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Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by inflation and interest rate expectations as well...
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activity in a small open economy in the euro area. We aim to clarify potential differences in forecasting economic activity …
Persistent link: https://www.econbiz.de/10010875032
Based on a recursive forecasting approach, this research studies whether macro- economic factors help to forecast … included in the optimal forecasting model, that their relative importance often differs from their importance for forecasting a … broad stock-market index, and that their informational content for forecasting excess returns seems to undergo temporal …
Persistent link: https://www.econbiz.de/10010927776
Цель статьи заключается в исследовании возможностей прогнозирования тенденций мировых фондовых рынков и определении их влияния на развитие реального сектора...
Persistent link: https://www.econbiz.de/10011271206
Economic outcomes in Jamaica have fallen short of the authorities’ objectives in recent years. As the government looks to reinvigorate its growth and debt reduction strategy, it is instructive to examine how exogenous shocks and other unanticipated developments can affect economic...
Persistent link: https://www.econbiz.de/10011245592
We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. We find that across stocks there is substantial dispersion in these exposures, which is partly explained by...
Persistent link: https://www.econbiz.de/10005263928