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Stock Returns and Real Growth : A Bayesian Nonparametric Approach

Yang, Qiao - 2019

This study constructs a Bayesian nonparametric model to investigate whether stock market returns predict real economic growth. Unlike earlier studies, our use of an infinite hidden Markov model enables parameters to be time-varying across an infinite number of Markov-switching states estimated...

Persistent link: https://www.econbiz.de/10012899603

Size-Portfolio Idiosyncratic Volatility with Aggregate Return, Cross-Sectional Return, and GDP Growth : U.S. and International Evidence

Kuo, Chris - 2011

documents that, when the idiosyncratic volatility is specified by firm size, the size-portfolio idiosyncratic volatility is …, this paper examines the predictive ability of the size-portfolio idiosyncratic volatility for GDP growth. It concludes that … size-portfolio idiosyncratic volatility contain significant information for forecasting future GDP growth for both the U …

Persistent link: https://www.econbiz.de/10013117807

Which way to go now? : financing economic growth in the sustainable development era

Basu, Sudip Ranjan; Das Gupta, Monica - In: Asian development review : studies of Asian and pacific … 40 (2023) 2, pp. 177-209

Our paper uses a novel methodology to reexamine the relationship between financial development and economic growth in the era of sustainable development. Our empirical procedure deals with both functional-form misspecification bias as well as bias from endogenous regressors. It also provides an...

Persistent link: https://www.econbiz.de/10014426285

Growth Fragility and Systemic Risk Under Model Uncertainty

C. Herculano, Miguel - 2021

The link between systemic risk and economic growth is hard to study because the relationship is believed to be nonlinear and systemic risk is unobservable. The myriad of measures proposed in the literature add model uncertainty as an additional difficulty. I use a Bayesian quantile regression to...

Persistent link: https://www.econbiz.de/10013226354