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On the macroeconomic determinants of the long-term oil-stock correlation
Conrad, Christian; Loch, Karin; Rittler, Daniel - 2012
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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Essays on asset pricing with contagion, endogenous growth, and long-run risk
Grüning, Patrick - 2015
Persistent link: https://www.econbiz.de/10010530710
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Time variation in macro-financial linkages
Prieto, Esteban; Eickmeier, Sandra; Marcellino, Massimiliano - 2013
Persistent link: https://www.econbiz.de/10009745589
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Time variation in macro-financial linkages
Prieto, Esteban; Eickmeier, Sandra; Marcellino, Massimiliano - 2013
We analyze the contribution of credit spread, house and stock price shocks to GDP growth in the US based on a Bayesian VAR with time-varying parameters estimated over 1958-2012. Our main findings are: (i) The contribution of financial shocks to GDP growth fluctuates from about 20 percent in...
Persistent link: https://www.econbiz.de/10009739598
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Time variation in macro-financial linkages
Prieto, Esteban; Eickmeier, Sandra; Marcellino, Massimiliano - In: Journal of applied econometrics 31 (2016) 7, pp. 1215-1233
Persistent link: https://www.econbiz.de/10011687454
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The effect of economic policy uncertainty on the long-run correlation between crude oil and the U.S. stock markets
Fang, Libing; Chen, Baizhu; Yu, Honghai; Xiong, Cheng - In: Finance research letters 24 (2018), pp. 56-63
Persistent link: https://www.econbiz.de/10011982466
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Stock price targeting and fiscal deficit in Japan : why did the fiscal deficit increase during Japan’s lost decades?
Fukuda, Shin'ichi; Yamada, Junji - In: Journal of the Japanese and international economies : … 25 (2011) 4, pp. 447-464
Persistent link: https://www.econbiz.de/10009425807
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Time Variation in Macro-Financial Linkages
Prieto, Esteban - 2016
We analyze the contribution of credit spread, house and stock price shocks to GDP growth in the US based on a Bayesian VAR with time-varying parameters estimated over 1958-2012. Our main findings are: (i) The contribution of financial shocks to GDP growth fluctuates from about 20 percent in...
Persistent link: https://www.econbiz.de/10012988788
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Testing output gap and economic uncertainty as an explicator of stock market returns
Ahmad, Wasim; Sharma, Sumit Kumar - In: Research in international business and finance 45 (2018), pp. 293-306
Persistent link: https://www.econbiz.de/10011983273
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China’s Monetary Policy Regulation and Financial Risk Prevention : The Study of Effectiveness and Appropriateness
Zhou, Hui - 2015
Abstract -- Introduction -- Literature Review and Research Framework -- Effectiveness Study of Chinese Monetary Policy Regulation on Economic Growth and Inflation -- Appropriateness Study of Monetary Policy Regulation on Real Estate Price -- Appropriateness Study of Monetary Policy Regulation on...
Persistent link: https://www.econbiz.de/10014021002