scholarly journals Stress Spillovers among Financial Markets: Evidence from Spain

2021 ◽  
Vol 14 (11) ◽  
pp. 527
Author(s):  
Julián Andrada-Félix ◽  
Adrian Fernandez-Perez ◽  
Simón Sosvilla-Rivero
Keyword(s):  
Financial Markets ◽  
Forecast Errors ◽  
Policy Uncertainty ◽  
Real Economy ◽  
Stress Indicators ◽  
Health Crisis ◽  
Vector Autoregressive ◽  
Time Varying Parameter ◽  
Idiosyncratic Shocks ◽  
As Stress

Using a unique database, this paper examines the interconnection among stress indicators of the Spanish financial markets during the period of January 1999 to April 2021, applying both the connectedness framework and the Time-Varying Parameter Vector Autoregressive connectedness approach. Our results suggest that 15.67% of the total variance of forecast errors was explained by shocks across the six financial market stress indices examined, indicating that the remaining 84.33% of variation was due to idiosyncratic shocks. Nevertheless, we find that stress connectedness varies over time, with a surge during periods of increasing economic and financial instability, mainly driven by high levels of pandemic and economy policy uncertainty and real economy worsening. Financial intermediaries were the main generators of stress during three out of four recent major financial crises in Spain, while their role as stress transmitters to other markets has been reduced since the onset of the COVID-19 health crisis. Our results also indicate that the COVID-19 outbreak represents a relevant event in the transmission of stress among all market segments.

U.S. Financial Markets Growth and the Real Economy

2013 ◽  
Author(s):  
Claire Y. C. Liang ◽  
David McLean ◽  
Mengxin Zhao
Keyword(s):  
Financial Markets ◽  
Real Economy ◽  
The Real

scholarly journals Jesus as News: Crises of Health and Overpopulation in Galilee

2021 ◽  
pp. 0142064X2110254
Author(s):  
Joan E. Taylor
Keyword(s):  
Immune System ◽  
Holy Spirit ◽  
Rural Poverty ◽  
Great Density ◽  
Health Crisis ◽  
Affective Touch ◽  
System Disease ◽  
Physical Touch ◽  
As Stress ◽  
Positive Effect

What made Jesus ‘news’? The key reason given in Mark and Matthew is that Jesus was an effective healer. In Q, likewise, Jesus fulfils John’s prediction of a Coming One who will baptize in Holy Spirit and fire by means of his healing mission. Luke complicates this slightly by emphasizing Jesus’ teaching on social justice, and John conceptualizes the healings as ‘signs’, but both also indicate that Jesus was news because he healed people. Thus, Galilee was in the grip of a chronic health crisis which people – both rich and poor – experienced as stress, and Jesus was news because he provided a solution. While being an exorcistic healer was not unusual, Jesus’ healing apparently was, both in its effectiveness and in its approach, involving physical touch. We now know that affective touch has a positive effect on the immune system. Disease crises in Galilee can be linked to the great density of its population, associated with widespread rural poverty and environmental degradation. Previous assessments of population in Galilee have hitherto been much too small.

The non-linear effects of the Fed asset purchases

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Alessio Anzuini
Keyword(s):  
Financial Markets ◽  
Large Scale ◽  
Balance Sheet ◽  
Monetary Economics ◽  
American Economic Review ◽  
Vector Autoregressive ◽  
Portfolio Balance ◽  
State Dependent ◽  
Linear Effects ◽  
Asset Purchases

Abstract The Federal Reserve responded to the great financial crisis deploying new monetary policy tools, the most notable of which being the expansion of its balance sheet. In a recent paper, Weale, M., and T. Wieladek. 2016. “What Are the Macroeconomic Effects of Asset Purchases?” Journal of Monetary Economics 79 (C): 81–93 show that the asset purchases were effective in stimulating economic activity as well as inflation and asset prices. Here I show that their results are state dependent: large scale asset purchase are effective only when financial markets are impaired. Financial markets are under stress when the effective risk-bearing capacity of the financial sector is drastically reduced, i.e. when the excess bond premium (EBP) of Gilchrist, S., and E. Zakrajšek. 2012. “Credit Spreads and Business Cycle Fluctuations.” The American Economic Review 102 (4): 1692–72 exceed a certain threshold. Using an estimated threshold vector autoregressive model conditional on the EBP regime, I show that an increase in the balance sheet has expansionary effects on GDP and inflation when EBP is high, but not when it is low (as its effects become mostly insignificant). I argue that the high EBP can be interpreted as a proxy of market dis-functioning so that only when this channel of transmission is on, the unconventional policy is particularly effective. This suggests that models of transmission of unconventional policies, based on asset purchases, should focus also on the market functioning channel and not only on the portfolio balance one.

The Impact of Policy Uncertainty on Macro Variables – An SVAR-Based Empirical Analysis for EU Countries

2017 ◽  
Vol 68 (2) ◽  
Author(s):  
Dominik Kronen ◽  
Ansgar Belke
Keyword(s):  
Stock Market ◽  
Policy Uncertainty ◽  
Stock Market Volatility ◽  
Market Uncertainty ◽  
Vector Autoregressive ◽  
Svar Model ◽  
Negative Effect ◽  
Macro Variables ◽  
The Impact ◽  
Structural Vector

AbstractIn light of the rising political and economic uncertainty in Europe, we aim to provide a basic understanding of the impact of policy and stock market uncertainty on a set of macroeconomic variables such as production and investment. In this paper, we apply a structural vector autoregressive (SVAR) model to gain first insights that may help to identify avenues for further research. We find that stock market volatility shows a fairly consistently negative effect. However, the implications of policy uncertainty for Europe and the euro area in particular are not so straightforward.

