IDEAS home Printed from https://ideas.repec.org/r/tpr/restat/v87y2005i2p362-370.html
   My bibliography  Save this item

Measuring the Response of Macroeconomic Uncertainty to Shocks

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Rahman, Sajjadur & Serletis, Apostolos, 2012. "Oil price uncertainty and the Canadian economy: Evidence from a VARMA, GARCH-in-Mean, asymmetric BEKK model," Energy Economics, Elsevier, vol. 34(2), pages 603-610.
  2. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK," Discussion Papers 07/13, Department of Economics, University of York.
  3. Said Zamin Shah & Ahmad Zubaidi Baharumshah & Muzafar Shah Habibullah, 2019. "Dynamic Linkages and Volatility Transmissions between Macroeconomic Uncertainty and Performance: Evidence from South Asian Countries," Journal of South Asian Development, , vol. 14(3), pages 281-313, December.
  4. Chowdhury, Kushal Banik & Garg, Bhavesh, 2023. "Fresh evidence on the oil-stock interactions under heterogeneous market conditions," Finance Research Letters, Elsevier, vol. 54(C).
  5. Apostolos Serletis & Akbar Shahmoradi, 2007. "Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 16, pages 205-220, World Scientific Publishing Co. Pte. Ltd..
  6. Le Pen, Yannick & Sévi, Benoît, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Energy Economics, Elsevier, vol. 32(4), pages 758-770, July.
  7. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities," Money Macro and Finance (MMF) Research Group Conference 2006 140, Money Macro and Finance Research Group.
  8. Bhar, Ramprasad & Mallik, Girijasankar, 2010. "Inflation, inflation uncertainty and output growth in the USA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(23), pages 5503-5510.
  9. Costantini, Mauro & Sousa, Ricardo M., 2022. "What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality," Journal of International Money and Finance, Elsevier, vol. 122(C).
  10. Dimitrios Bakas & Georgios Chortareas & Georgios Magkonis, 2019. "Volatility and growth: a not so straightforward relationship," Oxford Economic Papers, Oxford University Press, vol. 71(4), pages 874-907.
  11. James D. Hamilton, 2008. "Macroeconomics and ARCH," NBER Working Papers 14151, National Bureau of Economic Research, Inc.
  12. repec:dau:papers:123456789/6804 is not listed on IDEAS
  13. Kjellberg, David & Post, Erik, 2007. "A Critical Look at Measures of Macroeconomic Uncertainty," Working Paper Series 2007:14, Uppsala University, Department of Economics.
  14. Jieun Lee, 2022. "Evidence and Strategy on Economic Distance in Spatially Augmented Solow-Swan Growth Model," Papers 2209.05562, arXiv.org.
  15. Kushal Banik Chowdhury & Srikanta Kundu & Nityananda Sarkar, 2018. "Regime‐dependent effects of uncertainty on inflation and output growth: evidence from the United Kingdom and the United States," Scottish Journal of Political Economy, Scottish Economic Society, vol. 65(4), pages 390-413, September.
  16. Menelaos Karanasos & Ning Zeng, 2013. "Conditional heteroskedasticity in macroeconomics data: UK inflation, output growth and their uncertainties," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 12, pages 266-288, Edward Elgar Publishing.
  17. Kushal Banik Chowdhury & Kaustav Kanti Sarkar & Srikanta Kundu, 2021. "Nonlinear relationships between inflation, output growth and uncertainty in India: New evidence from a bivariate threshold model," Bulletin of Economic Research, Wiley Blackwell, vol. 73(3), pages 469-493, July.
  18. Apostolos Serletis & Jinan Liu, 2022. "Inflation and economic activity in advanced and emerging economies," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4196-4223, October.
  19. Netšunajev, Aleksei & Glass, Katharina, 2017. "Uncertainty and employment dynamics in the euro area and the US," Journal of Macroeconomics, Elsevier, vol. 51(C), pages 48-62.
  20. Jin, Xiaoye, 2015. "Asymmetry in return and volatility spillover between China's interbank and exchange T-bond markets," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 340-353.
  21. Tino Berger & Sibylle Grabert & Bernd Kempa, 2016. "Global and Country-Specific Output Growth Uncertainty and Macroeconomic Performance," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(5), pages 694-716, October.
  22. Ramprasad Bhar & Girijasankar Mallik, 2013. "Inflation uncertainty, growth uncertainty, oil prices, and output growth in the UK," Empirical Economics, Springer, vol. 45(3), pages 1333-1350, December.
  23. Dahl, Christian M. & Iglesias, Emma M., 2009. "Volatility spill-overs in commodity spot prices: New empirical results," Economic Modelling, Elsevier, vol. 26(3), pages 601-607, May.
  24. Ólan T. Henry & Nilss Olekalns & Kalvinder K. Shields, 2013. "Quantifying time variation and asymmetry in measures of covariance risk: a simulation approach," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 18, pages 457-476, Edward Elgar Publishing.
  25. Henry, Ólan & Olekalns, Nilss & Shields, Kalvinder, 2010. "Sign and phase asymmetry: News, economic activity and the stock market," Journal of Macroeconomics, Elsevier, vol. 32(4), pages 1083-1100, December.
  26. Berger, Tino & Grabert, Sibylle & Kempa, Bernd, 2017. "Global macroeconomic uncertainty," Journal of Macroeconomics, Elsevier, vol. 53(C), pages 42-56.
  27. Wang, Yizhong & Chen, Carl R. & Chen, Lifang & Huang, Ying Sophie, 2016. "Overinvestment, inflation uncertainty, and managerial overconfidence: Firm level analysis of Chinese corporations," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 54-69.
  28. B. Balaji & S. Raja Sethu Durai & M. Ramachandran, 2018. "Spillover Effects of Real and Nominal Uncertainties in India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(1), pages 143-162, December.
  29. Rifai Afin, 2023. "Interlinka Terlinkage Of M Ge Of Macroeconomic Uncer Croeconomic Uncertainty And Macroeconomic Performance: Evidence From Asean-5 Countries Panel Var," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 26(1), pages 39-68.
  30. Andreou, Elena & Matsi, Maria & Savvides, Andreas, 2013. "Stock and foreign exchange market linkages in emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 248-268.
  31. Olan T. Henry & Nilss Olekalns & Kalvinder Shields, 2004. "Time Variation And Asymmetry In The World Price Of Covariance Risk: The Implications For International Diversification," Department of Economics - Working Papers Series 907, The University of Melbourne.
  32. Rahman, Sajjadur & Serletis, Apostolos, 2010. "The asymmetric effects of oil price and monetary policy shocks: A nonlinear VAR approach," Energy Economics, Elsevier, vol. 32(6), pages 1460-1466, November.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.