Michiel Gerritse, 2015. "Does trade cause long-run development? Theory and evidence from countries behind the Suez channel," ERSA conference papers ersa15p1100, European Regional Science Association.
    31. Giacomo Magistretti & Marco Tabellini, 2018. "Economic Integration and Democracy: An Empirical Investigation," Harvard Business School Working Papers 19-003, Harvard Business School.
    32. Huang, Chiung-Ju & Ho, Yuan-Hong, 2017. "Governance and economic growth in Asia," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 260-272.
    33. Luisito Bertinelli & Arnaud Bourgain, 2016. "Tax Mobilization in Sub-Saharan Africa: The Impact of Tax and Business Law Reforms," DEM Discussion Paper Series 16-04, Department of Economics at the University of Luxembourg.
    34. Toke S. Aidt & Martin Gassebner, 2010. "Do Autocratic States Trade Less?," The World Bank Economic Review, World Bank, vol. 24(1), pages 38-76, January.
    35. Cervellati Matteo & Fortunato Piergiuseppe & Sunde Uwe, 2012. "Consensual and Conflictual Democratization," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 12(1), pages 1-51, December.
    36. Cingolani, Luciana & Crombrugghe, Denis de, 2012. "Techniques for dealing with reverse causality between institutions and economic performance," MERIT Working Papers 2012-034, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    37. José Aixalá & Gema Fabro, 2009. "Economic freedom, civil liberties, political rights and growth: a causality analysis," Spanish Economic Review, Springer;Spanish Economic Association, vol. 11(3), pages 165-178, September.
    38. Nicholas M. Odhiambo, 2022. "Does Foreign Direct Investment Spur Economic Growth? New Empirical Evidence From Sub-Saharan African Countries," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 67(233), pages 61-84, April – J.
    39. Vatcharin Sirimaneetham, 2006. "What drives liberal policies in developing countries?," Bristol Economics Discussion Papers 06/587, School of Economics, University of Bristol, UK.
    40. Duha Altindag & Naci Mocan, 2010. "Joblessness and Perceptions about the Effectiveness of Democracy," Journal of Labor Research, Springer, vol. 31(2), pages 99-123, June.
    41. Papaioannou, Elias & Siourounis, Gregorios, 2008. "Economic and social factors driving the third wave of democratization," Journal of Comparative Economics, Elsevier, vol. 36(3), pages 365-387, September.
    42. Randall Peerenboom, 2006. "Law and Development of Constitutional Democracy: Is China a Problem Case?," The ANNALS of the American Academy of Political and Social Science, , vol. 603(1), pages 192-199, January.
    43. Cervellati, Matteo & Fortunato, Piergiuseppe & Sunde, Uwe, 2005. "Hobbes to Rousseau: Inequality, Institutions, and Development," IZA Discussion Papers 1450, Institute of Labor Economics (IZA).
    44. Markus Alzer & Ramin Dadasov, 2012. "Financial Liberalization and Institutional Development," MAGKS Papers on Economics 201219, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    45. Bakkar Yassine & Ögcem Ali Recayi, 2019. "Democracy and Economic Development: Disentangling the Effect of Elections and Rule of Law," TalTech Journal of European Studies, Sciendo, vol. 9(4), pages 173-205, December.
    46. Lanzona, Leonardo, 2019. "Agrarian reform and democracy: Lessons from the Philippine experience," MPRA Paper 99166, University Library of Munich, Germany, revised 26 Aug 2019.
    47. Kim, Dong-Hyeon & Lin, Shu-Chin & Suen, Yu-Bo, 2016. "Trade, growth and growth volatility: New panel evidence," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 384-399.
    48. Randolph Luca Bruno, 2006. "Unique Equilibrium in a Model of Rule of Law," LEM Papers Series 2006/16, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    49. Rajesh Raj S.N. & Kunal Sen, 2017. "Does Institutional Quality Matter for Firm Performance? Evidence from India," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 18(2), pages 184-213, September.
    50. Krenz, Astrid, 2016. "Do political institutions influence international trade? Measurement of institutions and the Long-Run effects," University of Göttingen Working Papers in Economics 276, University of Goettingen, Department of Economics.
    51. Lavigne, Robert, 2011. "The political and institutional determinants of fiscal adjustment: Entering and exiting fiscal distress," European Journal of Political Economy, Elsevier, vol. 27(1), pages 17-35, March.
    52. Do, Quy-Toan & Levchenko, Andrei A., 2006. "Comparative advantage, demand for external finance, and financial development," Policy Research Working Paper Series 3889, The World Bank.
    53. Daniel J. Lewis, 2018. "Robust inference in models identified via heteroskedasticity," Staff Reports 876, Federal Reserve Bank of New York.
    54. Khalid, Usman, 2015. "Why Trading with Dictators May Nevertheless Help the People: On the Interplay between Trade, Political Regimes and Economic Institutions," Working Papers 2015:15, Lund University, Department of Economics, revised 23 Jul 2015.
    55. Udi Joshua & Mathew Ekundayo Rotimi & Samuel Asumadu Sarkodie, 2020. "Global FDI Inflow and Its Implication across Economic Income Groups," JRFM, MDPI, vol. 13(11), pages 1-15, November.
    56. Marcella Nicolini & Alessia Paccagnini, 2011. "Does Trade Foster Institutions?," Open Access publications 10197/7587, School of Economics, University College Dublin.
    57. Schneider, Sophie Therese, 2018. "North-South trade agreements and the quality of institutions: Panel data evidence," Hohenheim Discussion Papers in Business, Economics and Social Sciences 27-2018, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
    58. Iti Vyas, 2020. "Whether the Economic Growth of India is Trade Openness Led?," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 8(1), pages 38-53.
    59. Yuanyuan Gu & Jhorland Ayala-García, 2022. "Emigration and Tax Revenue," Documentos de Trabajo Sobre Economía Regional y Urbana 20297, Banco de la República, Economía Regional.
    60. Thomas Gall & Paolo Masella, 2012. "Markets and jungles," Journal of Economic Growth, Springer, vol. 17(2), pages 103-141, June.
    61. Mustafa, Ghulam & Rizov, Marian & Kernohan, David, 2016. "Growth, Human Development, and Trade: The Asian Experience," Lincoln Economics and Finance Agecon Working Papers 250248, University of Lincoln, Lincoln International Business School.
    62. Amir N. Licht & Chanan Goldschmidt & Shalom H. Schwartz, 2003. "Culture Rules: The Foundations of the Rule of Law and Other Norms of Governance," William Davidson Institute Working Papers Series 2003-605, William Davidson Institute at the University of Michigan.
    63. Johan Graafland, 2020. "When Does Economic Freedom Promote Well Being? On the Moderating Role of Long-Term Orientation," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 149(1), pages 127-153, May.
    64. Thierry Kangoye, 2019. "Title: Aid, Institutional Transplants and The Rule of Law," Economics Bulletin, AccessEcon, vol. 39(4), pages 2875-2889.
    65. Richard Bluhm & Adam Szirmai, 2011. "Institutions, Inequality and Growth: A review of theory and evidence on the institutional determinants of growth and inequality," Papers inwopa634, Innocenti Working Papers.
    66. Sufrauj, Shamnaaz & Schiavo, Stefano & Riccaboni, Massimo, 2014. "The Structure and Growth of World Trade, and the Role of Europe in the Global Economy," MPRA Paper 54122, University Library of Munich, Germany.
    67. Moon Jung Choi & Kee Hoon Chung, 2022. "Trade patterns and institutional change in East Asia," Economics of Transition and Institutional Change, John Wiley & Sons, vol. 30(3), pages 567-595, July.
    68. Șancariuc Delia-Raluca & Preda Dragoș Cosmin Lucian, 2024. "Does Trade Openness Influence Democracy? Evidence from Ex-communist Countries," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 18(1), pages 1996-2004.
    69. Marcella Nicolini & Alessia Paccagnini, 2011. "Does Trade Foster Institutions? An Empirical Assessment," Open Access publications 10197/7585, School of Economics, University College Dublin.
    70. Koffi Délali Kpognon & Henri Atangana Ondoa & Mamadou Bah & Peter Asare-Nuamah, 2022. "Fostering Labour Productivity Growth for Productive and Decent Job Creation in Sub-Saharan African Countries: the Role of Institutional Quality," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 13(3), pages 1962-1992, September.
    71. R. L. Bruno, 2008. "Rule of Law, Institutional Quality and Information," Working Papers 634, Dipartimento Scienze Economiche, Universita' di Bologna.
    72. Alexander Maune, 2019. "Trade in Services-Economic Growth Nexus: An Analysis of the Growth Impact of Trade in Services in SADC Countries," Journal of Economics and Behavioral Studies, AMH International, vol. 11(2), pages 58-78.
    73. Kalyvitis, Sarantis & Vlachaki, Irene, 2012. "When does more aid imply less democracy? An empirical examination," European Journal of Political Economy, Elsevier, vol. 28(1), pages 132-146.
    74. Yosra Saidi & Anis Ochi & Samir Maktouf, 2023. "FDI inflows, economic growth, and governance quality trilogy in developing countries: A panel VAR analysis," Bulletin of Economic Research, Wiley Blackwell, vol. 75(2), pages 426-449, April.
    75. Gutmann, Jerg & Voigt, Stefan, 2016. "The Rule of Law: Measurement and Deep Roots," ILE Working Paper Series 1, University of Hamburg, Institute of Law and Economics.
    76. Mr. Marc G Quintyn & Sophia Gollwitzer, 2012. "Institutional Transformations, Polity and Economic Outcomes: Testing the North-Wallis-Weingast Doorsteps Framework," IMF Working Papers 2012/087, International Monetary Fund.
    77. Ryan H. Murphy, 2021. "Plausibly exogenous causes of economic freedom," Journal of Bioeconomics, Springer, vol. 23(1), pages 85-105, April.
    78. KPOGNON, Koffi & BAH, Mamadou, 2019. "Does institutional quality contribute to increasing labour productivity in sub-Saharan Africa? An empirical analysis," MPRA Paper 98674, University Library of Munich, Germany.
    79. Saad, Ayhab F., 2021. "Institutional change in the global economy: How trade reform can be detrimental to welfare," Economic Modelling, Elsevier, vol. 95(C), pages 97-110.
    80. Nataliia Kostiuchenko, 2015. "A Challenge Of Trust: Can Distrust Kill The Euro?," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", vol. 1(1).
    81. Olsson, Ola, 2007. "On the Institutional Legacy of Mercantilist and Imperialist Colonialism," Working Papers in Economics 247, University of Gothenburg, Department of Economics.
    82. Innocent.U. Duru & Millicent Adanne Eze & Bartholomew.O.N. Okafor & Abubakar Yusuf & Lawrence.O. Ede & Abubakar Sadiq Saleh, 2021. "Military Outlay and Economic Growth: The Scenarios of Lake Chad Basin Countries of the Republic of Chad and Nigeria," Growth, Asian Online Journal Publishing Group, vol. 8(1), pages 12-26.
    83. Samuel Kwaku Agyei & Godwin Adolf Idan, 2022. "Trade Openness, Institutions, and Inclusive Growth in Sub-Saharan Africa," SAGE Open, , vol. 12(2), pages 21582440221, May.
    84. Konstantaras, Konstantinos & Philippas, Dionisis & Siriopoulos, Costas, 2018. "Trade asymmetries in the Mediterranean basin," The Journal of Economic Asymmetries, Elsevier, vol. 17(C), pages 13-20.
    85. Adams, Samuel & Atsu, Francis, 2015. "Assessing the distributional effects of regulation in developing countries," Journal of Policy Modeling, Elsevier, vol. 37(5), pages 713-725.
    86. Maxim Bratersky & Gunes Gokmen & Andrej Krickovic, 2016. "It’S Not the Economy Stupid! Is Russia-Us Trade Really Underdeveloped? A Test Using Gravity Models," HSE Working papers WP BRP 26/IR/2016, National Research University Higher School of Economics.
    87. Sunde, Uwe & Fortunato, Piergiuseppe & Cervellati, Matteo, 2011. "Democratization and Civil Liberties: The Role of Violence During the Transition," CEPR Discussion Papers 8315, C.E.P.R. Discussion Papers.
    88. Yaroslava Babych, 2017. "Do Political Regime Changes Help Predict Growth Takeoffs?," Working Papers 008-17, International School of Economics at TSU, Tbilisi, Republic of Georgia.
    89. Yaya Keho, 2017. "The impact of trade openness on economic growth: The case of Cote d’Ivoire," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1332820-133, January.
    90. Fahad Hassan Khan, 2014. "From revenues to democracy?," Departmental Working Papers 2014-25, The Australian National University, Arndt-Corden Department of Economics.
    91. Congdon Fors, Heather, 2014. "Do island states have better institutions?," Journal of Comparative Economics, Elsevier, vol. 42(1), pages 34-60.
    92. DE LA CROIX, David & DELAVALLADE, Clara, 2008. "Democracy, rule of law, corruption incentives and growth," LIDAM Discussion Papers CORE 2008035, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    93. Do, Quy-Toan & Levchenko, Andrei A., 2009. "Trade, inequality, and the political economy of institutions," Journal of Economic Theory, Elsevier, vol. 144(4), pages 1489-1520, July.
    94. Chaudhry, Ahmed & Mazhar, Ummad, 2019. "Political competition and economic policy: Empirical evidence from Pakistan," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-27.
    95. McCleery, Robert K. & De Paolis, Fernando, 2008. "The Washington Consensus: A post-mortem," Journal of Asian Economics, Elsevier, vol. 19(5-6), pages 438-446.
    96. Gabriel Caldas Montes & Paulo Henrique Luna, 2021. "Fiscal transparency, legal system and perception of the control on corruption: empirical evidence from panel data," Empirical Economics, Springer, vol. 60(4), pages 2005-2037, April.
    97. Alexander Maune, 2019. "Financial Inclusion and the Trade-Growth Nexus: Evidence from the Emerging Zimbabwean Economy," Journal of Economics and Behavioral Studies, AMH International, vol. 10(6), pages 43-55.
    98. Muhammad Usman Arshad & Muhammad Nadir Shabbir & Momna Niazi, 2023. "Trade Openness and Public Innovation: A Causality Analysis," SAGE Open, , vol. 13(3), pages 21582440231, September.
    99. Qian Hongdao & Ayesha Mumtaz & Hamid Mukhtar & Hafiz Abdul Rahman Saleem & Sonia Azam, 2018. "Corruption Prevention and Economic Growth: A Mediating Effect of Rule of Law," International Journal of Social Science Studies, Redfame publishing, vol. 6(2), pages 128-143, February.
    100. Vu Manh Hoai Nguyen & Tin Huu Ho & Luan Huynh Nguyen & An Thi Ha Pham, 2023. "The Impact of Trade Openness on Economic Stability in Asian Countries," Sustainability, MDPI, vol. 15(15), pages 1-20, July.
    101. Omar Al Farooque & Ali Hamid & Lan Sun, 2022. "National Governance Index, Corruption Index and Growth Rate—International Evidence from Sub-Saharan and MENA Countries," JRFM, MDPI, vol. 15(6), pages 1-19, June.
    102. Kais Mtar & Walid Belazreg, 2023. "On the nexus of innovation, trade openness, financial development and economic growth in European countries: New perspective from a GMM panel VAR approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 766-791, January.
    103. Sunde, Uwe, 2006. "Wirtschaftliche Entwicklung und Demokratie: Ist Demokratie ein Wohlstandsmotor oder ein Wohlstandsprodukt?," IZA Discussion Papers 2244, Institute of Labor Economics (IZA).
    104. Eddy Bekkers & Joseph Francois & Miriam Manchin, 2020. "Sector and importer determinants of prices for traded intermediates," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 53(2), pages 720-742, May.
    105. Roel Dom & Oliver Morrissey & Abrams M.E. Tagem, 2023. "Taxation and accountability in sub-Saharan Africa," WIDER Working Paper Series wp-2023-115, World Institute for Development Economic Research (UNU-WIDER).
    106. Asadul Islam & Faridul Islam & Chau Nguyen, 2013. "Skilled Immigration, Innovation and Wages of Native-born American," Monash Economics Working Papers 10-13, Monash University, Department of Economics.
    107. Dawson, Andrew, 2013. "The Social Determinants of the Rule of Law: A Comparison of Jamaica and Barbados," World Development, Elsevier, vol. 45(C), pages 314-324.
    108. Enowbi Batuo, Michael & Fabro, Gema, 2009. "Economic Development, Institutional Quality and Regional integration: Evidence from Africa Countries," MPRA Paper 19069, University Library of Munich, Germany.
    109. Ghulam Mustafa & Muhammad Jamil, 2018. "Testing the Governance-Productivity Nexus for Emerging Asian Countries," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 23(1), pages 143-169, Jan-June.
    110. Roberto Antonietti & Jasmine Mondolo, 2018. "Does inward FDI influence the quality of domestic institutions? A cross-country panel analysis," Papers in Evolutionary Economic Geography (PEEG) 1842, Utrecht University, Department of Human Geography and Spatial Planning, Group Economic Geography, revised Dec 2018.
    111. Duha T. Altindag & Junyue Xu, 2017. "Life Satisfaction and Preferences over Economic Growth and Institutional Quality," Journal of Labor Research, Springer, vol. 38(1), pages 100-121, March.
    112. Carlos Chavez, 2024. "Estimating the Effects of Financial Liberalisation on Governability and Social Stability," Foreign Trade Review, , vol. 59(4), pages 588-614, November.
    113. Mauro Pisu, 2008. "Export destinations and learning-by-exporting : Evidence from Belgium," Working Paper Research 140, National Bank of Belgium.
    114. Redmond, Trumel & Nasir, Muhammad Ali, 2020. "Role of natural resource abundance, international trade and financial development in the economic development of selected countries," Resources Policy, Elsevier, vol. 66(C).
