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Some Variables are More Worthy than Others : New Diffusion Index Evidence on the Monitoring of Key Economic Indicators

Armah, Nii Ayi C. - 2013

Central banks regularly monitor select financial and macroeconomic variables in order to obtain early indication of the impact of monetary policies. This practice is discussed on the Federal Reserve Bank of New York website, for example, where one particular set of macroeconomic “indicators”...

Persistent link: https://www.econbiz.de/10013092865

Some variables are more worthy than others : new diffusion index evidence on the monitoring of key economic indicators

Armah, Nii Ayi; Swanson, Norman R. - 2011

; factor ; federal reserve bank ; forecast ; macroeconometrics ; monetary policy ; parameter estimation error ; proxy …

Persistent link: https://www.econbiz.de/10009130538

COVID-19 and instability of stock market performance : evidence from the U.S.

Hong, Hui; Bian, Zhicun; Lee, Chien-chiang - In: Financial innovation : FIN 7 (2021), pp. 1-18

The effect of COVID‑19 on stock market performance has important implications for both financial theory and practice. This paper examines the relationship between COVID‑19 and the instability of both stock return predictability and price volatility in the U.S over the period January 1st,...

Persistent link: https://www.econbiz.de/10012494993

Macroeconomic Effects on D.J.S.I. - World Returns

Sariannidis, Nikolaos - 2010

Index World (D.J.S.I.-World). By using the model of Generalized Autoregressive Conditional Heteroskedasticity (GARCH), the … relation between D.J.S.I.-World returns to 10 year bond returns and Yen/U.S. dollar exchange rate is investigated. Research … results show that 10 year bond value affects positively the value of D.J.S.I.-World. However, there is a negative relation …

Persistent link: https://www.econbiz.de/10013146159

Does central bank transparency and communication affect financial and macroeconomic forecasts?

Lustenberger, Thomas; Rossi, Enzo - 2018

In a large sample of countries across different geographic regions and over a long period of time, we find limited country- and variable-specific effects of central bank transparency on forecast accuracy and their dispersion among a large set of professional forecasts of financial and...

Persistent link: https://www.econbiz.de/10011790688

Crude oil price shocks and stock returns : evidence from Turkish stock market under global liquidity conditions

Berk, Istemi; Aydogan, Berna - 2012

The purpose of this study is to investigate the impacts of crude oil price variations on the Turkish stock market returns. We have employed vector autoregression (VAR) model using daily observations of Brent crude oil prices and Istanbul Stock Exchange National Index (ISE-100) returns for the...

Persistent link: https://www.econbiz.de/10009743922

COVID-19 Infection Data, Policy Interventions or Sentiment; What Explains International Stock Returns and Volatility?

Virk, Nader - 2021

We examine the impact of COVID-19 (C-19) pandemic on global equity markets by constructing novel infection indices. Our results show that the impact of prompt and large-scale policy interventions is ambiguous yet statistically significant. However, in this equivocality, the impact of global...

Persistent link: https://www.econbiz.de/10013242732

Forecasting euro-area variables with German pre-EMU data

Brüggemann, Ralf (contributor); … - 2006

It is investigated whether Euro-area variables can be forecast better based on synthetic time series for the pre-Euro period or by using just data from Germany for the pre-Euro period. Our forecast comparison is based on quarterly data for the period 1970Q1 - 2003Q4 for ten macroeconomic...

Persistent link: https://www.econbiz.de/10003375993

(Un)Predictability and Macroeconomic Stability

D'Agostino, Antonello - 2006

This paper documents a new stylized fact of the greater macroeconomic stability of the U.S. economy over the last two decades. Using 131 monthly time series, three popular statistical methods and the forecasts of the Federal Reserve's Greenbook and the Survey of Professional Forecasters, we show...

Persistent link: https://www.econbiz.de/10012780502

A Macroeconomic News Index for Constructing Nowcasts of U.S. Real Gross Domestic Product Growth

Grover, Sean - 2017

Analyzing the performance of the economy in real time is a challenge for those who must forecast macroeconomic variables such as inflation or employment. A key aspect of this challenge is evaluating the incoming flow of information contained in economic announcements. In this article, the...

Persistent link: https://www.econbiz.de/10012967136

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