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Intra-Africa regional trade comovements and shock transmission: A baseline for AfCFTA
Cogent Economics & Finance, 2023 This paper examines the trade co-movements and shock spillover across four African geographic regions. Specifically, we were motivated by the very low intra-trade activities in Africa, despite increased regionalism to study the possibility of a country’s
Lord Mensah
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Decomposing global yield curve co-movement [PDF]
Journal of Banking & Finance, 2017 This paper studies the co-movement of global yield curve dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. Our data-driven approach is able to pin down the drivers of yield curve dynamics and produce plausible term premium estimates. We reveal the relative importance of global shocks through two transmission
Byrne, Joseph P. +2 more
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Investment Shocks and Macroeconomic Co-Movement [PDF]
SSRN Electronic Journal, 2011 Recent studies fi nd that shocks to the marginal efficiency of investment are a main driver of business cycles. Yet, they struggle to explain why consumption co-moves with real variables such as investment and output, which is a typical feature of an empirically recognizable business cycle.
Furlanetto, Francesco +2 more
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Causality and dynamic relationships between exchange rate and stock market indices in BRICS countries: Panel/GMM and ARDL analyses [PDF]
Journal of Economics Finance and Administrative Science, 2020 Purpose – This paper aims to investigate simultaneously the causality and the dynamic links between exchange rates and stock market indices. It attempts to identify the short- and long-term effect of the US dollar on major stock market indices of Brazil,
Mourad Mroua, Lotfi Trabelsi
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Commonality in Liquidity Indices: The Emerging European Stock Markets
Systems, 2019 The aim of the paper is to examine commonality in liquidity indices across emerging European stock markets. Five markets are included in the study: Hungarian, Czech, Polish, Russian and Turkish, in the period from 2008 to 2017.
Barbara Będowska-Sójka +1 more
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Green Sukuk or Green Bonds: A Comparative Study of Diversification and Hedging Prospects
مجلة بيت المشورة, 2023 This study employs the wavelet coherence and the spillover index methodologies to compare time-varying relationship between green sukuk (GSI) and green bonds (SPGB) with S&P 500, FTSE 100, KBW NASDAQ Financial Technology Index and Bitcoin between October
MUNIR SOUD KHAMIS
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An Empirical Analysis of Romania’s Comovement with the Euro Zone [PDF]
Theoretical and Applied Economics, 2009 In light of adopting the euro in the near future, it is important to asses to which extent the Romanian business cycle evolves in a similar fashion with that of the euro zone.
Nicolae Dardac, Elena Bojesteanu
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Predicting Co-movement patterns in mobility data
GeoInformatica, 2022 AbstractPredictive analytics over mobility data is of great importance since it can assist an analyst to predict events, such as collisions, encounters, traffic jams, etc. A typical example is anticipated location prediction, where the goal is to predict the future location of a moving object, given a look-ahead time.
Tritsarolis, Andreas +4 more
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Romanian Stock Market Integration with Europe: A Covid-19 Perspective [PDF]
SEA: Practical Application of ScienceUnderstanding the interconnectedness of financial markets is essential for assessing market efficiency, risk transmission, and financial integration, particularly in the context of global shocks.
Botond BENEDEK
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Testing for volatility co-movement in bivariate stochastic volatility models [PDF]
, 2017 The paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the ...
Chen, Jinghui +2 more
core +5 more sources