    115. Luca, Alina & Petrova, Iva, 2008. "What drives credit dollarization in transition economies?," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 858-869, May.
    116. Naci Mocan & Duha T. Altindag, 2013. "Salaries and Work Effort: An Analysis of the European Union Parliamentarians," Economic Journal, Royal Economic Society, vol. 123(12), pages 1130-1167, December.
    117. Erumban, Abdul A., 2024. "Informality and aggregate labor productivity growth: Does ICT moderate the relationship?," Telecommunications Policy, Elsevier, vol. 48(1).
    118. Demir, Firat, 2016. "Effects of FDI Flows on Institutional Development: Does It Matter Where the Investors are from?," World Development, Elsevier, vol. 78(C), pages 341-359.
    119. Alexandru Minea & René Tapsoba & Patrick Villieu, 2021. "Inflation targeting adoption and institutional quality: Evidence from developing countries," Post-Print hal-03557876, HAL.
    120. Musharraf Cyan & Michael Price & Mark Rider, 2017. "Building Trust in State through Legal Literacy: An RCT in the Tribal Areas & Frontier Regions of Pakistan," International Center for Public Policy Working Paper Series, at AYSPS, GSU paper1712, International Center for Public Policy, Andrew Young School of Policy Studies, Georgia State University.
    121. Anna D’Souza & Daniel Kaufmann, 2013. "Who bribes in public contracting and why: worldwide evidence from firms," Economics of Governance, Springer, vol. 14(4), pages 333-367, November.
    122. Commander, Simon & Nikoloski, Zlatko, 2010. "Institutions and Economic Performance: What Can Be Explained?," IZA Discussion Papers 5247, Institute of Labor Economics (IZA).
    123. Pavel S. Pronin, 2020. "International Trade And Democracy: How Trade Partners Affect Regime Change And Persistence," HSE Working papers WP BRP 75/PS/2020, National Research University Higher School of Economics.
    124. Law, Siong Hook & Lim, Thong Cheen & Ismail, Normaz Wana, 2013. "Institutions and economic development: A Granger causality analysis of panel data evidence," Economic Systems, Elsevier, vol. 37(4), pages 610-624.
    125. Shu-Chin Lin & Dong-Hyeon Kim, 2014. "The link between economic growth and growth volatility," Empirical Economics, Springer, vol. 46(1), pages 43-63, February.
    126. Niknamian, Sorush, 2019. "Resource–Economic Growth Nexus, Role of Governance, Financial Development, Globalisation and War: Dynamic Approach," OSF Preprints akhsr, Center for Open Science.
    127. Natalia Melgar & Máximo Rossi, 2012. "Involvement in environmental causes, does the joint effect between subjective income and the performance of the country matter?," Revista de Economía del Rosario, Universidad del Rosario, June.
    128. Luis Quintana-Romero & Nam Kwon Mun & Roldán Andrés-Rosales & José Álvarez-García, 2020. "Trade Complementarity and the Balance of Payments Constraint Hypothesis: A New Free Trade Agreement between Mexico and South Korea," Mathematics, MDPI, vol. 8(10), pages 1-21, October.
    129. Tafirenyika Sunde & Blessing Tafirenyika & Anthony Adeyanju, 2023. "Testing the Impact of Exports, Imports, and Trade Openness on Economic Growth in Namibia: Assessment Using the ARDL Cointegration Method," Economies, MDPI, vol. 11(3), pages 1-12, March.
    130. Jha, Chandan Kumar & Panda, Bibhudutta & Sahu, Santosh Kumar, 2022. "Institutions and conflict," Economic Modelling, Elsevier, vol. 113(C).
    131. Frensch, Richard & Horvath, Roman & Huber, Stephan, 2021. "Openness effects on the rule of law: Size and patterns of trade," International Review of Law and Economics, Elsevier, vol. 68(C).
    132. Bogdan Moskalenko & Oleksii Lyulyov & Tetyana Pimonenko & Ihor Kobushko, 2022. "Institutions’ Effect on a Country’s Investment Attractiveness within Sustainable Development," Virtual Economics, The London Academy of Science and Business, vol. 5(4), pages 50-64, December.
    133. Nisticò, Roberto, 2022. "Political institutions and economic development over more than a century," Structural Change and Economic Dynamics, Elsevier, vol. 61(C), pages 199-215.
    134. Niclas Berggren & Christian Bjørnskov, 2022. "Academic freedom, institutions, and productivity," Southern Economic Journal, John Wiley & Sons, vol. 88(4), pages 1313-1342, April.
    135. Dani Rodrik, 2008. "The Real Exchange Rate and Economic Growth," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 39(2 (Fall)), pages 365-439.
    136. Sunde, Tafirenyika & Tafirenyika, Blessing & Adeyanju, Anthony, 2022. "Testing the Impact of Exports, Imports, and Trade Openness on Economic Growth in Namibia: Assessment Using the ARDL Cointegration Method," MPRA Paper 120457, University Library of Munich, Germany, revised 20 Feb 2023.
    137. Tabellini, Marco & Magistretti, Giacomo, 2020. "Economic Integration and Democracy: An Empirical Investigation," CEPR Discussion Papers 14336, C.E.P.R. Discussion Papers.
    138. Zhang Zhuo & Almalki Sultan Musaad O & Bashir Muhammad & Sher Khan, 2021. "Underlying the Relationship Between Governance and Economic Growth in Developed Countries," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 12(3), pages 1314-1330, September.
    139. Sami Ullah & Dr. Muhmmad Tahir, 2020. "Linkages between Trade Openness and Economic Growth: Evidence from SAARC Member Countries," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 10(4), pages 81-94.
    140. Udi Joshua & David Babatunde & Samuel Asumadu Sarkodie, 2021. "Sustaining Economic Growth in Sub-Saharan Africa: Do FDI Inflows and External Debt Count?," JRFM, MDPI, vol. 14(4), pages 1-13, March.
    141. Chaudhry, Ahmed & Mazhar, Ummad, 2018. "Political competition and economic performance: Empirical evidence from Pakistan," Economics Discussion Papers 2018-27, Kiel Institute for the World Economy (IfW Kiel).
    142. Möller, Marie, 2012. "An empirical study of the limits and perspectives of institutional transfers," CIW Discussion Papers 02/2012, University of Münster, Center for Interdisciplinary Economics (CIW).
    143. Wang, Kun Tracy & Shailer, Greg, 2017. "Family ownership and financial performance relations in emerging markets," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 82-98.
    144. Mashkoor, Asim & Ahmed, Ovais & Herani, Dr. Gobin, 2015. "The relationship between Foreign Currency trading and Economic Development: A case Study of Pakistan," MPRA Paper 64482, University Library of Munich, Germany.

  28. Rigobon, Roberto & Sack, Brian, 2004. "The impact of monetary policy on asset prices," Journal of Monetary Economics, Elsevier, vol. 51(8), pages 1553-1575, November.
    See citations under working paper version above.
  29. Lee, Ha Yan & Ricci, Luca Antonio & Rigobon, Roberto, 2004. "Once again, is openness good for growth?," Journal of Development Economics, Elsevier, vol. 75(2), pages 451-472, December.
    See citations under working paper version above.
  30. Rigobon, Roberto, 2003. "On the measurement of the international propagation of shocks: is the transmission stable?," Journal of International Economics, Elsevier, vol. 61(2), pages 261-283, December.

    Cited by:

    1. Tola, Albi & Wälti, Sébastien, 2012. "Deciphering financial contagion in the euro area during the crisis," MPRA Paper 49251, University Library of Munich, Germany.
    2. Michael B Devereux & James Yetman, 2009. "Leverage Constraints and the International Transmission of Shocks," RBA Research Discussion Papers rdp2009-08, Reserve Bank of Australia.
    3. Santeramo, Fabio Gaetano & Cioffi, Antonio, 2012. "Transmission Of Market Crises In The European Vegetables Sector," Politica Agricola Internazionale - International Agricultural Policy, Edizioni L'Informatore Agrario, vol. 2012(2), pages 1-10, March.
    4. Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008. "On the Stability of Domestic Financial Market Linkages in the Presence of time-varying Volatility," Working Papers 0810, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    5. Wajih Khallouli & Rene Sandretto, 2011. "Testing for “Contagion” of the Subprime Crisis on the Middle East And North African Stock Markets: A Markov Switching EGARCH Approach," Working Papers 609, Economic Research Forum, revised 08 Jan 2011.
    6. Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola, 2005. "Testing for contagion: a conditional correlation analysis," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 476-489, June.
    7. Essahbi Essaadi & Jamel Jouini & Walih Khallouli, 2007. "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Working Papers 0725, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
    8. Jokipii, Terhi & Lucey, Brian, 2006. "Contagion and interdependence: measuring CEE banking sector co-movements," Bank of Finland Research Discussion Papers 15/2006, Bank of Finland.
    9. Weber, Enzo, 2009. "Financial Contagion, Vulnerability and Information Flow: Empirical Identification," University of Regensburg Working Papers in Business, Economics and Management Information Systems 431, University of Regensburg, Department of Economics.
    10. Matesanz Gómez, David & Ortega, Guillermo J., 2005. "Economic growth and currency crisis: A real exchange rate entropic approach," MPRA Paper 211, University Library of Munich, Germany, revised 2006.
    11. Koehler-Geib, Friederike Norma, 2008. "The Effect of Uncertainty on the Occurrence and Spread of Financial Crises," Munich Dissertations in Economics 8067, University of Munich, Department of Economics.
    12. Mardi Dungey & George Milunovich & Susan Thorp, 2008. "Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH," NCER Working Paper Series 22, National Centre for Econometric Research.
    13. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2011. "The Japanese economy in crises: A time series segmentation study," Economics Discussion Papers 2011-24, Kiel Institute for the World Economy (IfW Kiel).
    14. Groba, Jonatan & Lafuente, Juan A. & Serrano, Pedro, 2013. "The impact of distressed economies on the EU sovereign market," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2520-2532.
    15. Emanuele BACCHIOCCHI, 2015. "On the Identification of Interdependence and Contagion of Financial Crises," Departmental Working Papers 2015-12, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    16. Dungey, Mardi & Fry, Renee & Gonzalez-Hermosillo, Brenda & Martin, Vance L., 2007. "Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises," The North American Journal of Economics and Finance, Elsevier, vol. 18(2), pages 155-174, August.
    17. Leila Ali & Marie Lebreton, 2007. "The ERM breakdown: a spatial econometric approach," Applied Economics Letters, Taylor & Francis Journals, vol. 14(3), pages 197-201.
    18. Gebka, Bartosz & Serwa, Dobromil, 2006. "Are financial spillovers stable across regimes?: Evidence from the 1997 Asian crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(4), pages 301-317, October.
    19. Guidi, Francesco & Ugur, Mehmet, 2012. "Are South East Europe stock markets integrated with regional and global stock markets?," MPRA Paper 44133, University Library of Munich, Germany, revised Dec 2012.
    20. Wuyi Ye & Kebing Luo & Shaofu Du, 2014. "Measuring Contagion of Subprime Crisis Based on MVMQ-CAViaR Method," Discrete Dynamics in Nature and Society, Hindawi, vol. 2014, pages 1-12, June.
    21. Ramona Dumitriu & Razvan Stefanescu, 2016. "Impact of the NYSE Shocks on the European Developed Capital Markets," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 327-334.
    22. Beirne, John & Caporale, Guglielmo Maria & Schulze-Ghattas, Marianne & Spagnolo, Nicola, 2009. "Volatility spillovers and contagion from mature to emerging stock markets," Working Paper Series 1113, European Central Bank.
    23. Ge, S., 2020. "A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model," Cambridge Working Papers in Economics 20114, Faculty of Economics, University of Cambridge.
    24. Mardi Dungey & Rene Fry & Vance L. Martin, 2006. "Correlation, Contagion, and Asian Evidence," Asian Economic Papers, MIT Press, vol. 5(2), pages 32-72, Spring/Su.
    25. Frankel, Jeffrey, 2010. "Monetary Policy in Emerging Markets," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 25, pages 1439-1520, Elsevier.
    26. Smimou, K. & Khallouli, W., 2016. "On the intensity of liquidity spillovers in the Eurozone," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 388-405.
    27. Bello, Jaliyyah & Guo, Jiaqi & Newaz, Mohammad Khaleq, 2022. "Financial contagion effects of major crises in African stock markets," International Review of Financial Analysis, Elsevier, vol. 82(C).
    28. Mike G. Tsionas & Nicholas Apergis, 2023. "Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 1137-1155, January.
    29. Sandoval, Leonidas, 2012. "Pruning a minimum spanning tree," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(8), pages 2678-2711.
    30. Michael B Devereux & James Yetman, 2010. "Financial deleveraging and the international transmission of shocks," BIS Papers chapters, in: Bank for International Settlements (ed.), The international financial crisis and policy challenges in Asia and the Pacific, volume 52, pages 274-298, Bank for International Settlements.
    31. Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2012. "Liquidity Contagion. The Emerging Sovereign Debt Markets example," Post-Print hal-01632803, HAL.
    32. Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2015. "Measuring sovereign contagion in Europe," SAFE Working Paper Series 103, Leibniz Institute for Financial Research SAFE.
    33. Qin, Weiping & Cho, Sungjun & Hyde, Stuart, 2023. "Time-varying bond market integration and the impact of financial crises," International Review of Financial Analysis, Elsevier, vol. 90(C).
    34. Raddant, Matthias & Kenett, Dror, 2016. "Interconnectedness in the global financial market," VfS Annual Conference 2016 (Augsburg): Demographic Change 145560, Verein für Socialpolitik / German Economic Association.
    35. Dungey, Mardi & Milunovich, George & Thorp, Susan, 2010. "Unobservable shocks as carriers of contagion," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1008-1021, May.
    36. Wajih Khallouli & Modibo René Sandretto, 2010. "Testing for “contagion” of the subprime crisis on the Middle East and North African stock markets : A Markov Switching EGARCH approach," Working Papers 1022, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
    37. Kohonen, Anssi, 2012. "Transmission of Government Default Risk in the Eurozone," MPRA Paper 43823, University Library of Munich, Germany.
    38. Takatoshi Ito & Yuko Hashimoto, 2002. "High Frequency Contagion of Currency Crises in Asia," NBER Working Papers 9376, National Bureau of Economic Research, Inc.
    39. Ballester, Laura & Díaz-Mendoza, Ana Carmen & González-Urteaga, Ana, 2019. "A systematic review of sovereign connectedness on emerging economies," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 157-163.
    40. Baele, Lieven & Inghelbrecht, Koen, 2010. "Time-varying integration, interdependence and contagion," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 791-818, September.
    41. Stracca, Livio & Montinari, Letizia, 2017. "Trade, finance or policies: what drives the cross-border spill-over of business cycles?," Working Paper Series 1993, European Central Bank.
    42. Nina Tessler & Itzhak Venezia, 2022. "A multicountry measure of comovement and contagion in international markets: definition and applications," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1307-1330, May.
    43. Sewraj, Deeya & Gebka, Bartosz & Anderson, Robert D.J., 2019. "Day-of-the-week effects in financial contagion," Finance Research Letters, Elsevier, vol. 28(C), pages 221-226.
    44. Matteo Cominetta, 2016. "Financial Contagion: A New Perspective (and a New Test)," Working Papers 12, European Stability Mechanism.
    45. Bartosz Gębka, 2012. "The Dynamic Relation Between Returns, Trading Volume, And Volatility: Lessons From Spillovers Between Asia And The United States," Bulletin of Economic Research, Wiley Blackwell, vol. 64(1), pages 65-90, January.
    46. Joao Leitao & Cristovao Oliveira, 2005. "The Contagion Effect of the Terrorist Attacks of the 11th of September," Finance 0510006, University Library of Munich, Germany.
    47. Thomas Flavin & Ekaterini Panopoulou, 2006. "Shift versus traditional contagion in Asian markets," The Institute for International Integration Studies Discussion Paper Series iiisdp176, IIIS.
    48. Qin, Weiping & Cho, Sungjun & Hyde, Stuart, 2022. "Measuring market integration during crisis periods," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    49. Bonfiglioli, Alessandra & Favero, Carlo A., 2005. "Explaining co-movements between stock markets: The case of US and Germany," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1299-1316, December.
    50. Reint Gropp & Marco Lo Duca & Jukka Vesala, 2009. "Cross-Border Bank Contagion in Europe," International Journal of Central Banking, International Journal of Central Banking, vol. 5(1), pages 97-139, March.
    51. Leonidas Sandoval Junior, 2011. "Pruning a Minimum Spanning Tree," Papers 1109.0642, arXiv.org.
    52. Sulejmani Artan & Tevdovski Dragan, 2022. "How the Contagion is Transmitted to the Macedonian Stock Market? an Analysis of Co-Exceedances," South East European Journal of Economics and Business, Sciendo, vol. 17(1), pages 1-13, June.
    53. de Bandt,O. & Malik, S., 2010. "Is there Evidence of Shift-Contagion in International Housing Markets?," Working papers 295, Banque de France.
    54. Elise MARAIS, 2007. "Mécanismes De Propag Ation Régionale De La Crise Boursière Asiatique," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 26, pages 13-33.
    55. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2012. "The Japanese economy in crises: A time series segmentation study," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-81.
    56. Baur, Dirk G. & Fry, Renée A., 2009. "Multivariate contagion and interdependence," Journal of Asian Economics, Elsevier, vol. 20(4), pages 353-366, September.
    57. Sharma, Susan Sunila & Narayan, Paresh Kumar & Zheng, Xinwei, 2011. "An analysis of firm and market volatility," Working Papers fe_2011_02, Deakin University, Department of Economics.
    58. Chau Le & Dickinson David, 2014. "Asset price volatility and financial contagion: analysis using the MS-VAR framework," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 4(2), pages 133-162, December.
