Bubble Migration Across Asset Classes during the Global Financial Crises
tipo de documento semantico ckh_publication
Ficheros
PaperMigration Sussex-GonMay2017.pdf
Tamaño
1199414
Formato
Adobe PDF
Url del contenido
https://repositorio.comillas.edu/rest/bitstreams/100184/retrieve
Figuerola Ferretti Garrigues, Isabel Catalina
Bermejo Climent, Ramón
Paraskevopoulos, Yannis
McCrorie, Roderick
Suarez García, Gonzalo
Estado
info:eu-repo/semantics/draft
Resumen
Idioma
es-ES
Idioma
en-GB
Resumen
This paper combines the new, mildly explosive/multiple bubbles technology proposed
by Phillips, Shi and Yu (PSY, 2015) with the bubble migration test proposed by Phillips
and Yu (2011, PY) to analyse the time series behaviour of a number of key
macroeconomic and financial variables during the Global Financial Crisis (GFC). The purpose of this paper is to characterize the sequential nature of bubble migration
during the GFC using a wider group of variables than Caballero et al. (2008) and PY
(2011), in particular recognizing potential roles for both macro and financial variables.
Uri identificador
http://hdl.handle.net/11531/19268
Palabras clave
Idioma
en-GB
Tag
Bubble migration
Idioma
en-GB
Tag
mild explosivity
Idioma
en-GB
Tag
Baltic Dry Index
Idioma
en-GB
Tag
iTraxx
Idioma
en-GB
Tipo de archivo
application/pdf
Idioma
en-GB
Tipo de acceso
info:eu-repo/semantics/restrictedAccess
Fecha de modificacion
08/01/2020
Fecha de disponibilidad
23/06/2017
fecha de alta
23/06/2017
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