This paper examines the effect of economic policy uncertainty on the performance of the real estate sector proxied by Real Estate Investment Trust (REIT) returns in the United States. Using monthly REIT index data and the monthly changes in a newly constructed index of economic policy...

This paper empirically investigates how business and consumer confidence responds to monetary policy shock. Based on the vector autoregressive (VAR) analysis of the monthly changes in business and consumer confidence and the monthly Federal fund interest rates, the results show that both the...

This study investigates the dynamic response of credit spread (CS) to S&P 500 dividend yield (DY) shock. Based on the analysis of monthly data from 1919M1 to 2013M8, the VAR results show that credit spread significantly rises immediately following shock to the S&P 500 dividend yield. The results...

This study investigates how equity trading activity dynamically responds to credit spread shock. Based on the analysis of monthly data from 1925M1 to 2013M7, equity trading activity, using share volume turnover as a proxy, significantly drops following the shock to credit spread. The results...

This paper analyses how stock returns on the U.S. manufacturing industry respond to raw materials price shock. Using monthly excess return data of the U.S. manufacturing industry and the percentage change of the U.S. raw materials price commodity index from 1960:M2 to 2012:M12, the vector auto...

This study investigates how returns on the S&P 500 (SP) dynamically respond to the aggregate corporate profit growth (CP) shock. The results from running the VAR model using quarterly data from 1951Q4 to 2012Q4 shows that returns on the SP significantly and positively respond to the CP shock...

This study examines the dynamic response of S&P 500 dividend yield (DY) and S&P 500 price-to-earnings ratio (PE) to corporate profit growth (CP) shock. Using the VAR model to analyze quarterly data from 1951Q4 to 2012Q4, the results show that both DY and PE significantly drop immediately...