scholarly journals Interdependence of stock exchange indices from leading capital markets: USA, Germany and Japan Stock Market

Bizinfo Blace ◽  
2021 ◽  
Vol 12 (1) ◽  
pp. 15-28
Author(s):  
Milena Marjanović ◽  
Ivan Mihailović ◽  
Ognjen Dimitrijević
Keyword(s):  
United States ◽  
Financial Markets ◽  
Capital Markets ◽  
Stock Exchange ◽  
Impulse Response Function ◽  
The United States ◽  
Causality Test ◽  
Vector Autoregressive ◽  
Equilibrium Relationship ◽  
The Us

In the context of globalization, due to the accelerated process of economic integration of countries and financial markets, the interdependence of the world's leading financial markets is more than obvious. This paper investigates the interdependence of stock exchange indices from leading capital markets in the world: USA, European Union and Asia. Our intention is to determine the direction of causality between the observed capital markets, as well as whether and in what way shocks in one market are transmitted to other markets. Research methodology includes stationarity testing, the existence of cointegration, the application of the Vector Autoregressive Model (VAR) which is complemented by the Granger causality test and the Impulse Response Function (IRF) analysis. The results of the research are as follows. Johansen's cointegration test showed that there is no long-term equilibrium relationship between the observed markets, while Granger's test showed that there is mutual causality between the capital markets of Germany and the United States. As for the Japanese index, previous events in Germany and the United States are statistically significant, but previous events on the Tokyo Stock Exchange cannot explain movements in Germany and the United States. According to the results of the IRF analysis, shocks that may occur in the US market have an almost identical impact on all observed markets. On the other hand, disturbances on the Japanese market are not transmitted to the German and American market, i.e. remain in Japan.

scholarly journals Post-traumatic Stress Disorder Following COVID-19 Pandemic: A Review

2021 ◽  
pp. 37-42
Author(s):  
Heba A. Fouad ◽  
M. Alanazey, Mohammed Amer ◽  
K. Alruwaili, Anfal Farhan ◽  
M. Alanazi, Fahad Inad ◽  
A. Bamousa, Ahmed Khalid ◽  
...  
Keyword(s):  
Post Traumatic Stress Disorder ◽  
Traumatic Stress ◽  
Stress Disorder ◽  
Post Traumatic Stress ◽  
Health Crisis ◽  
Rapid Spread ◽  
Post Traumatic ◽  
Study Association ◽  
As Stress

COVID-19 pandemic has an impact on the quality of life (QoL) of the young people by affecting their psychological stress and suspicion of diagnosis with post-traumatic stress disorder PTSD. In response to this global health crisis, quarantine and lock down measures were implemented by international and government health organizations to contain the rapid spread of the virus. Such a period of health crisis has significant repercussions on human health and welling, accompanied by psychological distress and related symptoms such as stress, panic and anxiety in the general population specifically students. Therefore, this study aimed to study association between COVID-19 pandemic and lock down with post-traumatic stress disorder.

scholarly journals Forecasts, ethics and financial behaviour: Another reading of economic crises

2011 ◽  
Vol 1 (2) ◽  
pp. 7-13
Author(s):  
Miia Parnaudeau ◽  
Elisabeth Paulet
Keyword(s):  
Business Cycles ◽  
Financial Markets ◽  
Final Section ◽  
Subprime Crisis ◽  
Real Economy ◽  
Ethical Practices ◽  
Economic Agents ◽  
Financial Behaviour ◽  
The Uk ◽  
European Economies

The forecasts of economic agents are not without influence on financial markets‟ fluctuations. The recent subprime crisis has shown that incorrect use of information available on the markets added to the creation of complex financial instruments can have major consequences, not only in financial terms, but also on the real economy. Based on a study of three European countries, France, Germany and the UK, the goal of this paper is to assess how more ethical practices among economic agents can reduce the volatility of financial markets and stabilise the business cycles. This should lead to greater stability for European economies. After discussing the various possible forms that the forecasts of economic agents can take, we will study their correlation with business cycles. The final section will be dedicated to formulating various hypotheses and scenarios for explaining speculative cycles and how to control them with more ethical practices.

The World Economy

2007 ◽  
Vol 202 ◽  
pp. 9-33
Keyword(s):  
Financial Markets ◽  
Interest Rates ◽  
Federal Reserve ◽  
Risk Premia ◽  
Real Economy ◽  
Subprime Mortgages ◽  
Money Markets ◽  
Moderate Growth ◽  
The Us ◽  
Global Growth

Defaults on subprime mortgages in the US have triggered jitters in global financial markets over the course of this year, leading to a sharp rise in certain types of risk premia over the summer. The Federal Reserve and the ECB responded by injecting emergency liquidity into money markets, on top of which the Federal Reserve cut interest rates by 50 basis points in September. We expect the recent turbulence to be short-lived, and impacts on the real economy will be limited. We continue to expect global growth of 5.2 per cent this year, with a sharper slowdown in the US offset by persistently strong growth in China and a relatively robust outlook for Europe and Japan - despite disappointing outturns for the second quarter of 2007. Global growth is expected to ease to 4.7 per cent in 2008, reflecting more moderate growth in China and Europe. However, as annual global growth has exceeded 4.5 per cent in only nine years since 1970, global prospects continue to look promising. Risks to the outlook include a further rise in risk premia, which could potentially lead to major banking crises.

scholarly journals Financial Markets, the Real Economy, and Self-fulfilling Uncertainties

2018 ◽  
Author(s):  
Jess Benhabib ◽  
Xuewen Liu ◽  
Pengfei Wang
Keyword(s):  
Financial Markets ◽  
Real Economy ◽  
The Real
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