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Macroeconomic forces and stock prices : evidence from the Bangladesh stock market
Khan, Mashrur Mustaque; Yousuf, Ahmed Sadek - 2013
Prices ; Macroeconomic Factors ; Dhaka Stock Exchange ; Cointegration ; VEC …-series techniques were used which include Cointegration, Vector Error Correction Model (VECM), Impulse Response Functions (IRF) and … Variance Decompositions (VDC). Cointegration analysis, along with the VECM, suggests that interest rates, crude oil prices and …
Persistent link: https://www.econbiz.de/10009737188
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WHAT MOVES BOND YIELDS IN CHINA?
Fan, Longzhen; Johansson, Anders C. - Stockholm China Economic Research Institute, … - 2009
This paper analyzes the joint dynamic processes of macroeconomic and monetary variables and bond yields in China. We show that macroeconomic variables as well as monetary policy variables have a significant impact on two factors that capture the variation in yields. An increase in the inflation...
Persistent link: https://www.econbiz.de/10005004399
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ECB Spillovers and Domestic Monetary Policy Effectiveness in Small Open Economies
ter Ellen, Saskia; Jansen, Edvard; Midthjell, Nina Larsson - 2018
In this paper we study financial spillovers from the European Central Bank's (ECB) monetary policy and communication, and whether they have consequences for the effectiveness of domestic monetary policy of small open economies. Recent work suggests that the "trilemma" in international economics...
Persistent link: https://www.econbiz.de/10012143934
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Linkages between Real & Financial Sector : Empirical Evidence from India Using ARDL Approach
Tripathi, Vanita - 2015
(ARDL) model, LM serial correlation test, CUSUM test and Johansen Cointegration test to capture the nature of relation … Credit). ARDL and Johansen Cointegration Test results reveal that GDP is significantly explained by its own past values (both …
Persistent link: https://www.econbiz.de/10013017153
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Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan
Humpe, Andreas; Macmillan, Peter - Centre for Dynamic Macroeconomic Analysis, University … - 2007
influence stock prices in the US and Japan. A cointegration analysis is applied in order to model the long term relationship …
Persistent link: https://www.econbiz.de/10005696955
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Consumption-Wealth Ratio and Housing Prices.
Dubecq, S.; Ghattassi, I. - Banque de France - 2009
.S post-war data, we provide empirical evidence in favor of the existence of a cointegration relationship with a structural …
Persistent link: https://www.econbiz.de/10008503200
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A New ‘Preferred Habitat’ Yield Curve Parameter
Howell, Michael J - 2016
Since the GFC, the supply of US government bonds has grown significantly, involving large changes in the structure of Treasury debt. This has important implications because many investment funds target duration to immunize their liabilities, incentivised by shortfall risks and new legislation....
Persistent link: https://www.econbiz.de/10012990691
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Cointegration between macroeconomic factors and the exchange rate USD/CNY
Khan, Muhammad Kamran; Teng, Jian-Zhou; Khan, Muhammad Imran - In: Financial innovation : FIN 5 (2019) 5, pp. 1-15
series data for China economy from 1980 to 2017. ARDL bounds test approach for cointegration is applied to test the long …
Persistent link: https://www.econbiz.de/10011972644
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Oil price, oil price implied volatility (OVX) and illiquidity premiums in the US : (a)symmetry and the impact of macroeconomic factors
Essa, Mohammad Sharik; Giouvris, Evangelos - In: Journal of risk and financial management : JRFM 13 (2020) 4/70, pp. 1-40
We examine the impact of oil price and oil price volatility on US illiquidity premiums (return on illiquid-minus-liquid stocks), using the US Oil Fund options implied volatility OVX index. We use daily data from 2007 to 2018, taking into account the structural break in June 2009 and controlling...
Persistent link: https://www.econbiz.de/10012302569
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Modeling and forecasting currency in circulation for liquidity management in Nigeria
Ikoku, Alvan - In: CBN Journal of Applied Statistics 05 (2014) 1, pp. 79-104
Nigeria. Forecasts were produced using ARIMA, ARIMA with structural variables, VAR and VEC models. The performance of the …
Persistent link: https://www.econbiz.de/10011482596