    59. Chun-An Li & Min-Ching Lee & Chin-Sheng Huang, 2018. "Taiwan And U.S. Equity Market Interdependence And Contagion: Evidence From Four-Factor Model," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 12(2), pages 95-115.
    60. Gębka, Bartosz & Karoglou, Michail, 2013. "Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3639-3653.
    61. Iwatsubo, Kentaro & Inagaki, Kazuyuki, 2007. "Measuring financial market contagion using dually-traded stocks of Asian firms," Journal of Asian Economics, Elsevier, vol. 18(1), pages 217-236, February.
    62. Victor Pontines & Reza Y. Siregar, 2007. "Tranquil and Crisis Windows, Heteroscedasticity, and Contagion Measurement: MS-VAR Application of the DCC Procedure," School of Economics and Public Policy Working Papers 2007-02, University of Adelaide, School of Economics and Public Policy.
    63. Urbina, Jilber, 2013. "A component model for Dynamic Conditional Correlations: Disentangling interdependence from contagion," MPRA Paper 75579, University Library of Munich, Germany, revised 13 Dec 2016.
    64. Chris Bilson & Tim Brailsford & Aiden Hallett & Jing Shi, 2012. "The impact of terrorism on global equity market integration," Australian Journal of Management, Australian School of Business, vol. 37(1), pages 47-60, April.
    65. Neha Seth & Monica Sighania, 2017. "Financial market contagion: selective review of reviews," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 9(4), pages 391-408, November.
    66. David Matesanz & Guillermo Ortega, 2014. "Network analysis of exchange data: interdependence drives crisis contagion," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(4), pages 1835-1851, July.
    67. Bernard Njindan Iyke, 2017. "The Penn Effect revisited: New evidence from Latin America," Review of Development Economics, Wiley Blackwell, vol. 21(4), pages 1364-1379, November.
    68. Thomas J. Flavin and Ekaterini Panopoulou, 2007. "Detecting Shift and Pure Contagion in East Asian Equity Markets: A Unified Approach," The Institute for International Integration Studies Discussion Paper Series iiisdp236, IIIS.
    69. Upper, Christian, 2011. "Simulation methods to assess the danger of contagion in interbank markets," Journal of Financial Stability, Elsevier, vol. 7(3), pages 111-125, August.
    70. Insel, Aysu & Korkmaz, Abdurrahman, 2010. "The contagion effect: evidences from former Soviet Economies in Eastern Europe," MPRA Paper 24999, University Library of Munich, Germany.
    71. Gonzalez-Hermosillo Gonzalez, B.M., 2008. "Transmission of shocks across global financial markets : The role of contagion and investors' risk appetite," Other publications TiSEM d684f3c7-7ad8-4e93-88cf-a, Tilburg University, School of Economics and Management.
    72. Massacci, D., 2007. "Identification and Estimation in an Incoherent Model of Contagion," Cambridge Working Papers in Economics 0744, Faculty of Economics, University of Cambridge.
    73. Pereira, Pedro L. Valls & Marçal, Emerson Fernandes & Martin, Diógenes Manoel Leiva & Nakamura, Wilson Toshiro, 2009. "Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals," Textos para discussão 177, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    74. Raddant, Matthias, 2016. "The response of European stock markets to the Brexit," Kiel Policy Brief 100, Kiel Institute for the World Economy (IfW Kiel).
    75. Youta Ishii, 2008. "International transmissions in US-Japanese stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 18(15), pages 1193-1200.
    76. Abouwafia, Hashem E. & Chambers, Marcus J., 2015. "Monetary policy, exchange rates and stock prices in the Middle East region," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 14-28.
    77. M. Raddant & T. Di Matteo, 2023. "A look at financial dependencies by means of econophysics and financial economics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(4), pages 701-734, October.
    78. Dirk Baur & Renee Fry, 2006. "Endogenous Contagion - A Panel Data Analysis," CAMA Working Papers 2006-09, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    79. Gawon Yoon, 2005. "Correlation Coefficients, Heteroskedasticity And Contagion Of Financial Crises," Manchester School, University of Manchester, vol. 73(1), pages 92-100, January.
    80. Bekiros, Stelios D. & Georgoutsos, Dimitris A., 2008. "The extreme-value dependence of Asia-Pacific equity markets," Journal of Multinational Financial Management, Elsevier, vol. 18(3), pages 197-208, July.
    81. Suh, Sangwon, 2015. "Measuring sovereign risk contagion in the Eurozone," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 45-65.
    82. Renée Fry & Cody Yu-Ling Hsiao & Chrismin Tang, 2011. "Actually This Time Is Different," CAMA Working Papers 2011-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    83. Ahlgren, Niklas & Antell, Jan, 2010. "Stock market linkages and financial contagion: A cobreaking analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(2), pages 157-166, May.
    84. Ge, Shuyi, 2023. "A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    85. Sandoval, Leonidas & Franca, Italo De Paula, 2012. "Correlation of financial markets in times of crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 187-208.
    86. Ana Escribano & Cristina Íñiguez, 2021. "The contagion phenomena of the Brexit process on main stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4462-4481, July.
    87. Raja Kali & Javier Reyes, 2010. "Financial Contagion On The International Trade Network," Economic Inquiry, Western Economic Association International, vol. 48(4), pages 1072-1101, October.
    88. Leonidas Sandoval Junior & Italo De Paula Franca, 2011. "Correlation of financial markets in times of crisis," Papers 1102.1339, arXiv.org, revised Mar 2011.
    89. Yue Peng & Wing Ng, 2012. "Analysing financial contagion and asymmetric market dependence with volatility indices via copulas," Annals of Finance, Springer, vol. 8(1), pages 49-74, February.
    90. Sewraj, Deeya & Gebka, Bartosz & Anderson, Robert D.J., 2018. "Identifying contagion: A unifying approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 224-240.
    91. Renée Fry-McKibbin & Cody Hsiao & Chrismin Tang, 2014. "Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes," Open Economies Review, Springer, vol. 25(3), pages 521-570, July.
    92. Imen Bedoui-Belghith & Slaheddine Hallara & Faouzi Jilani, 2023. "Crisis transmission degree measurement under crisis propagation model," SN Business & Economics, Springer, vol. 3(1), pages 1-27, January.
    93. Boamah, Nicholas Addai, 2017. "The dynamics of the relative global sector effects and contagion in emerging markets equity returns," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 433-453.
    94. Toni Gravelle & Maral Kichian & James Morley, 2002. "Detecting shift-contagion in currency and bond markets," Computing in Economics and Finance 2002 58, Society for Computational Economics.
    95. Bartosz Gębka & Michail Karoglou, 2013. "Is there life in the old dogs yet? Making break-tests work on financial contagion," Review of Quantitative Finance and Accounting, Springer, vol. 40(3), pages 485-507, April.
    96. Sarantis Tsiaplias, 2007. "Co-movement and Integration among Developed Equity Markets," Melbourne Institute Working Paper Series wp2007n25, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    97. Jayasuriya, Shamila A., 2011. "Stock market correlations between China and its emerging market neighbors," Emerging Markets Review, Elsevier, vol. 12(4), pages 418-431.
    98. Wajih Khallouli, 2008. "Shift-Contagion in Middle East and North Africa Stock Markets," Working Papers 420, Economic Research Forum, revised 06 Jan 2008.
    99. Rajan Sruthi & Santhakumar Shijin, 2020. "Investigating liquidity constraints as a channel of contagion: a regime switching approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-21, December.
    100. Gebka, Bartosz, 2006. "Leaders and Laggards: International Evidence on Spillovers in Returns, Variance, and Trading Volume," Working Paper Series 2006,1, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
    101. Mardi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin, 2005. "Shocks And Systemic Influences: Contagion In Global Equity Markets In 1998," CAMA Working Papers 2005-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    102. Zhang, Yiting & Lee, Gladys Hui Ting & Wong, Jian Cheng & Kok, Jun Liang & Prusty, Manamohan & Cheong, Siew Ann, 2011. "Will the US economy recover in 2010? A minimal spanning tree study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2020-2050.

  31. Roberto Rigobon & Brian Sack, 2003. "Measuring The Reaction of Monetary Policy to the Stock Market," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 118(2), pages 639-669.
    See citations under working paper version above.
  32. Roberto Rigobon, 2003. "Identification Through Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 777-792, November.

    Cited by:

    1. Numan Ülkü & Enzo Weber, 2014. "Identifying the Interaction between Foreign Investor Flows and Emerging Stock Market Returns," Review of Finance, European Finance Association, vol. 18(4), pages 1541-1581.
    2. Abdul Karim, Zulkefly & Zaidi, Mohd Azlan Shah & Karim, Bakri, 2011. "Does Firm-Level Equity Return Respond to Domestic and International Monetary Policy Shocks? A Panel Data Study of Malaysia," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 45, pages 21-31.
    3. Luis F. Céspedes & Javier García-Cicco & Diego Saravia, 2013. "Monetary Policy at the Zero Lower Bound: The Chilean Experience," Working Papers Central Bank of Chile 712, Central Bank of Chile.
    4. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, September.
    5. Grant, Matthew & Soderbery, Anson, 2024. "Heteroskedastic supply and demand estimation: Analysis and testing," Journal of International Economics, Elsevier, vol. 150(C).
    6. Markku Lanne & Helmut Luetkepohl, 2008. "A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks," Economics Working Papers ECO2008/23, European University Institute.
    7. Arthur Lewbel, 2016. "Identification and Estimation Using Heteroscedasticity Without Instruments: The Binary Endogenous Regressor Case," Boston College Working Papers in Economics 927, Boston College Department of Economics.
    8. Lütkepohl, Helmut & Netšunajev, Aleksei, 2017. "Structural vector autoregressions with heteroskedasticity: A review of different volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 2-18.
    9. Ivan Indriawan & Feng Jiao & Yiuman Tse, 2019. "The impact of the US stock market opening on price discovery of government bond futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 779-802, July.
    10. Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008. "On the Stability of Domestic Financial Market Linkages in the Presence of time-varying Volatility," Working Papers 0810, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    11. Demir, Ishak, 2012. "ECB Policy Response to the Euro/US Dollar Exchange Rate," MPRA Paper 36744, University Library of Munich, Germany.
    12. Sophocles Mavroeidis, 2021. "Identification at the Zero Lower Bound," Econometrica, Econometric Society, vol. 89(6), pages 2855-2885, November.
    13. Dobromil Serwa, 2008. "Larger crises cost more: impact of banking sector instability on output growth," Working Papers 25, Department of Applied Econometrics, Warsaw School of Economics.
    14. Jan Philipp Fritsche & Mathias Klein & Malte Rieth, 2020. "Government Spending Multipliers in (Un)certain Times," Discussion Papers of DIW Berlin 1901, DIW Berlin, German Institute for Economic Research.
    15. Gomez-Gonzalez, Jose E. & Uribe, Jorge M. & Valencia, Oscar M., 2023. "Does economic complexity reduce the probability of a fiscal crisis?," World Development, Elsevier, vol. 168(C).
    16. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2018. "Measuring Uncertainty and Its Impact on the Economy," The Review of Economics and Statistics, MIT Press, vol. 100(5), pages 799-815, December.
    17. Sondermann, David & Bohl, Martin T. & Siklos, Pierre L., 2009. "The euro area stock market channel: Does one size fit all?," Finance Research Letters, Elsevier, vol. 6(4), pages 230-235, December.
    18. Bohl, Martin T. & Siklos, Pierre L. & Werner, Thomas, 2007. "Do central banks react to the stock market? The case of the Bundesbank," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 719-733, March.
    19. Tian, Jilin & Sim, Nicholas & Yan, Wenshou & Li, Yanyun, 2020. "Trade uncertainty, income, and democracy," Economic Modelling, Elsevier, vol. 90(C), pages 21-31.
    20. Felices, Guillermo & Grisse, Christian & Yang, Jing, 2009. "International financial transmission: emerging and mature markets," Bank of England working papers 373, Bank of England.
    21. Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Doğan, Buhari & Adekoya, Oluwasegun B. & Wohar, Mark, 2024. "Asymmetric spillover effects in energy markets," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 470-502.
    22. Emanuele BACCHIOCCHI, 2010. "Identification through heteroskedasticity in a likelihood-based approach: some theoretical results," Departmental Working Papers 2010-38, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    23. Lütkepohl, Helmut & Schlaak, Thore, 2019. "Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH," Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 41-61.
    24. Lütkepohl, Helmut & Woźniak, Tomasz, 2020. "Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
    25. Sungho Park & Sachin Gupta, 2012. "Handling Endogenous Regressors by Joint Estimation Using Copulas," Marketing Science, INFORMS, vol. 31(4), pages 567-586, July.
    26. Xinsheng Lu & Ling Qu & Ying Zhou, 2015. "The Impact of Monetary Surprises on Australian Financial Futures Markets: An Insight into Cash Rate Target Announcements," Australian Economic Papers, Wiley Blackwell, vol. 54(3), pages 151-166, September.
    27. Massimo Guidolin & Manuela Pedio, 2019. "Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes," BAFFI CAREFIN Working Papers 19118, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    28. Miescu, Mirela & Rossi, Raffaele, 2021. "COVID-19-induced shocks and uncertainty," European Economic Review, Elsevier, vol. 139(C).
    29. Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola, 2005. "Testing for contagion: a conditional correlation analysis," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 476-489, June.
    30. Ugo Panizza & Dany Jaimovich, 2007. "Procyclicality or Reverse Causality?," Research Department Publications 4508, Inter-American Development Bank, Research Department.
    31. Sascha A. Keweloh, 2023. "Uncertain Short-Run Restrictions and Statistically Identified Structural Vector Autoregressions," Papers 2303.13281, arXiv.org, revised Apr 2024.
    32. Pavlova, Anna & Rigobon, Roberto, 2004. "Asset Prices and Exchange Rates," Working papers 4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    33. Helmut Herwartz & Martin Plödt, 2016. "Simulation Evidence on Theory-based and Statistical Identification under Volatility Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(1), pages 94-112, February.
    34. Bulat Gafarov & Madina Karamysheva & Andrey Polbin & Anton Skrobotov, 2024. "Wild inference for wild SVARs with application to heteroscedasticity-based IV," Papers 2407.03265, arXiv.org, revised Nov 2024.
    35. Arthur Lewbel, 2012. "Using Heteroscedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 67-80.
    36. Keweloh, Sascha A. & Hetzenecker, Stephan & Seepe, Andre, 2023. "Monetary policy and information shocks in a block-recursive SVAR," Journal of International Money and Finance, Elsevier, vol. 137(C).
    37. Sun, Hang & Bos, Jaap W.B. & Li, Zhuo, 2017. "In the Nick of Time: A Heteroskedastic SVAR Model and Its Application to the Crude Oil Futures Market," Research Memorandum 019, Maastricht University, Graduate School of Business and Economics (GSBE).
    38. Herwartz, Helmut & Plödt, Martin, 2014. "Sign restrictions and statistical identification under volatility breaks -- Simulation based evidence and an empirical application to monetary policy analysis," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100326, Verein für Socialpolitik / German Economic Association.
    39. Massimiliano Marzo & Paolo Zagaglia, 2010. "Gold and the U.S. Dollar: Tales from the Turmoil," Working Paper series 08_10, Rimini Centre for Economic Analysis.
    40. Benjamin Hébert & Jesse Schreger, 2016. "The Costs of Sovereign Default: Evidence from Argentina," NBER Working Papers 22270, National Bureau of Economic Research, Inc.
    41. Tamim Bayoumi & Trung Bui, 2011. "Apocalypse Then: The Evolution of the North Atlantic Economy and the Global Crisis," RBA Annual Conference Volume (Discontinued), in: Hugo Gerard & Jonathan Kearns (ed.),The Australian Economy in the 2000s, Reserve Bank of Australia.
    42. André L P Ribeiro & Luiz K Hotta, 2016. "Estimation of the Heteroskedastic Canonical Contagion Model with Instrumental Variables," PLOS ONE, Public Library of Science, vol. 11(12), pages 1-13, December.
    43. Gabriel Di Bella & Mr. Francesco Grigoli, 2018. "Optimism, Pessimism, and Short-Term Fluctuations," IMF Working Papers 2018/001, International Monetary Fund.
    44. Zulkefly Abdul Karim & Mohd Azlan Shah Zaidi, 2015. "Monetary Policy, Firm Size and Equity Returns in An Emerging Market: Panel Evidence of Malaysia," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 11(2), pages 29-55.
    45. Roger Klein & Francis Vella, 2009. "A semiparametric model for binary response and continuous outcomes under index heteroscedasticity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(5), pages 735-762.
    46. Armenak Antinyan & Vardan Baghdasaryan & Aleksandr Grigoryan, 2018. "Social Preferences, Public Good Provision, Social Capital and Positional Concerns: Empirical Evidence from the South Caucasus," CERGE-EI Working Papers wp625, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    47. Helmut Lütkepohl & Thore Schlaak, 2017. "Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis," Discussion Papers of DIW Berlin 1672, DIW Berlin, German Institute for Economic Research.
    48. Eickmeier, Sandra & Ng, Tim, 2011. "How Do Credit Supply Shocks Propagate Internationally? A GVAR approach," CEPR Discussion Papers 8720, C.E.P.R. Discussion Papers.
    49. Delis, Manthos D. & Hasan, Iftekhar & Tsionas, Efthymios G., 2015. "Firms' risk endogenous to strategic management choices," Bank of Finland Research Discussion Papers 16/2015, Bank of Finland.
    50. Elena Corallo, 2005. "The effect of the war risk: a comparison of the consequences of the two Iraq wars on some financial variables," LIUC Papers in Economics 171, Cattaneo University (LIUC).
    51. Roberto Rigobon & Brian Sack, 2003. "Measuring The Reaction of Monetary Policy to the Stock Market," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 118(2), pages 639-669.
