Monetary policy, exchange rates and stock prices in the Middle East region

A structural vector autoregressive model is employed to investigate the impact of monetary policy and real exchange rate shocks on the stock market performance of Kuwait, Oman, Saudi Arabia, Egypt and Jordan. In order to identify the structural shocks both short run and long run restrictions are applied. Unlike previous literature the contemporaneous interdependence between the financial variables are left unrestricted to give a more accurate depiction of the relationships. The heterogeneity of the results reflect the different monetary policy frameworks and stock market characteristics of these countries. Mainly, monetary policy and the real exchange rate shocks have a significant short run impact on the stock prices of the countries that apply a relatively more independent monetary policy and flexible exchange rates.

Volatility and VaR Forecasting in the Madrid Stock Exchange

This paper provides an empirical study to assess the forecasting performance of a wide range of models for predicting volatility and VaR in the Madrid Stock Exchange. The models performance was measured by using different loss functions and criteria. The results show that FIAPARCH processes capture and forecast more accurately the dynamics of IBEX-35 returns volatility. It is also observed that assuming a heavy-tailed distribution does not improve models ability for predicting volatility. However, when the aim is forecasting VaR, we find evidence of that the Student’s t FIAPARCH outperforms the models it nests the lower the target quantile.

Urban transformations and rail stations system - the study case of Naples

The aim of this study is to give an interpretation of the urban transformations connected to rail transit system investments; in particular the main research goal is to analyze and give a methodological support for the urban transformation phenomena government in the rail transit stations areas. The article proposes an empirical studies comparative analysis and an application in the Naples urban area, in which a new rail transit network has been developed. In particular the socio-economic transit impacts on the urban system are measured and interpretated with the support of a GIS; therefore an application of the node-place interpretative model (Bertolini 1999) is proposed in order to support transit–land use planning processes in the stations areas.