Results 1 to 10 of about 92,559 (42)
Are bond returns predictable with real-time macro data?
Journal of Econometrics, 2023 We examine whether bond returns are predictable with real-time macro variables by using two supervised learning methods, scaled PCA (sPCA) and partial least squares (PLS) instead of the usual PCA.
Dashan Huang +4 more
semanticscholar +1 more source
Economic Policy Uncertainty in China and Bitcoin Returns: Evidence From the COVID-19 Period
Frontiers in Public Health, 2021 This paper analyses the effects of the Chinese Economic Policy Uncertainty (CEPU) index on the daily returns of Bitcoin for the period from December 31, 2019 to May 20, 2020.
Tiejun Chen +3 more
semanticscholar +1 more source
The Market Price of Risk and Macro-Financial Dynamics
IMF Working Papers, 2023 We propose the conditional volatility of GDP spanned by financial factors as a “Volatility Financial Conditions Index” (VFCI) and show it is closely tied to the market price of risk.
Tobias Adrian
semanticscholar +1 more source
The American Economic Review, 2018 We propose a new strategy for dissecting the macroeconomic time series, provide a template for the business-cycle propagation mechanism that best describes the data, and use its properties to appraise models of both the parsimonious and the medium-scale ...
G. Angeletos, F. Collard, Harris Dellas
semanticscholar +1 more source
How Large are Housing and Financial Wealth Effects? A New Approach
Social Science Research Network, 2011 This paper presents a simple new method for measuring `wealth effects' on aggregate consumption. The method exploits the stickiness of consumption growth (sometimes interpreted as reflecting consumption `habits') to distinguish between immediate and ...
Christopher D. Carroll +2 more
semanticscholar +1 more source
SAGE OpenIn this paper, we examine the stock markets’ response to fluctuations in international risk factors under different market states during the COVID-19 pandemic.
Francisco Jareño +2 more
semanticscholar +1 more source
Economic Growth and the Rate of Profit in Colombia 1967–2019: A VAR Time-Series Analysis
The Review of Radical Political Economics, 2022 In recent decades, there has been a growing literature dealing with the empirical estimation of the rate of profit and other Marxian variables in several countries.
Carlos Alberto Duque Garcia
semanticscholar +1 more source
Journal of Econometrics, 2019 We view economic time series as the result of a cascade of shocks occurring at different times and different frequencies (scales). We suggest that economic relations that are found to be elusive when using raw data may hold true for different layers ...
F. Bandi +3 more
semanticscholar +1 more source
The Illusion of Oil Return Predictability: The Choice of Data Matters!
Social Science Research Network, 2021 Previous studies document statistically significant evidence of crude oil return predictability by several forecasting variables. We suggest that this evidence is misleading, and follows from the common use of within-month averages of daily oil price ...
T. Conlon +2 more
semanticscholar +1 more source
Is the Pollution Haven Hypothesis (PHH) valid for Turkey?
, 2020 The relationship between FDI inflows and carbon dioxide (CO2) emissions is still one of the most important topics among both environmentalists and economists.
Harun Terzi, U. Pata
semanticscholar +1 more source