Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/107958 
Authors: 
Year of Publication: 
2014
Citation: 
[Journal:] Romanian Journal of Fiscal Policy (RJFP) [ISSN:] 2069-0983 [Volume:] 5 [Issue:] 2 [Publisher:] Editura ASE [Place:] Bucharest [Year:] 2014 [Pages:] 41-55
Publisher: 
Editura ASE, Bucharest
Abstract: 
This paper examines whether macroeconomic instability can influence stock market volatility in a sample of 5 emerging European countries. To account for the effects of fundamentals, modified ARCH/GARCH models are employed. The results are discordant from one country to another, but when a dynamic panel GMM is estimated, exchange rate volatility is found to be the sole significant explanatory variable.
Subjects: 
Macroeconomic volatility
stock market volatility
panel estimation
JEL: 
C58
E44
G15
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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