18 Ergebnisse
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In: The Canadian Journal of Economics, Band 30, Heft 4a, S. 875
In: Journal of Financial Stability, Band 24
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In: Emerging Markets and the Global Economy, S. 271-307
In: Journal of common market studies: JCMS, Band 42, Heft 4, S. 679-688
ISSN: 0021-9886
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 24, Heft 3, S. 443-461
ISSN: 1475-6803
AbstractThe issue of volatility spillovers between the black and official exchange markets for U.S. dollars in Greece for 1975–89 is examined. A vector error correction‐bivariate EGARCH model is developed and estimated to capture potential asymmetric effects of innovations and volatility. During the period under investigation, reciprocal spillovers are found between the black and official exchange markets for dollars. Furthermore, spillovers are asymmetric in that bad news in one market has a greater effect on the volatility of the other market than good news. Additionally, the size of spillover effects is greater from the official market to the black market. Finally, the removal of the foreign exchange controls in January 1986 made the volatility of the official exchange rate higher and changed the nature of volatility spillovers between the two markets.JEL Classification: F31, F32
In: INTFIN-D-22-00349
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In: Journal of economic dynamics & control, Band 93, S. 1-4
ISSN: 0165-1889
In: Economic change & restructuring, Band 50, Heft 3, S. 189-191
ISSN: 1574-0277
In: Journal of policy modeling: JPMOD ; a social science forum of world issues, Band 22, Heft 2, S. 171-195
ISSN: 0161-8938
In: Journal of policy modeling: JPMOD ; a social science forum of world issues, Band 22, Heft 2, S. 171-196
ISSN: 0161-8938
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Working paper
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Working paper
In: International symposia in economic theory and econometrics 23
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Working paper