co-movements
Co-movements in Real Effective Exchange Rates : Evidence From the Dynamic Hierarchical Factor Model
... calculate co-movements in real effective exchange rates using the recently developed data decomposition method (Moench et ...rate movements are dominated by common factors in a single currency union, ...
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Exchange return co movements and volatility spillovers before and after the introduction of Euro
... examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss franc and the Japanese yen vis-` a-vis the US dollar before and after the intro- duction of the ...
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Co movements of consumption patterns of high and low involvement products
... were co-integrated. Lindenberg and Westermann (2009) re-inquire the co-movements of low involvement products in the ...characteristics. Co-integration, serial correlation common feature and ...
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International Equity Markets Co-movements And Contagion: A Novel Perspective
... markets co- movements and contagion during different ...the co- movements in their double dimensions: interdependence and contagion during the Asian, the European Exchange Rate Mechanism (ERM) ...
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Tail Dependence Measure for Examining Financial Extreme Co-movements
... such co-movements of extremes and then to effectively extrapolate data into tail region, which can naturally be done under the umbrella of Multivariate Extreme Theory as explained ...
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Co movements of Oil, Gold, the U S Dollar, and Stocks
... and co- ovements in financial markets ...used co- integration and error correction modeling techniques to isolate and identify the long-run equilibrium relation- ships among these ...the co-move- ...
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Dynamic Co movements between Economic Policy Uncertainty and Housing Market Returns
... to EPU for the US. Against this backdrop, our paper investigates the interdependence between a measure of EPU, developed by Baker et al. (2012), and real house prices by analysing time-varying co-movements ...
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Return, shock and volatility co movements between the bond markets of Turkey and developed countries
... the co-movements among the international bond markets at returns, shock and volatility ...of co-movement indicate greater shock transmission exist in world bond market with possible adverse ...
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Short Run and Long Run Co Movements in the Income Consumption Relationship
... Table 1 reports the unit root test statistics. Clearly, the results show that the le- vels data are non-stationary and the corresponding first-differenced data are sta- tionary. The data provides the desired properties ...
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Cointegration relationship and time varying co movements among Indian and Asian developed stock markets
... (2002) co-movements among stock markets might be attributed to three facts like the contagion effect, economic integration as well as stock market ...
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Stock Return Co Movements and Institutional Quality: An Empirical Investigation of the European Emerging Markets
... strong co-movements with the major European stock markets while Gelos and Sahay [36] emphasized the existence of a first trend in financial integration by stressing the co-movements between ...
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Co movements Of Business Cycles In The Maghreb: Does Trade Matter?
... Finally, concerning the financial integration, we observe a positive relationship between this variable and business cycles co-movements. According to our results, an increase of one standard deviation in ...
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Banking integration and co movements in EU banks’ fragility
... analysing co- movements in the frequency domain, we found out that common EU-wide shocks are more relevant at cyclical and/or long-term frequencies, which is in line with increasing banking ...that ...
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Asymmetries in stock price co movements
... In this Section we present an exercise to compare our findings with those of previous empirical studies. From the examination of the general links between the stock exchanges, several patterns are reported in the ...
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Detecting Co Movements in Noncausal Time Series
... ARCH, co-breaking, common seasonality, and co-jumps to name a ...cycle co-movements and the evaluation of economic theories (Guill´en, Hecq, Issler and Saraiva, 2015; Issler and Vahid, ...
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Co-movements of and Linkages between Asian Stock Markets
... the co-movements of equity prices appear to reflect not only market globalization but also the globalization of capital ...The co-movements can affect the balancing strategies of country ...
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Tail Dependence Measure for Examining Financial Extreme Co-movements
... Permanent repository link: http://openaccess.city.ac.uk/13142/ Link to published version: http://dx.doi.org/10.1016/j.jeconom.2016.05.011 Copyright and reuse: City Research Online aims t[r] ...
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Dynamic Co movements between Stock Market Returns and Policy Uncertainty
... 4 Oil specific demand shocks and domestic shocks price and income shocks lead to further increase in the negative correlation between policy uncertainty and stock market returns.. Introd[r] ...
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Corruption and Co Movements in European Listed Sport Companies: Did Calciocaos really matter?
... The situation of European listed sport companies, especially large football clubs, is particularly interesting to test the influence of cases of corruption on their stock market performa[r] ...
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CO-INTEGRATION OF INDIAN STOCK MARKET WITH US STOCK MARKET
... tighter co-movements with one and ...found co-movement some did ...of co- integration among stock markets in Asian countries and the US whereas Chan et ...of co-integration among the ...
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