Exchange rates and sovereign risk: A nonlinear approach based on local Gaussian correlations
(2024)
Working Paper
Heinlein, R., Legrenzi, G., & Mahadeo, S. Exchange rates and sovereign risk: A nonlinear approach based on local Gaussian correlations
All Outputs (17)
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.12641Oil 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.
Tracing the sources of contagion in the oil-finance nexus (2022)
Book Chapter
Mahadeo, S., Heinlein, R., & Legrenzi, G. (2022). Tracing the sources of contagion in the oil-finance nexus. In C. Floros, & I. Chatziantoniou (Eds.), Applications in Energy Finance (115-143). Springer. https://doi.org/10.1007/978-3-030-92957-2_5We introduce an approach to trace the genesis of contagion occurring in the oil-finance nexus, which consolidates veteran non-linear oil price measures derived from the empirical oil literature, to construct a rule-based specification for filtering s... Read More about Tracing the sources of contagion in the oil-finance nexus.
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.2629This 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.2021.101629We 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.2021.09.007Financial 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/s00181-021-02108-1We 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.
Oil and US stock market shocks: Implications for Canadian equities (2021)
Working Paper
Heinlein, R., & Mahadeo, S. Oil and US stock market shocks: Implications for Canadian equities
Energy contagion in the COVID-19 crisis (2020)
Working Paper
Heinlein, R., Legrenzi, G., & Mahadeo, S. Energy contagion in the COVID-19 crisis
Contagion Testing in Embryonic Markets under Alternative Stressful US Market Scenarios (2019)
Working Paper
Mahadeo, S. M. R., Heinlein, R., & Legrenzi, G. D. Contagion Testing in Embryonic Markets under Alternative Stressful US Market Scenarios
Tracing the genesis of contagion in the oil-finance nexus (2019)
Working Paper
Mahadeo, S. M., Heinlein, R., & Legrenzi, G. D. Tracing the genesis of contagion in the oil-finance nexus
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.
Connectedness between G10 Currencies: Searching for the Causal Structure (2019)
Working Paper
Bettendorf, T., & Heinlein, R. Connectedness between G10 Currencies: Searching for the Causal Structure
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/S1365100517000475We 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.
Symmetry and separability in two-country cointegrated VAR models: representation and testing (2013)
Working Paper
Krolzig, H., & Heinlein, R. Symmetry and separability in two-country cointegrated VAR models: representation and testing
Effects of Monetary Policy on the US Dollar/UK Pound Exchange Rate. Is There a "Delayed Overshooting Puzzle"? (2012)
Journal Article
Heinlein, R., & Krolzig, H. M. (2012). Effects of Monetary Policy on the US Dollar/UK Pound Exchange Rate. Is There a "Delayed Overshooting Puzzle"?. Review of International Economics, 20(3), 443-467. https://doi.org/10.1111/j.1467-9396.2012.01033.xThe determination of the US dollar/UK pound sterling exchange rate is studied in a small symmetric macroeconometric model including UK-US differentials in inflation, output gap, and short- and long-term interest rates for the four decades since the b... Read More about Effects of Monetary Policy on the US Dollar/UK Pound Exchange Rate. Is There a "Delayed Overshooting Puzzle"?.