Sunday, May 11, 2025
From a paper by Afees A. Salisu, Rangan Gupta, and Riza Demirer:
“This paper examines the propagation of oil price uncertainty shocks to real equity prices using a large-scale Global Vector Autoregressive (GVAR) model of 26 advanced and emerging stock markets. The GVAR framework allows us to capture the transmission of local and global shocks, while simultaneously accounting for individual-country peculiarities. Utilising a recently developed model-free, robust estimate of oil price uncertainty, we document a statistically significant and negative effect of uncertainty shocks emanating from oil prices on the large majority of global stock markets, with the adverse effect of oil price uncertainty shocks found to be stronger for emerging economies as well as net oil-exporting nations. Interestingly, however, global stock markets exhibit a great deal of heterogeneity in their recovery following oil uncertainty shocks as some experience rapid corrections in stock valuations while others suffer from extended slumps. While the results are sensitive to the oil uncertainty measure utilised, they suggest that country diversification in the face of rising oil market uncertainty can still be beneficial for global investors as global stock markets exhibit a rather heterogeneous pattern in their recovery rates against oil market shocks.”
From a paper by Afees A. Salisu, Rangan Gupta, and Riza Demirer:
“This paper examines the propagation of oil price uncertainty shocks to real equity prices using a large-scale Global Vector Autoregressive (GVAR) model of 26 advanced and emerging stock markets. The GVAR framework allows us to capture the transmission of local and global shocks, while simultaneously accounting for individual-country peculiarities. Utilising a recently developed model-free, robust estimate of oil price uncertainty,
Posted by 2:48 PM
atLabels: Energy & Climate Change
On cross-country:
Working papers and conferences:
On China:
On Australia and New Zealand:
On other countries:
On cross-country:
Posted by 5:00 AM
atLabels: Global Housing Watch
Friday, May 9, 2025
On prices, rent, and mortgage:
On sales, permits, starts, and supply:
On other developments:
On prices, rent, and mortgage:
Posted by 5:00 AM
atLabels: Global Housing Watch
Wednesday, May 7, 2025
From a paper by Saban Nazlioglu, Sinem Pinar Gurel, Sevcan Gunes, Tugba Akin, Cagin Karul & Muhsin Kar:
“The growing empirical literature documents evidence on increasing global inflation co-movement across countries over time; however, little is known about the quantile co-movement structure of inflation. By introducing quantile factor model for a global sample of 151 countries from 1970 to 2023, this study provides new insights with respect to inflation co-movement. The quantile factor analysis sheds light on that (i) global inflation has a quantile-dependent factor structure, with different behavior in low, mild/stable, and high inflation periods; (ii) inflation shows an asymmetric co-movement pattern, with a decreasing degree in low and high inflation periods in comparison with stable inflation period; (iii) while interest rate and economic activity are the underlying observables for the latent quantile factors in low and stable inflation periods, commodity prices also become an underlying observable in high inflation period; and finally (iv) using quantile factors is nontrivial in improving density forecast of inflation in both developed and emerging markets.”
From a paper by Saban Nazlioglu, Sinem Pinar Gurel, Sevcan Gunes, Tugba Akin, Cagin Karul & Muhsin Kar:
“The growing empirical literature documents evidence on increasing global inflation co-movement across countries over time; however, little is known about the quantile co-movement structure of inflation. By introducing quantile factor model for a global sample of 151 countries from 1970 to 2023, this study provides new insights with respect to inflation co-movement. The quantile factor analysis sheds light on that (i) global inflation has a quantile-dependent factor structure,
Posted by 12:14 PM
atLabels: Forecasting Forum
From a paper by José Said Sánchez Martínez:
“This article investigates the frequency, causes, and implementation of austerity policies in state governments in Mexico during the period 2009–2021. The methodology combines documentary and statistical analysis (linear regression) to characterize such policies and identify the determinants of public spending. Results show that austerity policies are routine actions, that the reduction in federal transfers and the increase in public debt are some of their cause, and that they have a real application, which is observed in cuts to public spending.”
From a paper by José Said Sánchez Martínez:
“This article investigates the frequency, causes, and implementation of austerity policies in state governments in Mexico during the period 2009–2021. The methodology combines documentary and statistical analysis (linear regression) to characterize such policies and identify the determinants of public spending. Results show that austerity policies are routine actions, that the reduction in federal transfers and the increase in public debt are some of their cause,
Posted by 12:12 PM
atLabels: Inclusive Growth
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