Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification *

Size: px
Start display at page:

Download "Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification *"

Transcription

1 Macro-Finance Deerminans of he Long-Run Sock-Bond Correlaion: The DCC-MIDAS Specificaion * Hossein Asgharian, Lund Universiy + Charloe Chrisiansen, CREATES, Aarhus Universiy ++ and Ai Jun Hou, Sockholm Universiy +++ January 13, 2015 * The auhors hank Andrew Paon for helpful commens and suggesions. Asgharian hanks he Jan Wallanders and Tom Hedelius Foundaion for funding his research. Chrisiansen acknowledges financial suppor from CREATES (Cener for Research in Economeric Analysis of Time Series) funded by he Danish Naional Research Foundaion (DNRF78). + Hossein Asgharian, Deparmen of economics, Lund Universiy, Box 7082, Lund, Sweden. Hossein.Asgharian@nek.lu.se ++ Charloe Chrisiansen, CREATES, Deparmen of Economics and Business, School of Business and Social Sciences, Aarhus Universiy, Fuglesangs Allé 4, 8210 Aarhus V, Denmark. cchrisiansen@creaes.au.dk. +++ Ai Jun Hou, School of Business, Sockholm Universiy, Sweden. ajh@fek.su.se.

2 Macro-Finance Deerminans of he Long-Run Sock-Bond Correlaion: The DCC-MIDAS Specificaion Absrac: We invesigae he long-run sock-bond correlaion using a novel model ha combines he dynamic condiional correlaion model wih he mixed-daa sampling approach. The long-run correlaion is affeced by boh macro-finance variables (hisorical and forecass) and he lagged realized correlaion iself. Macro-finance variables and he lagged realized correlaion are simulaneously significan in forecasing he long-run sock-bond correlaion. The behavior of he long-run sock-bond correlaion is very differen when esimaed aking he macro-finance variables ino accoun. Supporing he fligh-o-qualiy phenomenon for he oal sock-bond correlaion, he long-run correlaion ends o be small/negaive when he economy is weak. Keywords: DCC-MIDAS model; Long-run correlaion; Macro-finance variables; Sock-bond correlaion JEL Classificaions: C32; C58; E32; E44; G11; G12 1

3 1. Inroducion Socks and bonds are he wo main asse classes. Thus, i is of imporance o invesigae furher he behavior of he sock-bond correlaion. Here, we inroduce an innovaion o he lieraure by decomposing he oal sock-bond correlaion ino is long-run and shor-run componens and by using financial and economic variables o predic he long-run componen. We use he Dynamic Condiional Correlaion (DCC) model coupled wih he Mixed-Daa Sampling (MIDAS) approach. The new DCC-MIDAS model allows he long-run correlaion o be affeced by boh macro-finance variables and he lagged realized correlaion iself. The MIDAS regression is inroduced by Anderou and Ghysels (2004) and Ghysels e al. (2006). I allows daa from differen frequencies o ener ino he same model. This approach makes i possible o combine high-frequency reurns wih macro-finance daa ha are only observed a lower frequencies (such as monhly and quarerly). Engle and Rangel (2008) apply his echnique o he GARCH framework o form he spline GARCH model. Combining he spline GARCH framework and he volailiy decomposing approach (see Ding and Granger, 1996; Engle and Lee, 1999; Bauwens and Sori, 2009; Amado and Teräsvira, 2013), Engle e al. (2012) inroduce he GARCH- MIDAS model. The model has he advanage ha i allows us o direcly incorporae informaion on he macroeconomic environmen ino he long-run componen. Conrad and Loch (2012) use he GARCH-MIDAS framework o decompose he sock reurns ino shor-run and long-run componens. They examine he long-run volailiy componen using economic facors. Baele e al. (2010) and Colacio e al. (2011) apply he MIDAS echnique o he DCC model of Engle (2002) o decompose he comovemen of socks and bonds ino shor-run and long-run componens. Finally Conrad e al. (2012) exend he DCC-MIDAS model by allowing macro-finance variables o ener he long-run componen of he correlaion of crude oil and sock reurns. The comovemen of sock and bond reurns may sem from several sources. Sock and bond reurns are expeced o be correlaed because heir fuure cash flows and he perinen discoun raes can be affeced by he same economic facors. Previous research invesigaes he predicive power of various macro-finance variables for he sock-bond comovemen. Viceira (2012) finds ha he yield spread and he shor rae are imporan deerminans of he sock-bond comovemen. Campbell and Ammer (1993) decompose he bond and sock reurns ino unexpeced componens of fuure cash flows and fuure discoun raes and employ a vecor auoregression model wih asse reurns and macro variables. They show ha sock and bond reurns are influenced by differen facors, which migh be he reason why sock and bond reurns are no srongly correlaed. Sock and bond reurns may also be correlaed since hey are alernaive invesmens. There are a number of empirical sudies addressing he effec of money ransfer beween he wo markes on he asses liquidiy, volailiy, and reurns. Agnew and Balduzzi (2006) find ha invesors rebalance porfolios as responses o changes in asse prices, and ha his resuls in a negaive correlaion beween ransfers in socks and bonds, which in urn leads o a negaive correlaion beween reurns in hese wo markes. Baele e al. (2010) show ha liquidiy relaed variables hold predicive power for he sock-bond comovemen, whereas macroeconomic variables hardly do. In general, sock and bond comovemen is expeced o be posiive excep in periods of fligh-o-qualiy. Fligh-oqualiy implies ha he ransfer of money from he high-risk sock marke o he low-risk bond marke a imes of high uncerainy increases he bond prices relaive o he sock prices, which makes he sock-bond correlaion weaker and perhaps even negaive. Fleming e al. (1998) find ha here are volailiy linkages beween he sock, bond, and money markes due o cross marke hedging. Connolly e al. (2005, 2007) invesigae how he sock marke uncerainy (measured by 2

4 he VXO volailiy index) influences he sock-bond comovemen and show ha he comovemen is posiive (negaive) following periods wih low (high) uncerainy. In his paper, we sudy he impac of a large group of macro-finance variables on he long-run componen of he sock and bond reurn volailiy and correlaion. We have seleced a wide range of variables suggesed by differen sudies on sock-bond co-movemen. The variables include sandard macro-finance variables (shor rae, inflaion), a liquidiy variable (volume of S&P 500 fuure conrac), he equiy uncerainy variable (VXO), variables reflecing he curren sae of he economy (he indusrial producion growh, he unemploymen rae, he defaul spread, he producer confidence index (PMI), he consumer confidence index (CC), and he Naional Aciviy Index (NAI)), as well as he Survey of Professional Forecaser daa (SPF). Furher, differen from mos of he previous sudies, we use he bond and sock reurns a he daily frequency and oher macro-variables a quarerly frequency wihin he same model using he MIDAS echnique. We firs decompose he sock and bond volailiy ino is shor-run and long-run componens by esimaing a univariae GARCH-MIDAS model for sock and bond reurns, where we allow for he direc impac of a macro-finance variable on he long-run componen of he volailiy. We hen sudy he macro-finance variable s impac on he long-run correlaion wihin he DCC-MIDAS framework. For his purpose we esimae he model wih a number of differen specificaions of he long-run correlaion equaion, i.e., a specificaion ha only includes lagged realized correlaions, a specificaion wih only a macro-finance variable, and a specificaion wih boh lagged realized correlaion and a macro-finance variable. Our resuls indicae ha cerain macro-finance variables including inflaion, indusrial producion, he shor rae, he defaul spread, he S&P volume, he producer confidence, and he consumer confidence affec he long-run sock-bond correlaion. However, in order for he model o perform well, i is imporan o ake he lagged realized correlaion ino accoun in he MIDAS modeling, in addiion o he macro-finance variables. Second, we find ha he long run sock-bond correlaion is negaive when he sae of economic is weak, indicaing he exisence of he fligh-o-qualiy phenomenon. We also find ha survey daa conain rich informaion for deermining he bond and sock correlaions, which sugges ha he perceived sance of he economy is an imporan deerminan of sock and bond correlaion. This paper conribues o he lieraure in several ways. This is he firs sudy based on he DCC- MIDAS model which includes macro-finance variables direcly in he equaion for he long-run componen of he sock-bond correlaion. We use a broader range of specificaions of he DCC- MIDAS model compared o he exising lieraure. We use a wide range of macro-finance variables, including boh hisorical daa and forecased daa. By invesigaing he long-run sock-bond correlaion and relaing i o he economic variables, we are able o provide new empirical evidence on he fligh-o-qualiy phenomenon. Finally, by using a wavele approach, we provide furher indicaions of he usefulness of smoohing echnics such as he DCC-MIDAS for predicing he long-run componen of he sock-bond correlaion. The remaining par of he paper is srucured as follows. Firs, in Secion 2, we lay ou he economeric framework, including our suggesed DCC-MIDAS model wih macro-finance variables. Then, we inroduce he daa in Secion 3. In Secion 4 we discuss some opening resuls ha lead up o our main empirical findings in Secion 5. We conclude in Secion 6. 3

