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The financial and fiscal stress interconnectedness: The case of G5 economies
16 references·1 citing·46 second hop
The financial and fiscal stress interconnectedness: The case of G5 economies (2016)The financial and fiscal stress interconn…Financial and macroeconomic connectedness: a network approach to measurement and monitoring (2015)Financial and macroeconomic c…International transmission and business-cycle effects of financial stress (2014)International transmission an…Exploring the effects of financial and fiscal vulnerabilities on G7 economies: Evidence from SVAR analysis (2014)Exploring the effects of fina…The effects of financial crisis on fiscal positions (2012)The effects of financial cris…How do business and financial cycles interact? (2012)How do business and financial…Fiscal Rules in Response to the Crisis-Toward the 'Next-Generation' Rules: A New Dataset (2012)Fiscal Rules in Response to t…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Disentangling Diverse Measures: A Survey of Financial Stress Indexes (2012)Disentangling Diverse Measure…Characterising the financial cycle : don't lose sight of the medium term! (2012)Characterising the financial …Financial Cycles: What? How? When? (2011)Financial Cycles: What? How? …Financial Cycles: What? How? When? (2011)Financial Cycles: What? How? …Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Assessing Fiscal Stress (2011)Assessing Fiscal StressMonetary Cycles, Financial Cycles and the Business Cycle (2010)Monetary Cycles, Financial Cy…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Financial stress and asymmetric shocks transmission within the Eurozone. How fragile is the common monetary policy? (2019)Financial stress and asymmetr…The Band Pass Filter (1999)On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)The financial cycle and macroeconomics: What have we learnt? (2013)International Channels of Transmission of Monetary Policy and the Mundellian Trilemma (2016)Regulating capital flows to emerging markets: An externality view (2017)Stochastic Simulation (1987)How Big Is the Random Walk in GNP? (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Equilibrium Political Budget Cycles (1987)The Voracity Effect (1999)Tied to the mast? National fiscal rules in the European Union (2008)Was This Time Different? Fiscal Policy in Commodity Republics (2013)Second-Generation Fiscal Rules (2018)Global Waves of Debt: Causes and Consequences (2021)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Sudden Stops, Financial Crises, and Leverage (2010)How do business and financial cycles interact? (2011)Curbing the Credit Cycle (2013)Credit Cycles (1997)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)This Time Is Different (2009)A Tie That Binds: Revisiting the Trilemma in Emerging Market Economies (2018)A NEW MEASURE OF RANK CORRELATION (1938)Liquidity Risk and Expected Stock Returns (2003)Market Liquidity and Funding Liquidity (2008)Systemic Risk and Stability in Financial Networks (2015)CoVaR (2016)Measuring financial stress in a developed country: An application to Canada (2006)Financial Stress, Downturns, and Recoveries (2009)The real consequences of financial stress (2013)Financial stress dynamics in the MENA region: Evidence from the Arab Spring (2019)Commodity prices co-movements and financial stability: A multidimensional visibility nexus with climate conditions (2021)Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004-2014 (2015)Oil volatility, oil and gas firms and portfolio diversification (2018)Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany (2021)
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References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers6,033 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,538 cited
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  • 2012Characterising the financial cycle : don't lose sight of the medium term!331 cited
  • 2012Fiscal Rules in Response to the Crisis-Toward the 'Next-Generation' Rules: A New Dataset261 cited
  • 2015Financial and macroeconomic connectedness: a network approach to measurement and monitoring253 cited
  • 2011Financial Cycles: What? How? When?220 cited
  • 2012Disentangling Diverse Measures: A Survey of Financial Stress Indexes133 cited
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  • 2010Monetary Cycles, Financial Cycles and the Business Cycle92 cited
  • 2014International transmission and business-cycle effects of financial stress91 cited
  • 2011Assessing Fiscal Stress91 cited
  • 2012The effects of financial crisis on fiscal positions

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83 cited
  • 2014Exploring the effects of financial and fiscal vulnerabilities on G7 economies: Evidence from SVAR analysis32 cited
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    • 2019Financial stress and asymmetric shocks transmission within the Eurozone. How fragile is the common monetary policy?20 cited