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Business-Cycle Variation in Macroeconomic Uncertainty and the Cross-Section of Expected Returns : Evidence for Scale-Dependent Risks

Xyngis, Georgios - 2017

fluctuations in uncertainty with persistence ranging from 32 to 128 months carry a negative price of risk of about -2% annually …. The price of risk for fluctuations with persistence outside of this range and for the raw series of aggregate uncertainty … is insignificant. Also, equity exposures are negative and hence the corresponding risk premia are positive. I quantify …

Persistent link: https://www.econbiz.de/10014133052

Analysing oil price- macroeconomic volatility in Nigeria

Abdulkareem, Alhassan; Abdulhakeem, Kilishi A. - In: CBN journal of applied statistics 7 (2016) 1, pp. 1-22

This study provides analytical insight on modelling macroeconomic and oil price volatility in Nigeria. Mainly, the paper employed GARCH model and its variants (GARCH-M, EGARCH and TGARCH) with daily, monthly and quarterly data. The findings reveal that: all the macroeconomic variables considered...

Persistent link: https://www.econbiz.de/10011460195

The impact of macroeconomic news on Polish and Czech government bond markets

Hausenblas, Václav; Pištora, Vojtěch - 2015

: inflation considerations appear to dominate credit risk considerations. For the most part, impact of news is incorporated in …

Persistent link: https://www.econbiz.de/10010529892

The asymmetric impact of economic policy and oil price uncertainty on inflation : evidence from developed and emerging economies

Anderl, Christina; Caporale, Guglielmo Maria - 2023

This paper examines the asymmetric impact of economic policy uncertainty (EPU) and oil price uncertainty (OPU) on inflation by using a Nonlinear ARDL (NARDL) model, which is compared to a benchmark linear ARDL one. Using monthly data from the 1990s until August 2022 for a number of developed and...

Persistent link: https://www.econbiz.de/10013543029

Are Macroeconomic Factors Adequate Proxies for Systematic Influences in Stock Returns?

Szczygielski, Jan - 2019

This paper investigates whether pre-specified macroeconomic factors can adequately proxy for the pervasive influences in stock returns, within the context of macroeconomic linear factor models motivated by the multifactor Arbitrage Pricing Theory (APT). Variation in stock returns can be...

Persistent link: https://www.econbiz.de/10012888876

The Impact of COVID-19 on Exchange Rate Volatility : Evidence Through GARCH Model

Benzid, Lamia - 2020

This paper employs a GARCH (1,1) model to investigate the impact of COVID-19 cases and related deaths in the US exchange rate volatility. Results show that an increase of the number of cases and the deaths (both in logs) in the US has a positive impact on the USD/EUR, USD/Yuan and...

Persistent link: https://www.econbiz.de/10012832852

Impact of COVID-19 on global stock market volatility

Kusumahadi, Teresia Angelia; Permana, Fikri C. - In: Journal of economic integration : jei 36 (2021) 1, pp. 20-45

Persistent link: https://www.econbiz.de/10012593273

The risk-return relationship in crude oil markets during COVID-19 pandemic : evidence from time-varying coefficient GARCH-in-Mean model

Napon Hongsakulvasu; Asama Liammukda - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 10, pp. 63-71

Persistent link: https://www.econbiz.de/10012671349

Empirical analysis of real and financial volatilities on stock excess returns : evidence from Taiwan industrial data

Chiang, Thomas C.; Doong, Shuh-Chyi - In: Global finance journal 10 (1999) 2, pp. 187-200

Persistent link: https://www.econbiz.de/10001493043

Risk-return relationship in the Nigerian stock market during pandemic COVID-19 : sectoral panel garch approach

Nageri, Kamaldeen Ibraheem - In: Copernican Journal of Finance & Accounting : CJF&A 10 (2021) 4, pp. 97-116

Persistent link: https://www.econbiz.de/10013165225

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