Economic Welfare, Food Prices, and Sectoral Food Waste: A Structural Analysis Across the European Union. [PDF]
FoodsVărzaru AA.
europepmc +1 more source
The Exposure of Swiss Banks to Macroeconomic Shocks - an Empirical Investigation [PDF]
Assessing financial stability is an issue of rapidly growing importance to central banks and banking authorities. This paper explores an extensive panel data set of Swiss banks to identify macroeconomic influencing factors on bank profitability and to ...
Hansjörg Lehmann, Michael Manz
core
A Deep Learning Framework for Forecasting Medium‐Term Covariance in Multiasset Portfolios
Journal of Forecasting, EarlyView.ABSTRACT Forecasting the covariance matrix of asset returns is central to portfolio construction, risk management, and asset pricing. However, most existing models struggle at medium‐term horizons, several weeks to months, where shifting market regimes and slower dynamics prevail.
Pedro Reis, Ana Paula Serra, João Gama
wiley +1 more source
Empirical analysis of the correlation between China's Macroeconomic Market and Crude Oil Market based on mixed-frequency group factor model. [PDF]
PLoS OneZhao J, Yin J.
europepmc +1 more source
Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics [PDF]
This paper examines the effect of macroeconomic releases on stock market volatility through a Poisson-Gaussian-GARCH process with time varying jump intensity, which is allowed to respond to such information.
José Gonzalo Rangel
core
Forecasting House Prices: The Role of Market Interconnectedness
Journal of Forecasting, EarlyView.ABSTRACT While the existing research uncovers interconnections between various housing markets, it largely ignores the question of whether such linkages can improve house price predictions. To address this issue, we proceed in two steps. First, we forecast disaggregated house price growth rates from Australia and China to determine whether ...
Zac Chen +3 more
wiley +1 more source
International Bank Portfolios: Short- and Long-Run Responses to the Business Cycle [PDF]
International bank portfolios constitute a large component of international country portfolios. Yet, their response to macroeconomic conditions and their impact on the international transmission of business cycles developments remains largely unexplored.
Claudia M. Buch, Sven Blank
core
The Dollar's Double Life: Not All Dollar Appreciations Are Born Equal for the Cross‐Currency Basis
Journal of Futures Markets, EarlyView.ABSTRACT This paper revisits the relationship between the US dollar and cross‐currency basis (XCB) swap spreads. We show that the strength and direction of this relationship depend on the prevailing regime of the broad dollar. The evidence suggests that the well‐documented “dollar appreciates, basis widens” result holds primarily when the dollar is in ...
Daniel Felix Ahelegbey +2 more
wiley +1 more source
Oil Futures Prices, Inflation Expectations, and Bond Risk Premiums
Journal of Futures Markets, EarlyView.ABSTRACT By decomposing West Texas Intermediate futures price changes into structural supply and demand shocks, this paper shows that dissecting the oil price significantly improves inflation forecasts. Empirically, demand‐driven shocks predict a negative real bond risk premium but a positive inflation risk premium; these opposing effects result in an ...
Haibo Jiang
wiley +1 more source
Assessing the Macroeconomic Determinants of International Tourist Arrival in India: An ARDL Bounds Testing Approach. [PDF]
F1000ResSingh AK +7 more
europepmc +1 more source