    52. Foley-Fisher, Nathan & Guimaraes, Bernardo, 2009. "US real interest rates and default risk in emerging economies," LSE Research Online Documents on Economics 28683, London School of Economics and Political Science, LSE Library.
    53. Fabio Santeramo, 2015. "A cursory review of the identification strategies," Agricultural and Food Economics, Springer;Italian Society of Agricultural Economics (SIDEA), vol. 3(1), pages 1-8, December.
    54. Emanuele BACCHIOCCHI, 2015. "On the Identification of Interdependence and Contagion of Financial Crises," Departmental Working Papers 2015-12, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    55. Gazi Salah Uddin & Mohamed Arouri & Aviral Kumar Tiwari, 2014. "Co-movements between Germany and International Stock Markets: Some New Evidence from DCC-GARCH and Wavelet Approaches," Working Papers 2014-143, Department of Research, Ipag Business School.
    56. Rabah Arezki & Caleb Cho & Ha Nguyen & Kate Nguyen & Anh Pham, 2022. "Corporate Debt and Stock Returns: Evidence from U.S. Firms During the 2020 Oil Crash," CESifo Working Paper Series 9770, CESifo.
    57. Rigobon, Roberto & Sack, Brian P., 2003. "The Effects of War Risk on U.S. Financial Markets," Working papers 4417-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    58. Kagerer, B., 2024. "Geopolitics and corporate risk: Evidence from EU-Russia conflict shocks," Cambridge Working Papers in Economics 2471, Faculty of Economics, University of Cambridge.
    59. Colin J. Hottman & Ryan Monarch, 2018. "Estimating Unequal Gains across U.S. Consumers with Supplier Trade Data," International Finance Discussion Papers 1220, Board of Governors of the Federal Reserve System (U.S.).
    60. Joseph J. Sabia, 2007. "Early Adolescent Sex and Diminished School Attachment: Selection or Spillovers?," Southern Economic Journal, John Wiley & Sons, vol. 74(1), pages 239-268, July.
    61. Brüggemann, Ralf & Jentsch, Carsten & Trenkler, Carsten, 2014. "Inference in VARs with Conditional Heteroskedasticity of Unknown Form," Working Papers 14-21, University of Mannheim, Department of Economics.
    62. Pelin Berkmen & Eduardo A. Cavallo, 2007. "Exchange Rate Policy and Liability Dollarization: An Empirical Study," IMF Working Papers 2007/033, International Monetary Fund.
    63. Mohammad Karimi & Marcel-Cristian Voia, 2019. "Empirics of currency crises: A duration analysis approach," Post-Print hal-03528952, HAL.
    64. Marcel Fratzscher & Daniel Schneider & Ine Van Robays, 2013. "Oil Prices, Exchange Rates and Asset Prices," CESifo Working Paper Series 4264, CESifo.
    65. Strohsal, Till & Weber, Enzo, 2012. "The signal of volatility," SFB 649 Discussion Papers 2012-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    66. Roberto Rigobon & Dani Rodrik, 2004. "Rule of Law, Democracy, Openness, and Income: Estimating the Interrelationships," NBER Working Papers 10750, National Bureau of Economic Research, Inc.
    67. A. Edwin Prabu & Indranil Bhattacharyya & Partha Ray, 2020. "Impact of monetary policy on the Indian stock market: Does the devil lie in the detail?," Indian Economic Review, Springer, vol. 55(1), pages 27-50, June.
    68. Roger Klein & Francis Vella, 2005. "Estimating a class of triangular simultaneous equations models without exclusion restrictions," CeMMAP working papers CWP08/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    69. Daniel L. Millimet & Jayjit Roy, 2011. "Three New Empirical Tests of the Pollution Haven Hypothesis When Environmental Regulation is Endogenous," Working Papers 11-10, Department of Economics, Appalachian State University.
    70. Fabio Canetg & Daniel Kaufmann, 2019. "Shocking Interest Rate Floors," Diskussionsschriften dp1901, Universitaet Bern, Departement Volkswirtschaft.
    71. Moneta, Alessio & Pallante, Gianluca, 2022. "Identification of Structural VAR Models via Independent Component Analysis: A Performance Evaluation Study," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
    72. Simon Gilchrist & Egon ZakrajŠEk, 2013. "The Impact of the Federal Reserve's Large-Scale Asset Purchase Programs on Corporate Credit Risk," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(s2), pages 29-57, December.
    73. Francisco Rodriguez, 2007. "Openness and growth: what have we learned?," Working Papers 51, United Nations, Department of Economics and Social Affairs.
    74. Fratzscher, Marcel & Rieth, Malte, 2015. "Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area," CEPR Discussion Papers 10370, C.E.P.R. Discussion Papers.
    75. Azusa Takeyama & Naoshi Tsuchida, 2015. "The Interaction between Funding Liquidity and Market Liquidity: Evidence from Subprime and European Crises," IMES Discussion Paper Series 15-E-14, Institute for Monetary and Economic Studies, Bank of Japan.
    76. Numan Ülkü & Enzo Weber, 2011. "Bigger Fish in Small Pond : The Interaction between Foreigners' Trading and Emerging Stock Market Returns under the Microscope," Working Papers 294, Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies).
    77. Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza, 2018. "The interactions between price discovery, liquidity and algorithmic trading for U.S.-Canadian cross-listed shares," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 136-152.
    78. Chunya Bu & John Rogers & Wenbin Wu, 2019. "A Unified Measure of Fed Monetary Policy Shocks," Finance and Economics Discussion Series 2019-043, Board of Governors of the Federal Reserve System (U.S.).
    79. Markku Lanne, Helmut Luetkepohl, 2006. "Identifying Monetary Policy Shocks via Changes in Volatility," Economics Working Papers ECO2006/23, European University Institute.
    80. Gregor Kastner, 2016. "Sparse Bayesian time-varying covariance estimation in many dimensions," Papers 1608.08468, arXiv.org, revised Nov 2017.
    81. Saman Banafti & Tae-Hwy Lee, 2022. "Inferential Theory for Granular Instrumental Variables in High Dimensions," Papers 2201.06605, arXiv.org, revised Sep 2023.
    82. Okumura, Tsunao, 2011. "Nonparametric Estimation of Labor Supply and Demand Factors," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 174-185.
    83. Jia Li & Peter C. B. Phillips & Shuping Shi & Jun Yu, 2022. "Weak Identification of Long Memory with Implications for Inference," Cowles Foundation Discussion Papers 2334, Cowles Foundation for Research in Economics, Yale University.
    84. Monica Billio & Ludovic Calès & Dominique Guegan, 2010. "A Cross-Sectional Performance Measure for Portfolio Management," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00523466, HAL.
    85. Antonio Diez de los Rios, 2007. "Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets," Staff Working Papers 07-29, Bank of Canada.
    86. Nsafoah, Dennis & Dery, Cosmas, 2024. "Effect of conventional and unconventional monetary policy shocks on housing prices in Canada," Journal of Housing Economics, Elsevier, vol. 64(C).
    87. Charles J. Courtemanche & Joshua C. Pinkston & Jay Stewart, 2020. "Time Spent Exercising and Obesity: An Application of Lewbel’s Instrumental Variables Method," NBER Working Papers 26670, National Bureau of Economic Research, Inc.
    88. Bua, Giovanna & Trecroci, Carmine, 2016. "International Equity Markets Interdependence: Bigger Shocks or Contagion in the 21st Century?," MPRA Paper 74771, University Library of Munich, Germany.
    89. Refet S. Gürkaynak & Burçin Kısacıkoğlu & Jonathan H. Wright, 2018. "Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises," NBER Working Papers 25016, National Bureau of Economic Research, Inc.
    90. Hip lit Torr, 2019. "The Response of European Energy Prices to ECB Monetary Policy," International Journal of Energy Economics and Policy, Econjournals, vol. 9(2), pages 1-9.
    91. Sebastiano Michele Zema & Francesco Cordoni, 2023. "A non-Normal framework for price discovery: The independent component based information shares measure," LEM Papers Series 2023/03, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    92. Roberto Rigobon & Brian P. Sack, 2002. "The impact of monetary policy on asset prices," Finance and Economics Discussion Series 2002-4, Board of Governors of the Federal Reserve System (U.S.).
    93. Emanuele BACCHIOCCHI, 2011. "Identification through heteroskedasticity: a likelihood-based approach," Departmental Working Papers 2011-19, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    94. Alain Guay, 2020. "Identification of Structural Vector Autoregressions Through Higher Unconditional Moments," Working Papers 20-19, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    95. Andrea Gazzani & Fabrizio Venditti & Giovanni Veronese, 2024. "Oil price shocks in real time," Temi di discussione (Economic working papers) 1448, Bank of Italy, Economic Research and International Relations Area.
    96. Herwartz, Helmut & Lange, Alexander & Maxand, Simone, 2019. "Statistical identification in SVARs - Monte Carlo experiments and a comparative assessment of the role of economic uncertainties for the US business cycle," University of Göttingen Working Papers in Economics 375, University of Goettingen, Department of Economics.
    97. Saroj Bhattarai & Christopher J. Neely, 2016. "An Analysis of the Literature on International Unconventional Monetary Policy," Working Papers 2016-021, Federal Reserve Bank of St. Louis, revised 04 May 2020.
    98. Netésunajev, Aleksei & Winkelmann, Lars, 2016. "International dynamics of inflation expectations," SFB 649 Discussion Papers 2016-019, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    99. Mehdi Mili & Jean‐Michel Sahut & Frédéric Teulon, 2020. "Shift‐contagion in energy markets and global crisis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 725-736, August.
    100. Riedel, Jana, 2013. "Real interest rate convergence among G7 countries," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79928, Verein für Socialpolitik / German Economic Association.
    101. Chen, Zhengyang, 2019. "The Long-term Rate and Interest Rate Volatility in Monetary Policy Transmission," EconStor Preprints 204579, ZBW - Leibniz Information Centre for Economics.
    102. Lütkepohl, Helmut & Netšunajev, Aleksei, 2017. "Structural vector autoregressions with smooth transition in variances," Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 43-57.
    103. Berg Claudia & Emran Shahe & Shilpi Forhad, 2020. "Microfinance and Moneylenders: Long-run Effects of MFIs on Informal Credit Market in Bangladesh," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 20(3), pages 1-35, July.
    104. Koijen, Ralph & Gabaix, Xavier, 2020. "Granular Instrumental Variables," CEPR Discussion Papers 15531, C.E.P.R. Discussion Papers.
    105. Caporin, Massimiliano & Pelizzon, Loriana & Plazzi, Alberto, 2020. "Does monetary policy impact international market co-movements?," SAFE Working Paper Series 276, Leibniz Institute for Financial Research SAFE.
    106. Orea, Luis & Steinbuks, Jevgenijs, 2012. "Estimating Market Power in Homogenous Product Markets Using a Composed Error Model: Application to the California Electricity Market," Efficiency Series Papers 2012/02, University of Oviedo, Department of Economics, Oviedo Efficiency Group (OEG).
    107. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Working Papers 16223, National Bureau of Economic Research, Inc.
    108. Ugo Panizza & Dany Jaimovich, 2007. "Prociclicalidad o Causalidad Reversa?," Research Department Publications 4509, Inter-American Development Bank, Research Department.
    109. Canova, Fabio & Bluwstein, Kristina, 2015. "Beggar-thy-neighbor? The international effects of ECB unconventional monetary policy measures," CEPR Discussion Papers 10856, C.E.P.R. Discussion Papers.
    110. Guido Turnip, 2017. "Identification of Small Open Economy SVARs via Markov-Switching Heteroskedasticity," The Economic Record, The Economic Society of Australia, vol. 93(302), pages 465-483, September.
    111. Lütkepohl, Helmut & Milunovich, George & Yang, Minxian, 2020. "Inference in partially identified heteroskedastic simultaneous equations models," Journal of Econometrics, Elsevier, vol. 218(2), pages 317-345.
    112. Diego R. Känzig, 2021. "The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements," American Economic Review, American Economic Association, vol. 111(4), pages 1092-1125, April.
    113. Moinas, Sophie & Nguyen, Minh & Valente, Giorgio, 2017. "Funding Constraints and Market Illiquidity in the European Treasury Bond Market," TSE Working Papers 17-814, Toulouse School of Economics (TSE).
    114. Fabian Fink & Lukas Frei & Thomas Maag & Tanja Zehnder, 2020. "The impact of SNB monetary policy on the Swiss franc and longer-term interest rates," Working Papers 2020-01, Swiss National Bank.
    115. Chang, Jeffery (Jinfan) & Du, Huancheng & Lou, Dong & Polk, Christopher, 2022. "Ripples into waves: Trade networks, economic activity, and asset prices," Journal of Financial Economics, Elsevier, vol. 145(1), pages 217-238.
    116. Maxime Fajeau, 2021. "Too much finance or too many weak instruments?," International Economics, CEPII research center, issue 165, pages 14-36.
    117. Jonathan J Adams & Philip Barrett, 2023. "Identifying News Shocks from Forecasts," Working Papers 001010, University of Florida, Department of Economics.
    118. Demetrescu, Matei & Salish, Nazarii, 2024. "(Structural) VAR models with ignored changes in mean and volatility," International Journal of Forecasting, Elsevier, vol. 40(2), pages 840-854.
    119. Enzo Weber & Jürgen Wolters, 2013. "Risk and Policy Shocks on the US Term Structure," Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(1), pages 101-119, February.
    120. Xiaodong Du and Lihong Lu McPhail, 2012. "Inside the Black Box: the Price Linkage and Transmission between Energy and Agricultural Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
    121. Frankel, Jeffrey, 2010. "Monetary Policy in Emerging Markets," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 25, pages 1439-1520, Elsevier.
    122. Christoph E. Boehm & T. Niklas Kroner, 2023. "The US, Economic News, and the Global Financial Cycle," NBER Working Papers 30994, National Bureau of Economic Research, Inc.
    123. Allan W. Gregory & James McNeil & Gregor W. Smith, 2022. "US Fiscal Policy Shocks: Proxy-SVAR Overidentification via GMM," Working Paper 1461, Economics Department, Queen's University.
    124. Nina Boyarchenko & Matthew Plosser & Valentin Haddad, 2018. "Federal Reserve and Market Confidence," 2018 Meeting Papers 781, Society for Economic Dynamics.
    125. Vouldis, Angelos, 2015. "Credit market disequilibrium in Greece (2003-2011) - a Bayesian approach," Working Paper Series 1805, European Central Bank.
    126. Bollerslev, Tim & Xu, Lai & Zhou, Hao, 2015. "Stock return and cash flow predictability: The role of volatility risk," Journal of Econometrics, Elsevier, vol. 187(2), pages 458-471.
    127. Jung, Alexander & Kühl, Patrick, 2021. "Can central bank communication help to stabilise inflation expectations?," Working Paper Series 2547, European Central Bank.
    128. Guay, Alain, 2021. "Identification of structural vector autoregressions through higher unconditional moments," Journal of Econometrics, Elsevier, vol. 225(1), pages 27-46.
    129. Kao, Erin H. & Yeh, Chih-Chuan & Wang, Li-Hsun & Fung, Hung-Gay, 2018. "The relationship between CSR and performance: Evidence in China," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 155-170.
    130. Helmut Lütkepohl & Aleksei Netsunajev, 2014. "Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market," Discussion Papers of DIW Berlin 1388, DIW Berlin, German Institute for Economic Research.
    131. Guangming Gong & Si Xu & Xun Gong, 2018. "On the Value of Corporate Social Responsibility Disclosure: An Empirical Investigation of Corporate Bond Issues in China," Journal of Business Ethics, Springer, vol. 150(1), pages 227-258, June.
    132. Reboredo, Juan C. & Ugolini, Andrea, 2020. "Price connectedness between green bond and financial markets," Economic Modelling, Elsevier, vol. 88(C), pages 25-38.
    133. Netsunajev, Aleksei, 2013. "Reaction to technology shocks in Markov-switching structural VARs: Identification via heteroskedasticity," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 51-62.
    134. Fatum, Rasmus & Hattori, Takahiro & Yamamoto, Yohei, 2023. "Reserves and risk: Evidence from China," Journal of International Money and Finance, Elsevier, vol. 134(C).
    135. Weber, Enzo, 2007. "Correlation vs. causality in stock market comovement," SFB 649 Discussion Papers 2007-064, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    136. Max Soloschenko & Enzo Weber, 2021. "Trend-Cycle Interactions and the Subprime Crisis: Analysis of US and Canadian Output," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(2), pages 109-128, November.
    137. Luintel, Kul B & Li, GuangJie & Khan, Mosahid, 2023. "Finance And Growth: The Unpleasant Burden Of Evidence," Cardiff Economics Working Papers E2023/8, Cardiff University, Cardiff Business School, Economics Section.
    138. Breedon, Francis & Pétursson, Thórarinn G. & Vitale, Paolo, 2023. "The currency that came in from the cold: Capital controls and the information content of order flow," Journal of International Money and Finance, Elsevier, vol. 138(C).
    139. Luke Byrne Willard, 2011. "Does Inflation Targeting Matter? A Reassessment," Post-Print hal-00688942, HAL.
    140. Joseph J. Sabia, 2007. "The Effect of Body Weight on Adolescent Academic Performance," Southern Economic Journal, John Wiley & Sons, vol. 73(4), pages 871-900, April.
    141. Catherine Pattillo & Hélène Poirson & Luca Antonio Ricci, 2011. "External Debt and Growth," Review of Economics and Institutions, Università di Perugia, vol. 2(3).
    142. Robert C. Feenstra & Philip Luck & Maurice Obstfeld & Katheryn N. Russ, 2018. "In Search of the Armington Elasticity," The Review of Economics and Statistics, MIT Press, vol. 100(1), pages 135-150, March.
