Showing 1 - 10 of 23
We evaluate the short horizon predictive ability of financial conditions indexes for stock returns and macroeconomic variables. We find reliable predictability only when the sample includes the 2008 financial crisis, and we argue that this result is driven by tailoring the indexes to the crisis...
Persistent link: https://www.econbiz.de/10010667564
We study the role of information in asset pricing models with long-run cash flow risk. To illustrate the importance of the information structure, we show how the implications of the long run risk paradigm for the cross-sectional properties of stock returns and cash flow duration are affected by...
Persistent link: https://www.econbiz.de/10012746751
I examine the intertemporal distribution of US productivity risk and show that the conditional mean of productivity growth is an important determinant of macro quantities and asset prices. After establishing this empirical link, I rationalize it in a production economy featuring long-run...
Persistent link: https://www.econbiz.de/10012706730
We propose an equilibrium model that can explain a wide range of international finance puzzles, including the high correlation of international stock markets despite the lack of correlation of fundamentals. We conduct an empirical analysis of our model, which combines cross-country-correlated...
Persistent link: https://www.econbiz.de/10012755213
We study the role of information in asset pricing models with long-run cash flow risk. To illustrate the importance of the information structure, we show how the implications of the long-run risk paradigm for the cross-sectional properties of stock returns and cash flow duration are affected by...
Persistent link: https://www.econbiz.de/10012755427
This paper takes a closer look at the puzzle uncovered by Driesprong et al. (2008) and finds empirical support for the "oil effect" in equity returns. Using forty nine US industry-level returns series and changes in oil spot and future prices, we address whether industry-level returns are...
Persistent link: https://www.econbiz.de/10004980390
We test the validity of the Dutch disease hypothesis by examining the relationship between real oil prices and real exchange rates in a sample of fourteen oil exporting countries. Autoregressive distributed lag (ARDL) bounds tests of cointegration support the existence of a stable relationship...
Persistent link: https://www.econbiz.de/10011096502
We test the validity of the Dutch disease hypothesis by examining the relationship between real oil prices and real exchange rates in a sample of fourteen oil exporting countries. Autoregressive distributed lag (ARDL) bounds tests of cointegration support the existence of a stable relationship...
Persistent link: https://www.econbiz.de/10011097022
This paper analyzes market index returns in the Tehran stock exchange (TSE) within the context of three variants of the Capital Asset Pricing Model: the static international; the constant-parameter intertemporal; and a Markov-switching intertemporal CAPM, which allows for time-varying degree of...
Persistent link: https://www.econbiz.de/10010933276
Purpose – The purpose of this paper is to study the potential loss of competitiveness due to higher oil prices through the monetary channel in a group of six oil producing countries. Design/methodology/approach – A dynamic time series methodology, Dynamic Simultaneous Equations, is applied...
Persistent link: https://www.econbiz.de/10005047626