Business Cycle Asymmetries in Stock Returns PDF Download
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Author: Gabriel Pérez-Quirós
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 25
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Book Description
Author: Gabriel Pérez-Quirós
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 25
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Book Description
Author: Paramsothy Silvapulle
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 40
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Book Description
Author: Dale L. Domian
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
We present and estimate models of an asymmetric relationship between CRSP stock index returns and the U.S. unemployment rate. Based on the Akaike Information Criterion, conventional linear time series models are improved by allowing asymmetric responses. Our results show that negative stock returns are quickly followed by sharp increases in unemployment, while more gradual unemployment declines follow positive stock returns. According to our forecasting model, the unemployment rate rises by 1.12 percentage points during the 12 months after a 10 percent stock decline. Because macroeconomics forecasters have been unable to reliably predict downturns, these findings may provide a useful contribution.
Author: Gabriel Perez-Quiros
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Peter N. Smith
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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Book Description
We examine the relation between US stock market returns and the US business cycle for the period 1960 - 2003 using a new methodology that allows us to estimate a time-varying equity premium. We identify two channels in the transmission mechanism. One is through the mean of stock returns via the equity risk premium, and the other is through the volatility of returns. We confirm previous findings based on simple correlation analysis that the relation is asymmetric with downturns in the business cycle having a greater negative impact on stock returns than the positive effect of upturns. We also obtain a new result, that demand and supply shocks affect stock returns differently. Our model of the relation between returns and their volatility is derived from the stochastic discount factor model of asset pricing which encompasses CAPM, consumption CAPM and Merton's (1973) inter-temporal CAPM. It is implemented using a multi-variate GARCH-in-mean model with a time-varying conditional heteroskedasticity and correlation structure.
Author: Ms.Valerie Cerra
Publisher: International Monetary Fund
ISBN: 1513536990
Category : Business & Economics
Languages : en
Pages : 50
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Book Description
Traditionally, economic growth and business cycles have been treated independently. However, the dependence of GDP levels on its history of shocks, what economists refer to as “hysteresis,” argues for unifying the analysis of growth and cycles. In this paper, we review the recent empirical and theoretical literature that motivate this paradigm shift. The renewed interest in hysteresis has been sparked by the persistence of the Global Financial Crisis and fears of a slow recovery from the Covid-19 crisis. The findings of the recent literature have far-reaching conceptual and policy implications. In recessions, monetary and fiscal policies need to be more active to avoid the permanent scars of a downturn. And in good times, running a high-pressure economy could have permanent positive effects.
Author: Yongmiao Hong
Publisher:
ISBN:
Category :
Languages : en
Pages : 52
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Book Description
In this paper, we provide a model-free test for asymmetric correlations which suggest stocks tend to have greater correlations with the market when the market goes down than when it goes up. We also provide such tests for asymmetric betas and covariances. In addition, we evaluate the economic significance of asymmetric correlations by answering the question that what is the utility gain for an investor who switches from a belief of symmetric stock returns into a belief of asymmetric returns. Applying our methodology to three portfolios grouped by size, Fama and French's size and book-to-market, and industry, we find that asymmetries show up in sample estimates for all the portfolios, but they are statistically ignificant primarily for small size portfolios. Nevertheless, asymmetries are of substantial economic importance for an investor who switches her symmetry belief into an asymmetric one, irrespective of the portfolios.
Author: Yongmiao Hong
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 36
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Book Description
Provides a model-free test for asymmetric correlations that suggest stocks move more often with the market when the market goes down than when it goes up. Also provides such tests for asymmetric betas and covariances.
Author: Britta Kohlbrecher
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper shows that a search and matching model with idiosyncratic training cost shocks can explain the asymmetric movement of the job-finding rate over the business cycle and the decline of matching efficiency in recessions. Large negative aggregate shocks move the hiring cutoff into a part of the training cost distribution with higher density. The position of the hiring cutoff in the distribution is disciplined by the empirical elasticity of the job-finding rate with respect to market tightness. Our model explains a large fraction of the matching efficiency decline during the Great Recession and generates state-dependent effects of policy interventions.
Author: Robert J. Gordon
Publisher: University of Chicago Press
ISBN: 0226304590
Category : Business & Economics
Languages : en
Pages : 882
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Book Description
In recent decades the American economy has experienced the worst peace-time inflation in its history and the highest unemployment rate since the Great Depression. These circumstances have prompted renewed interest in the concept of business cycles, which Joseph Schumpeter suggested are "like the beat of the heart, of the essence of the organism that displays them." In The American Business Cycle, some of the most prominent macroeconomics in the United States focuses on the questions, To what extent are business cycles propelled by external shocks? How have post-1946 cycles differed from earlier cycles? And, what are the major factors that contribute to business cycles? They extend their investigation in some areas as far back as 1875 to afford a deeper understanding of both economic history and the most recent economic fluctuations. Seven papers address specific aspects of economic activity: consumption, investment, inventory change, fiscal policy, monetary behavior, open economy, and the labor market. Five papers focus on aggregate economic activity. In a number of cases, the papers present findings that challenge widely accepted models and assumptions. In addition to its substantive findings, The American Business Cycle includes an appendix containing both the first published history of the NBER business-cycle dating chronology and many previously unpublished historical data series.