    143. Carriero, Andrea & Marcellino, Massimiliano & Tornese, Tommaso, 2022. "Blended Identification in Structural VARs," CEPR Discussion Papers 17640, C.E.P.R. Discussion Papers.
    144. Refet S. Gürkaynak & Jonathan H. Wright, 2013. "Identification and Inference Using Event Studies," Manchester School, University of Manchester, vol. 81, pages 48-65, September.
    145. Andrey Duván Rincón-Torres & Kimberly Rojas-Silva & Juan Manuel Julio-Román, 2021. "The Interdependence of FX and Treasury Bonds Markets: The Case of Colombia," Borradores de Economia 1171, Banco de la Republica de Colombia.
    146. Erdenebat Bataa & Denise R.Osborn & Marianne Sensier, 2016. "China's Increasing Global Influence: Changes in International Growth Spillovers," Centre for Growth and Business Cycle Research Discussion Paper Series 221, Economics, The University of Manchester.
    147. M. Shahe Emran & Forhad Shilpi, 2012. "The extent of the market and stages of agricultural specialization," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 45(3), pages 1125-1153, August.
    148. Velinov, Anton, 2016. "On the importance of testing structural identification schemes and the potential consequences of incorrectly identified models," VfS Annual Conference 2016 (Augsburg): Demographic Change 145581, Verein für Socialpolitik / German Economic Association.
    149. Ülkü, Numan & Weber, Enzo, 2013. "Identifying the interaction between stock market returns and trading flows of investor types: Looking into the day using daily data," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2733-2749.
    150. Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov, 2021. "Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk," Quantitative Economics, Econometric Society, vol. 12(2), pages 647-682, May.
    151. BenSaïda, Ahmed, 2019. "Good and bad volatility spillovers: An asymmetric connectedness," Journal of Financial Markets, Elsevier, vol. 43(C), pages 78-95.
    152. Nihar Shah, 2022. "Doubly heterogeneous monetary spillovers," International Finance, Wiley Blackwell, vol. 25(2), pages 126-150, August.
    153. Mirela Miescu, 2022. "Forward guidance shocks," Working Papers 352591340, Lancaster University Management School, Economics Department.
    154. Eckert, C. & J. Hohberger (Jan) & Franses, Ph.H.B.F., 2022. "Gaussian Copula Regression in the Presence of Thresholds," Econometric Institute Research Papers 2022-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    155. Kirstin Hubrich & Daniel F. Waggoner, 2022. "The transmission of financial shocks and leverage of financial institutions: An endogenous regime switching framework," Finance and Economics Discussion Series 2022-034, Board of Governors of the Federal Reserve System (U.S.).
    156. Gervais, Antoine, 2023. "Controlling for exporter-level factors when estimating import demand elasticities," Economics Letters, Elsevier, vol. 231(C).
    157. Oliver Holtemöller & Alexander Kriwoluzky & Boreum Kwak, 2020. "Exchange Rates and the Information Channel of Monetary Policy," Discussion Papers of DIW Berlin 1906, DIW Berlin, German Institute for Economic Research.
    158. Dominik Bertsche & Robin Braun, 2018. "Identification of Structural Vector Autoregressions by Stochastic Volatility," Working Paper Series of the Department of Economics, University of Konstanz 2018-03, Department of Economics, University of Konstanz.
    159. Paul Hubert & Fabien Labondance, 2019. "Central bank tone and the dispersion of views within monetary policy committees," Working Papers hal-03403256, HAL.
    160. Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2012. "Liquidity Contagion. The Emerging Sovereign Debt Markets example," Post-Print hal-01632803, HAL.
    161. Dodd, Olga & Frijns, Bart & Indriawan, Ivan & Pascual, Roberto, 2023. "US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 301-320.
    162. Alali, Walid Y., 2010. "Impact of Institutions and Policy on Economic Growth: Empirical Evidence," MPRA Paper 115610, University Library of Munich, Germany.
    163. Brännäs Kurt & De Gooijer Jan G. & Lönnbark Carl & Soultanaeva Albina, 2012. "Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(1), pages 1-24, January.
    164. Michael Lobsiger & Marc Zahner, 2012. "Institutions And Economic Development: Disentangling The Role Of Contracting And Property Rights Institutions," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 37(2), pages 1-34, June.
    165. Owyang, Michael T. & Ramey, Garey, 2004. "Regime switching and monetary policy measurement," Journal of Monetary Economics, Elsevier, vol. 51(8), pages 1577-1597, November.
    166. Rigobon, Roberto, 2003. "On the measurement of the international propagation of shocks: is the transmission stable?," Journal of International Economics, Elsevier, vol. 61(2), pages 261-283, December.
    167. Tran, Viet T. & Walle, Yabibal M. & Herwartz, Helmut, 2020. "The impact of local financial development on firm growth in Vietnam: Does the level of corruption matter?," European Journal of Political Economy, Elsevier, vol. 62(C).
    168. Cesa-Bianchi, Ambrogio & Thwaites, Gregory & Vicondoa, Alejandro, 2016. "Monetary policy transmission in an open economy:new data and evidence from the United Kingdom," LSE Research Online Documents on Economics 86235, London School of Economics and Political Science, LSE Library.
    169. Ronald B. Davies & Rodolphe Desbordes, 2015. "Greenfield FDI and skill upgrading: A polarized issue," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 48(1), pages 207-244, February.
    170. Lukas Boeckelmann & Arthur Stalla-Bourdillon, 2021. "Structural Estimation of Time-Varying Spillovers:an Application to International Credit Risk Transmission," Working Papers hal-03338209, HAL.
    171. Lídia Farré & Roger Klein & Francis Vella, 2013. "A parametric control function approach to estimating the returns to schooling in the absence of exclusion restrictions: an application to the NLSY," Empirical Economics, Springer, vol. 44(1), pages 111-133, February.
    172. Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2012. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Working Papers 15030, University of Tasmania, Tasmanian School of Business and Economics, revised 29 Aug 2012.
    173. Ehrmann, Michael & Fratzscher, Marcel, 2017. "Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 26-44.
    174. Nave, Juan M. & Ruiz, Javier, 2015. "Risk aversion and monetary policy in a global context," Journal of Financial Stability, Elsevier, vol. 20(C), pages 14-35.
    175. Nakamura, Fumitaka & Sudo, Nao & Sugisaki, Yu, 2024. "Assessing monetary policy surprises in Japan by high frequency identification," Journal of the Japanese and International Economies, Elsevier, vol. 71(C).
    176. Petrova, Katerina, 2022. "Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models," Journal of Econometrics, Elsevier, vol. 230(1), pages 154-182.
    177. Pelizzon, Loriana & Sottocornola, Matteo, 2018. "The impact of monetary policy iInterventions on the insurance industry," SAFE Working Paper Series 204, Leibniz Institute for Financial Research SAFE.
    178. Jung, Alexander & Uhlig, Harald, 2019. "Monetary policy shocks and the health of banks," Working Paper Series 2303, European Central Bank.
    179. Karin Klieber, 2023. "Non-linear dimension reduction in factor-augmented vector autoregressions," Papers 2309.04821, arXiv.org.
    180. Dobromił Serwa & Piotr Wdowiński, 2017. "Modeling Macro-Financial Linkages: Combined Impulse Response Functions in SVAR Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(4), pages 323-357, December.
    181. Bachmeier, Lance, 2013. "Identification in models of gasoline pricing," Economics Letters, Elsevier, vol. 120(1), pages 71-73.
    182. Kul B. Luintel & Guangjie Li & Mosahid Khan, 2024. "The Threshold Effect of Finance on Growth: Reassessing the Burden of Evidence," Open Economies Review, Springer, vol. 35(5), pages 887-953, November.
    183. Prono, Todd, 2011. "When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models," MPRA Paper 33593, University Library of Munich, Germany.
    184. Justyna Wr'oblewska & {L}ukasz Kwiatkowski, 2024. "Identification of structural shocks in Bayesian VEC models with two-state Markov-switching heteroskedasticity," Papers 2406.03053, arXiv.org, revised Jun 2024.
    185. Kohonen, Anssi, 2012. "Transmission of Government Default Risk in the Eurozone," MPRA Paper 43823, University Library of Munich, Germany.
    186. Vance L. Martin & Brenda Gonzalez-Hermosillo, & Mardi Dungey & Renee A. Fry, 2004. "Empirical Modelling of Contagion: A Review of Methodologies," Econometric Society 2004 Australasian Meetings 243, Econometric Society.
    187. Marek A. Dąbrowski & Łukasz Kwiatkowski & Justyna Wróblewska, 2020. "Sources of Real Exchange Rate Variability in Central and Eastern European Countries: Evidence from Structural Bayesian MSH-VAR Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 12(4), pages 369-412, December.
    188. Liang Zhao & Liangyu Chen, 2022. "Research on the Impact of Government Environmental Information Disclosure on Green Total Factor Productivity: Empirical Experience from Chinese Province," IJERPH, MDPI, vol. 19(2), pages 1-20, January.
    189. Dong-Hyeon Kim & Shu-Chin Lin, 2012. "Inflation and Inflation Volatility Revisited," International Finance, Wiley Blackwell, vol. 15(3), pages 327-345, December.
    190. Ballester, Laura & Díaz-Mendoza, Ana Carmen & González-Urteaga, Ana, 2019. "A systematic review of sovereign connectedness on emerging economies," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 157-163.
    191. Hafner, Christian & Herwartz, Helmut & Maxand, Simone, 2020. "Identification of structural multivariate GARCH models," LIDAM Reprints ISBA 2020032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    192. Emanuele Bacchiocchi & Marta Bevilacqua, 2009. "International crises, instability periods and contagion: the case of the ERM," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 56(2), pages 105-122, June.
    193. Enzo Weber, 2011. "Analyzing U.S. Output and the Great Moderation by Simultaneous Unobserved Components," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(8), pages 1579-1597, December.
    194. Fredj Jawadi & Mohamed Hedi Arouri & Duc Khuong Nguyen, 2010. "Global financial crisis, liquidity pressure in stock markets and efficiency of central bank interventions," Applied Financial Economics, Taylor & Francis Journals, vol. 20(8), pages 669-680.
    195. Daniel J. Lewis, 2018. "Robust inference in models identified via heteroskedasticity," Staff Reports 876, Federal Reserve Bank of New York.
    196. Ugo Panizza & Charles Wyplosz, 2018. "The Folk Theorem of Decreasing Effectiveness of Monetary Policy: What Do the Data Say?," Russian Journal of Money and Finance, Bank of Russia, vol. 77(1), pages 71-107, March.
    197. Jolanta Tamošaitienė & Vahidreza Yousefi & Hamed Tabasi, 2021. "Project Portfolio Construction Using Extreme Value Theory," Sustainability, MDPI, vol. 13(2), pages 1-13, January.
    198. Khalid, Usman, 2015. "Why Trading with Dictators May Nevertheless Help the People: On the Interplay between Trade, Political Regimes and Economic Institutions," Working Papers 2015:15, Lund University, Department of Economics, revised 23 Jul 2015.
    199. Grosse Steffen, Christoph & Podstawski, Maximilian, 2017. "Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168101, Verein für Socialpolitik / German Economic Association.
    200. Velinov, Anton, 2018. "On the importance of testing structural identification schemes and the potential consequences of incorrectly identified models," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 2(1), pages 106-126.
    201. Pozo, Veronica F. & Bachmeier, Lance J. & Schroeder, Ted C., 2021. "Are there price asymmetries in the U.S. beef market?," Journal of Commodity Markets, Elsevier, vol. 21(C).
    202. Comin, Diego & Licht, Georg & Pellens, Maikel & Schubert, Torben, 2018. "Do Companies Benefit from Public Research Organizations? The Impact of the Fraunhofer Society in Germany," Papers in Innovation Studies 2018/7, Lund University, CIRCLE - Centre for Innovation Research.
    203. Rodrigo César de Castro Miranda & Benjamin Miranda Tabak & Mauricio Medeiros Junior, 2012. "Contagion in CDS, Banking and Equity Markets," Working Papers Series 293, Central Bank of Brazil, Research Department.
    204. Fernandez-Perez, Adrian & Frijns, Bart & Tourani-Rad, Alireza, 2016. "Contemporaneous interactions among fuel, biofuel and agricultural commodities," Energy Economics, Elsevier, vol. 58(C), pages 1-10.
    205. Lütkepohl, Helmut & Velinov, Anton, 2014. "Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity," SFB 649 Discussion Papers 2014-009, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    206. Arampatzidis, Ioannis & Dergiades, Theologos & Kaufmann, Robert K. & Panagiotidis, Theodore, 2021. "Oil and the U.S. stock market: Implications for low carbon policies," Energy Economics, Elsevier, vol. 103(C).
    207. Jarociński, Marek, 2021. "Estimating the Fed’s Unconventional Policy Shocks," Working Paper Series 20210, European Central Bank.
    208. Bollerslev, Tim & Li, Jia & Li, Qiyuan, 2024. "Optimal nonparametric range-based volatility estimation," Journal of Econometrics, Elsevier, vol. 238(1).
    209. Herwartz, Helmut & Lütkepohl, Helmut, 2014. "Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks," Journal of Econometrics, Elsevier, vol. 183(1), pages 104-116.
    210. Helmut Lütkepohl & Aleksei Netšunajev, 2015. "Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models," CESifo Working Paper Series 5308, CESifo.
    211. Roberto Rigobon, 2002. "Contagion: How to Measure It?," NBER Chapters, in: Preventing Currency Crises in Emerging Markets, pages 269-334, National Bureau of Economic Research, Inc.
    212. Diebold, F.X. & Kilian, L. & Nerlove, Marc, 2006. "Time Series Analysis," Working Papers 28556, University of Maryland, Department of Agricultural and Resource Economics.
    213. Michael Ehrmann & Marcel Fratzscher, 2015. "Euro Area Government Bonds: Integration and Fragmentation during the Sovereign Debt Crisis," Discussion Papers of DIW Berlin 1479, DIW Berlin, German Institute for Economic Research.
    214. Thore Schlaak & Malte Rieth & Maximilian Podstawski, 2023. "Monetary policy, external instruments, and heteroskedasticity," Quantitative Economics, Econometric Society, vol. 14(1), pages 161-200, January.
    215. Vincent (Vincent Peter) Hogan & Roberto Rigobon, 2002. "Using heteroscedasticity to estimate the returns to education," Open Access publications 10197/1100, School of Economics, University College Dublin.
    216. Andrea F. Presbitero, 2006. "Institutions and geography as sources of economic development," Journal of International Development, John Wiley & Sons, Ltd., vol. 18(3), pages 351-378.
    217. Subhani, Muhammad Imtiaz & Hasan, Syed Akif & Mehar, Dr. Ayub & Osman, Ms. Amber, 2011. "Are the Major South Asian Equity Markets Co-Integrated?," MPRA Paper 34737, University Library of Munich, Germany, revised 2011.
    218. Thorsten Drautzburg & Jonathan H. Wright, 2021. "Refining Set-Identification in VARs through Independence," Working Papers 21-31, Federal Reserve Bank of Philadelphia.
    219. Thomas Flavin & Ekaterini Panopoulou, 2006. "Shift versus traditional contagion in Asian markets," The Institute for International Integration Studies Discussion Paper Series iiisdp176, IIIS.
    220. Todd, Prono, 2009. "GARCH-Based Identification and Estimation of Triangular Systems," MPRA Paper 20032, University Library of Munich, Germany.
    221. Leung, Charles Ka Yui & CHEUNG, W. Y. Patrick & TANG, C. H. Edward, 2011. "Financial Crisis and the Comovements of Housing Sub-markets: Do relationships change after a crisis?," MPRA Paper 31627, University Library of Munich, Germany.
    222. Emi Nakamura & Jón Steinsson, 2018. "Identification in Macroeconomics," Journal of Economic Perspectives, American Economic Association, vol. 32(3), pages 59-86, Summer.
    223. Matei Demetrescu & Robinson Kruse-Becher, 2021. "Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models," CREATES Research Papers 2021-07, Department of Economics and Business Economics, Aarhus University.
    224. Sameer Khatiwada, 2017. "Quantitative Easing by the Fed and International Capital Flows," IHEID Working Papers 02-2017, Economics Section, The Graduate Institute of International Studies.
    225. Helmut Lütkepohl & Aleksei Netsunajev, 2012. "Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs," Discussion Papers of DIW Berlin 1195, DIW Berlin, German Institute for Economic Research.
    226. Helmut Lütkepohl, 2012. "Reducing Confidence Bands for Simulated Impulse Responses," Discussion Papers of DIW Berlin 1235, DIW Berlin, German Institute for Economic Research.
    227. Catalina Martinez, 2015. "Doing Well by Doing Good? Empirical Evidence from Microfinance," CFD Working Papers 06-2015, Centre for Finance and Development, The Graduate Institute.
    228. Roberto Rigobon, 2001. "The Curse of Non-Investment Grade Countries," NBER Working Papers 8636, National Bureau of Economic Research, Inc.
    229. Thomas Flavin & Ekaterini Panopoulou, 2006. "International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility," The Institute for International Integration Studies Discussion Paper Series iiisdp167, IIIS.
    230. Bonfiglioli, Alessandra & Favero, Carlo A., 2005. "Explaining co-movements between stock markets: The case of US and Germany," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1299-1316, December.
    231. Alexander Kriwoluzky, 2009. "Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models," Economics Working Papers ECO2009/29, European University Institute.
    232. Carlos Goncalves & Mauro Rodrigues & Fernando Genta, 2022. "Elusive Unpleasantness," Working Papers, Department of Economics 2022_16, University of São Paulo (FEA-USP).
    233. Helmut Lutkepohl & Fei Shang & Luis Uzeda & Tomasz Wo'zniak, 2024. "Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference," Papers 2404.11057, arXiv.org.
