ABSTRACT We examine the contribution of a shock to climate concern observed outperformance portfolio European green stocks relative brown benchmark. show, first, that an information set given by 1‐month stock return and realized volatility each constituent (and their cross‐sectional averages) improves (in‐sample) forecasting performance for series traditional market risk factors proxied Fama–French portfolios. Moreover, identification occurs in two stages: First, we compute historical...

We contribute to the debate on whether U.S. large federal budget deficits are sustainable in long run. model government deficit per capita as a threshold autoregressive process. find evidence that is run and economic policy makers will only intervene reduce when it reaches certain threshold. (JEL C32 , E62 )

This paper investigates the impact of European Monetary Union (EMU) and recent financial fiscal crisis on integration sovereign debt market using annual data 1992–2010. The panel regression dependent variable is time-varying linkages computed from daily realised correlations between bond returns for 13 economies Germany. results indicate that elimination currency risk following implementation EMU led to a fundamental significant one-off increase in integration. net fundamentals was...

Our paper offers evidence that the print media can affect stock prices by covering public information. After price-to-book value figures of Italian listed shares were first published on major national financial newspaper, stocks did, average, show a positive reaction. The price reaction was limited to small caps and disappeared within three weeks. Over period analysis, we could not find any abnormal behaviour returns other European markets. These findings support view newspapers play role in...

We utilize a stochastic volatility model to analyse the possible effects of inflation targeting on trade–off between output gap variability and variability. find that adoption targets (in New Zealand, Australia, Canada, UK, Sweden Finland) might result in more favourable monetary policy (except Australia Finland). This conclusion is reached by comparing, first, economic performance countries 1980s 1990s; second, 1990s non–targeting (the USA, Japan, Switzerland, Germany, France Netherlands)....

Applied macroeconomists have tested for the government intertemporal solvency condition by either testing linear stationarity in total deficit series or cointegration between spending and tax revenues. A number of authors focused, particular, on structural breaks process. In this paper, we use a smooth transition error correction model to test estimate shift adjustment toward relationship output ratio revenues ratio. Estimation results show that authorities react only large (in absolute...

We analyze the fiscal adjustment process in United States using a multivariate threshold vector error regression model. The shift from single‐equation to setting adds value both terms of our economic understanding and forecasting performance nonlinear models. find evidence that authorities intervene reduce real per capita deficit only when it reaches certain takes place primarily by cutting government expenditure. results out‐of‐sample density forecast probability forecasts suggest...

In this article, we examine the presence of volatility spillovers between nominal exchange rates and stock returns in three MENA countries: Egypt, Morocco Turkey. The multivariate GARCH model use does not produce evidence cross-market effects for general indices returns. Nevertheless, bidirectional shock exist at industry sector level. These findings are more pronounced Egypt different results due to rate regimes/policies adopted by countries. While Turkey were allowed float, followed a...

Abstract This paper considers the linkage between stock prices and exchange rates in four MENA (Middle East North Africa) emerging markets. In contrast to existing evidence that uses a global market index uncover such relationship it is found for sample countries oil emerge as dominant factor above relationship. The presence of regime shifts cointegration only period following 1999 price shock. Readjustment towards equilibrium each occurs via changes. Finally, number robustness checks are...

In this paper we examine whether during the 1997 East Asian crisis there was any contagion from four largest economies in region (Thailand, Indonesia, Korea and Malaysia) to a number of developed countries (Japan, UK, Germany France). Following Forbes Rigobon, test for as significant positive shift correlation between asset returns, taking into account heteroscedasticity endogeneity bias. Furthermore, improve on earlier empirical studies by carrying out full sample stability system that...

This paper examines the impact of bank concentrationon financial distress using a balanced panel commercial banks in EU‐25 over sample period running from 2003 to 2007. Financial is proxied by observations falling below given threshold empirical distribution risk‐adjusted indicator performance: Shareholder Value Ratio. We employ probit regression estimated GMM order obtain consistent and efficient estimates, following suggestion made Bertschek Lechner (1998). After controlling for number...