Search Results - subject:"macroeconomic variables"

An econometric approach to macroeconomic risk. A cross country study

Carrera, Jorge Eduardo; Cusolito, Ana Paula; Féliz, Mariano - Volkswirtschaftliche Fakultät, … - 2001

A contribution to the study of volatility and country risk is made in order to achieve a successful crosscountry comparison. We present a methodology for the evaluation of country risk that include endogenous detection of multiple structural breaks (also identifying its different kinds),...

Persistent link: https://www.econbiz.de/10005621868

MACROECONOMIC VARIABLES, EXCHANGE RATE AND STOCK PRICE: A MALAYSIAN PERSPECTIVE

Ibrahim, Mansor H.; Yusoff, Wan Sulaiman Wan - In: IIUM Journal of Economics and Management 9 (2001) 2, pp. 141-164

The paper analyzes dynamic interactions among three macroeconomic variables (real output, price level, and money supply … variations in macroeconomic variables especially the price level; currency depreciation is both contractionary and inflationary …

Persistent link: https://www.econbiz.de/10008629602

Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach

Audrino, Francesco; Filipova, Kameliya - School of Economics and Political Science, Universität … - 2009

We propose an empirical approach to determine the various economic sources driving the US yield curve. We allow the conditional dynamics of the yield at different maturities to change in reaction to past information coming from several relevant predictor variables. We consider both endogenous,...

Persistent link: https://www.econbiz.de/10004991599

MACROECONOMIC CONDITIONS AND CREDIT SPREADS

CHEBBI, Tarek; HELLARA, Slaheddine - In: Journal of Applied Research in Finance Bi-Annually I (2009) 1, pp. 29-42

This study conducts an empirical examination of the impact of market conditions on credit spreads motivated by recently developed structural credit risk models. Using corporate credit spreads, we find that macroeconomic conditions mainly affect low rated bonds. In particular, the CPI and yield...

Persistent link: https://www.econbiz.de/10010711332

Financial Crisis and Changes in Determinants of Risk and Return: An Empirical Investigation of an Emerging Market (ISE)

Muradoglu, Gulnur; Berument, Hakan; Metin, Kivilcim - In: Multinational Finance Journal 3 (1999) 4, pp. 223-252

the paper are twofold. First, using a GARCH-M framework, risk and return are jointly modeled by using macroeconomic … variables both in the variance and the mean equations. The conditional variance equation is specified by including macro …

Persistent link: https://www.econbiz.de/10010937117

Firm Default and Aggregate Fluctuations

Jacobson, Tor; Kindell, Rikard; Lindé, Jesper; … - C.E.P.R. Discussion Papers - 2008

This paper studies the relation between macroeconomic fluctuations and corporate defaults while conditioning on industry affiliation and an extensive set of firm-specific factors. Using a multiperiod logit approach on a panel data set for all incorporated Swedish businesses over 1990-2002, we...

Persistent link: https://www.econbiz.de/10005504257

INVESTIGATION OFRELATIONSHIPBETWEEN HOUSE PRICES AND MACROECONOMIC VARIABLES IN TURKEY

â€¹lkay Oner Bodurlar - In: Anadolu University Journal of Social Sciences 8 (2008) 1, pp. 223-238

This study analyses the dynamic effects of macroeconomic variables (i.e. gross domestic product (GDP), money supply … run relationship between house prices and macroeconomic variables are obtained using the Johansen cointegration test. The … prices and macroeconomic variables. The results of VEC Granger Causality/Block Exogeneity Wald Test show that thereis bi …

Persistent link: https://www.econbiz.de/10005064749

The importance of information technologies in the ability of fund managers to time the market

Ferruz, Luis; Vargas, Maria - In: International Journal of Electronic Finance 2 (2008) 1, pp. 70-81

incorporating macroeconomic variables representative of Spanish business cycle. We demonstrate that the incorporation of such …

Persistent link: https://www.econbiz.de/10005753708

The importance of information technologies in the ability of fund managers to time the market

Ferruz, Luis; Vargas, Maria - In: International Journal of Electronic Finance 2 (2008) 1, pp. 70-81

incorporating macroeconomic variables representative of Spanish business cycle. We demonstrate that the incorporation of such …

Persistent link: https://www.econbiz.de/10008539385

Generating Innovations in Economic Variables

Leone, Vitor; Leger, Lawrence A. - School of Business and Economics, Loughborough University - 2007

Stock prices should respond only to unpredictable components of economic news (‘innovations’) in efficient markets. While innovations used in empirical investigations of the economic underpinnings of stock market risk should at least satisfy this basic requirement this may not guarantee...

Persistent link: https://www.econbiz.de/10005423008