Search results

1 – 2 of 2
Per page
102050
Citations:
Loading...
Access Restricted. View access options
Article
Publication date: 15 November 2024

Olfa Belhassine and Montassar Riahi

This study aims to evaluate the safe haven property of several assets against the US and European stock markets during the Russo-Ukrainian War in a time–frequency framework.

25

Abstract

Purpose

This study aims to evaluate the safe haven property of several assets against the US and European stock markets during the Russo-Ukrainian War in a time–frequency framework.

Design/methodology/approach

This study uses the wavelet-based dynamic conditional correlation-generalized autoregressive conditional heteroskedasticity (DCC-GARCH) methodology and wavelet coherence on daily returns for the S&P500, STOXX600 and 13 possible save haven assets.

Findings

The results show that wheat and corn are the best assets to use as hedges and safe havens for all types of investors. The second-ranked are energy commodities, which are hedges and safe havens for long-term investors. Gold, silver and palladium display hedging and safe haven qualities for medium- and long-term investment. However, cryptocurrencies, the Dow Jones sustainability index and Islamic indices do not act as safe havens for most holding periods.

Practical implications

These findings have significant implications for portfolio investment strategies in times of geopolitical risks.

Originality/value

The contributions of this study are twofold. First, several assets from different classes were analyzed as possible candidates for safe havens. Second, to the best of the authors’ knowledge, this is the first study to analyze safe haven property through different investment horizons for the US and the European stock market indices during the Russo-Ukrainian War.

Details

Studies in Economics and Finance, vol. 42 no. 2
Type: Research Article
ISSN: 1086-7376

Keywords

Access Restricted. View access options
Article
Publication date: 16 September 2024

Yi-Chia Wang and Hong-Lin Su

This study aims to investigate the dynamics between exogenous shocks, financial stress and economic performance in the USA from January 1995 to August 2023.

30

Abstract

Purpose

This study aims to investigate the dynamics between exogenous shocks, financial stress and economic performance in the USA from January 1995 to August 2023.

Design/methodology/approach

Granger-causality tests and impulse response analyses are used to examine causal relationships and dynamic responses among crude oil prices, real M2 money supply, financial stress and key economic indicators.

Findings

This study reveals a significant correlation between elevated financial stress and reduced real output, along with disruptions in the labor market, potentially leading to economic recessionary trends. Failure to address these challenges could perpetuate labor market difficulties, weaken capital accumulation within the loanable funds market and ultimately hinder long-term economic growth prospects in the USA.

Practical implications

This study offers insights for policymakers to mitigate financial stress. Recommendations include enhancing financial surveillance, strengthening regulatory frameworks, promoting economic diversification and implementing countercyclical policies to stabilize the economy and support labor markets. In addition, proactive monitoring of financial stress indicators can serve as early warning signals, aiding in timely interventions and effective risk management strategies.

Originality/value

This research provides a comprehensive analysis of how the financial stress index (FSI) mediates the effects of external shocks on the US economy, addressing a gap in existing literature. The integration of the FSI into the analysis enhances the understanding of the transmission channels through which external shocks influence the economy.

Details

Studies in Economics and Finance, vol. 42 no. 2
Type: Research Article
ISSN: 1086-7376

Keywords

Access

Year

Last week (2)

Content type

1 – 2 of 2
Per page
102050