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Risk and policy uncertainty on stock-bond return correlations : evidence from the US markets
Chiang, Thomas C. - In: Risks : open access journal 8 (2020) 2/58, pp. 1-16
This paper investigates dynamic correlations of stock-bond returns for different stock indices and bond maturities. Evidence in the US shows that stock-bond relations are time-varying and display a negative trend. The stock-bond correlations are negatively correlated with implied volatilities in...
Persistent link: https://www.econbiz.de/10012292914
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Dynamic effects of monetary policy shocks on macroeconomic volatility
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
We use a simple New Keynesian model, with firm specific capital, non-zero steady-state inflation, long-run risks and Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy rate by 150 basis points causes output and inflation...
Persistent link: https://www.econbiz.de/10011389786
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Risks in macroeconomic fundamentals and excess bond returns predictability
De Rezende, Rafael B. - 2015 - February 2015
I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …
Persistent link: https://www.econbiz.de/10010478516
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The causal relationship between economic policy uncertainty and stock returns in China and India : evidence from a bootstrap rolling window approach
Li, Xiao-Lin; Balcilar, Mehmet; Gupta, Rangan; Chang, … - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 674-689
Persistent link: https://www.econbiz.de/10011562548
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The impact of COVID-19 pandemic on stock markets : an empirical analysis of world major stock indices
Khan, Karamat; Zhao, Huawei; Zhang, Han; Yang, Huilin; … - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 7, pp. 463-474
Persistent link: https://www.econbiz.de/10012668146
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The Covid-19 pandemic and the degree of persistence of US stock prices and bond yields
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2021
This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966-December 2020 and then a recursive approach is taken to...
Persistent link: https://www.econbiz.de/10012494826
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Impact of the Monetary Policy Instruments on Islamic Stock Market Index Return
Albaity, Mohamed S. - 2011
Previous studies found that Islamic stock market index in Malaysia (KLSI), does not react, or react negatively to interest rate, although one of the main criteria of Islamic finance is to avoid business and activities that yield interest because of its prohibition in Islamic laws. On the other...
Persistent link: https://www.econbiz.de/10013117432
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The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis
Ampountolas, Apostolos - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17
financial portfolio returns from 2019 to 2020. Moreover, we used value-at-risk (VaR) and value-at-risk measurements based on the … and respond well to previous shocks. As a result, financial assets have low unconditional volatility and the lowest risk … reports negative risk results for the entire cryptocurrency portfolio during the pandemic, except for the Ethereum (ETH). …
Persistent link: https://www.econbiz.de/10014295230
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Investigating the impact of Covid-19 pandemic on stock markets : evidence from global equity indices
Faque, Mustapher; Hacıoğlu, Ümit - 2021
Persistent link: https://www.econbiz.de/10012659382
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Are the shocks of EPU, VIX, and GPR indexes on the oil-stock nexus alike? : a time-frequency analysis
Chen, Xiuwen - In: Applied economics 55 (2023) 48, pp. 5637-5652
Persistent link: https://www.econbiz.de/10014335498