5 2. DCC-MIDAS Sock-Bond Correlaion Model This secion oulines he economeric models used in his paper. Firs, we discuss he bivariae DCC-MIDAS model of Colacio e al. (2011). Second, we inroduce he new DCC-MIDAS-XC model in which he long-run sock-bond correlaion depends on a macro-finance variable (denoed by X ) as well as he lagged realized correlaion (denoed by C ). Third, we inroduce forecas daa (denoed by F ) ino he model using he DCC-MIDAS-XCF specificaion. 2.1 The DCC-MIDAS Model I is convenien o describe wo relaed economeric models before we ge o he DCC-MIDAS model iself, ha is, he GARCH-MIDAS model, and he Dynamic Condiional Correlaion (DCC) model. We begin wih he univariae GARCH-MIDAS framework of Engle e al. (2010). Consider a reurn series on day i in a period (e.g., monh, quarer, ec.) ha follows he process: r = µ + τ g ε, i = 1,..., N. (1) i, i, i, ε i, Φ i 1, ~ N (0,1) where N is he number of rading days in he period and Φ is he informaion se up o day (i-1) of period. Equaion (1) expresses he variance ino a shor-run componen defined by g i, and a long-run componen defined by τ which only changes every period. The oal condiional variance is defined as: 2 i g i, i 1, σ = τ. (2) The condiional variance dynamics of he componen g i, follows a GARCH (1, 1) process, ( r µ ) 2 i 1, g i, = ( 1 β ) + α + βgi 1, τ α (3) where α > 0 and β 0, α + β < 1 and τ is defined as smoohed realized volailiy in he MIDAS regression: K k = 1 ( w w ) log( τ ) = m + θ ϕ RV (4) k 1, N i= 1 2 k 2 RV = r i. (5), K is he number of lags over which we smooh he realized volailiy. Following Asgharian e al. (2013), we modify his equaion by including he economic variables along wih he lagged realized volailiy (RV) in order o sudy he impac of hese variables on he long-run reurn variance: K K = m + θ1 ϕ k 1 2 k + 2 k 1, 2 k = 1 k = 1 Q ( w, w ) RV θ ϕ ( w w ) X log( τ ) (6) k 4

6 Q where X k represens a macro-finance variable (measured a quarerly frequency). Noe ha we use a fixed window for he MIDAS, which means ha he componen τ used in our analysis does no change wihin a fixed period. The weighing scheme used in equaions (4) and (5) is described by a bea lag polynomial as follows: w1 1 ( k ) ( 1 k ) w2 1 ϕ k ( w) = K K, k = 1,... K. (7) K w w j j 1 j= 1 K K For w 1 = 1, he weighing scheme guaranees a decaying paern, where he rae o decay is deermined by w 2. In he bivariae DCC model of Engle (2002), he reurn vecor follows he process: r ~ N ( µ, ) H and he condiional covariance marix is specified as H = D R D, where D is a diagonal marix wih sandard deviaions of reurns on he diagonal and R is he condiional correlaion marix of he sandardized reurn residuals. The condiional volailiies for asse S and B (q SS,+1 and q BB,+1 ) follow regular univariae GARCH models, e.g., he GARCH(1,1) specificaion. These are esimaed firs and seperaely. Then in a second esimaion sep, heir condiional covariance is esimaed. The condiional correlaion is given as R = diag ( Q ) Q diag ( Q ) and Q (in elemenary form) is specified as q SB ρ (1 a b ) + a ( ξ ξ ) b ( q ) (8) = SB, S, 1 B, 1 + SB, 1 hereby giving us he condiional correlaion as q SB, ρ SB, = (9) qss, + 1qBB, where ξ S, and ξ B, are he sandaized residuals from he univariae models. ρ SB, is he uncondiional correlaion beween he sandardized residuals. The DCC-MIDAS model of Colacio e al. (2011) is a naural exension and combinaion of he DCC model and he GARCH-MIDAS model. The DCC-MIDAS model uses he sandardized residuals from he univariae GARCH-MIDAS model o esimae he condiional volailiies and he dynamic correlaion beween he asse reurns. The condiional covariance is now given as: q SB, = SB, (1 a b ) + a ξ S, 1ξ B, 1 + bq SB, 1 ρ (10) K SB, = ϕ k ( wk ) CSB, 1 k=1 ρ (11) C SB, = k= N k= N ξ ξ 2 S, k S, k ξ B, k k= N ξ 2 B, k (12) 5

7 where ξ S, k and ξ B, k are he sandardized residuals from he GARCH-MIDAS model of differen reurn series. The correlaions can hen be compued as in eq. (8). The q SB, is he shor-run correlaion beween asses S and B, whereas ρ SB, is a slowly moving long-run correlaion. 2.2 The DCC-MIDAS-XC Model We provide a compleely new exension of he DCC-MIDAS model o allow a macro-finance variable and he lagged realized correlaion o affec he long-run sock-bond correlaion. This is similar o he Asgharian e al. (2013) exension of he GARCH-MIDAS model. We updae he long-run correlaion in eq. (10) so ha we have he DCC-MIDAS-XC model: q SB, = SB, (1 a b ) + a ξ S, 1ξ B, 1 + bq SB, 1 ρ (13) ρ SB, = exp (2 z exp (2 z SB, τ SB, τ ) 1 ) + 1 (14) z K K Q SB m +, τ = SB θ RC ϕ k ( w1, w2 ) RCSB, k + θ X ϕ k ( w1, w ) X 2 k (15) k= 1 k = 1 RC N ξ ξ S, i B, i i= 1 SB, = (16) N N 2 2 ξ S, i ξ B, i i= 1 i= 1 where RC SB, is he realized correlaion (measued a he quarerly frequency). Q X is a macrofinance variable measued a he quarerly frequency. The usage of he Fisher ransformaion in eq. (14) follows Chrisodoulakis and Sachell (2002). By imposing he parameer resricion ha θ RC = 0, he DCC-MIDAS-X model of Cornad e.al. (2012) appears. By imposing he parameer resricion ha θ x = 0, anoher new model appears, he DCC-MIDAS-C model, in which only he lagged realized correlaion affecs he long-run sockbond correlaion. 2.3 The Two-Sided Exension: DCC-MIDAS-XCF Engle e al. (2012) sugges ha he performance of he GARCH-MIDAS model can be improved by including he fuure values of he macro variables (i.e. so called wo-sided filer) when anicipaing he long erm volailiy. We apply he wo-sided filer here. We make use of he DCC-MIDAS-XC model simulaneously using forecased and observed macro-finance variables, i.e., he wo-sided version of he model, he DCC-MIDAS-XCF model. Imposing θ RC o be zero and applying he wo-sided filer of Engle e al. (2012), eq. (15) can be modified as follows: z Klag 0 Q SPF SB, = m + θ X ϕk ( w1, w2 ) X k + θ X ϕ k ( w1, w2 ) X. τ k k= 1 k= Klead (17) 6

8 Noice ha he fuure unknown values are replaced wih forecased daa. Ideally, we would model he impac of he forecased variables on he long-run dynamic correlaions according o eq. (17), i.e., he same parameer θ should be shared by boh he hisorical and he forecased daa, and i would be esimaed wih a wo-sided filer. In his case he opimal weighing schemes for he variables do no decay monoonically bu are raher hump-shaped. However, he forecasers perform Q he predicion given he firs release daa and no he finally revised daa, while X k used in he equaion is he hisorical (finally revised) daa. Hence, i is difficul o inegrae and combine he hisorical daa and he forecased daa based on he firs release daa wih a wo-sided filer. 1 Therefore, we decide o model he impac of he forecased daa wih a modified wo-sided filer in which we rea he forecased daa as an individual variable. The specificaion is in he following:, z Klag 0 Q SPF SB, = m + θ X ϕ k ( w1, w2 ) X k + θ FX ϕ k ( w1, w2 ) X k k = 1 k = Klead τ. (18) Inuiively, for he weigh of he forecased daa, we would expec ha he highes weigh should be given o he mos recen variables. Consequenly, we should also give he highes weigh o he mos leaded lags. Therefore, we se w 1 =1 for he weighing scheme of he hisorical daa, esimae w 2, and se w 2 =1 for he weighing scheme of he forecased daa while esimaing w Esimaion Mehod N is se o be he number of he rading days wihin each quarer, he oal number of lags is K lag = 16 quarers (four years), and he oal number of leads is K lead = 3. Following Engle (2002) and Colacio e al. (2011), we esimae he model parameers using a wo-sep quasi-maximum likelihood mehod. The quasi-maximum likelihood funcion o be maximized is T T ' 2 ' 1 ' ( T log( 2 ) + 2 log D + ξ D ξ ) ( log R + ξ R ξ ξ ) L = π ξ (19) = 1 where he marix D is a diagonal marix wih sandard deviaions of reurns on he diagonal, and R is he condiional correlaion marix of he sandardized reurn residuals. The model involves a large number of parameers, and i does no always converge o a global opimum by he convenional opimizaion algorihms. Therefore, we use he simulaed annealing approach for he esimaion (cf. Goffe e al. 1994). This mehod is very robus and seldom fails, even for very complicaed problems. 3. Daa We use a combinaion of quarerly macro-finance variables and daily sock and bond reurns. We consider he sample period from he firs quarer of 1986 o he second quarer of The expecaion daa are obained from he Survey of Professional Forecasers (SPF) daabase a he Federal Reserve Bank of Philadelphia. The survey is conduced by he American Saisical Associaion and he Naional Bureau of Economic Research. The remaining daa are obained from DaaSream. = 1 1 Conrad and Lonch (2012) allow he model o be enirely based on SPF expecaion and replace he firs release daa wih he corresponding real-ime SPF expecaions. 7

