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Are stock returns a leading indicator for real macroeconomic developments?
Burgstaller, Johann - 2002
I examine whether or not returns on stock markets are a leading indicator for real macroeconomic developments in Austria, Japan and the USA. Further I deal with the concept of stock market efficiency, the question whether or not information from real and financial sectors of the economy is...
Persistent link: https://www.econbiz.de/10010294592
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A stochastic variance factor model for large datasets and an application to S&P data
Cipollini, Andrea; Kapetanios, George - 2004
The aim of this paper is to consider multivariate stochastic volatility models for large dimensional datasets. We … suggest use of the principal component methodology of Stock and Watson (2002) for the stochastic volatility factor model …
Persistent link: https://www.econbiz.de/10010289033
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Financial regimes and uncertainty shocks
Alessandri, Piergiorgio; Mumtaz, Haroon - 2014
uncertainty is proxied by the (unobserved) volatility of the structural shocks, and a regime change occurs whenever credit …
Persistent link: https://www.econbiz.de/10011380991
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Forecasts of inflation and interest rates in no-arbitrage affine models
Gospodinov, Nikolay; Wei, Bin - 2016
In this paper, we examine the forecasting ability of an affine term structure framework that jointly models the markets for Treasuries, inflation-protected securities, inflation derivatives, and oil future prices based on no-arbitrage restrictions across these markets. On the methodological...
Persistent link: https://www.econbiz.de/10011776813
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Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - 2014
We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional correlation model with the mixed-data sampling approach. The long-run correlation is affected by both macro-finance variables (historical and forecasts) and the lagged realized...
Persistent link: https://www.econbiz.de/10013208704
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The Relation between Municipal and Government Bond Yields in an Era of Unconventional Monetary Policy
Knezevic, David; Nordström, Martin; Österholm, Pär - 2019
In this paper we investigate how the five-year Swedish municipal bond yield has been related to the corre-sponding yield on government bonds during the period that the Riksbank has conducted unconventional monetary policy in terms of bond purchases. Using daily Swedish data on bond yields from...
Persistent link: https://www.econbiz.de/10012654448
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The Relation between the Corporate Bond-Yield Spread and the Real Economy: Stable or TimeVarying?
Karlsson, Sune; Österholm, Pär - 2019
parameters and/or stochastic volatility and conduct formal model selection in a Bayesian setting. Our results indicate that the … relation between the variables has been stable; we do, however, find strong support for stochastic volatility. We conclude that …
Persistent link: https://www.econbiz.de/10012654449
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Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances
Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2021
stochastic volatility and various distributional assumptions regarding the disturbances. In-sample, we find that after … controlling for stochastic volatility innovations in GDP growth can be well-described by a Gaussian distribution. In contrast … that accounting for stochastic volatility matters, mainly for density forecasts. Incremental improvements from non …
Persistent link: https://www.econbiz.de/10012654479
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Modeling Credit Aggregates
Kaufmann, Sylvia; Valderrama, Maria Teresa - 2004
The purpose of this paper is to model both loans to households and to non-financial corporations as well as their relation to interest rates and demand variables for Austria, Germany, the Netherlands and the United Kingdom. Credit aggregates are modeled using a Markov-switching vector...
Persistent link: https://www.econbiz.de/10013370007
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The transmission of financial shocks and leverage of financial institutions: An endogenous regime-switching framework
Hubrich, Kirstin; Waggoner, Daniel F. - 2022
We conduct a novel empirical analysis of the role of leverage of financial institutions for the transmission of financial shocks to the macroeconomy. For that purpose, we develop an endogenous regime-switching structural vector autoregressive model with time-varying transition probabilities that...
Persistent link: https://www.econbiz.de/10014278430