    234. Chen, Zhihong & Xia, Huizhu, 2020. "Trend instrumental variable regression with an application to the US New Keynesian Phillips Curve," Economic Modelling, Elsevier, vol. 93(C), pages 595-604.
    235. Santeramo, Fabio Gaetano, 2014. "On the estimation of supply and demand elasticities of agricultural commodites," AGRODEP technical notes TN-10, International Food Policy Research Institute (IFPRI).
    236. Hafedh Bouakez & Michel Normandin, 2008. "Fluctuations in the Foreign Exchange Market: How Important are Monetary Policy Shocks?," Cahiers de recherche 0818, CIRPEE.
    237. Mr. M. Nowak & Mr. Ketil Hviding & Mr. Luca A Ricci, 2004. "Can Higher Reserves Help Reduce Exchange Rate Volatility?," IMF Working Papers 2004/189, International Monetary Fund.
    238. Abrahams, Michael & Adrian, Tobias & Crump, Richard K. & Moench, Emanuel & Yu, Rui, 2016. "Decomposing real and nominal yield curves," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 182-200.
    239. Fengler, Matthias & Polivka, Jeannine, 2021. "Proxy-identification of a structural MGARCH model for asset returns," Economics Working Paper Series 2103, University of St. Gallen, School of Economics and Political Science, revised Oct 2024.
    240. Griller, Stefan & Huber, Florian & Pfarrhofer, Michael, 2024. "Financial markets and legal challenges to unconventional monetary policy," European Economic Review, Elsevier, vol. 163(C).
    241. Luetkepohl, Helmut & Milunovich, George, 2015. "Testing for identification in SVAR-GARCH models," SFB 649 Discussion Papers 2015-030, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    242. Nagao, Ryoya & Kondo, Yoshihiro & Nakazono, Yoshiyuki, 2021. "The macroeconomic effects of monetary policy: Evidence from Japan," Journal of the Japanese and International Economies, Elsevier, vol. 61(C).
    243. Brigitte Desroches & Michael Francis, 2006. "Institutional Quality, Trade, and the Changing Distribution of World Income," Staff Working Papers 06-19, Bank of Canada.
    244. González, Mariano, 2016. "Asymmetric causality in-mean and in-variance among equity markets indexes," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 49-68.
    245. Strohsal, Till & Weber, Enzo, 2015. "Time-varying international stock market interaction and the identification of volatility signals," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 28-36.
    246. Helmut Herwartz & Alexander Lange & Simone Maxand, 2022. "Data‐driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?," Economic Inquiry, Western Economic Association International, vol. 60(2), pages 668-693, April.
    247. Jean Arcand & Enrico Berkes & Ugo Panizza, 2015. "Too much finance?," Journal of Economic Growth, Springer, vol. 20(2), pages 105-148, June.
    248. Faqin Lin & Ermias O. Weldemicael & Xiaosong Wang, 2017. "Export sophistication increases income in sub-Saharan Africa: evidence from 1981–2000," Empirical Economics, Springer, vol. 52(4), pages 1627-1649, June.
    249. Richard Bluhm & Adam Szirmai, 2011. "Institutions, Inequality and Growth: A review of theory and evidence on the institutional determinants of growth and inequality," Papers inwopa634, Innocenti Working Papers.
    250. Yohei Yamamoto & Naoko Hara, 2022. "Identifying factor‐augmented vector autoregression models via changes in shock variances," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 722-745, June.
    251. Dmitry Kulikov & Aleksei Netsunajev, 2016. "Identifying Shocks in Structural VAR models via heteroskedasticity: a Bayesian approach," Bank of Estonia Working Papers wp2015-8, Bank of Estonia, revised 19 Feb 2016.
    252. Herwartz, Helmut & Morales-Arias, Leonardo, 2010. "An empirical analysis of the relationship between US monetary policy and international asset prices," Kiel Working Papers 1581, Kiel Institute for the World Economy (IfW Kiel).
    253. Bomin Jiang & Roberto Rigobon & Munther A. Dahleh, 2020. "Contingent Linear Financial Networks," NBER Working Papers 26814, National Bureau of Economic Research, Inc.
    254. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007. "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets," CREATES Research Papers 2007-20, Department of Economics and Business Economics, Aarhus University.
    255. Küçükkocaoğlu, Güray & Ünalmış, Deren & Ünalmış, İbrahim, 2013. "How do banks' stock returns respond to monetary policy committee announcements in Turkey? Evidence from traditional versus new monetary policy episodes," Economic Modelling, Elsevier, vol. 35(C), pages 536-545.
    256. Florian Kajuth, 2016. "NAIRU Estimates for Germany: New Evidence on the Inflation–Unemployment Tradeoff," German Economic Review, Verein für Socialpolitik, vol. 17(1), pages 104-125, February.
    257. Mollah, Sabur & Zafirov, Goran & Quoreshi, AMM Shahiduzzaman, 2014. "Financial Market Contagion during the Global Financial Crisis," Working Papers 2014/05, Blekinge Institute of Technology, Department of Industrial Economics.
    258. Hui Chen & Scott Joslin & Sophie X. Ni, 2019. "Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets," NBER Working Papers 25573, National Bureau of Economic Research, Inc.
    259. Emanuele Bacchiocchi & Toru Kitagawa, 2020. "Locally- but not globally-identified SVARs," CeMMAP working papers CWP40/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    260. Fengler, Matthias & Polivka, Jeanine, 2022. "Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model," VfS Annual Conference 2022 (Basel): Big Data in Economics 264010, Verein für Socialpolitik / German Economic Association.
    261. Faqin Lin & Wenshou Yan & Xiaosong Wang, 2017. "The impact of Africa-China's diplomatic visits on bilateral trade," Scottish Journal of Political Economy, Scottish Economic Society, vol. 64(3), pages 310-326, July.
    262. Alali, Walid Y. & Ellalee, Haider, 2018. "The Brexit Impact on Inward FDI in the UK," EconStor Preprints 274655, ZBW - Leibniz Information Centre for Economics.
    263. Mr. Marc G Quintyn & Sophia Gollwitzer, 2012. "Institutional Transformations, Polity and Economic Outcomes: Testing the North-Wallis-Weingast Doorsteps Framework," IMF Working Papers 2012/087, International Monetary Fund.
    264. Carvalho, Carlos & Nechio, Fernanda & Tristão, Tiago, 2021. "Taylor rule estimation by OLS," Journal of Monetary Economics, Elsevier, vol. 124(C), pages 140-154.
    265. Barbara Rossi, 2019. "Identifying and Estimating the Effects of Unconventional Monetary Policy in the Data: How to Do It and What Have We Learned?," Working Papers 1081, Barcelona School of Economics.
    266. Joseph J. Sabia, 2007. "Reading, Writing, And Sex: The Effect Of Losing Virginity On Academic Performance," Economic Inquiry, Western Economic Association International, vol. 45(4), pages 647-670, October.
    267. Francesco Furlanetto, 2011. "Does Monetary Policy React to Asset Prices? Some International Evidence," International Journal of Central Banking, International Journal of Central Banking, vol. 7(3), pages 91-111, September.
    268. Giavazzi, Francesco & Favero, Carlo A., 2000. "Looking for Contagion: the Evidence from the ERM," CEPR Discussion Papers 2591, C.E.P.R. Discussion Papers.
    269. Thomas J.Flavin & Ekaterini Panopoulou, 2007. "On the robustness of international portfolio diversification benefits to regime-switching volatility," Economics Department Working Paper Series n1801007.pdf, Department of Economics, National University of Ireland - Maynooth.
    270. Murat Duran & Gulserim Ozcan & Pinar Ozlu & Deren Unalmis, 2010. "Measuring the Impact of Monetary Policy on Asset Prices in Turkey (Turkiye�de Para Politikasinin Finansal Varlik Fiyatlari Uzerine Etkisi)," Working Papers 1017, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    271. Joao Ricardo Faria & Le Wang & Zhongmin Wu, 2009. "Debts on debts," NBS Discussion Papers in Economics 2009/7, Economics, Nottingham Business School, Nottingham Trent University.
    272. Francis Breedon & Louisa Chen & Angelo Ranaldo & Nicholas Vause, 2018. "Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal," Working Papers on Finance 1808, University of St. Gallen, School of Finance.
    273. Andersen, Torben G. & Archakov, Ilya & Cebiroglu, Gökhan & Hautsch, Nikolaus, 2022. "Local mispricing and microstructural noise: A parametric perspective," Journal of Econometrics, Elsevier, vol. 230(2), pages 510-534.
    274. Dudek, Jérémy, 2013. "Illiquidité, contagion et risque systémique," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/13236 edited by Le Fol, Gaëlle.
    275. Kilian, Lutz, 2011. "Structural Vector Autoregressions," CEPR Discussion Papers 8515, C.E.P.R. Discussion Papers.
    276. S. Rubun Dey & Christopher J. Neely, 2010. "A survey of announcement effects on foreign exchange returns," Review, Federal Reserve Bank of St. Louis, vol. 92(Sep), pages 417-464.
    277. Andrian, Leandro Gaston & Rodríguez, César M. & Valencia, Oscar, 2024. "Surges in the Shadows: Stock-Flow Adjustments and Public Debt Spikes," IDB Publications (Working Papers) 13725, Inter-American Development Bank.
    278. Klaeffling, Matt, 2003. "Macroeconomic modelling of monetary policy," Working Paper Series 257, European Central Bank.
    279. Daniel J. Lewis, 2019. "Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Macroeconomic Effects," Staff Reports 891, Federal Reserve Bank of New York.
    280. Prabu A, Edwin & Bhattacharyya, Indranil & Ray, Partha, 2016. "Is the stock market impervious to monetary policy announcements: Evidence from emerging India," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 166-179.
    281. Perron, Pierre & Yamamoto, Yohei & 山本, 庸平, 2019. "The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence," Discussion paper series HIAS-E-90, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    282. Chaudhry, Sajid M. & Shafiullah, Muhammad, 2021. "Does culture affect energy poverty? Evidence from a cross-country analysis," Energy Economics, Elsevier, vol. 102(C).
    283. Ahmed, Rifaan & Kesavayuth, Dusanee & Zikos, Vasileios, 2018. "Does being smarter make you happier? Evidence from Europe," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 76(C), pages 55-67.
    284. Marinela Adriana Finta & Bart Frijns & Alireza Tourani-Rad, 2019. "Time-varying contemporaneous spillovers during the European Debt Crisis," Empirical Economics, Springer, vol. 57(2), pages 423-448, August.
    285. Emiliano A. Carlevaro & Leandro M. Magnusson, 2020. "The (in)stability of stock returns and monetary policy interdependence in the US," Economics Discussion / Working Papers 20-27, The University of Western Australia, Department of Economics.
    286. Jan Philipp Fritsche & Patrick Christian Harms, 2020. "Better off without the Euro? A Structural VAR Assessment of European Monetary Policy," Discussion Papers of DIW Berlin 1907, DIW Berlin, German Institute for Economic Research.
    287. Lawley, Chad, 2013. "Protectionism versus risk in screening for invasive species," Journal of Environmental Economics and Management, Elsevier, vol. 65(3), pages 438-451.
    288. Philip Arestis & Guglielmo Maria Caporale & Andrea Cipollini, 2003. "Testing for Financial Contagion between Developed and Emerging Markets during the 1997 East Asian Crisis," Economics Working Paper Archive wp_370, Levy Economics Institute.
    289. Alessandro Girardi & Marco Ventura, 2021. "Measuring credit crunch in Italy: evidence from a survey-based indicator," Annals of Operations Research, Springer, vol. 299(1), pages 567-592, April.
    290. Guzman, Jorge & Liu, Yupeng, 2019. "Short Term Credit Costs and U.S. Entrepreneurship," SocArXiv ap978, Center for Open Science.
    291. David Welsch & David Zimmer, 2010. "The Effect of Health and Poverty on Early Childhood Cognitive Development," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 38(1), pages 37-49, March.
    292. Thomas J. Flavin and Ekaterini Panopoulou, 2007. "Detecting Shift and Pure Contagion in East Asian Equity Markets: A Unified Approach," The Institute for International Integration Studies Discussion Paper Series iiisdp236, IIIS.
    293. Aaronson, Daniel & Brave, Scott A. & Butters, R. Andrew & Fogarty, Michael & Sacks, Daniel W. & Seo, Boyoung, 2022. "Forecasting unemployment insurance claims in realtime with Google Trends," International Journal of Forecasting, Elsevier, vol. 38(2), pages 567-581.
    294. Faqin Lin, 2015. "Estimating the effect of the Internet on international trade," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 24(3), pages 409-428, April.
    295. Faqin Lin, 2018. "Cross†country diffusion of ideology via FDI : Micro†evidence from China," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 26(1), pages 3-34, January.
    296. Yuanyuan Peng & H. Holly Wang & Yueshu Zhou, 2022. "Can cooperatives help commercial farms to access credit in China? Evidence from Jiangsu Province," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 70(4), pages 325-349, December.
    297. Y.L. Cheung & Y.W. Cheung & K.C. Ng, 2003. "East Asian Equity Markets, Financial Crises, and the Japanese Currency," Working Papers 032003, Hong Kong Institute for Monetary Research.
    298. Siklos, Pierre L., 2008. "The Fed's reaction to the stock market during the great depression: Fact or artefact?," Explorations in Economic History, Elsevier, vol. 45(2), pages 164-184, April.
    299. Thomas Grjebine & Fabien Tripier, 2015. "Excess Finance and Growth: Don't Lose Sight of Expansions !," Working Papers 2015-31, CEPII research center.
    300. Kholodilin, Konstantin & Montagnoli, Alberto & Napolitano, Oreste & Siliverstovs, Boriss, 2009. "Assessing the impact of the ECB's monetary policy on the stock markets: A sectoral view," Economics Letters, Elsevier, vol. 105(3), pages 211-213, December.
    301. Thomas Grjebine & Fabien Tripier, 2016. "Finance and Growth: From the Business Cycle to the Long Run," Working Papers 2016-28, CEPII research center.
    302. Xun Gong & Shenggang Yang & Min Zhang, 2017. "Not Only Health: Environmental Pollution Disasters and Political Trust," Sustainability, MDPI, vol. 9(4), pages 1-28, April.
    303. Filippo Brutti & Philip Sauré, 2012. "Transmission of Sovereign Risk in the Euro Crisis," Working Papers 12.01, Swiss National Bank, Study Center Gerzensee.
    304. Barra, Cristian & Papaccio, Anna & Ruggiero, Nazzareno, 2024. "Are cooperative and commercial banks equally effective in reducing the shadow economy? International evidence," Economic Modelling, Elsevier, vol. 138(C).
    305. Kajuth, Florian, 2021. "Land leverage and the housing market: Evidence from Germany1," Journal of Housing Economics, Elsevier, vol. 51(C).
    306. Kramkov, Viacheslav & Maksimov, Andrey, 2024. "Monetary surprises and term structure of interest rates: Identification through heteroscedasticity," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 74, pages 5-34.
    307. Winkelmann, Lars & Netsunajev, Aleksei, 2015. "International Transmissions of Inflation Expectations in a Markov Switching Structural VAR Model," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112900, Verein für Socialpolitik / German Economic Association.
    308. Emanuele Bacchiocchi & Catalin Dragomirescu-Gaina, 2022. "Uncertainty spill-overs: when policy and financial realms overlap," Working Papers wp1174, Dipartimento Scienze Economiche, Universita' di Bologna.
    309. Montes-Rojas, Gabriel & Galvao, Antonio F., 2014. "Bayesian endogeneity bias modeling," Economics Letters, Elsevier, vol. 122(1), pages 36-39.
    310. Emi Nakamura & Jón Steinsson, 2018. "High-Frequency Identification of Monetary Non-Neutrality: The Information Effect," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 133(3), pages 1283-1330.
    311. Weber, Enzo & Zhang, Yanqun, 2012. "Common influences, spillover and integration in Chinese stock markets," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 382-394.
    312. Borgy, V. & Idier, J. & Le Fol, G., 2010. "Liquidity problems in the FX liquid market: Ask for the "BIL"," Working papers 279, Banque de France.
    313. Feenstra, Robert C. & Gopinath, Munisamy, 2010. "Chapter 7: The Gains From International Trade Under Monopolistic Competition," 2010: Trade in Agriculture: Much Done, So Much More to Do, December 2010, Berkeley, California 184023, International Agricultural Trade Research Consortium.
    314. Kerstin Bernoth & Helmut Herwartz & Lasse Trienens, 2024. "Interest Rates, Convenience Yields, and Inflation Expectations: Drivers of US Dollar Exchange Rates," Discussion Papers of DIW Berlin 2100, DIW Berlin, German Institute for Economic Research.
    315. Tran, Viet T. & Nguyen, Trung Thanh & Tran, Nguyet T.M., 2019. "Gender difference in access to local finance and firm performance: Evidence from a panel survey in Vietnam," Economic Analysis and Policy, Elsevier, vol. 63(C), pages 150-164.
    316. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano, 2021. "Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty," Journal of Econometrics, Elsevier, vol. 225(1), pages 47-73.
    317. Christopher F Baum & Arthur Lewbel, 2019. "Advice on using heteroskedasticity-based identification," Stata Journal, StataCorp LP, vol. 19(4), pages 757-767, December.
    318. Gonzalez-Hermosillo Gonzalez, B.M., 2008. "Transmission of shocks across global financial markets : The role of contagion and investors' risk appetite," Other publications TiSEM d684f3c7-7ad8-4e93-88cf-a, Tilburg University, School of Economics and Management.
    319. Kerstin Bernoth & Helmut Herwartz & Lasse Trienens, 2023. "The Impacts of Global Risk and US Monetary Policy on US Dollar Exchange Rates and Excess Currency Returns," Discussion Papers of DIW Berlin 2037, DIW Berlin, German Institute for Economic Research.