9 3.1 Sock and Bond Daa The wo main variables of ineres are he sock and bond reurns. The Realized Volailiy is calculaed based on he daily reurns from he selemen prices of he S&P500 fuures conracs raded a he CME and he 10-year Treasury noe fuures conrac raded a he CBT. 3.2 Macro-Finance Variables We have seleced a wide range of variables suggesed by differen sudies on he sock and bond reurn co-movemen. Inflaion and shor raes: These wo are he sandard variables feaured in macroeconomic models. They are expeced o affec boh he cash flow and he discoun rae. However, heir effecs on bond and sock reurns may differ. Because bonds have fixed nominal cash flows, inflaion may generae differen exposures beween socks and bond reurns. The prominen role of inflaion for predicing fuure sock-bond correlaion is documened by Li (2002a). I is well known ha he level of he ineres rae drives he inflaion. Therefore we include he shor-erm rae. Viceira (2012) documens ha he shor rae and he erm spread are boh key deerminans of he sock-bond correlaion. Liquidiy variable: The lieraure on bond (Amihud & Mendelson 1991) and equiy pricing (Amihud 2002) has increasingly sressed he imporance of he liquidiy effec, which may also be conneced wih he fligh-o-qualiy phenomenon. Crisis periods may drive invesors and raders from less liquid socks ino highly liquid bonds, and he resuling price-pressure effecs may include negaive sock-bond correlaions. Therefore, as in Baele e al. (2010), we include he rading volume of S&P500 fuure conracs as he liquidiy-relaed variable in he paper. Sae of economy variables: Ilmanen (2003), Guidolin and Timmermann (2006), and Aslanidis and Chrisiansen (2013) show ha he general sae of he macro economy provides informaion abou he fuure sock-bond correlaion. Aslanidis and Chrisiansen (2012) show ha he shor rae, he erm spread, and he VXO volailiy index are he mos influenial ransiion variables for deermining he regime of he realized sock-bond correlaion. Here we le prominen variables such as he indusrial producion growh, he unemploymen rae, he defaul spread, he producer confidence index (PMI), he consumer confidence index (CC), and he Naional Aciviy Index (NAI) represen he sae of he macro economy. Sock marke uncerainy: Many papers (e.g., Connolly e al. 2005, 2007 and Bansal e al. 2010) have used he VIX-implied volailiy measure as a proxy for sock marke uncerainy and shown ha he sockbond co-movemens are negaively and significanly relaed o sock marke uncerainy. As he daa sar in 1986, we use he VXO index as a proxy for sock marke uncerainy. In summary, we use he following quarerly macro-finance variables: Inflaion, compued as he log-difference of he seasonally adjused CPI. Indusrial producion growh, compued as he log-difference of he quarerly values of he indusrial producion. Unemploymen rae, compued as he firs differences of he quarerly unemploymen raes. Term spread, compued as he firs differences of he yield spread beween 10-year Treasury bond and 3-monh Treasury bill. Shor rae, compued as he firs differences of yield on he 3-monh US Treasury bill. 8

10 Defaul spread, compued as he firs differences of he yield spread beween Moody s Baa and Aaa corporae bonds. S&P500 volume is he firs differences of he volume of he S&P500 fuures conrac. VXO, defined as he log-differences of he volailiy index. PMI, defined as he log-differences of producer confidence index. CC, defined as he log-differences of consumer confidence index. NAI is he value of he Naional Aciviy Index. 3.3 Forecased Macro-Finance Variables The Survey of Professional Forecasers is conduced afer he release of he advance repor of he Bureau of Economic Analysis, implying ha he paricipans know he daa for he previous quarer when hey make heir predicions. Due o daa availabiliy, we only include he forecased inflaion rae, unemploymen rae, erm spread, and shor rae. 2 We use median forecass for he firs hree coming quarers. The forecased daa are denoed by, 1,2, 3 X SPF + k k =. 4. Opening Resuls: Sock-Bond Correlaion and Smoohed Variables We sar by invesigaing if smoohing of macro-finance variables srenghens he correlaion beween macro-finance variables and he sock-bond correlaion. We use he wavele approach o smooh he macro-finance variables and hen look a he correlaion of he smoohed variables and he fuure realized sock-bond correlaions a differen leads. A discree wavele approach divides a ime-series, z, ino a se of componens of differen ime frequencies. The smooh (low-frequency) componens of a ime series are represened by J ( l) J A J, = z ν J,l, l and he deailed (high-frequency) pars are represened by ν d (20) υ d, (21) j 1 lps B j, = j j z υ j,l, l s s j where s is he scale facor, p is he ranslaion facor, and s is he facor for normalizaion across he differen scales. The index j = 1, 2,, J, he scale where J is he maximum scale possible given he number of observaions for z, and l is he number of ranslaions of he wavele for any given scale. The noaions ν J,l, and υj,l, are he wavele funcions. The scaling funcions are orhogonal, and he original ime series can be reconsruced as a linear combinaion of hese funcions and he relaed coefficiens: 2 The forecased indusrial producion is also available. However, we exclude i as he forecased daa are quie differen from he hisorical daa obained from DaaSream. 9

11 J J z = A, + B,. (22) The scale B j, capures informaion wihin 2 j-1 and 2 j ime inervals. To consruc he smoohed series, we exclude all B j, up o he frequency of ineres. For example, wih quarerly daa, eliminaing all B j, for j 3 excludes all he variaions ha belong o frequencies higher han 2 3 quarers, i.e., wo years. 3 j = 1 j Inser Figure 1: Wavele Correlaion Figure 1 shows he wavele correlaion of he realized sock-bond correlaion wih he nonsmoohed and smoohed values of he macro-finance variables. We use up o forh order wavele smoohing. We use a random walk model (lagged realised correlaion) as he benchmark for he comparison. Wihou smoohing of he macro variable, he random walk model ouperforms he macro-finance variables and shows he sronges correlaion wih he fuure realised correlaion. Sill, he correlaion is reduced as we increase he number of leads. More specifically, he correlaion beween realised bond-sock correlaions a ime and +1 is around 0.8. Beween ime and +4 i is around 0.6. The maximum correlaion beween macro-finance variables and fuure sock-bond correlaion is around 0.4 when we use no smoohing, bu for almos all of he macrofinance variables he correlaion increases when we we use he wavele smoohed series. Wih four levels of wavele smoohing (smoohing up o 16 quarers), he S&P volume has a sronger correlaion han he lagged realized correlaion iself, especially for longer forecas horizons. The wavele findings moivae ha smoohing echnics such as he DCC-MIDAS model are useful in modeling he long-run componen of he sock-bond correlaion. An advanage of he DCC- MIDAS over alernaive smoohing echnics such as he wavele echnich is ha he opimal smoohing level is endogenousely deermined by he daa for he DCC-MIDAS model. 5. DCC-MIDAS-XC Resuls In his secion we describe he cenral empirical resuls. 4 Firs, we show he univariae GARCH- MIDAS-XC resuls. Second, we show he resuls of he DCC-MIDAS-XC model where he macrofinance variables influence he long-run componen of he sock-bond correlaion. Third, we show he resuls from using forecass for he macro-finance variables in DCC-MIDAS-XCF model o esimae he long-run componen of he sock-bond correlaion Macro-Finance Deerminans of Long-Run Volailiy Table 1 shows he resuls from esimaing he various GARCH-MIDAS-XC specificaions for sock volailiy (Panel A) and bond volailiy (Panel B). Inser Table 1: GARCH-MIDAS-XC For sock volailiy he bes model fi is obained for he specificaions ha allow for boh realized volailiy and a macro-finance variable (smalles AIC), followed by he models wih only realized volailiy which is again followed by he models ha only include macro-finance variables. Mos of he macro-finance variables are significan in explaining he long-run componen of he sock volailiy even when aking he realized volailiy ino accoun, he only excepions being he defaul 3 See Gencay e al. (2001) for a deailed discussion on he wavele mehod. 4 Throughou we use he 10% level of significance. 10

12 spread and he VXO volailiy index. The bes fi is observed in specificaions where boh he realized volailiy and he macro-finance variable are significan simulaneously. This is he case for he inflaion rae, he PMI, and he NAI. These hree macro-finance variables are all measures of real economic aciviy, i.e., hey are relaed o he business cycle. The sign of he effec is differen across macro-finance variables. There is a posiive effec from inflaion, such ha he larger he inflaion rae is, he larger he long-run sock volailiy is. For he PMI and he NAI he effec is negaive, so ha he smaller he PMI or NAI is, he larger is he long-run sock volailiy. The signs of he effecs from he macro-finance variables imply ha he long-run sock volailiy is smaller in imes of posiive overall economic condiions (low inflaion, high producer confidence, and high aciviy). Our resuls confirm he couner-cyclical behavior of sock marke volailiy firs observed by Schwer (1989). The resuls are also consisen wih Conrad and Loch (2012). They employ he GARCH-MIDAS framework on he US sock marke and find ha long-erm sock volailiy is negaively relaed o measures of economic aciviy. For he bond volailiy he ranking of he bes performing models is similar o sock volailiy. I is preferable o include boh realized volailiy and macro-finance variables when describing he longrun volailiy, followed by realized volailiy alone, and macro-finance variables alone. Ye, only few of he macro-finance variables are significan when addiionally accouning for he realized volailiy (GARCH-MIDAS-XC specificaion), namely only he erm spread, he defaul spread, and he VXO volailiy index. For hese variables boh he realized volailiy and he variables hemselves are simulaneously significan. So, for he bond volailiy, fixed income relaed variables are of imporance, which is very differen for he sock volailiy resuls. I is worh noing ha he signs of he coefficiens o he erm spread and he defaul rae are opposie he signs hey have in he sock volailiy. To some exen he defaul spread is relaed o he business cycle condiions. The VXO volailiy index also provides informaion abou he sae of he economy, in ha large VXO is conneced wih high uncerainy. The effec from he variables upon he long-run bond volailiy is posiive, so ha he larger he erm spread, he defaul spread, and he VXO volailiy index is, he larger is he long-run bond volailiy. As for socks, his implies ha long-run bond volailiy is large when he general economic condiions are weak (large erm spread, defaul spread rae, and large VXO volailiy). To our knowledge, here are no previous sudies of he effec of macro-finance variables upon he long-run bond volailiy for comparison of our resuls. Inser Figure 2: Long-Run Sock Volailiy Inser Figure 3: Long-Run Bond Volailiy Figures 2 and 3 show he long-run volailiy for socks and bonds for he various specificaions. The long-run componen is a lo smooher when i is esimaed based on (significan) macro-finance variables han when i is based on lagged realized volailiy. For he combinaion based on (significan) macro-finance variables and lagged realized correlaion, he long-run componen is sill fairly smooh, bu a lile less so han wih only macro-finance variables. Thus, in order o obain sable long-run sock and bond volailiy, i is of imporance o ake ino accoun he sae of he economy (as measured by various macro-finance variables) Macro-Finance Deerminans of he Long-Run Correlaion 11

