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Macroeconomic Expectations and State-Dependent Factor Returns
SSRN Electronic Journal, 2023We examine the asymmetric impact of shocks to macroeconomic expectations and their underlying dispersion on equity risk premia across different market regimes. First, we rely on a two-state logit mixture vector autoregressive model and use Consensus Economics survey data on GDP growth, inflation, and short-term interest rates to approximate ...
Haase, Felix, Neuenkirch, Matthias
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Macroeconomic factors and international industry returns
Applied Financial Economics, 2001This chapter extends the evidence presented in earlier chapters of the book, with respect to macroeconomic factors affecting industry returns, by moving away from the US and into a global setting. Managers who are interested in building global portfolios of stocks operate in such a setting.
Manolis G. Kavussanos +2 more
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Sector Rotation with Macroeconomic Factors
The Journal of Wealth Management, 2015Implementing sector rotation strategies with a set of low-frequency economic measures, the authors construct long-only sector exchange traded fund (ETF) portfolios that respond differently to the economy via alternative optimization methods, such as mean–variance and low-volatility allocations. These economic-based portfolios, when assessed against the
James Chong, G. Michael Phillips
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Momentum profits and macroeconomic factors
Applied Economics Letters, 2004This article tests whether macroeconomic variables and market sentiment influence the size of momentum profits. It finds that although returns to the winner and loser portfolios are influenced by a range of macroeconomic and market wide variables; momentum profits are influenced only by the scale of portfolio outflows.
Patricia Chelley-steeley +1 more
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Factor-Augmented VARMA Models With Macroeconomic Applications
Journal of Business & Economic Statistics, 2013We study the relationship between VARMA and factor representations of a vector stochastic process. We observe that, in general, vector time series and factors cannot both follow finite-order VAR models. Instead, a VAR factor dynamics induces a VARMA process, while a VAR process entails VARMA factors.
Jean-Marie Dufour, Dalibor Stevanovic
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Macroeconomic factors and crime rates
2023El principal objetivo de esta tesis de es demostrar empíricamente qué factores económicos afectan a los índices de delincuencia. La metodología utilizada en esta investigación es un modelo de Panel con los índices de robos como variable dependiente.
Pons Zaragoza, Lara +1 more
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Macroeconomic factors of exchange rate volatility
Studies in Economics and Finance, 2007PurposeThe purpose of this study is to examine the factors of exchange rate volatility from the macroeconomic perspective for four neighbouring ASEAN economies.Design/methodology/approachThis study has scrutinised the link between macroeconomic factors and exchange rate volatility in both the short and the long run by applying econometrics techniques ...
Chong Lee‐Lee, Tan Hui‐Boon
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Macroeconomic Risks in Equity Factor Investing
The Journal of Portfolio Management, 2019There is a consensus that equity factors are cyclical and depend on macroeconomic conditions. To build well-diversified portfolios of factors, one needs to account for the fact that different factors may have similar dependencies on macroeconomic conditions.
Noël Amenc +3 more
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Macroeconomic Factors and Microlevel Bank Behavior
Journal of Money, Credit and Banking, 2014We analyze the link between banks and the macroeconomy using a model that extends a macroeconomic VAR for the U.S. with a set of factors summarizing conditions in about 1,500 commercial banks. We investigate how macroeconomic shocks are transmitted to individual banks and obtain the following main findings.
CLAUDIA M. BUCH +2 more
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Macroeconomic Factors of Post-crisis Growth
Voprosy Ekonomiki, 2004Russia has managed to achieve spectacular success after the 1998 crisis. High rates of economic growth have been first of all conditioned by low level of industrial capacity utilization in the pre-crisis period. Other factors have also played an important role: the positive conjuncture of world oil prices; dynamics of relative prices; changes in ...
C. Rühl +4 more
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