The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets
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| 024 | 7 | 0 | |a 10.1007/s10663-014-9277-8 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s10663-014-9277-8 | ||
| 245 | 0 | 4 | |a The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets |h [Elektronische Daten] |c [Costas Karfakis, Theodore Panagiotidis] |
| 520 | 3 | |a This study examines first the effects of financial market turmoil in the fall of 2008 on the conditional correlations between three exchange rate returns (USD/EUR, JPY/USD, USD/GBP), and then the effects of quantitative easing programs and Greek debt crisis on the entire distribution of estimated correlations. The dynamic correlations have sharply increased during the period that followed the collapse of Lehman Brothers, indicating a financial contagion across currency markets. The quantitative easing programs of the Federal Reserve and the Bank of England have affected the conditional correlations between the currency pairs. Finally, the Greek debt crisis has emerged as the most significant covariate of the quantile regressions. | |
| 540 | |a Springer Science+Business Media New York, 2014 | ||
| 690 | 7 | |a Currency markets |2 nationallicence | |
| 690 | 7 | |a Quantitative easing |2 nationallicence | |
| 690 | 7 | |a GARCH |2 nationallicence | |
| 690 | 7 | |a Dynamic conditional correlation |2 nationallicence | |
| 690 | 7 | |a Quantile regression |2 nationallicence | |
| 700 | 1 | |a Karfakis |D Costas |u Department of Economics, University of Macedonia, Thessaloniki, Greece |4 aut | |
| 700 | 1 | |a Panagiotidis |D Theodore |u Department of Economics, University of Macedonia, Thessaloniki, Greece |4 aut | |
| 773 | 0 | |t Empirica |d Springer US; http://www.springer-ny.com |g 42/4(2015-11-01), 795-811 |x 0340-8744 |q 42:4<795 |1 2015 |2 42 |o 10663 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s10663-014-9277-8 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s10663-014-9277-8 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Karfakis |D Costas |u Department of Economics, University of Macedonia, Thessaloniki, Greece |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Panagiotidis |D Theodore |u Department of Economics, University of Macedonia, Thessaloniki, Greece |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Empirica |d Springer US; http://www.springer-ny.com |g 42/4(2015-11-01), 795-811 |x 0340-8744 |q 42:4<795 |1 2015 |2 42 |o 10663 | ||