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The Stability of the Relation between the Stock Market and Macroeconomic Forces

Panetta, Fabio - 2003

This paper identifies the macroeconomic factors that influence Italian equity returns and tests the stability of their relation with securities returns. The relation between stock returns and the macroeconomic factors is found to be unstable: Not only are the factor loadings of individual...

Persistent link: https://www.econbiz.de/10014093968

Fundamentals or Fads? Pipes, Not Punting, Explain Commodity Prices and Volatility

Fenton, Colin P. - 2011

In assessing drivers of commodity prices and volatility at this stage of the current super-cycle in commodities (year 12 of a projected 25), it is vital to understand that production cost is a fundamental. Moreover, marginal production costs are among the most powerful drivers of commodity...

Persistent link: https://www.econbiz.de/10013120803

Has COVID-19 changed the stock return-oil price predictability pattern?

Zhang, Fan; Narayan, Paresh Kumar; Devpura, Neluka - In: Financial innovation : FIN 7 (2021), pp. 1-10

In this paper, we examine if COVID-19 has impacted the relationship between oil prices and stock returns predictions using daily Japanese stock market data from 01/04/2020 to 03/17/2021. We make a novel contribution to the literature by testing whether the COVID-19 pandemic has changed this...

Persistent link: https://www.econbiz.de/10012617355

Asymmetric volatility effects in risk management: an empirical analysis using a stock index futures

Benavides, Guillermo - 2020

In this research paper ARCH-type models and option implied volatilities (IV) are applied in order to estimate the Value-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated volatility estimation is considered. The empirical...

Persistent link: https://www.econbiz.de/10012292347

Measuring co-movements between US and European stock markets

Bonfiglioli, Alessandra; Favero, Carlo A. - 2000

Persistent link: https://www.econbiz.de/10001513461

Stock market investment and inflation : evidence from the United States and Canada

Sami, Janesh - In: Review of Economic Analysis : REA 13 (2021) 3, pp. 339-365

investment can help hedge against inflation in the United States (US) and Canada. This study employed an autoregressive … against inflation in the United States and Canada. …

Persistent link: https://www.econbiz.de/10012886334

Bayesian combinations of stock price predictions with an application to the Amsterdam Exchange index

Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2011

We summarize the general combination approach by Billio et al. [2010]. In the combination model the weights follow logistic autoregressive processes, change over time and their dynamics are possible driven by the past forecasting performances of the predictive densities. For illustrative...

Persistent link: https://www.econbiz.de/10011386476

Optimal monetary policy under Calvo pricing with Bertrand competition

Etro, Federico; Rossi, Lorenza - In: Journal of macroeconomics 45 (2015), pp. 423-440

Persistent link: https://www.econbiz.de/10011578031

Inflation risk and the cross section of stock returns

Duarte, Fernando M. - 2013

I establish that inflation risk is priced in the cross section of stock returns: Stocks that have low returns during … inflationary times command a risk premium. I estimate a market price of inflation risk that is comparable in magnitude to the price … of risk for the aggregate market. Inflation is therefore a key determinant of risk in the cross section of stocks. The …

Persistent link: https://www.econbiz.de/10009752802

Asset price shocks and inflation in the Finnish economy

Koivisto, Tero - 2024

This study aims to explore the extent to which changes in wealth contributes to inflation utilizing a highly flexible …

Persistent link: https://www.econbiz.de/10014573996

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