Zobrazeno 1 - 10
of 29
pro vyhledávání: '"Renee Fry‐McKibbin"'
Publikováno v:
International Review of Economics & Finance. 76:781-800
This paper examines the effects of commodity demand and supply shocks as well as international liquidity shocks on the small open economy of Brazil using an SVAR model. The paper highlights the importance of modelling both types of shocks in the comm
Autor:
Than Thuong Nguyen, Renee Fry-McKibbin
Publikováno v:
The Hague Journal of Diplomacy. 14:379-401
Summary This article empirically examines the effectiveness of commercial diplomacy in contributing to Australia’s merchandise exports and inbound foreign investment with 181 countries over the period 2010-2015. The combined effect of diplomatic en
Autor:
Renee Fry‐McKibbin, Denise Osborn
Publikováno v:
Economic Record. 95:401-405
Autor:
Beili Zhu, Renee Fry-McKibbin
Publikováno v:
SSRN Electronic Journal.
This paper employs a large BVAR model with common stochastic volatility to examine the effects of oil supply shocks, global oil demand shocks and precautionary oil shocks on 17 U.S. macroeconomic and financial market variables from 1986Q1 to 2019Q2.
Autor:
Renee Fry-McKibbin, Ziyu Yan
Publikováno v:
SSRN Electronic Journal.
This paper uses tests drawn from the literature on financial market contagion measured by changes in higher-order comoments to establish the patterns in the interdependence between equity markets in Shanghai and Shenzhen with Hong Kong as mainland Ch
Publikováno v:
SSRN Electronic Journal.
This paper examines the effects of commodity demand and supply shocks as well as international liquidity shocks on the small open economy of Brazil using an SVAR model. The paper highlights the importance of modeling both types of shocks in the commo
Publikováno v:
Finance Research Letters. 45:102150
We study the distribution of equity returns in the G20 equity markets to test for contagion following the first official report of a COVID-19 case in China in December 2019 and the subsequent announcement of a global pandemic in March 2020. We find e
Publikováno v:
The North American Journal of Economics and Finance. 46:202-221
Financial integration is East Asia and the ASEAN nations is investigated using a new approach based on entropy theory. An important advantage of the proposed framework is that it takes into account changes in integration arising from higher order mom
Publikováno v:
Quantitative Finance. 19:473-490
Joint tests of contagion are derived which are designed to have power where contagion operates simultaneously through coskewness, cokurtosis and covolatility. Finite sample properties of the new tests are evaluated and compared with existing tests of
Publikováno v:
Journal of Banking & Finance. 122:105985
A general measure of asset market interdependence based on higher order comoments is developed and applied to studying weekly U.S. and eurozone equity returns from 1990 to 2017. A new test of independence is also developed. The empirical results show