Author: Valentina CorradiPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-premiums
Author: Valentina CorradiMacroeconomic Determinants of Stock-market Returns, Volatility and Volatility Risk-premia
Author: Valentina CorradiPublisher:
ISBN:
Category : Risk
Languages : en
Pages : 45
Book Description
Macroeconomics Determinants of Stock Market Returns, Volatility and Volatility Risk-premia
Author: Valentina CorradiDeterminants of Stock Market Volatility and Risk Premia
Author: Mordecai KurzDeterminants of Stock Market Volatility and Risk Premia
Author: Mordecai KurzFinancial Markets and the Real Economy
Author: John H. CochranePublisher: Now Publishers Inc
ISBN: 1933019158
Category : Business & Economics
Languages : en
Pages : 117
Book Description
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Stock Market Volatility and Economic Factors
Author: John J. BinderPublisher:
ISBN:
Category :
Languages : en
Pages : 36
Book Description
This paper examines the ability of rational economic factors to explain stock market volatility. A simple model of the economy under uncertainty identifies four determinants of stock market volatility: uncertainty about the price level, the riskless rate of interest, the risk premium on equity and the ratio of expected profits to expected revenues in the economy. In initial tests these variables have significant explanatory power and account for over 50 percent of the variation in market volatility from 1929 to 1989. When the regression coefficients are allowed to vary over time using the Spath cluster regression, the four factors explain over 90 percent of the variation in market volatility. The results are useful in explaining the past behavior of stock market volatility and in forecasting future volatility.
Stock Market Volatility and Corporate Investment
Author: Zuliu HuPublisher: International Monetary Fund
ISBN: 1451852584
Category : Business & Economics
Languages : en
Pages : 26
Book Description
Despite concerns are often voiced on the so called “excess volatility” of the stock market, little is known about the implications of market volatility for the real economy. This paper examines whether the stock market volatility affects real fixed investment. The empirical evidence obtained from the US data shows that market volatility has independent effects on investment over and above that of stock returns. Volatility and its changes are negatively related to investment growth. To the extent volatility depresses fixed capital formation and hence future income growth, the results suggest the desirability of reducing stock market volatility.
Macroeconomic News, Time-varying Risk Factors, and Time-varying Risk Premia
Author: Alexandre VézinaPublisher:
ISBN:
Category : Bond market
Languages : en
Pages : 0
Book Description
The basic purpose of this paper is to investigate the sources of time-varying risk premia for both the U.S. stock and bond markets. In addition, we look at the sources of time-varying conditional variance and conditional covariance of these two markets. Although a large literature has emerged on the return and volatility of any of the two markets, few studies propose a model in which both markets are modeled together. Moreover, after all the research done, the reasons explaining the causes of the volatility of any of the two markets remain unclear. What we propose in this paper is a model that considers both markets' volatility simultaneously. Our model captures the change in the risk premium, if any, to each market's own volatility risk as well as to the covariance risk for specific events. More specifically, we investigate if macroeconomic news is a source of time-varying volatility as well as time-varying covariance, and whether these results in time-varying risk premia in either of the markets. We find that stocks, as opposed to bonds, mainly exhibit a change in the risk premium on variance risk. The results suggest that most of the change is due to the PPI announcements. Our models also indicate that there is a change in the bond risk premium on covariance risk on macroeconomic news announcement dates. Finally, linear regressions show that employment reports and PPI releases are a source of time-varying conditional variance for stock, notes and bond returns.
Macroeconomic Determinants of European Stock Market Volatility
Author: Vihang R. ErrunzaPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
In this paper we investigate whether macroeconomic variability can explain time variation in European stock market volatility. We find that unlike the documented case of the U.S., in many cases, the time variation in stock market volatility is found to be significantly affected by the past variability of either monetary or real macroeconomic factors. Our findings have important implications for capital and portfolio allocations.