کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
958258 | 1478814 | 2006 | 39 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Are the dynamic linkages between the macroeconomy and asset prices time-varying?
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
استراتژی و مدیریت استراتژیک
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We estimate a number of multivariate regime switching VAR models on a long monthly US data set for eight variables that include excess stock and bond returns, the real T-bill yield, predictors used in the finance literature (default spread and the dividend yield), and three macroeconomic variables (inflation, industrial production growth, and a measure of real money growth). Heteroskedasticity may be accounted for by making the covariance matrix a function of the regime. We find evidence of four regimes and of time-varying covariances. We show that the best in-sample fit is provided by a four state model in which the VAR(1) component fails to be regime-dependent. We interpret this as evidence that the dynamic linkages between financial markets and the macroeconomy have been stable over time. The four-state model can be helpful in forecasting applications and provides one-step ahead predicted Sharpe ratios.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economics and Business - Volume 58, Issues 5â6, OctoberâNovember 2006, Pages 480-518
Journal: Journal of Economics and Business - Volume 58, Issues 5â6, OctoberâNovember 2006, Pages 480-518
نویسندگان
Massimo Guidolin, Sadayuki Ono,