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71 records from EconBiz based on author Name
1. Exchange rates and sovereign risk : a nonlinear approach based on local Gaussian correlations
abstractWe empirically assess the interlinkages between sovereign risk, measured in terms of CDS spreads, and exchange rates for a sample of emerging markets. Our period of analysis includes periods of severe stress, such as the Global Financial Crisis, the COVID-19 pandemic and the Ukrainian War. Using the most recent developments in local Gaussian partial correlation analysis and the associated nonlinear Granger causality tests, we are able to uncover linkages between assets across different segments of their joint distributions. Disentangling the effect of global factors, we show that the information on sovereign risk of other emerging economies is more relevant for the sovereign risk-exchange rate relationship than the state of developed markets risk for all countries in our sample and for all segments of the assets distribution. The same considerations apply for the movements of the US dollar relative to other currencies, where knowledge on movements of emerging currencies is of particular interest. Nonlinear Granger causality tests show bi-directional causality for most countries, confirming the importance of multiple transmission channels. Taken together, our results are of interest for international investors and policymakers, showing all interlinkages between sovereign risk and exchange rates across their entire distribution.
Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott M. R.;2024
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability:
Link Link 2. Energy contagion in the COVID-19 crisis
Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott M. R.;2020
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability:
Link 3. Energy contagion in the COVID-19 crisis
abstractWe investigate the relationship between oil prices and stock markets of selected oil importers and oil exporters at the time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher correlations between oil and stock markets returns during turbulent phases in the oil market, for all countries in our sample. Our results are robust to different crisis datings and consistent across different segments of the assets return distributions.
Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott M. R.;2020
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability:
Link Link 4. Fiscal policy adjustments in the euro area stressed countries : new evidence from non-linear models with state-varying thresholds
De Santis, Roberto A.; Legrenzi, Gabriella; Milas, Costas;2015
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link
5. Energy Contagion Analysis : A New Perspective with Application to a Small Petroleum Economy
abstractWe put forward the novel concept of energy contagion, i.e. a deepening of energy-finance linkages under crisis periods in energy markets, and test for this using standard correlation measures and recently proposed adjusted correlation, co-skewness, and co-volatility contagion tests. Our analysis is applied to the oil-exchange rate and oil-stock market relationships of the small petroleum economy of Trinidad and Tobago. By defining our samples for the contagion measures in terms of calm and crisis conditions in the international crude oil market, we are able to compare how various co-moments in the energy-finance nexus change during oil booms and slumps using semi-parametric rule-based algorithms, as well as during relatively tranquil and turbulent oil price volatility episodes with a non-hierarchical k-means clustering algorithm on volatility measures. Our main results show a negative oil-real effective exchange rate dependency; a weak oil-stock returns association; and the existence of several energy contagion channels in both financial relationships, which vanish when we control for the contemporary global financial crash. Energy contagion analysis is essential to financial stability analysis in economies where prosperity is linked to the prices of hard commodities
R. Mahadeo, Scott M.; Heinlein, Reinhold; Legrenzi, Gabriella;2019
Availability: Link Link
6. Tracing the sources of contagion in the oil-finance nexus
Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, Gabriella;2022
Type: Aufsatz im Buch; Book section;
Availability:
Link Citations: 1 (based on OpenCitations)
7. Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios
Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, Gabriella;2022
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
Citations: 4 (based on OpenCitations)
8. Energy contagion analysis : a new perspective with application to a small petroleum economy
abstractWe put forward the novel concept of energy contagion, i.e. a deepening of energy-finance linkages under crisis periods in energy markets, and test for this using standard correlation measures and recently proposed adjusted correlation, co-skewness, and co-volatility contagion tests. Our analysis is applied to the oil-exchange rate and oil-stock market relationships of the small petroleum economy of Trinidad and Tobago. By defining our samples for the contagion measures in terms of calm and crisis conditions in the international crude oil market, we are able to compare how various co-moments in the energy-finance nexus change during oil booms and slumps using semi-parametric rule-based algorithms, as well as during relatively tranquil and turbulent oil price volatility episodes with a non-hierarchical k-means clustering algorithm on volatility measures. Our main results show a negative oil-real effective exchange rate dependency; a weak oil-stock returns association; and the existence of several energy contagion channels in both financial relationships, which vanish when we control for the contemporary global financial crash. Energy contagion analysis is essential to financial stability analysis in economies where prosperity is linked to the prices of hard commodities.
Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, Gabriella;2018
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link Link
9. Crude oil and stock markets in the COVID-19 crisis : evidence from oil exporters and importers
Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott M. R.;2021
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
Citations: 23 (based on OpenCitations)
10. Fiscal policy sustainability in the euro periphery : a non-linear analysis
De Santis, Roberto A.; Legrenzi, Gabriella; Milas, Costas;2016
Type: Aufsatz im Buch; Book section;