Journal ArticleDOI
Dynamic relationship between exchange rates and stock prices for the G7 countries: A nonlinear ARDL approach
Salah A. Nusair,Dennis Olson +1 more
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In this paper , the authors examined the relationship between stock prices and exchange rates in G7 countries and employed linear and nonlinear ARDL models to examine the short-run and long-run relationship.About:
This article is published in Journal of International Financial Markets, Institutions and Money.The article was published on 2022-03-01. It has received 15 citations till now. The article focuses on the topics: Short run & Exchange rate.read more
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Journal ArticleDOI
Heterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine
TL;DR: The authors examined the impact of the 2022 Russian invasion of Ukraine and found that this invasion generated negative cumulative abnormal returns for global stock market indices, but with heterogeneous effects, consistent with markets of more globalized economies being more vulnerable to international conflicts.
Journal ArticleDOI
What makes firms vulnerable to the Russia–Ukraine crisis?
TL;DR: This paper examined the impact of the Russia-Ukraine war on the constituent firms of the leading stock market indices of the G7 countries to provide insights into the vulnerability of firms to war events.
Journal ArticleDOI
Does the Russia-Ukraine War Lead to Currency Asymmetries? A US Dollar Tale
Journal ArticleDOI
Does the Russia-Ukraine war lead to currency asymmetries? A US dollar tale
TL;DR: In this article , the authors examined the impact of the Russia-Ukraine war on the value of global currencies against the US dollar using event study methodology and market model estimates, and found that the Russian rouble, Czech koruna, and Polish zloty depreciated against the USD, Pacific currencies appreciated significantly, and the currencies of the Middle East and Africa are insignificant.
Journal ArticleDOI
Effects of Crude Oil Price Shocks on Stock Markets and Currency Exchange Rates in the Context of Russia-Ukraine Conflict: Evidence from G7 Countries
Bhaskar Bagchi,Biswajit Paul +1 more
TL;DR: The authors examined the effects of the steep surge in crude oil prices which has also been considered as an oil price shock on the stock price returns and currency exchange rates of G7 countries, namely Canada, France, Germany, Italy, Japan, the United Kingdom (UK) and the United States (US), in the context of the Russia-Ukraine conflict.
References
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Journal ArticleDOI
Co-integration and Error Correction: Representation, Estimation and Testing
TL;DR: The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples.
Journal ArticleDOI
Investigating Causal Relations by Econometric Models and Cross-Spectral Methods
TL;DR: In this article, the cross spectrum between two variables can be decomposed into two parts, each relating to a single causal arm of a feedback situation, and measures of causal lag and causal strength can then be constructed.
Journal ArticleDOI
Bounds testing approaches to the analysis of level relationships
TL;DR: In this paper, the authors developed a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend- or first-difference stationary.
Journal ArticleDOI
Residual-based tests for cointegration in models with regime shifts
TL;DR: In this paper, the authors examine tests for cointegration which allow for the possibility of regime shifts and propose ADF, Z α, Z t and Z t-type tests designed to test the null of no co-integration against the alternative of cointegrations in the presence of a possible regime shift, where the intercept and/or slope coefficients have a single break of unknown timing.
Book ChapterDOI
Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework
TL;DR: In this paper, a cointegrating nonlinear autoregressive distributed lag (NARDL) model is proposed, in which short and long-run nonlinearities are introduced via positive and negative partial sum decompositions of the explanatory variables.
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