13 In Table 2 we show he resuls where boh he lagged realized correlaion and one macro-finance variable a a ime is included in he long-run sock-bond correlaion equaion (he DCC-MIDAS-XC model). In addiion, we show he resriced versions wih only he realized correlaion (DCC- MIDAS-C) and wih only he macro-finance variables (DCC-MIDAS-X). Inser Table 2: DCC-MIDAS-XC The resuls from he DCC-MIDAS-X model show ha he sign of he influence of he macrofinance variables is posiive and significan for inflaion, indusrial producion, S&P rade volume, and NAI, and i is negaive and significan for unemploymen. This clearly indicaes ha he longrun sock-bond correlaion ends o be small/negaive when he economy is weak, and i suppors he previous lieraure on he exisence of he fligh-o-qualiy phenomenon. However, we do no find such a clear paern for he coefficiens relaed o hese variables in he DCC-MIDAS-XC model. The reason ha he coefficien of he macro-finance variables in he DCC-MIDAS-XC canno fully reflec he relaionship beween he economic condiions and he long-erm correlaion is ha he realized correlaion iself o a large exen already capures his effec (he coefficien of his variable is posiive and highly significan in all he cases). Therefore, he coefficiens of he macro-finance variables in his model indicae he impac on he long-erm correlaion afer considering wha is already capured by he variable realized correlaion in he model. The bes model fi (based on AIC) is obained in he models wih boh realized correlaion and a macro-finance variable which is followed by models wih he realized correlaion only. Amacrofinance variable alone gives he wors fi. This is similar o he ranking of he univariae models for he sock and bond volailiy. However, he variables ha influence he long-run sock-bond correlaion differ from hose ha influence he long-run sock and bond volailiy. The inflaion rae, he indusrial producion, he shor rae, he defaul spread, he S&P volume, he PMI, and consumer confidence are all significan variables when considered joinly wih he lagged realized correlaion for explaining he long-run sock-bond correlaion. Only he inflaion rae, he defaul spread, and he PMI are recurring from he long-run volailiy for socks and bonds,. The oher imporan macro-finance variables for explaining he long-run sock volailiy (NAI) and bond volailiy (erm spread) and VXO are no significan for he long-run sock-bond correlaion. The forecasing abiliy of he inflaion is consisen wih Ilmanen (2003) who finds ha changes in discoun raes dominae he cash flow expecaions during periods of high inflaion, hereby inducing a posiive sock-bond correlaion. This is, however, in conras wih Campbell and Ammer (1993) who repor ha variaions in expeced inflaion promoe a negaive correlaion since an increase in inflaion is bad news for bonds and ambiguous news for socks. The auhors also find ha variaion in ineres raes promoes a posiive correlaion since he prices of boh socks and bonds are negaively relaed o he discoun rae. The S&P volume is a measure of liquidiy. The larger he S&P volume is, he larger he long-run sock-bond correlaion is. So, high liquidiy implies large/posiive sock-bond correlaion. The usefulness of liquidiy in forecasing he long-run sock-bond correlaion is in line wih he findings in Baele e al. (2010) who show ha liquidiy relaed variables hold predicive power for he sockbond comovemen. Inser Figure 4: DCC-MIDAS-C Long-Run Correlaion Figure 4 shows he long-run componen of he correlaion as well as he daily correlaion semming from he DCC-MIDAS-C model. The long-run componen is a lo less variable, i.e., smooher han he oal correlaion. 12

14 Inser Figure 5: DCC-MIDAS-X Daily Correlaion Inser Figure 6: DCC-MIDAS-XC Daily Correlaion Figures 5 and 6 show ha he differen specificaions, i.e., he DCC-MIDAS-X and he DCC- MIDAS-XC, provide very similar esimaions of he daily correlaion. So, in his regard he specific model choice is of lile relevance. Inser Figure 7: Long-Run Correlaion DCC-MIDAS-XC Figure 7 shows he long-run correlaions for he various specificaions wih only lagged realized correlaion, only a macro-finance variable, and he combinaion. Similar o he long-run sock and bond volailiy, he long-run sock-bond correlaion is smoohes when only using macro-finance variables and he leas smooh when using only lagged realized correlaion. The smoohness falls inbeween for he combinaion of macro-finance variables and lagged realized correlaion. The graphical presenaion of he esimaed long-run correlaions underscores ha we ge a lo of innovaive and useful informaion by he new model specificaion ha is no oherwise available. Inser Figure 8: Mean Absolue Errors Figure 8 shows he mean absolue error (MAE) for predicing he correlaion up o four periods ahead using various models. The MAE is generally increasing wih he forecas horizon. A he onequarer horizon he MAE is lowes when only considering he effec from he realized correlaion on he long-run correlaion, bu for longer horizons he MAE is improved by considering boh he realized correlaion and he macro-finance variables. Thus, he MAE resuls emphasize he usefulness of he new DCC-MIDAS-XC model specificaion. Among he macro-finance variables, S&P volume performs bes in forecasing fuure volailiy, boh alone and in combinaion wih he realized correlaion. 5.3 Effec of Forecased Macro-Finance Variables Table 3 shows he resuls from esimaing he wo-sided models ha rely on boh hisorical observaions and forecass of four macro-finance variables, he DCC-MIDAS-XCF model. Inser Table 3: DCC-MIDAS-XCF Adding he forecased macro-finance variables improves model performance (lower AIC) compared o ha of he models based only on observed macro-finance variables. No surprisingly, he specificaion including all hree ypes of informaion (he realized correlaion, he observed macrofinance variable, and he forecased macro-finance variable) provides he bes fi of all. The forecass of he inflaion rae are no significan in predicing he long-run correlaion wih he mos general model, while all hree ypes of informaion have explanaory power for he long-run correlaion when we use oher macroeconomic variables (unemploymen, shor rae, and erm spread). The effec from he forecased variable is posiive in all cases. Ye, he effec from he hisorical observed unemploymen rae urns negaive when used in combinaion wih he unemploymen forecass. Thus, in oal, he effec from he unemploymen rae observaions and forecass work owards cancelling each oher ou. The shor rae and erm spread have posiive effecs from boh hisorical observaions and forecass. Thus, for hese wo variables he effecs upon he long-run correlaion are made sronger by adding he forecass daa. Inser Figure 9: Long-Run Correlaion DCC-MIDAS-XCF 13

15 Figure 9 shows he long-run correlaion for he specificaions based only on lagged realized correlaion, only macro-finance variables (hisorical and forecass), and he combinaion. There are large differences in he esimaed long-run correlaions depending on he model specificaion. Thus, he new model specificaion provides addiional informaion ha could oherwise no have been obained. So, his once again sresses ha he new model specificaion is highly relevan. 6. Conclusion In his paper we scruinize he long-run sock bond correlaion. We make use of he dynamic condiional correlaion model (DCC) combined wih he mixed-daa sampling (MIDAS) mehodology. We provide an exension of he exising DCC-MIDAS models by which we allow he long-run correlaion o depend upon he lagged realized correlaion iself (C) as well as a macrofinance variable (X). In addiion, exend he DCC-MIDAS-XC model o allow he corresponding forecased macro-finance variable o influence he long-run sock-bond correlaion. The empirical findings in his paper convincingly documen he usefulness of he new DCC-MIDAS-XC models. The esimaed long-run sock-bond correlaion is very differen depending on which variables ha eners ino is esimaion. When only a macro-finance variable is used, he long-run sock bond correlaion is very smooh, while i is fairly volaile when only he lagged realized correlaion is used. When boh he lagged realized correlaion and a macro-finance variable is used, he esimaed long-run sock-bond correlaion falls in-beween he smooh and variable exremes. This underscores ha i is imporan o ake boh he lagged realized correlaion as well as he macrofinance variable ino accoun when forecasing long-run sock-bond correlaion. The inflaion rae, he indusrial producion, he shor rae, he defaul spread, he S&P volume, he producer confidence, and he consumer confidence are all significan in forecasing he long-run sock-bond correlaion. Moreover, forecass of some macro-finance variables are helpful in forecasing he long-run sock-bond correlaion. The effecs from he macro-finance variables upon he long-run sock-bond correlaion are such ha he long-run sock-bond correlaion ends o be large when he economy is srong. This effec suppors he conjecure of he fligh-o-qualiy effec on he long-run correlaion componen. 14

16 References Agnew, J. and P. Balduzzi (2006). Rebalancing Aciviy in 401 (k) Plans. Unpublished manuscrip. Andreou, E. and E. Ghysels (2004). The Impac of Sampling Frequency and Volailiy Esimaors on Change-Poin Tess. Journal of Financial Economerics, 2, Amado, C. and T. Teräsvira (2013). Modelling Volailiy by Variance Decomposiion. Journal of Economerics, 175, Asgharian, H., A.J. Hou, and F. Javed (2013). Imporance of he macroeconomic variables for variance predicion A GARCH-MIDAS approach. Journal of Forecasing, Forhcoming. Aslanidis, N. and C. Chrisiansen (2012). Smooh Transiion Paerns in he Realized Sock-Bond Correlaion. Journal Empirical Finance 19, Aslanidis, N. and C. Chrisiansen (2013). Quaniles of he Realized Sock-Bond Correlaion. CREATES Working Paper. Baele, L., G. Bekaer, and K. Inghelbrech (2010). The Deerminans of Sock and Bond Reurn Comovemens. Review of Financial Sudies 23, Bansal, N., R.A. Connolly, and C.T. Sivers (2010). Regime-Swiching in Sock and T-Bond Fuures Reurns and Measures of Sock Marke Sress. Journal of Fuures Markes 30, Bauwens, L. and G. Sori (2009). A Componen GARCH Model wih Time Varying Weighs. Sudies in Nonlinear Dynamics & Economerics 13, Campbell, J.Y. and J. Ammer (1993). Wha Moves he Sock and Bond Markes? A Variance Decomposiion for Long-Term Asse Reurns. Journal of Finance 48, Chrisodoulakis, G.A. and S.E. Sachell (2002). Correlaed ARCH (CorrARCH): Modelling he Time-Varying Condiional Correlaion Beween Financial Asse Reurns. European Journal of Operaional Research 139, Connolly, R., C. Sivers, and L. Sun (2005). Sock Marke Uncerainy and he Sock-Bond Reurn Relaion, Journal of Financial and Quaniaive Analysis, 40, Connolly, R., C. Sivers, and L. Sun (2007). Commonaliy in he Time-Variaion of Sock-Sock and Sock-Bond Reurn Comovemens. Journal of Financial Markes 10, Colacio, R., R.F. Engle, and E. Ghysels (2011). A Componen Model for Dynamic Correlaions. Journal of Economerics 164, Conrad, C. and K. Loch (2012). Anicipaing Long-Term Sock Marke Volailiy. Working Papers 0535, Deparmen of Economics, Universiy of Heidelberg. Conrad, C., K. Loch, and D. Rier (2012). On he Macroeconomic Deerminans of he Long-Term Oil-Sock Correlaion. Working Papers 0525, Deparmen of Economics, Universiy of Heidelberg. Ding, Z. and C.W.J. Granger (1996). Varieies of Long Memory Models. Journal of Economerics 73, Engle, R. (2002). Dynamic Condiional Correlaion - A Simple Class of Mulivariae GARCH Models. Journal of Business and Economic Saisics 20,

