Based on the present value model for stock prices, we utilise a pooled mean group estimator for panel ARDL cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We find a positive long-run relation between stock prices,...

Recent empirical finance research has suggested the potential for series to exhibit non-linear adjustment to equilibrium. This paper examines a variety of such models and compares their performance with the linear alternative. Using short- and long-term UK interest rates we report evidence that...

This paper investigates the role of oil as a determinant of the US stock-bond correlation. The analysis uses monthly data over the period from February 1990 to July 2021. We examine the impact of oil shocks, using the Ready (2018) method, alongside a range of macroeconomic variables on the...

We investigate whether range-based estimators contain information in forecasting realized volatility within a HAR-RV-X framework and applied to G7 stock markets. Using a rolling window approach and QLIKE, HMSE and MCS forecast criteria, overall findings suggest that while no single model...

We examine the nature of predictive power of money supply growth for stock returns. An understanding of which would be useful for market practitioners and policy makers given the current lack of consensus. In addition, knowledge of this relationship can aid our understanding of the risk and cash...

This paper examines the predictability of a range of international stock markets where we allow the presence of both local and global predictive factors. Recent research has argued that US returns have predictive power for international stock returns. We expand this line of research, following...

This paper documents the recent changing structure of the US bank market, as it has become more deregulated and specifically asks how this affects bank behaviour as it relates to profits and risk. Using a variety of approaches, such as the HHI and Lerner measures, we document a general increase...

Using a state-space model, this paper examines time-variation in the predictive regressions for stock returns, dividend growth and consumption growth. Moreover, we linked time-variation explicitly to movements in economic factors that can account for risk and cash flow. Results support the view...

The debate regarding rising temperatures and CO2 emissions has attracted the attention of economists employing recent econometric techniques. This paper extends that literature through using a dataset that covers 800,000 years, as well as a shorter dataset, and examines the interaction between...

We consider whether government bonds, through the term structure, or corporate bonds, through the default yield, provide predictive power for output, consumption and investment growth. Such predictive power will allow policy-makers to use the information as a leading indicator for macroeconomic...