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The time-varying relation between stock returns and monetary variables
McMillan, David G. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17
The nature of the relation between stock returns and the three monetary variables of interest rates (bond yields), inflation and money supply growth, while oft studied, is one that remains unclear. We argue that the nature of the relation changes over time, and this variation is largely driven...
Persistent link: https://www.econbiz.de/10012813273
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Some Variables are More Worthy than Others : New Diffusion Index Evidence on the Monitoring of Key Economic Indicators
Armah, Nii Ayi C. - 2013
Central banks regularly monitor select financial and macroeconomic variables in order to obtain early indication of the impact of monetary policies. This practice is discussed on the Federal Reserve Bank of New York website, for example, where one particular set of macroeconomic “indicators”...
Persistent link: https://www.econbiz.de/10013092865
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Some variables are more worthy than others : new diffusion index evidence on the monitoring of key economic indicators
Armah, Nii Ayi; Swanson, Norman R. - 2011
; factor ; federal reserve bank ; forecast ; macroeconometrics ; monetary policy ; parameter estimation error ; proxy …
Persistent link: https://www.econbiz.de/10009130538
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Inferring Equity Durations Around FOMC Surprises : Estimates and Implications
Chen, Zhanhui - 2020
Discount rates affect stock prices directly via the discount-rate channel or indirectly via the cash-flow channel because expected future cash-flow growth varies with the discount rates. The traditional Macaulay duration captures the effect from the discount-rate channel. I propose a novel...
Persistent link: https://www.econbiz.de/10012851441
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Predictive inference under model misspecification with an application to assessing the marginal predictive content of money for output
Armah, Nii Ayi (contributor); Swanson, Norman R. (contributor) - 2006
uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with … particular emphasis on the construction of valid bootstrap procedures for calculating the impact of parameter estimation error on …-sample estimation periods are ended any time during the 1980s, but less evidence during the 1970s. Furthermore, recursive estimation …
Persistent link: https://www.econbiz.de/10003698518
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Predictive inference under model misspecification with an application to assessing the marginal predictive content of money for output
Armah, Nii Ayi; Swanson, Norman R. - 2011 - Rev.
uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with … particular emphasis on the construction of valid bootstrap procedures for calculating the impact of parameter estimation error …). -- block bootstrap ; forecasting ; recursive estimation scheme ; rolling estimation scheme ; model misspecification ; nonlinear …
Persistent link: https://www.econbiz.de/10009130740
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Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output
Armah, Nii Ayi C.; Swanson, Norman R. - 2007
uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with … particular emphasis on the construction of valid bootstrap procedures for calculating the impact of parameter estimation error …
Persistent link: https://www.econbiz.de/10014052483
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A Misspecification-Robust Impulse Response Estimator
Chang, Pao-Li; Sakata, Shinichi - 2003
Impulse response analysis is typically conducted by fitting an autoregression model to a time series and calculating the moving average coefficients implied by the estimated autoregression model. If the autoregression specification is incorrect for the series, this approach may fail to capture...
Persistent link: https://www.econbiz.de/10014099512
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Monetary policy surprises and firm-level stock return predictability : evidence from a new panel-based approach
Floro, Danvee - In: Applied economics letters 25 (2018) 17, pp. 1255-1260
Persistent link: https://www.econbiz.de/10012135374
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One-sided test for an unknown breakpoint : theory, computation, and application to monetary theory
Estrella, Arturo (contributor);  … - 2005
The econometrics literature contains a variety of two-sided tests for unknown breakpoints in time-series models with one or more parameters. This paper derives an analogous one-sided test that takes into account the direction of the change for a single parameter. In particular, we propose a sup...
Persistent link: https://www.econbiz.de/10003226093