17 Engle, R. and G. Lee (1999). A permanen and ransiory componen model of sock reurn volailiy. in ed. R.F. Engle and H. Whie, Coinegraion, Causaliy, and Forecasing: A Fesschrif in Honor of Clive W.J. Granger, (Oxford Universiy Press), Engle R, E. Ghysels, and B. Sohn (2012). On he Economic Sources of Sock Marke Volailiy. Review of Economics and Saisics, Forhcoming. Engle, R. and J.G. Rangel (2008). The Spline GARCH Model for Low Frequency Volailiy and Is Global Macroeconomic Causes. Review of Financial Sudies 21, Fleming, J., C. Kirby, and B. Osdiek (1998). Informaion and Volailiy Linkages in he Sock, Bond, and Money Markes. Journal of Financial Economics 49, Fleming, J., C. Kirby, and B. Osdiek (2003). The economic value of volailiy iming using realized volailiies. Journal of Financial Economics 67, Gencay, R., F. Selcuk, and B. Whicher (2001). An Inroducion o Waveles and Oher Filering Mehods in Finance and Economics. Academic Press, San Diego, CA. Ghysels, E., A. Sinko, and R. Valkanov (2006). MIDAS Regressions: Furher Resuls and New Direcions. Economeric Reviews 26, Goffe W.L., G.D. Ferrier, and J. Rogers (1994). Global Opimizaion of Saisical Funcions wih Simulaed Annealing. Journal of Economerics 60, Guidolin, M. and A. Timmermann (2006). An Economeric Model of Nonlinear Dynamics in he Join Disribuion of Sock and Bond Reurns. Journal of Applied Economerics 21, Gulko, L. (2002). Decoupling. Journal of Porfolio Managemen 28, Harmann, P., S. Sraemans, and C. Devries. (2001). Asse Marke Linkages in Crisis Periods. Working Paper 71, European Cenral Bank. Ilmanen A. (2003). Sock bond correlaions. Journal of Fixed Income 13, Li, L. (2002a). Macroeconomic Facors and he Correlaion of Sock and Bond Reurns. Working paper. Yale Inernaional Cener for Finance. Li, L. (2002b). Correlaion of Sock and Bond Reurns. Working Paper, Yale Universiy. Schwer, G.W. (1989). Why Does Sock Marke Volailiy Change over Time?.Journal of Finance 44, Viceira, L.M. (2012). Bond Risk, Bond Reurn Volailiy, and he Term Srucure of Ineres Raes. Inernaional Journal of Forecasing 28,

18 Table 1. Esimaion of he ime varying variances by using univariae GARCH-MIDAS The able repors he resuls of he univariae GARCH-MIDAS model for esimaing he imevarying socks and bonds. Panel A shows he resuls for he reurn variance for he socks and Panel B gives he esimaion resuls of he bond reurns. The firs row of each panel gives he resul of he model ha only includes he realized volailiy (RV) in he MIDAS equaion, he second par of he panel repors he resuls of he model which only includes differen macro-finance variables in he MIDAS equaion, and he resuls of he model wih boh RV and he macro-finance variables are repored in he las par of each panel. µ is he inercep erm in he mean equaion for reurns, α and β are he parameers of he shor erm variance (equaion 3), W RV and W X are he esimaed weigh parameers of he realized volailiy and he macro-finance variables respecively, m is he inercep erm in he long-run variance equaion, and θ RV and θ X are he esimaed parameers of he realized volailiy and he macro-finance variables in he long-run variance (equaions 4 and 6), respecively. The esimaions are based on daily daa for reurns over he period from 1989 unil 2013, and quarerly daa for RV and he macro-finance variables from 1986 unil 2013 (we use 12 lags in he equaion for MIDAS). ***, ** and * indicae significance a he 1%, 5% and 10% levels, respecively. Panel A. socks reurns µ α β W RV W X m θ RV θ X AIC RV 8 *** *** *** *** *** *** Inflaion 8 *** *** *** * *** ** Indusrial Prod. 8 *** *** *** ** *** *** Unemploymen 8 *** *** *** * *** *** Term spread 8 *** *** *** 0 *** *** *** Shor rae 8 *** *** *** *** *** *** Defaul rae 8 *** *** *** *** Volume S&P 8 *** *** *** *** *** *** VXO 8 *** *** *** *** *** *** PMI 8 *** *** *** 0 *** *** *** CC 8 *** *** *** 0 *** *** *** NAI 8 *** *** *** ** *** *** Inflaion 8 *** *** *** *** ** *** *** *** Indusrial Prod. 8 *** *** *** ** *** *** Unemploymen 8 *** *** *** 1 *** *** * Term spread 8 *** *** *** 1 *** ** *** *** Shor rae 8 *** *** *** *** *** *** Defaul rae 8 *** *** *** 0 *** *** Volume S&P 8 *** *** *** *** *** *** VXO 8 *** *** *** 0 *** *** PMI 8 *** *** *** 1 *** *** *** *** *** CC 8 *** *** *** 0 *** 5 *** *** *** NAI 8 *** *** *** 0 *** * *** *** ** Table 1. Esimaion of he ime varying variances by using univariae GARCH-MIDAS (coninued) Panel B. Bond reurns 17

19 µ α β W RV W X m θ RV θ X AIC RV 1 * *** *** ** *** *** Inflaion 1 8 *** *** * *** * Indusrial Prod. 1 8 *** *** *** Unemploymen 1 8 *** *** 2 *** *** ** Term spread 1 7 *** *** *** *** *** Shor rae 1 8 *** *** ** *** Defaul rae 1 * *** *** *** Volume S&P 1 8 *** *** 0 *** *** VXO 1 * 9 *** *** *** *** ** PMI 1 8 *** *** *** CC 1 8 *** *** *** NAI 1 8 *** *** *** * Inflaion 1 * *** *** ** *** *** Indusrial Prod. 1 * *** *** *** *** *** Unemploymen 1 * *** *** ** 0 *** *** *** Term spread 1 * *** *** * *** *** *** *** Shor rae 1 * *** *** ** * *** *** Defaul rae 1 * *** *** *** *** *** *** Volume S&P 1 * *** *** *** *** VXO 1 * *** *** ** ** *** *** * PMI 1 * *** *** ** *** *** CC 2 * *** *** *** *** *** NAI 1 * *** *** ** *** ***

20 Table 2. Esimaion of he ime varying sock-bond correlaions by using DCC-MIDAS The able repors he resuls of he bivariae DCC-MIDAS model for esimaing he ime-varying correlaion beween sock and bond reurns. The firs row of he able gives he resul of he DCC- MIDAS-C model ha only includes he realized correlaion (RC) in he MIDAS equaion, he second par of he able repors he resuls of he DCC-MIDAS-X model which only includes differen macro-finance variables in he MIDAS equaion, and he las par of he able gives he resuls of he model wih boh RC and he macro-finance variables, i.e. DCC-MIDAS-XC model. a and b are he parameers of he shor erm correlaion (equaion 13), W RC and W X are he esimaed weigh parameers of he realized correlaion and he macro-finance variables respecively, m is he inercep erm in he long-run correlaion equaion, and θ RC and θ X are he esimaed parameers of he realized correlaion and he macro-finance variables in he long-run correlaion (equaion 15), respecively. The esimaions are based on daily sandardized residuals from 1993 unil 2013, and quarerly daa for RC and he macro-finance variables from 1989 unil 2013 (we use 16 lags in he equaion for MIDAS). ***, ** and * indicae significance a he 1%, 5% and 10% levels, respecively. a b W RC W X m θ RC θ X AIC RC *** *** ** *** Inflaion 7 *** *** *** *** Indusrial Prod. 9 *** *** 0 * *** Unemploymen 9 *** *** 0 ** *** Term spread 8 *** *** Shor rae 6 *** *** * Defaul rae 5 *** *** Volume S&P *** *** *** *** VXO 6 *** *** PMI 6 *** *** CC 5 *** *** NAI 9 *** *** ** *** Inflaion *** *** * 0 *** *** *** Indusrial Prod *** *** ** *** ** Unemploymen *** *** ** *** Term spread *** *** ** *** Shor rae *** *** ** *** *** Defaul rae *** *** ** *** ** Volume S&P *** *** ** *** *** *** VXO *** *** ** *** PMI *** *** ** ** -2 1 *** * CC *** *** ** ** *** ** NAI *** *** * ***

INSTITUTIONAL INVESTOR SENTIMENT

INSTITUTIONAL INVESTOR SENTIMENT 9. INSTITUTIONAL INVESTOR SENTIMENT AND MARET RETURNS: EVIDENCE FROM THE TAIWAN FUTURES MARET Absrac Ralph Yang-Cheng LU 2 Hsiu-Chuan LEE 3 Peer CHIU 4 This sudy explores he dynamic relaionship beween

More information

Título artículo / Títol article: Re-examining the risk-return relationship in Europe: Linear or non-linear trade-off?

