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Uncovering economic impacts and dynamics of European energy policy: Evidence from DEMATEL, panel data, and cluster analysis. [PDF]
PLoS OneKluczek A, Woźniak A, Żegleń P.
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Macroeconomic Variables and Investor Sentiment
2021Many studies have shown that investor behavior is closely related to macroeconomic variables. In the Taiwan stock market, foreign investors, mutual funds, and dealers have a huge impact on the stock market, and the difference in their trading behavior comes from different investment needs. In order to explore the relationship between investor sentiment
Mei-Hua Liao, Chun-Min Wang, Ya-Lan Chan
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Quantifying the quality of macroeconomic variables
International Journal of Forecasting, 2007Abstract Methods to quantify the quality of a macroeconomic statistical time series are presented. The integrated measures are based on a combination of how predictable the series is and how much its statistics need to be revised. An “information window” based on signal-to-noise ratios provides a snapshot of the quality.
Lars-Erik Öller, Alex Teterukovsky
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Clustering macroeconomic variables
Structural Change and Economic Dynamics, 2013Abstract Numerous studies have highlighted the structural instability in certain macroeconomic time series. This issue has been typically addressed through three econometric methodologies: structural breaks, Regime-Switching, and time-varying parameter models, all requiring some ex ante structure to define the changes.
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Stability of Macroeconomic Variables
2018In Chap. 4, we have seen some important characteristics of long-term inventory processes. If we want to see the relationship of these to the other GDP components, we have to examine long-term characteristics not only the GDP components but also some other macroeconomic factors, which according to previous research are in close relationship with ...
Attila Chikán +4 more
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The Influence of Macroeconomic Variables on the Stock Market Performance
SSRN Electronic Journal, 2021The purpose of the study is to empirically analyze the influence of the macroeconomic indicators onIndia's stock market performance. The macroeconomic variables considered are inflation, interest rate, money supply,industrial production, and exchange rates in India. The study covers the period from April 2005 to April 2021.
null Anjaly B, Malabika Deo
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Momentum and macroeconomic state variables
Financial Markets and Portfolio Management, 2013We find strong evidence that momentum across asset classes is driven by macroeconomic state variables. By reacting to changes in the macroeconomic environment, the strategy performs particularly well in times of economic distress. This result is interesting for practitioners and academics alike the success of an investment strategy that simultaneously ...
Stephan Kessler, Bernd Scherer
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Causality in EU macroeconomic variables
Applied Economics Letters, 2015ABSTRACTThis article investigates the interdependence of macroeconomics, financial and other variables for European Union countries using a multivariate vector autoregressive (VAR) approach for quarterly data. The VAR analysis is applied to all bivariate cases, and the best fitted models are selected in order to conduct Granger causality testing and ...
Christos Agiakloglou +2 more
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Forecast Pooling for European Macroeconomic Variables*
Oxford Bulletin of Economics and Statistics, 2004AbstractWe compare alternative forecast pooling methods and 58 forecasts from linear, time‐varying and non‐linear models, using a very large dataset of about 500 macroeconomic variables for the countries in the European Monetary Union. On average, combination methods work well but single non‐linear models can outperform them for several series.
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