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Stock market investment and inflation : evidence from the United States and Canada
Sami, Janesh - In: Review of Economic Analysis : REA 13 (2021) 3, pp. 339-365
distributed lag (ARDL) cointegration test developed by Pesaran, Shin, and Smith (2001), and finds evidence of a positive long …
Persistent link: https://www.econbiz.de/10012886334
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On the dynamic relationship between the housing market, stock market, and macroeconomic variables in Hong Kong
So, Simon Man Shing; Huang, Red Ze Wei - In: The journal of prediction markets 16 (2022) 2, pp. 101-125
Persistent link: https://www.econbiz.de/10014289909
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Do financial crises matter for nonlinear exchange rate and stock market cointegration? : a heterogeneous nonlinear panel data model with PMG approach
Tabash, Mosab I.; Sheikh, Umaid A.; Matar, Ali; Ahmed, Adel - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-22
the conventional symmetrical panel ARDL (PARDL) model was not able to formulate long-run cointegration between currency …. However, asymmetrical cointegration was established between the currency values and stock market indexes for the pre …
Persistent link: https://www.econbiz.de/10013545812
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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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Demographic changes and asset prices in an overlappig generations model
Simo-Kengne, Beatrice D.; Riedel, Frank; … - 2022 - This version: December 15, 2022
We examine the effect of demographic shifts on asset prices in an overlapping generations model with endogenous population dynamics. We establish a robust inverse relationship between returns and the old dependency ratio. We document the absence of a simple monotonic relationship between asset...
Persistent link: https://www.econbiz.de/10013466466
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Are there bubbles in stock prices? : testing for fundamental shocks
Velinov, Anton; Chen, Wenjuan - 2014
means of a Markov switching-SVAR (MS-SVAR) model in heteroskedasticity. Using data from France, Germany, Italy, Japan, the …
Persistent link: https://www.econbiz.de/10010349257
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Financial development and economic growth : some Caribbean empirical evidence
Ghartey, Edward E. - In: Journal of economic development 43 (2018) 1, pp. 49-76
Persistent link: https://www.econbiz.de/10011844738
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Testing for cointegration with threshold effect between unemployment and stock prices
Arabaci, Ozer - In: Applied economics letters 25 (2018) 9, pp. 643-647
Persistent link: https://www.econbiz.de/10011855087
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Are Sticky Prices Costly? Evidence from the Stock Market
Gorodnichenko, Yuriy - 2017
We show that after monetary policy announcements, the conditional volatility of stock market returns rises more for firms with stickier prices than for firms with more flexible prices. This differential reaction is economically large and strikingly robust to a broad array of checks. These...
Persistent link: https://www.econbiz.de/10012974569
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The new Keynesian model and the long-run vertical Phillips curve : does it hold for Germany?
Gottschalk, Jan; Fritsche, Ulrich - 2006
rate, unemployment and inflation in West Germany from the early 1960s up to 2004 using a multivariate co-integration …New-Keynesian macroeconomic models typically assume that any long-run trade-off between inflation and unemployment is … hypothesis necessarily holds in a European country like Germany where hysteretic effects may invalidate it. Inspired by the …
Persistent link: https://www.econbiz.de/10010426365