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Time-varying stock return correlation, news shocks, and business cycles

Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022

The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...

Persistent link: https://www.econbiz.de/10014227600

Identifying time variability in stock and interest rate dependence

Stein, Michael; Islami, Mevlud; Lindemann, Jens - 2012

-varying correlation ; regime transition ; multivariate GARCH ; smooth transition ; cross-asset correlation ; non-linear estimation …

Persistent link: https://www.econbiz.de/10009625556

Financial crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...

Persistent link: https://www.econbiz.de/10011663407

Information effects of euro area monetary policy : new evidence from high-frequency futures data

Kerssenfischer, Mark - 2019

Central bank announcements move financial markets. The response of inflation and growth expectations, on the other hand, is often small or even counterintuitive. Based on tick-by-tick futures prices on bonds and stock prices, I confirm these seemingly puzzling results for the euro area and...

Persistent link: https://www.econbiz.de/10011972952

The effects of US monetary policy shocks : applying external instrument identification to a dynamic factor model

Kerssenfischer, Mark - 2017

Dynamic factor models and external instrument identification are two recent advances in the empirical macroeconomic literature. This paper combines the two approaches in order to study the effects of monetary policy shocks. I use this novel framework to re-examine the effects found by Forni and...

Persistent link: https://www.econbiz.de/10011636064

The connection of stock markets between Germany and the USA : new evidence from a co-integration study

Eberts, Elke - 2003

Persistent link: https://www.econbiz.de/10013428568

Multifaktormodelle zur Erklärung deutscher Aktienrenditen : eine empirische Analyse

Ziegler, Andreas; Eberts, Elke; Schröder, Michael; … - 2003

Persistent link: https://www.econbiz.de/10013428577

The behaviour of noise traders : empirical evidence on purchases of business magazines

Czarnitzki, Dirk - 2000

According to the prospect theory financial investors tend to sell winners too early and ride losers too long. Therefore, demand for financial advise should be high in a bull market and low in a bear market. Thus, we test the hypothesis whether the demand for business magazines is somehow related...

Persistent link: https://www.econbiz.de/10013428355

Sources of German unemployment : evidence from a structural VAR model

Linzert, Tobias - 2001

This paper analyzes the dynamic effects of different macroeconomic shocks on unemployment in Germany. In a first step …, a cointegration analysis of productivity, prices, real wages, employment, and the unemployment rate reveals two long run … display that price, demand, and labor supply shocks affect unemployment significantly in the short/medium run. Interestingly …

Persistent link: https://www.econbiz.de/10013428423

Chinese monetary policy and the dollar peg

Reade, J. James; Volz, Ulrich - 2010

cointegration framework to examine whether Chinese interest rates are driven by the Fed's policy. In a second step, we estimate a … exert relatively autonomous monetary policy. -- Chinese monetary policy ; monetary independence ; cointegration …

Persistent link: https://www.econbiz.de/10008796581

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