Results 91 to 100 of about 1,157,980 (244)
Inflation Inequality Across Household Income Groups in Brazil: Persistence, Trend and Volatility
The Manchester School, EarlyView.ABSTRACT This article investigates inflation inequality across four income strata in Brazil (very low, low, middle, and high income) from July 2006 to April 2025, using the Headline IPCA as a benchmark. We test the hypothesis that inflation dynamics and transmission mechanisms are structurally unequal and disproportionately affect lower‐income ...
Sinara do Valle, Cleomar Gomes da Silva
wiley +1 more source
Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach [PDF]
This paper attempts to explore monetary policy transmission under zero interest rates by explicitly incorporating the zero lower bound (ZLB) of nominal interest rates into the time-varying parameter structural vector autoregression model with stochastic ...
Jouchi Nakajima
core
, 2022 The COVID-19 pandemic has profoundly and negatively impacted the global stock markets. Hence, we investigated the time-varying impact of the COVID-19 pandemic on stock returns during the period from January 27, 2020 to December 23, 2021 using the TVP-VAR-
Yang Zhao (39052) +5 more
core +1 more source
The Effects of U.S. Monetary Policy Shocks on Portfolio Diversification
The Manchester School, EarlyView.ABSTRACT We investigate the impact of changes in U.S. monetary policy on portfolio diversification. We build four different types of portfolios, including a U.S.‐only, a stock‐bond (60/40) portfolio, an international diversified stock portfolio, and an asset diversified portfolio.
Rong Huang +2 more
wiley +1 more source
U.S.‐China Tensions and Macroeconomic Fluctuations
The Manchester School, EarlyView.ABSTRACT Business cycles and macroeconomic fluctuations are influenced by various factors. This paper analyzes the impact of the U.S.‐China Tension Index (UCT) on macroeconomic fluctuations in 32 countries using time series models from January 1999 to February 2024. The VAR model reveals that UCT shocks generate financial volatility and fluctuations in
Luccas Assis Attílio
wiley +1 more source
Empirical EconomicsMotivated by the increasing demand for alternative assets that can contribute to reducing portfolio risk, this paper examines the volatility spillovers between collateralized loan obligations (CLOs) and various in-demand investment instruments, including
Spyros Papathanasiou +3 more
semanticscholar +1 more source
The parameter estimation results of the TVP-SV-VAR model.
The parameter estimation results of the TVP-SV-VAR model.
Binhong Wu (12308435) +3 more
core +1 more source
The nexus of blue economy, green finance, and energy commodities: A quantile VAR approach
Modern FinanceThe post-COVID era highlights the need for sustainable, resilient economies. This study investigates the interconnectedness between green finance, blue economy indices, clean energy assets, and energy commodities using a TVP-VAR and quantile VAR model ...
Salha Ben Salem, Ahmed Jeribi
doaj +1 more source
The Evolving Transmission of Uncertainty Shocks in the United Kingdom
Econometrics, 2016 This paper investigates if the impact of uncertainty shocks on the U.K. economy has changed over time. To this end, we propose an extended time-varying VAR model that simultaneously allows the estimation of a measure of uncertainty and its time-varying ...
Haroon Mumtaz
doaj +1 more source
Turk Turizm Arastirmalari Dergisi, 2023 Sürdürülebilirlik ve temiz enerji, günümüzde küresel ekonomi ve çevre politikalarının en önemli gündem maddelerindendir. Finansal piyasalarda, bu alanlarda endeksler arasındaki dinamik bağlantıların analizi, yatırımcılara, politika yapıcılara ve akademisyenlere önemli bilgiler sunmaktadır. Bu çalışmanın amacı S&P Küresel Temiz Enerji
openaire +1 more source