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TFP news, stock market booms and the business cycle : revisiting the evidence with VEC models

Di Casola, Paola; Sichlimiris, Spyridon - 2020

Beaudry and Portier (2006) provide support for the "news view" of the business cycle, using a vector error correction model. We show that this result hinges on a cointegrating relationship between TFP and stock prices that is not stationary, thus making the estimates not reliable. If we alter...

Persistent link: https://www.econbiz.de/10012181050

No-Arbitrage Near-Cointegrated Var(p) Term Structure Models, Term Premia and GDP Growth

Jardet, Caroline - 2011

The recent macro-finance yield curve literature does not agree neither about term premia empirical properties nor about the importance or even the direction of its relationship with future economic activity. This paper proposes a two-step approach to handle both problems. First, in a VAR...

Persistent link: https://www.econbiz.de/10013132933

Response of stock markets to monetary policy : an Asian stock market perspective

Yoshino, Naoyuki; Taghizadeh-Hesary, Farhad; … - 2014

We estimate the response of Asian stock market prices to exogenous monetary policy shocks using a vector error correction model. In our paper, monetary policy transmits to stock market price through three routes: money by itself, exchange rate, and inflation. Our result points to the fact that...

Persistent link: https://www.econbiz.de/10010400823

The interaction between stock prices and interest rates in Turkey : empirical evidence from ARDL bounds test cointegration

Tursoy, Turgut - In: Financial innovation : FIN 5 (2019) 7, pp. 1-12

Turkey’s financial markets for the period of 2001 M1 – 2017 M4. Cointegration analysis is investigated using the … autoregressive-distributed lag bounds (ARDL Bounds) test and vector autoregressive cointegration. Additionally, cointegrating … Cointegration test results show that, dynamically, both prices are significantly related to each other. The cointegrating equation …

Persistent link: https://www.econbiz.de/10011972648

Investigating the asymmetric impact of oil prices on GCC stock markets

Ben Cheikh, Nidhaleddine; Ben Naceur, Samy; Kanaan, … - 2020

This paper investigates the presence of asymmetric relationship between oil price movements and Gulf Cooperation Council (GCC) stock markets. We propose the implementation of nonlinear vector smooth transition regression (VSTR) models which offer a greater flexibility when modelling the possible...

Persistent link: https://www.econbiz.de/10012314956

The influence of housing price developments on household consumption : empirical analysis for the Czech Republic

Dvořáková, Sylvie; Seidler, Jakub - 2012

This paper studies how the change of wealth of households represented by housing prices and stock market prices influences households' consumption. We provide empirical analysis based on the Czech aggregate data from 1998-2009. We analyse the effect of change in households' wealth on the...

Persistent link: https://www.econbiz.de/10009613272

Testing for Rational Bubbles in a Co-Explosive Vector Autoregression

Engsted, Tom - 2013

We derive the parameter restrictions that a standard equity market model implies for a bivariate vector autoregression for stock prices and dividends, and we show how to test these restrictions using likelihood ratio tests. The restrictions, which imply that stock returns are unpredictable, are...

Persistent link: https://www.econbiz.de/10013094612

Investigating the Asymmetric Impact of Oil Prices on GCC Stock Markets

Ben Cheikh, Nidhaleddine; Ben Naceur, Samy; Kanaan, … - 2021

Persistent link: https://www.econbiz.de/10013314986

Permanent and transitory shocks in the presence of asymmetric error correction

Chan, F.; McDonald, Garry A. - In: Applied economics 47 (2015) 25/27, pp. 2642-2648

Persistent link: https://www.econbiz.de/10010519640

Oil price and economic growth nexus in Saudi Arabia : asymmetry analysis

Mahmood, Haider; Murshed, Muntasir - In: International Journal of Energy Economics and Policy : IJEEP 11 (2021) 1, pp. 29-33

Persistent link: https://www.econbiz.de/10012586832