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Analyzing business and financial cycles using multi-level factor models
Breitung, Jörg; Eickmeier, Sandra - 2014
This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero …
Persistent link: https://www.econbiz.de/10010373684
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Time-varying stock return correlation, news shocks, and business cycles
Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022
innovation to stock return correlation in a vector autoregression are nearly identical to those of a news shock about future … productivity. Thus, market-wide changes in return correlation contain information about changes in future technological …
Persistent link: https://www.econbiz.de/10014227600
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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 …The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with … which allow for time-variability and regime changes in correlation. All estimated models allowing for timevarying …
Persistent link: https://www.econbiz.de/10009625556
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Black Monday, globalization and trading behavior of stock investors
Kurz-Kim, Jeong-Ryeol - 2016
Using a simple sign test, we report new empirical evidence, taken from both the US and the German stock markets, showing that trading behavior substantially changed around Black Monday in 1987. It turned out that before Black Monday investors behaved more as in the momentum strategy; and after...
Persistent link: https://www.econbiz.de/10011486252
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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
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The threat of systemic risk in banking - evidence for Europe
Schüler, Martin - 2002
Persistent link: https://www.econbiz.de/10013428472
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Monetary policy and stock market volatility
Bleich, Dirk; Fendel, Ralf; Ruelke, Jan-Christoph - 2013
We estimate forward-looking interest rate reaction functions in the spirit of Taylor (1993) for four major central banks augmented by implicit volatilities of stock market indices to proxy financial market stress. Our results suggest that the Bank of England, the Federal Reserve Bank and the...
Persistent link: https://www.econbiz.de/10010202818
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Who trades on momentum?
Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - 2014
Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...
Persistent link: https://www.econbiz.de/10010471006
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Do financial market experts know their theory? : new evidence from survey data
Brückbauer, Frank - 2022 - This draft: April 2022
Using a unique survey dataset, I study how financial market experts form their stock market expectations. I document a strong disagreement among experts about how important macroeconomic and financial variables are related to stock returns. The results of an analysis of the relationships between...
Persistent link: https://www.econbiz.de/10013175639
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Do financial market experts know their theory? : new evidence from survey data
Brückbauer, Frank - 2020
Using a unique survey dataset, the author studies how financial market experts form their stock market expectations. He documents a strong disagreement among experts about how important macroeconomic and financial variables are related to stock returns. The results of an analysis of the...
Persistent link: https://www.econbiz.de/10012420532