The response of exchange rates to economic policy uncertainty: Evidence from Russia
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In this paper , the exchange rate response to domestic economic policy uncertainty, incorporating oil prices and the trade volume under different economic circumstances, is investigated, and quantile-based time-series approaches are applied to deal with extreme values.About:
This article is published in Borsa Istanbul Review.The article was published on 2022-05-01 and is currently open access. It has received 14 citations till now. The article focuses on the topics: Exchange rate & Quantile.read more
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Global uncertainty, economic governance institutions and foreign direct investment inflow in Africa
TL;DR: In this article , the impacts of global uncertainty and economic governance institutions on FDI inflow to Africa, and the moderating effect of economic governance institution on global uncertainty-FDI relationship in Africa, were investigated.
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Exchange rate response to economic policy uncertainty: evidence beyond asymmetry
TL;DR: In this paper , the effect of minor positive and major positive changes as well as minor negative and major negative changes in the economic policy uncertainties on the exchange rates was examined. But, the results of this study can be useful for the central banks to devise appropriate policies to intervene in the foreign exchange market.
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Nexus between macroeconomic uncertainty, oil prices, and exports: evidence from quantile-on-quantile regression approach
Vishal Dagar,Sakshi Malik +1 more
TL;DR: In this paper , the authors used the monthly data of oil prices and macroeconomic uncertainty in order to empirically investigate the determinants of exports of Pakistan with its top-5 trade partners.
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Stock Market Synchronization: The Role of Geopolitical Risk
TL;DR: In this article , the authors measured total and bivariate synchronization indices utilizing daily data from 1998 to 2021 and found that the total connectedness index (TCI) is 26.15% among the three markets.
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Conflict vs sustainability of global energy, agricultural and metal markets: A lesson from Ukraine-Russia war
TL;DR: In this article , the authors reveal the asymmetric effects of the Ukraine-Russia War (URW) on various markets, including energy, metals, and agriculture, and suggest the diversification of energy and agricultural commodities to reduce the reliance on specific countries for trading.
References
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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.
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Measuring Economic Policy Uncertainty
TL;DR: The authors developed a new index of economic policy uncertainty based on newspaper coverage frequency and found that policy uncertainty spikes near tight presidential elections, Gulf Wars I and II, the 9/11 attacks, the failure of Lehman Brothers, the 2011 debt ceiling dispute and other major battles over fiscal policy.
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Efficient tests for normality, homoscedasticity and serial independence of regression residuals
Carlos M. Jarque,Anil K. Bera +1 more
TL;DR: In this paper, the Lagrange multiplier procedure is used to derive efficient joint tests for residual normality, homoscedasticity and serial independence, which are simple to compute and asymptotically distributed as χ2.
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Oil prices, US stock return, and the dependence between their quantiles
Nicholas Sim,Hongtao Zhou +1 more
TL;DR: In this article, the authors examined the relationship between oil prices and US equities by proposing a novel quantile-on-quantile (QQQ) approach to construct estimates of the effect that the quantiles of oil price shocks have on the quantile of the US stock return.
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Unit Root Quantile Autoregression Inference
Roger Koenker,Zhijie Xiao +1 more
TL;DR: In this article, the limiting distribution of a quantile autoregression estimator and its t-statistic is derived, which is a linear combination of the Dickey-Fuller distribution and the standard normal, with the weight determined by the correlation coefficient of related time series.
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