Título artículo / Títol article: Re-examining the risk-return relationship in Europe: Linear or non-linear trade-off? Tíulo arículo / Tíol aricle: Re-examining he risk-reurn relaionship in Europe: Linear or non-linear rade-off? Auores / Auors Enrique Salvador Aragó, Chrisos Floros, Vicen Aragó Manzana Revisa: Journal

More information

Taking Advantage of Global Diversification: A Mutivariate-Garch Approach

Taking Advantage of Global Diversification: A Mutivariate-Garch Approach Taking Advanage of Global Diversificaion: A Muivariae-Garch Approach Elena Kaloychou *, Soiris K. Saikouras, Gang Zhao Cass Business School, Ciy Universiy London, 106 Bunhill Row, London EC1Y 8TZ Firs

More information

The Spillover Effects of U.S. and Japanese Public Information News in. Advanced Asia-Pacific Stock Markets

The Spillover Effects of U.S. and Japanese Public Information News in. Advanced Asia-Pacific Stock Markets The Spillover Effecs of U.S. and Japanese Public Informaion News in Advanced Asia-Pacific Sock Markes Suk-Joong Kim Absrac School of Banking and Finance The Universiy of New Souh Wales UNSW SYDNEY 2052

More information

Duration models. Jean-Marie Le Goff Pavie-Unil

Duration models. Jean-Marie Le Goff Pavie-Unil Duraion models Jean-Marie Le Goff Pavie-Unil Oher erms for duraion models Duraion models: economery Survival analysis : medical sciences, demography Even hisory analysis, ransiion analysis : social sciences

More information

Economic Computation and Economic Cybernetics Studies and Research, Issue 3/2016, Vol. 50

Economic Computation and Economic Cybernetics Studies and Research, Issue 3/2016, Vol. 50 Economic Compuaion and Economic Cyberneics Sudies and Research, Issue 3/2016, Vol. 50 Assisan Professor Murad A. BEIN, PhD E-mail: mbein@ciu.edu.r Deparmen of Accouning and Finance Faculy of Economics

More information

Textos para Discussão PPGE/UFRGS

Textos para Discussão PPGE/UFRGS Texos para Discussão PPGE/UFRGS Programa de Pós-Graduação em Economia Universidade Federal do Rio Grande do Sul ENDOGENEITY AND NONLINEARITIES IN CENTRAL BANK OF BRAZIL S REACTION FUNCTIONS: AN INVERSE

More information

The Influence of Earnings Quality and Liquidity on the Cost of Equity

The Influence of Earnings Quality and Liquidity on the Cost of Equity Inernaional Business Research; Vol. 8, No. 4; 2015 ISSN 1913-9004 E-ISSN 1913-9012 Published by Canadian Cener of Science and Educaion The Influence of Earnings Qualiy and Liquidiy on he Cos of Equiy Ming-Feng

More information

Out-of-Sample Exchange Rate Forecasting and. Macroeconomic Fundamentals: The Case of Japan

Out-of-Sample Exchange Rate Forecasting and. Macroeconomic Fundamentals: The Case of Japan Ou-of-Sample Exchange Rae Forecasing and Macroeconomic Fundamenals: The Case of Japan Takashi Masuki and Ming-Jen Chang * ABSTRACT: The sudy explores he exchange rae forecasing abiliy of a number of macroeconomic

More information

Volume-Return Relationship in ETF Markets: A Reexamination of the Costly Short-Sale Hypothesis

Volume-Return Relationship in ETF Markets: A Reexamination of the Costly Short-Sale Hypothesis Journal of Applied Finance & Banking, vol., no. 6,, -4 ISSN: 79-658 (prin version), 79-6599 (online) Scienpress Ld, Volume-Reurn Relaionship in ETF Markes: A Reexaminaion of he Cosly Shor-Sale Hypohesis

More information

Applicability of Investment and Profitability Effects in Asset Pricing Models

Applicability of Investment and Profitability Effects in Asset Pricing Models Disponível em hp://www.anpad.org.br/rac RAC, Rio de Janeiro, v. 21, n. 6, ar. 6, pp. 851-874, Novembro/Dezembro, 2017 hp://dx.doi.org/10.1590/1982-7849rac2017170027 Applicabiliy of Invesmen and Profiabiliy

More information

Investor Herds in the Taiwanese Stock Market

Investor Herds in the Taiwanese Stock Market Invesor Herds in he Taiwanese Sock Marke Rıza Demirer *, Chun-Da Chen ** and Ali M. Kuan *** * Souhern Illinois Universiy Edwardsville ** Tennessee Sae Universiy *** Souhern Illinois Universiy Edwardsville,

More information

The Interest Rate Sensitivity of Value and Growth Stocks - Evidence from Listed Real Estate

The Interest Rate Sensitivity of Value and Growth Stocks - Evidence from Listed Real Estate The Ineres Rae Sensiiviy of Value and Growh Socks - Evidence from Lised Real Esae This Version: January 25, 2017 Please reques he mos recen version from he auhors Chrisian Weis, Universiy of Regensburg

More information

Price convergence in the European electricity market

Price convergence in the European electricity market Price convergence in he European elecriciy marke Dr. E. Dijkgraaf Prof.dr. M.C.W. Janssen Erasmus Compeiion and Regulaion insiue Erasmus Universiy Roerdam Augus 7 7 Conac: Elber Dijkgraaf SEOR-ECRi Erasmus

More information

THE UNIVERSITY OF TEXAS AT SAN ANTONIO, COLLEGE OF BUSINESS Working Paper SERIES

THE UNIVERSITY OF TEXAS AT SAN ANTONIO, COLLEGE OF BUSINESS Working Paper SERIES THE UNIVERITY OF TEXA AT AN ANTONIO, COLLEGE OF BUINE Working Paper ERIE Dae May 15, 013 WP # 0046FIN-0-013 Commodiy Financializaion and Herd Behavior in Commodiy Fuures Markes Rıza Demirer Deparmen of

More information

Global financial crisis and spillover effects among the U.S. and BRICS stock markets

Global financial crisis and spillover effects among the U.S. and BRICS stock markets Acceped Manuscrip Global financial crisis and spillover effecs among he U.S. and BRICS sock markes Walid Mensi, Shawka Hammoudeh, Duc Khuong Nguyen, Sang Hoon Kang PII: S1059-0560(15)00227-0 DOI: doi:

More information

Testing for the Random Walk Hypothesis and Structural Breaks in International Stock Prices

Testing for the Random Walk Hypothesis and Structural Breaks in International Stock Prices Universiy of Wollongong Research Online Faculy of Business - Economics Working Papers Faculy of Business 200 Tesing for he Random Walk Hypohesis and Srucural Breaks in Inernaional Sock Prices S. Chanchara

More information

Employment, Family Union, and Childbearing Decisions in Great Britain

Employment, Family Union, and Childbearing Decisions in Great Britain Employmen, Family Union, and Childbearing Decisions in Grea Briain Arnsein Aassve Simon Burgess Carol Propper Ma Dickson Conens 1. Inroducion... 1 2. Daa... 3 Union formaion and dissoluion... 3 Employmen

More information

The Design of a Forecasting Support Models on Demand of Durian for Export Markets by Time Series and ANNs

The Design of a Forecasting Support Models on Demand of Durian for Export Markets by Time Series and ANNs AIJSTPME (20) 4(2): 49-65 The Design of a Forecasing Suppor Models on Demand of Durian for Expor Mares by Time Series and ANNs Udomsri N. Deparmen of Indusrial Engineering, Faculy of Engineering, King

More information

Volatility and risk spillovers between oil, gold, and Islamic and conventional GCC banks

Volatility and risk spillovers between oil, gold, and Islamic and conventional GCC banks Volailiy and risk spillovers beween oil, gold, and Islamic and convenional GCC banks Walid Mensi a,b, Shawka Hammoudeh c,d, Idries Mohammad Wanas Al-Jarrah e, Khamis Hamed Al-Yahyaee b*, Sang Hoon Kang

More information

GROWTH AND CONVERGENCE IN THE SPACE ECONOMY : EVIDENCE FROM THE UNITED STATES

GROWTH AND CONVERGENCE IN THE SPACE ECONOMY : EVIDENCE FROM THE UNITED STATES GROWTH AND CONVERGENCE IN THE SPACE ECONOMY : EVIDENCE FROM THE UNITED STATES John I. CARRUTHERS *, Michael K. HOLLAR **, Gordon F. MULLIGAN *** Absrac - This paper invesigaes geographic relaionships in

More information

NBER WORKING PAPER SERIES A SIMPLE TEST OF THE EFFECT OF INTEREST RATE DEFENSE. Allan Drazen Stefan Hubrich

NBER WORKING PAPER SERIES A SIMPLE TEST OF THE EFFECT OF INTEREST RATE DEFENSE. Allan Drazen Stefan Hubrich NBER WORKING PAPER ERIE A IMPLE TET OF THE EFFECT OF INTERET RATE DEFENE Allan Drazen efan Hubrich Working Paper 12616 hp://www.nber.org/papers/w12616 NATIONAL BUREAU OF ECONOMIC REEARCH 1050 Massachuses

More information

AN ECONOMIC EVALUATION OF THE HASS AVOCADO PROMOTION ORDER S FIRST FIVE YEARS

AN ECONOMIC EVALUATION OF THE HASS AVOCADO PROMOTION ORDER S FIRST FIVE YEARS AN ECONOMIC EVALUATION OF THE HASS AVOCADO PROMOTION ORDER S FIRST FIVE YEARS A REPORT PREPARED FOR THE HASS AVOCADO BOARD BY Hoy F. Carman Lan Li Richard J. Sexon 1 March 30, 2009 1 Hoy F. Carman is Professor

More information

Market Overreaction and Under-reaction for Currency Futures Prices. January 2008

Market Overreaction and Under-reaction for Currency Futures Prices. January 2008 Marke Overreacion and Under-reacion for Currency Fuures Prices Sephen J. Larson and Sephen E. Wilcox* Minnesoa Sae Universiy, Mankao January 2008 Sephen J. Larson, Ph.D., CFP Minnesoa Sae Universiy, Mankao

