I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...

Currently, the investor considers monetary indicators a vital factor when ‎making any investment in equity prices. This research aim to find the long-‎run relationship between stock returns (DLSP) of Canada and monetary ‎indicators as the exchange rate (LEXC), the interest rate (LINT), and...

This study investigates the short run and the long run equilibrium ‎relationship between Suisse stock market (SSM) prices and a set of ‎macroeconomic variables (inflation, interest rate, and exchange rate) using ‎Monthly data for the period 1999:1 to 2018:4. Different specifications and...

The key objective of this study is to shed light on the relationship between the stock market ‎and macroeconomic factors (Interest rate, Consumer Price Index, Exchange rate) in United ‎Kingdom for the period Pre Global Financial Crisis 2008 (GFC); from January 1999 to ‎December 2007. The...

This paper analyses the behaviour of alternative measures of credit extension for countercyclical buffer decisions in South Africa. The cyclical properties of alternative measures of credit extension are examined over the economic and the financial cycles. The results show that the deviation of...

This paper proposes an econometric model of the joint dynamic relationship between the yield curve and the economy to predict business cycles. We examine the predictive value of the yield curve to forecast both future economic growth as well as the beginning and end of economic recessions at the...

This study analyses empirically the link between real house prices and key macro variables like prices, output and interest rates for ten OECD countries. We find out that a monetary policy shock lowers real house prices in all ten countries, where the interest rate shock explains between 12 and...

This paper deals with an existing question; does market liquidity disequilibrium leads to stock market bubble burst? Contemporary research has shown that liquidity is the key driving force behind capital market growth and its sustenance. Stock markets usually react to changes in market-wide...

In the empirical finance literature findings on the risk return tradeoff in excess stock market returns are ambiguous. In this study, we develop a new QR-GARCH-M model combining a probit model for a binary business cycle indicator and a regime switching GARCH-in-mean model for excess stock...

FTS in Business cycles examines the dynamic effects and empirical significance of Flight to Safety (FTS) shocks in the context of US business cycles. FTS represents a sudden preference for safe over risky investments and contains important information on agents’ time-varying risk-aversion and...