2018
DOI: 10.1016/j.ecosys.2017.07.001
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International spillovers in global asset markets

Abstract: Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in… Show more

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Cited by 33 publications
(12 citation statements)
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“…The VAR/VECM is consistent with Sims (1980), Chen et al (2016), Belke et al (2017), and Belke and Dubova (2018b). This study adopted a VAR model, which has carved a niche among macroeconomists and is an enduring methodology for time-series modeling, especially in the assessment of joint dynamic behavior between the given variables and restrictions essential to determining the fundamental structural parameters.…”
Section: Model Specificationmentioning
confidence: 96%
“…The VAR/VECM is consistent with Sims (1980), Chen et al (2016), Belke et al (2017), and Belke and Dubova (2018b). This study adopted a VAR model, which has carved a niche among macroeconomists and is an enduring methodology for time-series modeling, especially in the assessment of joint dynamic behavior between the given variables and restrictions essential to determining the fundamental structural parameters.…”
Section: Model Specificationmentioning
confidence: 96%
“…As indicators of monetary policy, we employ shadow rates (italicSRti) (Belke and Dubova and Belke, Dubova, and Volz ). As policy rates cannot significantly drop below zero, common short‐term interest rates like the Federal Funds Rate and the Euro OverNight Index Average do not correctly reflect the general stance of monetary policy in times of unconventional monetary policies anymore.…”
Section: Data and Empirical Approachmentioning
confidence: 99%
“…rate variables which enter in first differences. 19 While our uncertainty indicator is clearly I(0), both shadow rates turn out to be I(1) as in Belke and Dubova (2018) and Belke, Dubova, and Volz (2017). As these variables are included into the Y t vector and are therefore not part of the factor estimation, we include both shadow rates in levels.…”
Section: Preliminary Findings Diagnostics and Var Specificationmentioning
confidence: 99%
See 1 more Smart Citation
“…This reflects the time-varying nature of the linkages between volatilities. Diebold and Yilmaz (2012) analyze the existence of volatility spillovers 1 An important research topic in the literature is the analysis of international volatility spillovers (see for example, Dungey and Martin, 2007;Morana and Beltratti, 2008;Diebold and Yilmaz, 2009;Duncan and Kabundi, 2014;Ehrmann et al, 2011;Bayoumi and Bui, 2012;Antonakakis and Vergos, 2013;Apostolakisa and Papadopoulos, 2014;Beirne and Gieck, 2014;Awartania et al, 2013;Fernandez-Rodriguez et al, 2016;Yarovaya et al, 2016;Belke and Dubova, 2018). Despite the relevance of international spillovers, this paper only focuses on the volatility spillovers among US financial markets.…”
Section: Introductionmentioning
confidence: 99%