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TFP news, stock market booms and the business cycle : revisiting the evidence with VEC models

Di Casola, Paola; Sichlimiris, Spyridon - 2020

Beaudry and Portier (2006) provide support for the "news view" of the business cycle, using a vector error correction model. We show that this result hinges on a cointegrating relationship between TFP and stock prices that is not stationary, thus making the estimates not reliable. If we alter...

Persistent link: https://www.econbiz.de/10012181050

Stock Market Cross-Sectional Skewness and Business Cycle Fluctuations

R.T. Ferreira, Thiago - 2020

Using U.S. data from 1926 to 2015, I show that financial skewness?a measure comparing cross-sectional upside and downside risks of the distribution of stock market returns of financial firms?is a powerful predictor of business cycle fluctuations. I then show that shocks to financial skewness are...

Persistent link: https://www.econbiz.de/10014115594

Sectoral trends and cycles in Germany

Cheung, Yin-Wong; Westermann, Frank - 2001

We examine the comovements between the output indexes of three German sectors (manufacturing, mining, and agriculture) and the three corresponding sectoral stock market indexes. It is found that data with and without seasonal adjustment give mixed results on the long-run interaction between the...

Persistent link: https://www.econbiz.de/10011398919

Moments of Cross-Sectional Stock Market Returns and the German Business Cycle

Döpke, Jörg; Müller, Karsten; Tegtmeier, Lars - 2022

Based on monthly data covering the period from 1987 to 2019, we analyse whether cross-sectional moments of stock market returns may provide information about the future position of the German business cycle. We apply in-sample forecasting regressions with and without leading indicators as...

Persistent link: https://www.econbiz.de/10013290016

Sectoral Trends and Cycles in Germany

Cheung, Yin-Wong; Westermann, Frank - 2021

Persistent link: https://www.econbiz.de/10013320888

The impact of macroeconomic factors on the German stock market : evidence for the crisis, pre- and post-crisis periods

Celebi, Kaan; Hönig, Michaela - In: International Journal of Financial Studies : open … 7 (2019) 2/18, pp. 1-13

Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible....

Persistent link: https://www.econbiz.de/10012039605

Threshold models in time series analysis : some reflections

Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491

Persistent link: https://www.econbiz.de/10011504634

Estimating behavioural heterogeneity under regime switching

Chiarella, Carl; He, Xue-zhong; Huang, Weihong; Zheng, … - In: Journal of economic behavior & organization : JEBO 83 (2012) 3, pp. 446-460

Persistent link: https://www.econbiz.de/10011584097

Volatility Forecasting and the Business Cycle : Evidence from the European Monetary Union

Schwake, Daniel - 2011

-cyclicity, stock price volatility is believed to demonstrate with respect to the state of the economy. It further tests whether such … interdependence is exploitable for volatility forecasting. The sound contribution of this paper is the extension of the in-sample to … ability of an GJR-GARCH-Model, of the implied and historical volatility, the prediction power of macroeconomic and financial …

Persistent link: https://www.econbiz.de/10013125603

Nonparametric smoothing and quantile estimation in time series

Abberger, Klaus - In: Risk measurement, econometrics and neural networks : …, (pp. 1-16). 1998

Persistent link: https://www.econbiz.de/10001305364

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