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The impact of macroeconomic factors on the German stock market : evidence for the crisis, pre- and post-crisis periods
Celebi, Kaan; Hönig, Michaela - In: International Journal of Financial Studies : open … 7 (2019) 2/18, pp. 1-13
Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible....
Persistent link: https://www.econbiz.de/10012039605
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International spillovers into Asian stock markets under the unconventional monetary policies of advanced countries
Sugimoto, Kimiko; Matsuki, Takashi - In: Journal of the Japanese and international economies : … 52 (2019), pp. 171-188
Persistent link: https://www.econbiz.de/10012260477
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The associations between stock prices, inflation rates, interest rates are still persistent : empirical evidence from stock duration model
Eldomiaty, Tarek Ibrahim; Saeed, Yasmeen; Hammam, Rasha; … - In: Journal of economics, finance & administrative science 25 (2020) 49, pp. 149-161
/methodology/approach - The authors use standard statistical tools that include Johansen cointegration test, linearity, normality tests …, cointegration regression, Granger causality and vector error correction model. Findings - The results of panel Johansen … cointegration analysis show that cointegration exists between the stock prices, the changes in stock prices due to inflation rates …
Persistent link: https://www.econbiz.de/10012260161
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Inflation, monetary policy and stock market conditions
Bordo, Michael D. (contributor); Dueker, Michael (contributor) - 2008
"This paper examines the association between inflation, monetary policy and U.S. stock market conditions during the second half of the 20th century. We estimate a latent variable VAR to examine how macroeconomic and policy shocks affect the condition of the stock market. Further, we examine the...
Persistent link: https://www.econbiz.de/10003741414
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Inflation, monetary policy and stock market conditions
Bordo, Michael D.; Dueker, Michael; Wheelock, David C. - 2008
Persistent link: https://www.econbiz.de/10003724838
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Monetary Policy and Stock Market Booms
Christiano, Lawrence J. - 2010
Historical data and model simulations support the following conclusion. Inflation is low during stock market booms, so that an interest rate rule that is too narrowly focused on inflation destabilizes asset markets and the broader economy. Adjustments to the interest rate rule can remove this...
Persistent link: https://www.econbiz.de/10013137616
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Monetary Policy and Stock Market Booms
Christiano, Lawrence J. - 2014
Historical data and model simulations support the following conclusion. Inflation is low during stock market booms, so that an interest rate rule that is too narrowly focused on inflation destabilizes asset markets and the broader economy. Adjustments to the interest rate rule can remove this...
Persistent link: https://www.econbiz.de/10013069208
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Inflation, Monetary Policy and Stock Market Conditions
Bordo, Michael D. - 2008
This paper examines the association between inflation, monetary policy and U.S. stock market conditions during the second half of the 20th century. We estimate a latent variable VAR to examine how macroeconomic and policy shocks affect the condition of the stock market. Further, we examine the...
Persistent link: https://www.econbiz.de/10012771830
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Monetary Policy and Stock Market Booms
Christiano, Lawrence - 2010
Historical data and model simulations support the following conclusion. Inflation is low during stock market booms, so that an interest rate rule that is too narrowly focused on inflation destabilizes asset markets and the broader economy. Adjustments to the interest rate rule can remove this...
Persistent link: https://www.econbiz.de/10012462254
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Inflation, Monetary Policy and Stock Market Conditions
Bordo, Michael D. - 2008
This paper examines the association between inflation, monetary policy and U.S. stock market conditions during the second half of the 20th century. We estimate a latent variable VAR to examine how macroeconomic and policy shocks affect the condition of the stock market. Further, we examine the...
Persistent link: https://www.econbiz.de/10012464627