Macro-series announcement

The stock market returns are known to be significantly correlated with both inflation and money growth. Nevertheless, the impact of real macroeconomic variables on aggregate equity returns has been difficult to establish, perhaps, because their effects are neither linear nor time-invariant. Therefore, we estimate a GARCH model of daily equity returns in which the realized returns and their conditional volatility depend on twelve macroseries announcements.

19p cothumenhmong4 24-03-2020 51 4   Download