Search Results - subject:"macroeconomic variables"

Innovations in the future money growth and the cross-section of stock returns in Korea

Jung, Hosung; Kim, Dongcheol - In: Asia-Pacific journal of financial studies 40 (2011) 5, pp. 683-709

Persistent link: https://www.econbiz.de/10009566677

Are stock returns a leading indicator for real macroeconomic developments?

Burgstaller, Johann - 2002

to investigate the respective long-run relations between stock prices and other macroeconomic variables as well as short …

Persistent link: https://www.econbiz.de/10010294592

The Dynamics and Stochastics of Currency Betas Based on the Unbiasedness Hypothesis in Foreign Exchange Markets

Lin, Winston T.; Lin, Hong-Jen; Chen, Yueh H. - In: Multinational Finance Journal 6 (2002) 3-4, pp. 167-195

currency betas can be attributed to the dynamic behavior of various macroeconomic variables from different sectors of an … economy, in addition to the trend variable considered in previous research. Incorporating four macroeconomic variables from …

Persistent link: https://www.econbiz.de/10010937179

Are stock returns a leading indicator for real macroeconomic developments?

Burgstaller, Johann - Institut für Volkswirtschaftslehre, … - 2002

to investigate the respective long-run relations between stock prices and other macroeconomic variables as well as short …

Persistent link: https://www.econbiz.de/10005627254

Are stock returns a leading indicator for real macroeconomic developments?

Burgstaller, Johann - 2002

to investigate the respective long-run relations between stock prices and other macroeconomic variables as well as short …

Persistent link: https://www.econbiz.de/10009750238

Macroeconomic Effects on Emerging Market Sector Indices

Schätz, Alexander - In: Journal of Emerging Market Finance 9 (2010) 2, pp. 131-169

This article supplies empirical evidence of the dynamic interactions between international macroeconomic determinants and 10 emerging market sector indices. As so far empirical research has followed the scientific approach of examining each country separately, this article conducts a...

Persistent link: https://www.econbiz.de/10011137865

MACROECONOMIC ACTIVITY AND THE MALAYSIAN STOCK MARKET: EMPIRICAL EVIDENCE OF DYNAMIC RELATIONS

Rasiah, R. Ratneswary V. - In: The International Journal of Business and Finance Research 4 (2010) 2, pp. 59-69

between the stock market and various macroeconomic variables in Malaysia over the period 1980M1 to 2006M12. The study applies … supply and real exchange rate. The long-term elasticity coefficients of the macroeconomic variables on stock returns display … influence of certain macroeconomic variables namely; consumer price index, money supply and real exchange rate in forecasting …

Persistent link: https://www.econbiz.de/10011206175

Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators

Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya - School of Economics and Political Science, Universität … - 2010

exact factor model that can take into account the heteroskedasticity feature shown by most macroeconomic variables and …

Persistent link: https://www.econbiz.de/10008542831

CONSUMER CONFIDENCE, STOCK PRICES AND EXCHANGE RATES: THE CASE OF TURKEY

Sakir, GORMUS; GUNES, Sevcan - In: Applied Econometrics and International Development 10 (2010) 2

During the last few years a large number of economist and institutions have expressed increasing concerns regarding to importance of confidence on economic variables. They believe that increase in economic agents’ confidence will affect economic variables positively. The main objective of this...

Persistent link: https://www.econbiz.de/10008642428

A new unit root test with two structural breaks in level and slope at unknown time

Narayan, Paresh Kumar; Popp, Stephan - In: Journal of Applied Statistics 37 (2010) 9, pp. 1425-1438

In this paper, we propose a new augmented Dickey-Fuller-type test for unit roots which accounts for two structural breaks. We consider two different specifications: (a) two breaks in the level of a trending data series and (b) two breaks in the level and slope of a trending data series. The...

Persistent link: https://www.econbiz.de/10008674973