    320. Guimaraes, Bernardo & ,, 2007. "Monetary Policy, Default Risk and the Exchange Rate," CEPR Discussion Papers 6501, C.E.P.R. Discussion Papers.
    321. Garriga, Ana Carolina & Rodriguez, Cesar M., 2023. "Central bank independence and inflation volatility in developing countries," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 1320-1341.
    322. Spargoli, Fabrizio & Zagaglia, Paolo, 2008. "The co-movements along the forward curve of natural gas futures: a structural view," Bank of Finland Research Discussion Papers 26/2008, Bank of Finland.
    323. Markku Lanne & Helmut Luetkepohl & Katarzyna Maciejowska, 2009. "Structural Vector Autoregressions with Markov Switching," Economics Working Papers ECO2009/06, European University Institute.
    324. Massacci, D., 2007. "Identification and Estimation in an Incoherent Model of Contagion," Cambridge Working Papers in Economics 0744, Faculty of Economics, University of Cambridge.
    325. Dmitry Kulikov & Aleksei Netsunajev, 2013. "Identifying monetary policy shocks via heteroskedasticity: a Bayesian approach," Bank of Estonia Working Papers wp2013-9, Bank of Estonia, revised 09 Dec 2013.
    326. Herwartz, Helmut & Roestel, Jan, 2022. "Asset prices, financial amplification and monetary policy: Structural evidence from an identified multivariate GARCH model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    327. Jonathan H. Wright, 2012. "What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound?," Economic Journal, Royal Economic Society, vol. 122(564), pages 447-466, November.
    328. Emanuele BACCHIOCCHI & Riccardo Jack LUCCHETTI, 2015. "Structure-Based SVAR Identification," Departmental Working Papers 2015-11, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    329. Lin, Mucai & Niu, Linlin, 2021. "Echo over the great wall: Spillover effects of QE announcements on Chinese yield curve," Journal of International Money and Finance, Elsevier, vol. 111(C).
    330. Margaret M. Jacobson & Christian Matthes & Todd B. Walker, 2022. "Inflation Measured Every Day Keeps Adverse Responses Away: Temporal Aggregation and Monetary Policy Transmission," Finance and Economics Discussion Series 2022-054, Board of Governors of the Federal Reserve System (U.S.).
    331. Marcello Pericoli & Giovanni Veronese, 2017. "Monetary policy surprises over time," Temi di discussione (Economic working papers) 1102, Bank of Italy, Economic Research and International Relations Area.
    332. Helmut Herwartz & Alexander Lange, 2024. "How certain are we about the role of uncertainty in the economy?," Economic Inquiry, Western Economic Association International, vol. 62(1), pages 126-149, January.
    333. Alex Coad, 2022. "Lumps, Bumps and Jumps in the Firm Growth Process," Foundations and Trends(R) in Entrepreneurship, now publishers, vol. 18(4), pages 212-267, April.
    334. Cordoni, Francesco & Dorémus, Nicolas & Moneta, Alessio, 2024. "Identification of vector autoregressive models with nonlinear contemporaneous structure," Journal of Economic Dynamics and Control, Elsevier, vol. 162(C).
    335. Kien C. Tran & Mike G. Tsionas, 2022. "Instrumental Variables Estimation without Outside Instruments," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(3), pages 489-506, September.
    336. Forti Grazzini, Caterina & Rieth, Malte, 2017. "Interest Rates and Exchange Rates in Normal and Crisis Times," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168281, Verein für Socialpolitik / German Economic Association.
    337. Emanuele BACCHIOCCHI & Luca FANELLI, 2012. "Identification in structural vector autoregressive models with structural changes," Departmental Working Papers 2012-16, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    338. Lukas Boer & Lukas Menkhoff & Malte Rieth, 2021. "The Multifaceted Impact of US Trade Policy on Financial Markets," Discussion Papers of DIW Berlin 1956, DIW Berlin, German Institute for Economic Research.
    339. Luca Eduardo Fierro & Mario Martinoli, 2024. "An Empirical Inquiry into the Distributional Consequences of Energy Price Shocks," LEM Papers Series 2024/30, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    340. Zhou, Siwen, 2018. "Measuring the Signaling Effect of the ECB’s Asset Purchase Programme at the Effective Lower Bound," MPRA Paper 87084, University Library of Munich, Germany.
    341. Peter Boswijk, H. & van der Weide, Roy, 2011. "Method of moments estimation of GO-GARCH models," Journal of Econometrics, Elsevier, vol. 163(1), pages 118-126, July.
    342. Karamysheva, Madina & Skrobotov, Anton, 2022. "Do we reject restrictions identifying fiscal shocks? identification based on non-Gaussian innovations," Journal of Economic Dynamics and Control, Elsevier, vol. 138(C).
    343. Bierbaumer, Daniel & Rieth, Malte & Velinov, Anton, 2021. "The state-dependent trading behavior of banks in the oil futures market," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 1011-1024.
    344. Denny, Kevin & Oppedisano, Veruska, 2013. "The surprising effect of larger class sizes: Evidence using two identification strategies," Labour Economics, Elsevier, vol. 23(C), pages 57-65.
    345. Tim Bollerslev & Jia Li & Zhipeng Liao, 2021. "Fixed‐k inference for volatility," Quantitative Economics, Econometric Society, vol. 12(4), pages 1053-1084, November.
    346. Bertille Antoine & Otilia Boldea & Niccolo Zaccaria, 2024. "Efficient two-sample instrumental variable estimators with change points and near-weak identification," Papers 2406.17056, arXiv.org.
    347. Thorsten Beck, 2009. "The Econometrics of Finance and Growth," Palgrave Macmillan Books, in: Terence C. Mills & Kerry Patterson (ed.), Palgrave Handbook of Econometrics, chapter 25, pages 1180-1209, Palgrave Macmillan.
    348. Aleksandr Grigoryan & Knar Khachatryan, 2018. "Remittances and Emigration Intentions: Evidence from Armenia," CERGE-EI Working Papers wp626, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    349. Emanuele Bacchiocchi & Efrem Castelnuovo & Luca Fanelli, 2014. "Gimme a break! Identification and estimation of the macroeconomic effects of monetary policy shocks in the U.S," "Marco Fanno" Working Papers 0181, Dipartimento di Scienze Economiche "Marco Fanno".
    350. Asadul Islam & Faridul Islam & Chau Nguyen, 2013. "Skilled Immigration, Innovation and Wages of Native-born American," Monash Economics Working Papers 10-13, Monash University, Department of Economics.
    351. Youta Ishii, 2008. "International transmissions in US-Japanese stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 18(15), pages 1193-1200.
    352. Herwartz, Helmut & Rohloff, Hannes & Wang, Shu, 2020. "Proxy SVAR identification of monetary policy shocks: MonteCarlo evidence and insights for the US," University of Göttingen Working Papers in Economics 404, University of Goettingen, Department of Economics.
    353. Miren Azkarate-Askasua & Miguel Zerecero, 2023. "Union and Firm Labor Market Power," CRC TR 224 Discussion Paper Series crctr224_2023_475, University of Bonn and University of Mannheim, Germany.
    354. Hattori, Masazumi & Shim, Ilhyock & Sugihara, Yoshihiko, 2021. "Cross-stock market spillovers through variance risk premiums and equity flows," Journal of International Money and Finance, Elsevier, vol. 119(C).
    355. Guglielmo Maria Caporale & Nicola Spagnolo, 2011. "Stock Market Integration between Three CEECs, Russia, and the UK," Review of International Economics, Wiley Blackwell, vol. 19(1), pages 158-169, February.
    356. Bierbaumer, Daniel & Rieth, Malte & Velinov, Anton, 2021. "The state-dependent trading behavior of banks in the oil futures market," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 191, pages 1011-1024.
    357. Kajuth, Florian, 2012. "Identifying the Phillips curve through shifts in volatility," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 975-991.
    358. T. Grjebine & U. Szczerbowicz & F. Tripier, 2017. "Corporate Debt Structure and Economic Recoveries," Working papers 646, Banque de France.
    359. De Santis, Roberto A. & Zimic, Srečko, 2017. "Spillovers among sovereign debt markets: identification by absolute magnitude restrictions," Working Paper Series 2055, European Central Bank.
    360. Enzo Weber, 2010. "Volatility and causality in Asia Pacific financial markets," Applied Financial Economics, Taylor & Francis Journals, vol. 20(16), pages 1269-1292.
    361. Daniel Bierbaumer & Malte Rieth & Anton Velinov, 2018. "Nonlinear Intermediary Pricing in the Oil Futures Market," Discussion Papers of DIW Berlin 1722, DIW Berlin, German Institute for Economic Research.
    362. Nikiforos Laopodis, 2010. "Dynamic linkages between monetary policy and the stock market," Review of Quantitative Finance and Accounting, Springer, vol. 35(3), pages 271-293, October.
    363. Ma, Liang, 2024. "Using stock prices to help identify unconventional monetary policy shocks for external instrument SVAR," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1234-1247.
    364. Karayalcin, Cem & Ulubaşoğlu, Mehmet Ali, 2020. "Romes without empires: Urban concentration, political competition, and economic development," European Journal of Political Economy, Elsevier, vol. 63(C).
    365. Michael Hachula & Malte Rieth, 2017. "Identifying Speculative Demand Shocks in Commodity Futures Markets through Changes in Volatility," Discussion Papers of DIW Berlin 1646, DIW Berlin, German Institute for Economic Research.
    366. Delis, Manthos D & Tsionas, Efthymios, 2011. "A new method to estimate the risk of financial intermediaries," MPRA Paper 34735, University Library of Munich, Germany.
    367. Bertille Antoine & Otilia Boldea, 2015. "Efficient Inference with Time-Varying Information and the New Keynesian Phillips Curve," Discussion Papers dp15-04, Department of Economics, Simon Fraser University, revised 25 Aug 2016.
    368. Delis, Manthos & Hasan, Iftekhar & Tsionas, Efthymios, 2015. "Banks’ Risk Endogenous to Strategic Management Choices," MPRA Paper 64907, University Library of Munich, Germany.
    369. Pami Dua & Divya Tuteja, 2013. "Interdependence Of International Financial Market-- The Case Of India And U.S," Working papers 223, Centre for Development Economics, Delhi School of Economics.
    370. Helmut Lütkepohl & George Milunovich, 2015. "Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates," Discussion Papers of DIW Berlin 1455, DIW Berlin, German Institute for Economic Research.
    371. David Bowman & Juan M. Londono & Horacio Sapriza, 2014. "U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies," International Finance Discussion Papers 1109, Board of Governors of the Federal Reserve System (U.S.).
    372. Chia‐Yi Yen & Yu‐Hsi Chou, 2020. "Understanding The Macroeconomic Impact Of Illiquidity Shocks In The United States," Economic Inquiry, Western Economic Association International, vol. 58(3), pages 1245-1278, July.
    373. Sascha A. Keweloh & Mathias Klein & Jan Pruser, 2023. "Estimating Fiscal Multipliers by Combining Statistical Identification with Potentially Endogenous Proxies," Papers 2302.13066, arXiv.org, revised May 2024.
    374. Weber, Enzo, 2007. "Who leads financial markets?," SFB 649 Discussion Papers 2007-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    375. Ms. Hélène Poirson & Mr. Luca A Ricci & Ms. Catherine A Pattillo, 2004. "What Are the Channels Through Which External Debt Affects Growth?," IMF Working Papers 2004/015, International Monetary Fund.
    376. Mardi Dungey & Eric Renault, 2018. "Identifying contagion," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 227-250, March.
    377. Ndubuisi, Gideon & Otioma, Chuks & Owusu, Solomon & Tetteh, Godsway Korku, 2022. "ICTs quality and technical efficiency: An empirical analysis," Telecommunications Policy, Elsevier, vol. 46(10).
    378. Herwartz, Helmut & Rohloff, Hannes & Wang, Shu, 2022. "Proxy SVAR identification of monetary policy shocks - Monte Carlo evidence and insights for the US," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    379. Klein, Roger & Vella, Francis, 2006. "Estimating the Return to Endogenous Schooling Decisions for Australian Workers via Conditional Second Moments," IZA Discussion Papers 2407, Institute of Labor Economics (IZA).
    380. Yahyaei, Hamid & Singh, Abhay & De Mello, Lurion, 2024. "The Federal Reserve’s Quantitative Easing policy and volatility spillovers: Evidence from Australia," International Review of Economics & Finance, Elsevier, vol. 94(C).
    381. Luca, Alina & Petrova, Iva, 2008. "What drives credit dollarization in transition economies?," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 858-869, May.
    382. Ha Yan Lee & Luca Antonio Ricci & Roberto Rigobon, 2004. "Once Again, is Openness Good for Growth?," NBER Working Papers 10749, National Bureau of Economic Research, Inc.
    383. Burak Eroglu & Secil Yildirim-Karaman, 2017. "Responses Of Term Structure Of Interest Rates And Asset Prices To Monetary Policy Shocks: Evidence From Turkey," Working Papers 1705, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
    384. Roberto Rigobon & Dani Rodrik, 2005. "Rule of law, democracy, openness, and income," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 13(3), pages 533-564, July.
    385. Pablo Ottonello & Wenting Song, 2022. "Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification," NBER Working Papers 29638, National Bureau of Economic Research, Inc.
    386. Adjemian, Michael K. & Janzen, Joseph & Carter, Colin A. & Smith, Aaron, 2014. "Deconstructing Wheat Price Spikes: A Model of Supply and Demand, Financial Speculation, and Commodity Price Comovement," Economic Research Report 167369, United States Department of Agriculture, Economic Research Service.
    387. Xiaodong Du & Lihong Lu McPhail, 2012. "Inside the Black Box: the Price Linkage and Transmission between Energy and Agricultural Markets," The Energy Journal, , vol. 33(2), pages 171-194, April.
    388. Chen, Wenjuan & Netšunajev, Aleksei, 2016. "On the long-run neutrality of demand shocks," Economics Letters, Elsevier, vol. 139(C), pages 57-60.
    389. Thiago Drummond de Mendonça Giudici & Elcyon Caiado Rocha Lima, 2024. "The business cycle in Brazil: identification via heteroskedasticity," International Economics and Economic Policy, Springer, vol. 21(3), pages 649-684, July.
    390. Faqin Lin, 2017. "Credit Constraints, Export Mode and Firm Performance: An Investigation of China's Private Enterprises," Pacific Economic Review, Wiley Blackwell, vol. 22(1), pages 123-143, February.
    391. Andrea Giovanni Gazzani & Alejandro Vicondoa, 2019. "Proxy-SVAR as a Bridge for Identification with Higher Frequency Data," 2019 Meeting Papers 855, Society for Economic Dynamics.
    392. Ellalee, Haider & Alali, Walid Y., 2018. "The Brexit Impact on Inward FDI in the UK," MPRA Paper 117510, University Library of Munich, Germany, revised 20 May 2018.
    393. Jinan Liu & Sajjadur Rahman & Apostolos Serletis, 2021. "Cryptocurrency shocks," Manchester School, University of Manchester, vol. 89(2), pages 190-202, March.
    394. D’Haultfœuille, Xavier & Hoderlein, Stefan & Sasaki, Yuya, 2024. "Testing and relaxing the exclusion restriction in the control function approach," Journal of Econometrics, Elsevier, vol. 240(2).
    395. Miguel Fernandes & João S. Andrade & Adelaide Duarte & Marta Simões, 2022. "Inequality and growth in Portugal: A reappraisal for the period 1986–2017," Poverty & Public Policy, John Wiley & Sons, vol. 14(1), pages 25-49, March.
    396. Alali, Walid Y., 2010. "Impact of Institutions and Policy on Economic Growth: Empirical Evidence," EconStor Preprints 269878, ZBW - Leibniz Information Centre for Economics.
    397. Gervais, Antoine, 2023. "Controlling for Exporter-Year Factors when Estimating Import-Demand Elasticities," MPRA Paper 117421, University Library of Munich, Germany.
    398. Weber, Enzo, 2008. "Macro wine in financial skins: The Oil-FX interdependence," SFB 649 Discussion Papers 2008-048, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    399. Garcia, Márcio & Guillen, Diogo & Ribeiro, Bernardo & Velloso, João, 2024. "International macroeconomic vulnerability," Journal of International Money and Finance, Elsevier, vol. 146(C).
    400. Maxand, Simone, 2020. "Identification of independent structural shocks in the presence of multiple Gaussian components," Econometrics and Statistics, Elsevier, vol. 16(C), pages 55-68.
    401. Rossi, Barbara, 2019. "Identifying and Estimating the Effects of Unconventional Monetary Policy: How to Do It And What Have We Learned?," CEPR Discussion Papers 14064, C.E.P.R. Discussion Papers.
    402. Pozo, Veronica F. & Schroeder, Ted C., 2012. "Price and Volatility Spillover between Livestock and Related Commodity Markets," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124798, Agricultural and Applied Economics Association.
    403. Arthur Lewbel, 2018. "The Identification Zoo - Meanings of Identification in Econometrics," Boston College Working Papers in Economics 957, Boston College Department of Economics, revised 14 Dec 2019.
    404. Hottman, Colin J. & Monarch, Ryan, 2020. "A matter of taste: Estimating import price inflation across U.S. income groups," Journal of International Economics, Elsevier, vol. 127(C).
    405. Kohonen, Anssi, 2013. "On detection of volatility spillovers in overlapping stock markets," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 140-158.
    406. Don H. Kim & Marcelo Ochoa, 2021. "International Yield Spillovers," Finance and Economics Discussion Series 2021-001, Board of Governors of the Federal Reserve System (U.S.).
    407. Srecko Zimic, 2017. "Identifying SVARs with Sign Restrictions and Heteroskedasticity," EcoMod2017 10251, EcoMod.
    408. Chandler Lutz, 2015. "The international impact of US unconventional monetary policy," Applied Economics Letters, Taylor & Francis Journals, vol. 22(12), pages 955-959, August.