More information

Milda Maria Burzała * Determination of the Time of Contagion in Capital Markets Based on the Switching Model

Milda Maria Burzała * Determination of the Time of Contagion in Capital Markets Based on the Switching Model D YNAMIC E CONOMETRIC M ODELS DOI: hp://dx.doi.org/10.12775/dem.2013.004 Vol. 13 (2013) 69 85 Submied Ocober 10, 2013 ISSN Acceped December 30, 2013 1234-3862 Milda Maria Burzała * Deerminaion of he Time

More information

This paper can be downloaded without charge from the Social Sciences Research Network Electronic Paper Collection:

This paper can be downloaded without charge from the Social Sciences Research Network Electronic Paper Collection: = = = = = = = Working Paper A Regime Shif Model of he Recen Housing Bubble in he Unied Saes Rober Van Order Sephen M. Ross School of Business a he Universiy of Michigan Rose Neng Lai Universiy of Macau

More information

Supply and Demand Model for the Malaysian Cocoa Market

Supply and Demand Model for the Malaysian Cocoa Market MPRA Munich Personal RePEc Archive Supply and Demand Model for he Malaysian Cocoa Marke Amna Awad Abdel Hameed and Akram Hasanov and Nurjihan Idris and Amin Mahir Abdullah and Faimah Mohamed Arshad and

More information

CO2 Emissions, Research and Technology Transfer in China

CO2 Emissions, Research and Technology Transfer in China MPRA Munich Personal RePEc Archive CO2 Emissions, Research and Technology Transfer in China Ang, James Monash Universiy 09. February 2009 Online a hp://mpra.ub.uni-muenchen.de/13261/ MPRA Paper No. 13261,

More information

Transmission of prices and price volatility in Australian electricity spot markets: A multivariate GARCH analysis

Transmission of prices and price volatility in Australian electricity spot markets: A multivariate GARCH analysis Transmission of prices and price volailiy in Ausralian elecriciy spo markes: A mulivariae GARCH analysis Auhor Worhingon, Andrew, Kay-Spraley, Adam, Higgs, Helen Published 2005 Journal Tile Energy Economics

More information

The Long-Run Volatility Puzzle of the Real Exchange Rate. Ricardo Hausmann Kennedy School of Government Harvard University

The Long-Run Volatility Puzzle of the Real Exchange Rate. Ricardo Hausmann Kennedy School of Government Harvard University The Long-Run Volailiy Puzzle of he Real Exchange Rae Ricardo Hausmann Kennedy School of Governmen Harvard Universiy Ugo Panizza Research Deparmen Iner-American Developmen Bank Robero Rigobon * Sloan School

More information

Accounting Fundamentals and Variations of Stock Price: Forward Looking Information Inducement

Accounting Fundamentals and Variations of Stock Price: Forward Looking Information Inducement Accouning Fundamenals and Variaions of Sock Price: Forward Looking Informaion Inducemen Sumiyana Gadjah Mada Universiy Absrac This sudy invesigaes a permanen issue abou low associaion beween accouning

More information

Hi-Stat. Discussion Paper Series. Estimating Production Functions with R&D Investment and Edogeneity. No.229. Young Gak Kim.

Hi-Stat. Discussion Paper Series. Estimating Production Functions with R&D Investment and Edogeneity. No.229. Young Gak Kim. Hi-Sa Discussion Paper Series No.229 Esimaing Producion Funcions wh R&D Invesmen and Edogeney Young Gak Kim December 2007 Hosubashi Universy Research Un for Saisical Analysis in Social Sciences A 21s-Cenury

More information

What Determines the Future Value of an Icon Wine? New Evidence from Australia. Danielle Wood

What Determines the Future Value of an Icon Wine? New Evidence from Australia. Danielle Wood Wha Deermines he Fuure Value of an Icon Wine? New Evidence from Ausralia Danielle Wood Produciviy Commission Melbourne dwood@pc.gov.au and Kym Anderson (corresponding auhor) School of Economics and Cenre

More information

Paper for Annual Meeting 2015 Abstract. World Trade Flows in Photovoltaic Cells: A Gravity Approach Including Bilateral Tariff Rates * Abstract

Paper for Annual Meeting 2015 Abstract. World Trade Flows in Photovoltaic Cells: A Gravity Approach Including Bilateral Tariff Rates * Abstract Paper for Annual Meeing 2015 Absrac World Trade Flows in Phoovolaic Cells: A Graviy Approach Including Bilaeral Tariff Raes * Asuko Masumura (Tokyo Inernaional Universiy) Absrac This paper invesigaes he

More information

On the relationship between inventory and financial performance in manufacturing companies Vedran Capkun HEC Paris, Paris, France

On the relationship between inventory and financial performance in manufacturing companies Vedran Capkun HEC Paris, Paris, France The curren issue and full ex archive of his journal is available a www.emeraldinsigh.com/0144-3577.hm On he relaionship beween invenory and financial performance in manufacuring companies Vedran Capkun

More information

Analysis of Egyptian Grapes Market Shares in the World Markets

Analysis of Egyptian Grapes Market Shares in the World Markets American-Eurasian J. Agric. & Environ. Sci., 3 (4): 656-66, 008 ISSN 1818-6769 IDOSI Publicaions, 008 Analysis of Egypian Grapes Marke Shares in he World Markes Hamdi A. El- Sawalhy, Mohamed G.M. Abou

More information

Sustainability of external imbalances in the OECD countries *

Sustainability of external imbalances in the OECD countries * Susainabiliy of exernal imbalances in he OECD counries * Oscar Bajo-Rubio (Universidad de Casilla-La Mancha) Carmen Díaz-Roldán (Universidad de Casilla-La Mancha) Vicene Eseve (Universidad de Valencia

More information

Working Paper

Working Paper Inernaional Nework for Economic Research Working Paper 010.1 Modelling he Cyclical Behaviour of Wine Producion in he Douro Region Using a Time-Varying Parameers Approach by Mario Cunha (Universidade do

More information

Modelling Financial Markets Comovements During Crises: A Dynamic Multi-Factor Approach.

Modelling Financial Markets Comovements During Crises: A Dynamic Multi-Factor Approach. Modelling Financial Markes Comovemens During Crises: A Dynamic Muli-Facor Approach. Marin Belvisi, Riccardo Pianei, Giovanni Urga February 24, 2014 We wish o hank paricipans in he Finance Research Workshops

More information

International Trade and Finance Association THE EFFECT OF EXCHANGE RATE CHANGES ON TRADE BALANCES IN NORTH AFRICA: EVIDENCE

International Trade and Finance Association THE EFFECT OF EXCHANGE RATE CHANGES ON TRADE BALANCES IN NORTH AFRICA: EVIDENCE Inernaional Trade and Finance Associaion Inernaional Trade and Finance Associaion 15h Inernaional Conference Year 2005 Paper 46 THE EFFECT OF EXCHANGE RATE CHANGES ON TRADE BALANCES IN NORTH AFRICA: EVIDENCE

More information

DOCUMENTOS DE ECONOMÍA Y FINANZAS INTERNACIONALES. Working Papers on International Economics and Finance

DOCUMENTOS DE ECONOMÍA Y FINANZAS INTERNACIONALES. Working Papers on International Economics and Finance DOCUMENTOS DE ECONOMÍA Y FINANZAS INTERNACIONALES Working Papers on Inernaional Economics and Finance DEFI 11-07 Ocober 2011 Susainabiliy of exernal imbalances in he OECD counries Oscar Bajo-Rubio Carmen

More information

Application of Peleg Model to Study Water Absorption in Bean and Chickpea During Soaking

Application of Peleg Model to Study Water Absorption in Bean and Chickpea During Soaking Applicaion of Peleg Model o Sudy Waer Absorpion in Bean and Chickpea During Soaking A. A. Masoumi * Assisan Professor, Deparmen of Farm Machinery. Isfahan Universiy of Technology, IUT Isfahan, Iran 8456-83

More information

Inter-regional Transportation and Economic Development: A Case Study of Regional Agglomeration Economies in Japan

Inter-regional Transportation and Economic Development: A Case Study of Regional Agglomeration Economies in Japan Iner-regional Transporaion and Economic Developmen: A Case Sudy of Regional Agglomeraion Economies in Japan Jepan Wewioo a and Hironori Kao b a Deparmen of Civil Engineering, The Universiy of Tokyo 7-3-1,

More information

A Macro Assessment of China Effects on Malaysian Exports and Trade Balances

A Macro Assessment of China Effects on Malaysian Exports and Trade Balances MPRA Munich Personal RePEc Archive A Macro Assessmen of China Effecs on Malaysian Expors and Trade Balances Tze-Haw Chan and Hooi Hooi Lean and Chee Wooi Hooy Graduae School of Business, Universii Sains

More information

Unravelling the underlying causes of price volatility in world coffee and cocoa commodity markets

Unravelling the underlying causes of price volatility in world coffee and cocoa commodity markets MPRA Munich Personal RePEc Archive Unravelling he underlying causes of price volailiy in world coffee and cocoa commodiy markes Noemie Maurice and Junior Davis UNCTAD 011 Online a hps://mpra.ub.uni-muenchen.de/43813/

More information

PRODUCTION PERFORMANCE OF MAIZE IN INDIA : APPROACHING AN INFLECTION POINT

PRODUCTION PERFORMANCE OF MAIZE IN INDIA : APPROACHING AN INFLECTION POINT In. J. Agricul. Sa. Sci., Vol. 10, No. 1, pp. 241-248, 2014 ISSN : 0973-1903 ORIGINAL ARTICLE PRODUCTION PERORMANCE O MAIZE IN INDIA : APPROACHING AN INLECTION POINT Ranji Kumar*, K. Srinivas, Naveen Kumar

More information

Prices of Raw Materials, Budgetary Earnings and Economic Growth: A Case Study of Côte d Ivoire

Prices of Raw Materials, Budgetary Earnings and Economic Growth: A Case Study of Côte d Ivoire Prices of Raw Maerials, Budgeary Earnings and Economic Growh: A Case Sudy of Côe d Ivoire Nguiakam Sandrine 1 and Kabore Augusin 1 Ciaion: CTA and FARA. 2011. Agriculural Innovaions for Susainable Developmen.

