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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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Nowcasting Key Australian Macroeconomic Variables
Australian Economic Review, 2023AbstractForecasts are relied upon as a guide to what future outcomes for the economy might be. However, it is also important to estimate what is happening in the economy now or has taken place in the recent past. This is where ‘nowcasts’ come in. In this article, I describe what nowcasting is, why it can be a useful tool for macroeconomists as well as ...
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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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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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Macroeconomic Variables, Firm-Specific Variables and Returns to REITs [PDF]
Journal of Real Estate Research, 1998 This study investigates the cross-sectional variation in equity real estate investment trusts (EREITs) returns.
Su-Jane Chen +3 more
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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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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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Forecasting macroeconomic variables in emerging economies
Journal of Asian Economics, 2021Abstract Forecasting macroeconomic variables in rapidly changing emerging economies presents a number of challenges. In addition to structural changes, the time-series data are usually available only for a short number of periods, and predictors are available in different lengths and frequencies.
Le Ha Thu, Roberto Leon-Gonzalez
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