Now showing items 1-3 of 3

    • Does Austerity Pay Off? 

      Born, Benjamin; Müller, Gernot J.; Pfeifer, Johannes (2015-02-01)
      We ask whether cuts of government consumption lower or raise the sovereign default premium. To address this question, we set up a new data set for 38 emerging and advanced economies which contains quarterly time-series ...
    • Estimation and Model-Based Combination of Causality Networks 

      Bonaccolto, Giovanni; Caporin, Massimiliano; Panzica, Roberto Calogero (2017-01-31)
      Causality is a widely-used concept in theoretical and empirical economics. The recent financial economics literature has used Granger causality to detect the presence of contemporaneous links between financial institutions ...
    • Time-varying granger causality tests for applications in global crude oil markets: A study on the DCC-MGARCH Hong test 

      Caporina, Massimiliano; Costola, Michele (2021-10-14)
      Analysing causality among oil prices and, in general, among financial and economic variables is of central relevance in applied economics studies. The recent contribution of Lu et al. (2014) proposes a novel test for ...