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Oil and US stock market shocks: Implications for Canadian equities (2023)
Journal Article
Heinlein, R., & Mahadeo, S. (2023). Oil and US stock market shocks: Implications for Canadian equities. Canadian Journal of Economics / Revue Canadienne d'Économique, 56(1), 247-287. https://doi.org/10.1111/caje.12641

Oil and US stock market shocks are relevant to Canadian equities because Canada is an oil exporter exposed to market developments in the wider continent. We evaluate how the relationship between Canadian stock market indices and such external shocks... Read More about Oil and US stock market shocks: Implications for Canadian equities.

Connectedness between G10 currencies: Searching for the causal structure (2022)
Journal Article
Bettendorf, T., & Heinlein, R. (2023). Connectedness between G10 currencies: Searching for the causal structure. International Journal of Finance and Economics, 28(4), 3938-3959. https://doi.org/10.1002/ijfe.2629

This paper presents a new approach for modelling the connectedness between asset returns. We adapt the measure of Diebold and Yilmaz, which is based on the forecast error variance decomposition of a VAR model. However, their connectedness measure hin... Read More about Connectedness between G10 currencies: Searching for the causal structure.

Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios (2022)
Journal Article
Mahadeo, S., Heinlein, R., & Legrenzi, G. (2022). Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios. North American Journal of Economics and Finance, 60, Article 101629. https://doi.org/10.1016/j.najef.2021.101629

We use alternative approaches to identify stable and stressful scenarios in the S&P 500 market, to offer a new perspective for constructing contagion tests in recipient frontier markets vulnerable to disturbances from this source market. The S&P 500... Read More about Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios.

Crude oil and stock markets in the COVID-19 crisis: Evidence from oil exporters and importers (2021)
Journal Article
Heinlein, R., Legrenzi, G., & Mahadeo, S. (2021). Crude oil and stock markets in the COVID-19 crisis: Evidence from oil exporters and importers. Quarterly Review of Economics and Finance, 82, 223-229. https://doi.org/10.1016/j.qref.2021.09.007

Financial assets tend to immediately react to the developments of a global crisis. We investigate how the relationship between crude oil and stock market returns for a heterogeneous selection of oil exporters and importers has been affected in the on... Read More about Crude oil and stock markets in the COVID-19 crisis: Evidence from oil exporters and importers.

Do financial markets respond to macroeconomic surprises? Evidence from the UK (2021)
Journal Article
Heinlein, R., & Lepori, G. M. (2022). Do financial markets respond to macroeconomic surprises? Evidence from the UK. Empirical Economics, 62, 2329–2371. https://doi.org/10.1007/s00181-021-02108-1

We investigate the response of UK asset prices to a large set of domestic scheduled macroeconomic announcements using data at a daily frequency from 1998 to 2017. Our results are mostly consistent with economic theory and follow two general patterns:... Read More about Do financial markets respond to macroeconomic surprises? Evidence from the UK.

Energy contagion analysis: A new perspective with application to a small petroleum economy (2019)
Journal Article
Mahadeo, S., Heinlein, R., & Legrenzi, G. D. (2019). Energy contagion analysis: A new perspective with application to a small petroleum economy. Energy Economics, 80, 890-903. https://doi.org/10.1016/j.eneco.2019.02.007

© 2019 Elsevier B.V. We put forward the novel concept of energy contagion, i.e. a deepening of energy-finance linkages under crisis conditions in energy markets. Further, we show how to construct tests for energy contagion through correlation, co-ske... Read More about Energy contagion analysis: A new perspective with application to a small petroleum economy.

Monetary policy and exchange rates: A balanced two-country cointegrated var model approach (2017)
Journal Article
Heinlein, R., & Krolzig, H. M. (2019). Monetary policy and exchange rates: A balanced two-country cointegrated var model approach. Macroeconomic Dynamics, 23(5), 1838-1874. https://doi.org/10.1017/S1365100517000475

We study the exchange rate effects of monetary policy in a balanced macroeconometric two-country model for the United States and United Kingdom. In contrast to the empirical literature, which consistently treats the domestic and foreign countries une... Read More about Monetary policy and exchange rates: A balanced two-country cointegrated var model approach.

Puzzling Global Stochastic Trends in Growth, Interest and Inflation and the Volcker Disinflation (2016)
Journal Article
Heinlein, R., & Krolzig, H. M. (2018). Puzzling Global Stochastic Trends in Growth, Interest and Inflation and the Volcker Disinflation. Manchester School, 86(2), 178-194. https://doi.org/10.1111/manc.12175

© 2016 The University of Manchester and John Wiley & Sons Ltd This paper aims to identify the stable long-run relationships as well as unstable driving forces of the world economy using a small aggregated cointegrated VAR model encompassing quarter... Read More about Puzzling Global Stochastic Trends in Growth, Interest and Inflation and the Volcker Disinflation.