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The Determinants of Stock and Bond Return Comovements
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In this article, the authors identify the economic factors employing structural and non-structural vector autoregressive models for economic state variables such as interest rates, (expected) inflation, output growth and dividend payouts.Abstract:
We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We identify the economic factors employing structural and non-structural vector autoregressive models for economic state variables such as interest rates, (expected) inflation, output growth and dividend payouts. We also view risk aversion, and uncertainty about inflation and output as additional potential factors. Even the best-fitting economic factor model fits the dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual correlations not explained by the economic models.read more
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Trade and the Global Recession
Jonathan Eaton,Samuel Kortum,Samuel Kortum,Brent Neiman,Brent Neiman,John Romalis,John Romalis +6 more
TL;DR: This paper developed a dynamic multi-country general equilibrium model to investigate forces acting on the global economy during the Great Recession and ensuing recovery, and applied the model to 21 countries, investigating the 29 percent drop in world trade in manufactures during 2008-2009.
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CISS - A Composite Indicator of Systemic Stress in the Financial System *
TL;DR: In this article, a new indicator of contemporaneous stress in the financial system named Composite Indicator of Systemic Stress (CISS) is introduced, whose specific statistical design is shaped according to standard definitions of systemic risk.
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Hedges and Safe Havens: An Examination of Stocks, Bonds, Gold, Oil and Exchange Rates
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The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks
TL;DR: In this paper, the authors show that introducing Epstein-Zin preferences into a canonical DSGE model can also produce a large and variable term premium without compromising the model's ability to fit key macroeconomic variables.
References
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A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
TL;DR: In this article, a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic is presented, which does not depend on a formal model of the structure of the heteroSkewedness.
ReportDOI
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
Whitney K. Newey,Kenneth D. West +1 more
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
Journal ArticleDOI
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle.
TL;DR: In this article, the parameters of an autoregression are viewed as the outcome of a discrete-state Markov process, and an algorithm for drawing such probabilistic inference in the form of a nonlinear iterative filter is presented.
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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
Journal ArticleDOI
Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models
TL;DR: In this article, a new class of multivariate models called dynamic conditional correlation models is proposed, which have the flexibility of univariate generalized autoregressive conditional heteroskedasticity (GARCH) models coupled with parsimonious parametric models for the correlations.