    409. Zema, Sebastiano Michele, 2022. "Directed acyclic graph based information shares for price discovery," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    410. Bernd Hayo & Britta Niehof, 2011. "Identification Through Heteroscedasticity in a Multicountry and Multimarket Framework," MAGKS Papers on Economics 201124, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    411. Shu-Chin Lin & Dong-Hyeon Kim, 2014. "The link between economic growth and growth volatility," Empirical Economics, Springer, vol. 46(1), pages 43-63, February.
    412. Martin T. Bohl & Pierre L. Siklos & David Sondermann, 2008. "European Stock Markets and the ECB's Monetary Policy Surprises," International Finance, Wiley Blackwell, vol. 11(2), pages 117-130, August.
    413. Arabinda Basistha & Richard Startz, 2022. "Monetary shock measurement and stock markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(2-3), pages 685-706, March.
    414. Bohl, Martin T. & Siklos, Pierre L., 2005. "The Role of Asset Prices in Euro Area Monetary Policy: Specification and Estimation of Policy Rules and Implications for the European Central Bank," Working Paper Series 2005,6, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
    415. Weber, Enzo, 2008. "Structural constant conditional correlation," SFB 649 Discussion Papers 2008-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    416. Wayne Yuan Gao & Rui Wang, 2023. "IV Regressions without Exclusion Restrictions," Papers 2304.00626, arXiv.org, revised Jul 2023.
    417. Marco Arnone & Luca Bandiera & Andrea Presbitero, 2005. "External Debt Sustainability: Theory and Empirical Evidence," International Finance 0512007, University Library of Munich, Germany.
    418. Toni Gravelle & Maral Kichian & James Morley, 2002. "Detecting shift-contagion in currency and bond markets," Computing in Economics and Finance 2002 58, Society for Computational Economics.
    419. Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Marina (Турунцева, Марина), 2015. "Theoretical Aspects of Modeling of the SVAR [Теоретические Аспекты Моделирования Svar]," Published Papers mak8, Russian Presidential Academy of National Economy and Public Administration.
    420. Laine, Olli-Matti & Nelimarkka, Jaakko, 2023. "Assessing targeted longer-term refinancing operations: Identification through search intensity," Bank of Finland Research Discussion Papers 13/2023, Bank of Finland.
    421. Martin Ademmer & Wolfram Horn & Josefine Quast, 2022. "Stock market dynamics and the relative importance of domestic, foreign, and common shocks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 3911-3923, October.
    422. Dutta, Nabamita & Meierrieks, Daniel, 2021. "Financial development and entrepreneurship," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 114-126.
    423. Braun, Robin, 2021. "The importance of supply and demand for oil prices: evidence from non-Gaussianity," Bank of England working papers 957, Bank of England.
    424. Daniel J Lewis, 2021. "Identifying Shocks via Time-Varying Volatility [First Order Autoregressive Processes and Strong Mixing]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(6), pages 3086-3124.
    425. Dimpfl, Thomas Ernst Herbert & Peter, Franziska Julia, 2015. "Price discovery in the markets for credit risk: A Markov switching approach," SFB 649 Discussion Papers 2015-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    426. Murat Duran & Refet Gurkaynak & Pinar Ozlu & Deren Unalmis, 2010. "TCMB Faiz Kararlarinin Piyasa Faizleri Ve Hisse Senedi Piyasalari Uzerine Etkisi," CBT Research Notes in Economics 1008, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    427. Ki Young Park & Ji Yong Um, 2016. "Spillover Effects of United States’ Unconventional Monetary Policy on Korean Bond Markets: Evidence from High-Frequency Data," The Developing Economies, Institute of Developing Economies, vol. 54(1), pages 27-58, March.
    428. James Ming Chen, 2021. "An Introduction to Machine Learning for Panel Data," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 27(1), pages 1-16, February.
    429. Canetg, Fabio & Kaufmann, Daniel, 2022. "Overnight rate and signalling effects of central bank bills," European Economic Review, Elsevier, vol. 143(C).
    430. Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G. & Tomio, Davide, 2022. "How sovereign is sovereign credit risk? Global prices, local quantities," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 92-111.
    431. Domenico Lombardi, Pierre Siklos, Samantha St. Amand, 2018. "Asset Price Spillovers From Unconventional Monetary Policy: A Global Empirical Perspective," LCERPA Working Papers 0109, Laurier Centre for Economic Research and Policy Analysis, revised 30 Jan 2018.
    432. Michael Hachula & Malte Rieth, 2020. "Estimating the Impact of Financial Investments on Agricultural Futures Prices using Changes in Volatility," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(3), pages 759-785, May.
    433. Dobromł Serwa, 2006. "Do emerging financial markets react to monetary policy announcements? Evidence from Poland," Applied Financial Economics, Taylor & Francis Journals, vol. 16(7), pages 513-523.
    434. Velinov, Anton & Chen, Wenjuan, 2015. "Do stock prices reflect their fundamentals? New evidence in the aftermath of the financial crisis," Journal of Economics and Business, Elsevier, vol. 80(C), pages 1-20.
    435. Puonti, Päivi, 2016. "Fiscal multipliers in a structural VEC model with mixed normal errors," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 144-154.
    436. Siklos, Pierre L. & Bohl, Martin T. & Werner, Thomas, 2003. "Did the Bundesbank React to Stock Price Movements?," Discussion Paper Series 1: Economic Studies 2003,14, Deutsche Bundesbank.
    437. Chen, Yong & Fang, Jing & Liu, Dingming, 2023. "The effects of Trump’s trade war on U.S. financial markets," Journal of International Money and Finance, Elsevier, vol. 134(C).
    438. Helmut Herwartz, 2022. "Modelling interaction patterns in a predator-prey system of two freshwater organisms in discrete time: an identified structural VAR approach," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(1), pages 63-85, March.
    439. Emanuele BACCHIOCCHI, 2011. "Identification in structural VAR models with different volatility regimes," Departmental Working Papers 2011-39, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    440. Delis, Manthos D. & Hasan, Iftekhar & Tsionas, Efthymios G., 2014. "The risk of financial intermediaries," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 1-12.
    441. Beqiraj, Elton & Patella, Valeria & Tancioni, Massimiliano, 2021. "Fiscal stance and the sovereign risk pass-through," Economic Modelling, Elsevier, vol. 102(C).
    442. Barra, Cristian & D’Aniello, Christian & Ruggiero, Nazzareno, 2024. "The effects of types of banks on financial access and income inequality in a heterogeneous sample: A quantile regression analysis," Journal of Economics and Business, Elsevier, vol. 131(C).
    443. Peter Ebbes, 2007. "A non-technical guide to instrumental variables and regressor-error dependencies (in Russian)," Quantile, Quantile, issue 2, pages 3-20, March.
    444. Markku Lanne & Mika Meitz & Pentti Saikkonen, 2015. "Identification and estimation of non-Gaussian structural vector autoregressions," CREATES Research Papers 2015-16, Department of Economics and Business Economics, Aarhus University.
    445. Ndubuisi, Gideon & Foster-McGregor, Neil, 2018. "Domestic intellectual property rights protection and the margins of bilateral exports," MERIT Working Papers 2018-035, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    446. de Jong, Eelke & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2009. "Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis," Journal of Economic Dynamics and Control, Elsevier, vol. 33(11), pages 1929-1944, November.
    447. S. Pelin Berkmen & Eduardo Cavallo, 2010. "Exchange Rate Policy and Liability Dollarization: What do the Data Reveal about Causality?," Review of International Economics, Wiley Blackwell, vol. 18(5), pages 781-795, November.
    448. Herwartz, Helmut, 2014. "Structural analysis with independent innovations," University of Göttingen Working Papers in Economics 208, University of Goettingen, Department of Economics.
    449. Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
    450. Elena Corallo, 2007. "The effect of the war risk: a comparison of the consequences of the two Iraq wars," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 54(3), pages 371-382, September.
    451. Jung, Alexander, 2023. "Are monetary policy shocks causal to bank health? Evidence from the euro area," Journal of Macroeconomics, Elsevier, vol. 75(C).
    452. Weber, Enzo, 2008. "Structural dynamic conditional correlation," SFB 649 Discussion Papers 2008-069, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    453. Gonçalves, Carlos Eduardo & Guimaraes, Bernardo Guimaraes, 2011. "Monetary policy, default risk and the exchange rate in Brazil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 65(1), March.
    454. Klieber, Karin, 2024. "Non-linear dimension reduction in factor-augmented vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 159(C).
    455. Sebastiano Michele Zema, 2020. "Directed Acyclic Graph based Information Shares for Price Discovery," LEM Papers Series 2020/28, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    456. Antoine, Bertille & Boldea, Otilia, 2018. "Efficient estimation with time-varying information and the New Keynesian Phillips Curve," Journal of Econometrics, Elsevier, vol. 204(2), pages 268-300.
    457. Mészáros Mercédesz & Kiss Gábor Dávid, 2020. "Spillover effects of unconventional monetary policy on capital markets in the shadow of the Eurozone: A sample of non-Eurozone countries," Review of Economic Perspectives, Sciendo, vol. 20(2), pages 171-195, June.
    458. Bertille Antoine & Otilia Boldea, 2014. "Efficient Inference with Time-Varying Identification Strength," Discussion Papers dp14-03, Department of Economics, Simon Fraser University.
    459. Fei Jia & Minjie Huang & Shunan Zhao, 2024. "Estimation of endogenous firm productivity without instruments: an application to foreign investment," Journal of Productivity Analysis, Springer, vol. 61(2), pages 135-155, April.
    460. Zhang, Ji, 2016. "Macroeconomic news and the real interest rates at the zero lower bound," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 172-185.
    461. Yonatan Dinku & Dereje Regasa, 2021. "Ethnic Diversity and Local Economies," South African Journal of Economics, Economic Society of South Africa, vol. 89(3), pages 348-367, September.
    462. Humyra Jabeen Bristy, 2014. "Impact of Financial Development on Exchange Rate Volatility and Long-Run Growth Relationship of Bangladesh," International Journal of Economics and Financial Issues, Econjournals, vol. 4(2), pages 258-263.
    463. Philip Arestis & Michail Karoglou & Kostas Mouratidis, 2016. "Monetary Policy Preferences of the EMU and the UK," Manchester School, University of Manchester, vol. 84(4), pages 528-550, July.
    464. Netšunajev, Aleksei & Winkelmann, Lars, 2014. "Inflation expectations spillovers between the United States and euro area," SFB 649 Discussion Papers 2014-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  33. Edwards, Sebastian & Rigobon, Roberto, 2002. "Currency crises and contagion: an introduction," Journal of Development Economics, Elsevier, vol. 69(2), pages 307-313, December.

    Cited by:

    1. Marko Korhonen, 2014. "The relation between national stock prices and effective exchange rates: Does it affect exchange rate exposure?," Proceedings of International Academic Conferences 0201346, International Institute of Social and Economic Sciences.
    2. Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008. "On the Stability of Domestic Financial Market Linkages in the Presence of time-varying Volatility," Working Papers 0810, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    3. Francis X. Diebold / Kamil Yilmaz, 2009. "Equity Market Spillovers in the Americas," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 12(2), pages 55-65, August.
    4. Filip Iorgulescu, 2015. "Investigating Contagion and Market Interdependence during the Global Financial Crisis," Central European Business Review, Prague University of Economics and Business, vol. 2015(2), pages 31-39.
    5. Franck Martin & Jiangxingyun Zhang, 2020. "La structure des taux revisitée pour période de crise : entre contagion, flight to quality et quantitative easing," Revue économique, Presses de Sciences-Po, vol. 71(4), pages 623-665.
    6. Cipriani Marco & Guarino Antonio, 2008. "Herd Behavior and Contagion in Financial Markets," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 8(1), pages 1-56, October.
    7. Carvalho, João Vinícius de França & Chiann, Chang, 2013. "Redes Bayesianas: Um método para avaliação de interdependência e contágio em séries temporais multivariadas," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 67(2), June.
    8. Moura, Guilherme V. & Richard, Jean-François & Liesenfeld, Roman, 2007. "Dynamic Panel Probit Models for Current Account Reversals and their Efficient Estimation," Economics Working Papers 2007-11, Christian-Albrechts-University of Kiel, Department of Economics.
    9. Christian Hubert Ebeke, 2011. "Transferts des migrants, ouverture sur l'extérieur et dépenses publiques dans les pays en développement," CERDI Working papers halshs-00552983, HAL.
    10. Sebastian Missio, 2012. "Government bond market integration and the EMU: Correlation based evidence," Working Papers 125, Bavarian Graduate Program in Economics (BGPE).
    11. Karen Watkins & Dick van Dijk & Jaap Spronk, 2004. "Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience," Tinbergen Institute Discussion Papers 04-057/2, Tinbergen Institute.
    12. Roman Liesenfeld & Guilherme Valle Moura & Jean‐François Richard, 2010. "Determinants and Dynamics of Current Account Reversals: An Empirical Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(4), pages 486-517, August.
    13. Marco Cipriani & Sven Fischer & Antonio Guarino & Giovanni Guazzarotti & Federico Tagliati, 2015. "Informational contagion in the laboratory," Staff Reports 715, Federal Reserve Bank of New York.
    14. Boulis Ibrahim & Janusz Brzeszczynski, 2013. "Interdependence of Stock Markets Before and After the Global Financial Crisis of 2007," CFI Discussion Papers 1305, Centre for Finance and Investment, Heriot Watt University.
    15. de Bandt,O. & Malik, S., 2010. "Is there Evidence of Shift-Contagion in International Housing Markets?," Working papers 295, Banque de France.
    16. Roman Horváth & Štefan Lyócsa & Eduard Baumöhl, 2018. "Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance," The European Journal of Finance, Taylor & Francis Journals, vol. 24(5), pages 391-412, March.
    17. Philip Arestis & Guglielmo Maria Caporale & Andrea Cipollini, 2003. "Testing for Financial Contagion between Developed and Emerging Markets during the 1997 East Asian Crisis," Economics Working Paper Archive wp_370, Levy Economics Institute.
    18. Aslanidis, Nektarios & Savva, Christos S., 2010. "Modelling Interbank Relations during the International Financial Crisis," Working Papers 2072/148475, Universitat Rovira i Virgili, Department of Economics.
    19. Mobeen Ur Rehman, 2016. "Financial Contagion in EFA Markets in Crisis Periods: A Multivariate GARCH Dynamic Conditional Correlation Framework," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 21(2), pages 121-151, July-Dec.
    20. Shaen Corbet & Cian Twomey, 2015. "European Equity Market Contagion: An Empirical Application to Ireland's Sovereign Debt Crisis," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2015(3), pages 15-34.
    21. Lucian Belascu, 2016. "Risk And Contagion On Financial Markets After The 2007 Sub-Prime Mortgage Crisis," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 5, pages 51-55, October.
    22. Murad A.Bein & Gulcay TUNA, 2015. "Volatility Transmission and Dynamic Correlation Analysis between Developed and Emerging European Stock Markets during Sovereign Debt Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 61-80, June.
    23. Julijana Angelovska, 2017. "Long and Short-Term Dynamic Relationship between Macedonian and Croatian Stock Markets," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 20(2), pages 11-20, November.
    24. Aslanidis, Nektarios & Dungey, Mardi & Savva, Christos S., 2008. "Progress Towards to Equity Market Integration in Eastern Europe," Working Papers 2072/13265, Universitat Rovira i Virgili, Department of Economics.
    25. Hatice Gaye Gencer & Sercan Demiralay, 2016. "The Contagion Effects on Real Economy: Emerging Markets during the Recent Crises," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 104-121, March.

  34. Rigobon, Roberto, 2002. "Disinflation and fiscal reform: a neoclassical perspective," Journal of International Economics, Elsevier, vol. 58(2), pages 265-297, December.
    See citations under working paper version above.
  35. Rigobon, Roberto, 2002. "The curse of non-investment grade countries," Journal of Development Economics, Elsevier, vol. 69(2), pages 423-449, December.
    See citations under working paper version above.
  36. Roberto Rigobón & Kristin Forbes, 2001. "Contagion in Latin America: Definitions, Measurement, and Policy Implications," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Spring 20), pages 1-46, January.
    See citations under working paper version above.

Chapters

  1. Roberto Rigobon & Brian Sack, 2008. "Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices," NBER Chapters, in: Asset Prices and Monetary Policy, pages 335-370, National Bureau of Economic Research, Inc.
    See citations under working paper version above.
  2. Fernando A. Broner & Roberto Rigobon, 2006. "Why Are Capital Flows So Much Volatile in Merging Than in Developed Countries?," Central Banking, Analysis, and Economic Policies Book Series, in: Ricardo Caballero & César Calderón & Luis Felipe Céspedes & Norman Loayza (Series Editor) & Klaus Sc (ed.),External Vulnerability and Preventive Policies, edition 1, volume 10, chapter 2, pages 015-040, Central Bank of Chile.
    See citations under working paper version above.
  3. Roberto Rigobon, 2002. "Contagion: How to Measure It?," NBER Chapters, in: Preventing Currency Crises in Emerging Markets, pages 269-334, National Bureau of Economic Research, Inc.
    See citations under working paper version above.Sorry, no citations of chapters recorded.

Books

  1. Venables, Anthony J. & Maloney, William & Kokko, Ari & Bravo Ortega, Claudio & Lederman, Daniel & Rigobón, Roberto & De Gregorio, José & Czelusta, Jesse & Jayasuriya, Shamila A. & Blomström, Magnus & , 2007. "Natural Resources: Neither Curse nor Destiny," IDB Publications (Books), Inter-American Development Bank, number 350, November.
    See citations under working paper version above.Sorry, no citations of books recorded.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.