Search results for "Spillover"
showing 10 items of 114 documents
Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region
2010
In this article, we examine the presence of volatility spillovers between nominal exchange rates and stock returns in three MENA countries: Egypt, Morocco and Turkey. The multivariate GARCH model we use does not produce evidence of cross-market effects for the general stock indices returns. Nevertheless, bidirectional shock and volatility spillovers between exchange rates and stock returns exist at the industry sector level. These findings are more pronounced in Egypt and Turkey. The different results are due to the different exchange rate regimes/policies adopted by the three countries. While exchange rates in Egypt and Turkey were allowed to float, Morocco followed a more tightly managed…
Emerging Market Contagion Under Geopolitical Uncertainty
2019
We find that 10 emerging stock markets have high risk of contagion on the regional level but lower spillover with respect to the global markets, implying a potential for diversification benefits between emerging and global markets. Regional market integration seems to have been caused by trade integration, which has a policy implication for trade agreements’ systemic risk effects. We find that the geopolitical risk has no impact on either the return, or volatility spillovers. However, the general stock market risk (VIX) is connected to individual market volatilities, while the oil market is largely receiving the spillovers from the other markets. peerReviewed
First record of the alien leech Myzobdella lugubris Leidy, 1851 (Hirudinea, Piscicolidae) in the Palearctic
2018
espanolEn este estudio reportamos la aparicion de la sanguijuela Neartica Myzobdella lugubris en un cuerpo de agua salobre de la reserva natural Riserva Naturale dello Stato “Le Cesine” (Apulia, Italy). Dos especimenes de la especie fueren recolectados en el cuello y las extremidades anteriores de una tortuga de estanque europea Emys orbicularis hellenica en Octubre del 2016. La identificacion de los dos especimenes fue basada en datos morfologicos y de secuenciacion molecular. En su distribucion natural, M. lugubris es conocida por ser huesped y vector de bacterias y virus, de los cuales algunos son patogenos de gravedad en peces. En vista de los posibles efectos nocivos, que ejercen sobre…
Volatility transmission patterns and terrorist attacks
2009
The objective of this study is to analyze volatility transmission between the US and Eurozone stock markets considering the effects of the September 11, March 11 and July 7 financial crises. In order to do this, we use a multivariate GARCH model and take into account the asymmetric volatility phenomenon, the non-synchronous trading problem and the crises themselves. Moreover, a graphical analysis of the Asymmetric Volatility Impulse-Response Functions (AVIRF) is introduced, which takes into consideration the crisis effect. Results suggest that there is bidirectional and asymmetric volatility transmission and show the different impact that terrorist attacks had on both markets. El objetivo d…
Does FDI in China Displace Foreign Jobs in Asia?
2014
This paper studies the China effect from a novel perspective. We focus on the effect of FDI in China on foreign employment flows in the rest of Asia. The concentration of FDI in China may divert employment from similar surrounding countries. Offsetting this negative effect, MNE activities might spillover to neighboring countries along the foreign production chain. Therefore, the effect of global FDI champions is uncertain. Most studies on this issue focus on trade and FDI inflows. The China effect on other aspects of international production, like employment, remains largely unknown. The contributions of this paper are twofold. First, we enhance the estimation of the China effect with recen…
Foreign Taleovers and Wages: Theory and Evidence from Hungary
2005
This study discriminates FDI technology spillover from learning effects. Whenever learning takes time, our model predicts that foreign investors deduct the economic value of learning from wages of inexperienced workers and add it to experienced ones to prevent them from moving to local competitors. Hence, the national wage bill is unaffected by foreign takeovers. In contrast to learning, technology spillover effects occur whenever a worker with MNE experience contributes more to local firms’ than to MNEs’ productivity. In this case, experienced MNE workers are hired by local firms and the host country obtains a welfare gain. We investigate empirically wages, productivity, and worker turnove…
Assessing Spillover Effects of Spatial Policies with Semiparametric Zero-Inflated Models and Random Forests
2021
The aim of this work is to estimate the variation over time of the spatial spillover effects of a public policy that was devoted to boost rural development in France over the period 1993–2002. At a micro data level, it is often observed that the dependent variable, such as local employment in a municipality, does not vary along time, so that we face a kind of zero inflated phenomenon that cannot be dealt with a classical continuous response model or propensity score approaches. We consider two recent non parametric techniques that are able to deal with that estimation issue. The first approach consists in fitting two generalized additive models to estimate both the probability of no variati…
Convergence of European regions (an approach by spatial econometrics)
2000
The aim of this paper is the analysis of spatial dependence in convergence processes applied to European regions. First, we apply the recently developed exploratory spatial data analysis (Anselin, 1996) in order to describe more precisely the geographical dynamics of European regional income growth patterns. New insights are brought to the usual cr-convergence measure, which hides geographical patterns that may fluctuate over time. Second, we test the presence of spatial autocorrelation in /^-convergence models by using spatial econometrics methods (Anselin, 1988 ; Anselin and Florax, 1995). We compare the results with and without spatial autocorrelation in order to assess the effect of geo…
The Local versus Global Dilemma of the Effects of Structural Funds
2011
This paper extends the analysis by Dall'erba and Le Gallo dealing with the impact of structural funds on the growth process of European regions. Like most of the other 18 contributions assessing the efficiency of structural funds, our article was based on a global model of b-convergence: one coefficient pertaining to the structural funds variable was estimated for the whole sample. In this paper, we extend this approach by performing local estimations, where one coefficient is estimated for each region, so that the impact of structural funds can be regionally differentiated. As in the previous contribution, the presence of spatial spillover effects is taken into account using spatial econom…
International Fiscal-Financial Spillovers:the Effect of Fiscal Shocks on Cross-Border Bank Lending
2019
This paper sheds new light on the degree of international fiscal-financial spillovers by investigating the effect of domestic fiscal policies on cross-border bank lending. By estimating the dynamic response of U.S. cross-border bank lending towards the 45 recipient countries to exogenous domestic fiscal shocks (both measured by spending and revenue) between 1990Q1 and 2012Q4, we find that expansionary domestic fiscal shocks lead to a statistically significant increase in cross-border bank lending. The magnitude of the effect is also economically significant: the effect of 1 percent of GDP increase (decrease) in spending (revenue) is comparable to an exogenous decline in the federal funds ra…