Based on the theoretical framework of financial amplification, this study is set up to investigate the dynamic effects of financial stress on the performance of the U.S. real estate market proxied by Real Estate Investment Trust (REIT) returns in the United States using vector autoregressive...

This paper empirically investigates how business and consumer confidence responds to monetary policy shock. Based on the vector autoregressive (VAR) analysis of the monthly changes in business and consumer confidence and the monthly Federal fund interest rates, the results show that both the...

This paper provides empirical evidence of how financial stress mediates the effect of the demand side's confidence on the supply side's confidence in the United States. Using monthly data from 1994:M2 to 2012:M5, the time-series regression analyses show that changes in the demand side's...

This paper examines the effects of business and consumer confidence on stock market returns. Based on the analysis of monthly data from thirty-one countries, the results show that business and consumer confidence has a positive effect on stock market returns. The findings reveal that change in...

This study is to assess the dynamics effects of business confidence and consumer confidence on stock market risk premiums and to determine the relative importance of business confidence and consumer confidence in forecasting the variability of stock market risk premiums though a variance...

This study examines if economic policy uncertainty in the U.S. has any effect on the returns on stock markets in the BRIC (Brazil, Russia, India and China) countries. The current study also investigates how stock market returns in the four countries respond to the U.S. economic policy...

This study investigates the effect of the changes of economic policy uncertainty in the U.S. on the returns on stock markets of Indonesia, Malaysia, Philippines, Singapore and Thailand. The current study also examines how the stock market returns in the five countries respond to the changes in...

This study investigates the dynamic response of the change in short interest ratio in the equity market (SIR) to the change in aggregate Tobin's q ratio (∆TBQ). Looking at the quarterly data from 1951Q4 to 2012Q4, the VAR results show that SIR drops following the shock to ∆TBQ after one...