The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets
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- Costas Karfakis & Theodore Panagiotidis, 2015. "The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(4), pages 795-811, November.
References listed on IDEAS
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- Marco Tronzano, 2020. "Safe-Haven Assets, Financial Crises, and Macroeconomic Variables: Evidence from the Last Two Decades (2000–2018)," JRFM, MDPI, vol. 13(3), pages 1-21, February.
- Lin, Arthur J. & Chang, Hai Yen & Hsiao, Jung Lieh, 2019. "Does the Baltic Dry Index drive volatility spillovers in the commodities, currency, or stock markets?," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 127(C), pages 265-283.
- Mirzosaid Sultonov, 2021. "External Shocks and Volatility Overflow among the Exchange Rate of the Yen, Nikkei, TOPIX and Sectoral Stock Indices," JRFM, MDPI, vol. 14(11), pages 1-13, November.
- Mirzosaid Sultonov & Shahzadah Nayyar Jehan, 2018. "Dynamic Linkages between Japan’s Foreign Exchange and Stock Markets: Response to the Brexit Referendum and the 2016 U.S. Presidential Election," JRFM, MDPI, vol. 11(3), pages 1-8, June.
- Mirzosaid Sultonov, 2020. "The Impacts of International Political and Economic Events on Japanese Financial Markets," IJFS, MDPI, vol. 8(3), pages 1-10, July.
- Choi, Sun-Yong, 2022. "Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 179-193.
- Bouri, Elie & Lucey, Brian & Saeed, Tareq & Vo, Xuan Vinh, 2020. "Extreme spillovers across Asian-Pacific currencies: A quantile-based analysis," International Review of Financial Analysis, Elsevier, vol. 72(C).
- 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.
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More about this item
Keywords
Currency markets; quantitative easing; GARCH; dynamic conditional correlation; quantile regression.;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2014-11-07 (Central Banking)
- NEP-MON-2014-11-07 (Monetary Economics)
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