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Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price returns with respect to the stance of the U.S. macroeconomy. We find that variables which contain information on current and future economic activity are helpful predictors for...
Persistent link: https://www.econbiz.de/10009526194
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This paper clarifies the conditions under which the state-of-the-art approach to identifying TFP news shocks in Kurmann and Sims (2021, KS) identifies not only news shocks but also surprise shocks. We examine the ability of the KS procedure to recover responses to these shocks from data...
Persistent link: https://www.econbiz.de/10014357201
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We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a structural VAR model to identify the causes underlying the oil price shocks and gauge the differential impact that oil supply and oil demand innovations have on financial volatility....
Persistent link: https://www.econbiz.de/10011438638
We use volatility impulse response analysis estimated from the bivariate GARCH-BEKK model to quantify the size and the persistence of different types of oil price shocks on stock return volatility and the covariance between oil price changes and stock returns for a wide range of net...
Persistent link: https://www.econbiz.de/10012897925
We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a structural VAR model to identify the causes underlying the oil price shocks and gauge the differential impact that oil supply and oil demand innovations have on financial volatility....
Persistent link: https://www.econbiz.de/10013001030
The total output of an economy usually follows cyclical movements which are accompanied by similar movements in stock prices. The common explanation relies on the demand side. It points out that stock market wealth drives consumption which triggers production afterward. This paper focuses on...
Persistent link: https://www.econbiz.de/10010510621
The total output of an economy usually follows cyclical movements which are accompanied by similar movements in stock prices. The common explanation relies on the demand side. It points out that stock market wealth drives consumption which triggers production afterwards. This paper focuses on...
Persistent link: https://www.econbiz.de/10011759236
We estimate agents' expectations about future fundamentals using a dynamic stochastic generalequilibrium model augmented with anticipated shocks. Accounting for agents' expectations atthe business cycle horizon results in aggregate risk factor innovations that have significant explanatory power...
Persistent link: https://www.econbiz.de/10012643121