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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
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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
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Improved Recession Dating Using Stock Market Volatility
Huang, Yu-Fan - 2019
return volatility. The model significantly improves prediction of the state of the economy using fully revised data. Real …
Persistent link: https://www.econbiz.de/10012896987
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Identifying uncertainty shocks using the price of gold
Piffer, Michele; Podstawski, Maximilian - 2017
We propose a new instrument to identify uncertainty shocks in a SVAR model with external instruments. The instrument is constructed by exploiting variations in the price of gold around events that capture periods of changes in uncertainty. The variations in the price of gold around the events...
Persistent link: https://www.econbiz.de/10011602536
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Investor Sentiment, Stock Markets and Macroeconomic Fluctuation : An Empirical Evidence from US
Shaiban, Mohammed Sharaf - 2017
Recent literature theoretically assumes that exuberant Investors' sentiments increase the price of capital, signals strong fundamentals of the real side of the economy and drive asymmetric nonlinear asset prices. This study offers empirical insights into the interaction between investor...
Persistent link: https://www.econbiz.de/10012949754
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Time-varying stock return correlation, news shocks, and business cycles
Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022
The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...
Persistent link: https://www.econbiz.de/10014227600
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Can Stock Volatility Be Benign? New Measurements and Macroeconomic Implications
Huang, Yu-Fan - 2019
volatility — which are based on the maximum and minimum stock prices within a month. Good (bad) volatility is associated with … that (1) output, employment, and stock price plummet rapidly in response to a bad volatility shock, while their responses … to a good volatility shock are modest, and (2) bad volatility shocks explain the bulk of economic activity and stock …
Persistent link: https://www.econbiz.de/10012900449
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Financial Market Volatility, Macroeconomic Fundamentals and Investor Sentiment
Chiu, Ching-Wai (Jeremy) - 2019
In this paper, we investigate the dynamic relationship between financial market volatility, macroeconomic fundamentals … and investor sentiment, employing a two-factor model to decompose volatility into a persistent long run component and a … aggregate demand and supply cause an increase in the persistent component of both stock and bond market volatility, and that …
Persistent link: https://www.econbiz.de/10012871617
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Financial Market Volatility, Macroeconomic Fundamentals and Investor Sentiment
Chiu, Ching-Wai (Jeremy) - 2016
In this paper, we investigate the dynamic relationship between financial market volatility, macroeconomic fundamentals … and investor sentiment, employing a two-factor model to decompose volatility into a persistent long-run component and a … aggregate demand and supply cause an increase in the persistent component of both stock and bond market volatility, and that …
Persistent link: https://www.econbiz.de/10012984721
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Business-cycle consumption risk and asset prices
Bandi, Federico M. - 2020
We show that a business-cycle component of consumption growth (dubbed business-cycle consumption) with cycles between 2 and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently-proposed anomaly portfolios. We formalize the mapping...
Persistent link: https://www.econbiz.de/10012856904