| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5069314 | Finance Research Letters | 2017 | 6 Pages |
â¢Address bond, equity, gold, oil markets, as well as market volatility and inflation.â¢Examine monthly lagged interactions during January 1950 to June 2015.â¢Equity prices negatively react to shocks in uncertainty, build a positive risk premium.â¢Cross-market pricing transmission occurs from gold to bonds and to oil.
We address bond, equity, gold as well as oil markets, and examine their lagged interactions including market volatility and consumer prices. Apart from considering returns, we also address the cyclic component of price levels. Study of the monthly lag structure during January 1950 to June 2015 reveals: (i) U.S. cycles and returns show a consistent pattern of predictability, (ii) the bond-equity interaction has self-enforcing and dampening dynamic components, (iii) equity prices negatively react to shocks in uncertainty and slowly build a positive risk premium, (iv) lagged cross-market pricing transmission occurs from gold to bonds to oil and finally to inflation.
