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Stock Market Illiquidity's Predictive Role Over Economic Growth : The Australian Evidence
Rai, Alan - 2013
I examine the ability of equity market illiquidity to predict Australian macroeconomic variables, between 1976 and 2010. In contrast to existing, U.S.-based, studies, I find that stock market illiquidity does not, on average, have much predictive power over economic growth. Consistent with the...
Persistent link: https://www.econbiz.de/10013086653
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Nexus between Stock Price Volatility and Selected Macroeconomic Variables : Evidence from Nifty 50
Karthika, Dr. P. - 2017
affecting the Indian stock market volatility. There is a general belief on macroeconomic variable affects the functioning of … stock market and its volatility (PallaviKudal 2010). In developing countries like India stock markets are sensitive to … researcher to find out whether the macroeconomic variable changes create any volatility in the Indian stock market. This study …
Persistent link: https://www.econbiz.de/10012950238
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Oil prices and the global economy : is it different this time around?
Mohaddes, Kamiar; Pesaran, M. Hashem - 2016
Persistent link: https://www.econbiz.de/10011754338
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Oil prices and the global economy : is it different this time around?
Mohaddes, Kamiar; Pesaran, M. Hashem - In: Energy economics 65 (2017), pp. 315-325
Persistent link: https://www.econbiz.de/10011803985
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On the Relation between the Persistence and Predictability of Dividend Growth Rates
Schneider, Jan - 2013
All variations in price-dividend ratios result from either movements in expected returns or expected dividend growth rates. If growth rates contain a persistent component, even small changes in expected near-term dividends can cause large movements in prices. I derive closed-form solutions for...
Persistent link: https://www.econbiz.de/10013088938
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Predicting GDP Growth with Stock and Bond Markets : Do They Contain Different Information?
McMillan, David G. - 2019
This paper examines the ability of bond and stock markets to predict subsequent GDP growth over a range of horizons for twelve international countries. The results, using linear, probit, time- and regime-varying in-sample regressions and out-of-sample forecasting, confirm the view that both...
Persistent link: https://www.econbiz.de/10012891593
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Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns : Evidence and Theory. Online Appendix
Colacito, Ric - 2015
Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory.The paper to which these …
Persistent link: https://www.econbiz.de/10013025168
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Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns : Evidence and Theory
Colacito, Ric - 2015
We document that the first and third cross-sectional moments of the distribution of GDP growth rates made by professional forecasters can predict equity excess returns, a finding which is robust to controlling for a large set of well established predictive factors. We show that introducing...
Persistent link: https://www.econbiz.de/10013036192
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Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes
Gollier, Christian - 2012
probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …
Persistent link: https://www.econbiz.de/10009689360
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Austerity, fiscal volatility, and economic growth
Curatola, Giuliano; Donadelli, Michael; Gioffré, Alessandro - 2014
This paper contributes to the ongoing debate on the relationship between austerity measures and economic growth. We propose a general equilibrium model where (i) agents have recursive preferences; (ii ) economic growth is endogenously driven by investments in R&D; (iii) the government is...
Persistent link: https://www.econbiz.de/10010367469