More information

Monetary Policy Impacts on Cash Crop Coffee and Cocoa Using. Structural Vector Error Correction Model

Monetary Policy Impacts on Cash Crop Coffee and Cocoa Using. Structural Vector Error Correction Model Moneary Policy Imacs on Cash Cro Coffee and Cocoa Using Srucural Vecor Error Correcion Model By Ibrahim Bamba Michael Reed Preared for resenaion a he Meeing of American Agriculural Economiss Associaion,

More information

Essays on Board of Directors External Connections. Sehan Kim. B.A., Applied Statistics, Yonsei University, 2001

Essays on Board of Directors External Connections. Sehan Kim. B.A., Applied Statistics, Yonsei University, 2001 Essays on Board of Direcors Exernal Connecions by Sehan Kim B.A., Applied Saisics, Yonsei Universiy, 2001 M.S., Saisics, Purdue Universiy, 2008 Submied o he Graduae Faculy of The Joseph M. Kaz Graduae

More information

Stock Market Liberalizations and Efficiency: The Case of Latin America

Stock Market Liberalizations and Efficiency: The Case of Latin America MPR Munich Personal RePEc rchive Sock Marke Liberalizaions and Efficiency: he Case of Lain merica João Paulo Vieio and Wing-Keung Wong and Sheung Chi Chow 06 Online a hps://mpra.ub.uni-muenchen.de/68949/

More information

PRODUCTIVE EFFICIENCY OF PORTUGUESE VINEYARD REGIONS

PRODUCTIVE EFFICIENCY OF PORTUGUESE VINEYARD REGIONS MARTA-COSTA A., MARTINHO V., SANTOS M., Regional Science Inquiry, Vol. IX, (2), 2017, pp. 97-107 97 PRODUCTIVE EFFICIENCY OF PORTUGUESE VINEYARD REGIONS Ana MARTA-COSTA Corresponding auhor. Assisan Professor.

More information

POLICY RELEVANCE SUMMARY

POLICY RELEVANCE SUMMARY POLICY RELEVANCE SUMMARY Ensuring Food Securiy in Ghana The Role of Maize Sorage Sysems. Paul W. Armah and Felix Asane 1 Research Findings and Policy Relevance-Summary 1. Research Framework and Objecives

More information

Citation for published version (APA): Hai, L. T. D. (2003). The organization of the liberalized rice market in Vietnam s.n.

Citation for published version (APA): Hai, L. T. D. (2003). The organization of the liberalized rice market in Vietnam s.n. Universiy of Groningen The organizaion of he liberalized rice marke in Vienam Hai, L.T.D. IMPORTNT NOTE: You are advised o consul he ublisher's version (ublisher's PDF) if you wish o cie from i. Please

More information

Deakin Research Online

Deakin Research Online Deakin Research Online This is he published version: Widjaja, Wany 2010, Modelling he cooling of coffee : insighs from a preliminary sudy in Indonesia, in MERGA 2010 : Shaping he fuure of mahemaics educaion

More information

IRREVERSIBLE IMPORT SHARES FOR FROZEN CONCENTRATED ORANGE JUICE IN CANADA. Jonq-Ying Lee and Daniel S. Tilley

IRREVERSIBLE IMPORT SHARES FOR FROZEN CONCENTRATED ORANGE JUICE IN CANADA. Jonq-Ying Lee and Daniel S. Tilley SOUTHERN JOURNAL OF AGRICULTURAL ECONOMICS DECEMBER, 1983 IRREVERSIBLE IMPORT SHARES FOR FROZEN CONCENTRATED ORANGE JUICE IN CANADA Jonq-Ying Lee and Daniel S. Tilley Canada is he mos imporan U.S. expor

More information

The Role of Infrastructure Investment Location in China s Western Development

The Role of Infrastructure Investment Location in China s Western Development The Role of Infrasrucure Invesmen Locaion in China s Wesern Developmen By Xubei Luo Developmen of he wesern region is vial o he balanced growh of China. Luo sudies he impacs of infrasrucure invesmen ha

More information

Working Paper Series. The reception of. in financial markets what if central bank communication becomes stale? No 1077 / august 2009

Working Paper Series. The reception of. in financial markets what if central bank communication becomes stale? No 1077 / august 2009 Woring Paper Series No 1077 / augus 009 The recepion of pubic signas in financia mares wha if cenra ban communicaion becomes sae? by Michae Ehrmann and David Sondermann WORKING PAPER SERIES NO 1077 / AUGUST

More information

TABIE l.~ Yields of Southern Peas In Relation to Seed Coat Color and Season. Pounds per Acre of "Whole-Pod F^asgT 19?5-196l#

TABIE l.~ Yields of Southern Peas In Relation to Seed Coat Color and Season. Pounds per Acre of Whole-Pod F^asgT 19?5-196l# HALSEY: SOUTHERN PEAS 233 SOUTHERN PEA VARIETIES, CULTURE AND HARVESTING AS RELATED TO PRODUCTION FOR HANDLING AND PROCESSING L. H. Halsey Florida Agriculural Experimen Saion Gainesville Much emphasis

More information

Flexible Working Arrangements, Collaboration, ICT and Innovation

Flexible Working Arrangements, Collaboration, ICT and Innovation Flexible Working Arrangements, Collaboration, ICT and Innovation A Panel Data Analysis Cristian Rotaru and Franklin Soriano Analytical Services Unit Economic Measurement Group (EMG) Workshop, Sydney 28-29

More information

LIQUID FLOW IN A SUGAR CENTRIFUGAL

LIQUID FLOW IN A SUGAR CENTRIFUGAL LIQUID FLOW IN A SUGAR CENTRIFUGAL C.P. Please, N.D. Fowkes, D.P. Mason, C.M. Khalique, A. Huchinson and M. C. Rademeyer Indusry represenaives Richard Loubser and Seve Davis Absrac Massecuie is a mixure

More information

Asia-Pacific Interest Rate Movements: A Tale Of A Two-Horse Sleigh. Do Quoc Tho Nguyen, Thi Thu Ha Phi, Thuy-Duong Tô * Abstract

Asia-Pacific Interest Rate Movements: A Tale Of A Two-Horse Sleigh. Do Quoc Tho Nguyen, Thi Thu Ha Phi, Thuy-Duong Tô * Abstract Asia-Paifi Ineres Rae Movemens: A Tale Of A Two-Horse Sleig Do Quo To Nguyen, Ti Tu Ha Pi, Tuy-Duong Tô * Absra We sudy e spillover effes of e U.S. s and e euro area s maroeonomi news on e Asia-Paifi ineres

More information

Gasoline Empirical Analysis: Competition Bureau March 2005

Gasoline Empirical Analysis: Competition Bureau March 2005 Gasoline Empirical Analysis: Update of Four Elements of the January 2001 Conference Board study: "The Final Fifteen Feet of Hose: The Canadian Gasoline Industry in the Year 2000" Competition Bureau March

More information

Jordan Journal of Mathematics and Statistics (JJMS) 8(3), 2015, pp

Jordan Journal of Mathematics and Statistics (JJMS) 8(3), 2015, pp Jordan Journal of Mahemaics and Saisics (JJMS) 8(3), 015, pp. 57-70 FORECASTING THE TEA PRODUCTION OF BANGLADESH:APPLICATION OF ARIMA MODEL ** MD. MOYAZZEM HOSSAIN (1) AND FARUQ ABDULLA () ABSTRACT: Bangladesh

More information

Pub mentors. Greets Inn, Warnham. The Great Lyde, Yeovil. The Elephant, Bristol. College Arms, Stratford

Pub mentors. Greets Inn, Warnham. The Great Lyde, Yeovil. The Elephant, Bristol. College Arms, Stratford Pub menors Offering help in overcoming he significan challenges facing pubs is he key heme of Pub Menor, he brand-new join iniiaive from Coca-Cola Enerprises Open More Business and he Publican s Morning

More information

The Determinants of Supply of Kenya s Major Agricultural Crop Exports from 1963 to 2012

The Determinants of Supply of Kenya s Major Agricultural Crop Exports from 1963 to 2012 Inernaional Journal of Buine, Humaniie and Technology Vol. 3 No. 5; May 13 The Deerminan of Supply of Kenya Major Agriculural Crop Expor from 1963 o 1 Leniy Kananu Maugu Lecurer in Economic, Chuka Univeriy

More information

Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation. Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou

Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation. Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou CREATES Research Paper 2018-12 Department of Economics and Business

More information

Cointegration Analysis of Commodity Prices: Much Ado about the Wrong Thing? Mindy L. Mallory and Sergio H. Lence September 17, 2010

Cointegration Analysis of Commodity Prices: Much Ado about the Wrong Thing? Mindy L. Mallory and Sergio H. Lence September 17, 2010 Cointegration Analysis of Commodity Prices: Much Ado about the Wrong Thing? Mindy L. Mallory and Sergio H. Lence September 17, 2010 Cointegration Analysis, Commodity Prices What is cointegration analysis?

More information

Economics of grape production in Marathwada region of Maharashtra state

Economics of grape production in Marathwada region of Maharashtra state Volume 5 Issue 2 Sepember, 2014 179-183 e ISSN-2231-6434 Inernaional Research Journal of Agriculural Economics and Saisics Visi Us - www.researchjournal.co.in DOI : 10.15740/HAS/IRJAES/5.2/179-183 Research

More information

The Bank Lending Channel of Conventional and Unconventional Monetary Policy: A Euro-area bank-level Analysis

The Bank Lending Channel of Conventional and Unconventional Monetary Policy: A Euro-area bank-level Analysis The Bank Lending Channel of Conventional and Unconventional Monetary Policy: A Euro-area bank-level Analysis by U. Albertazzi, A. Nobili and F. Signoretti (Banca d Italia) Workshop : Effectiveness and

More information

Effects of Policy Reforms on Price Transmission and Price Volatility in Coffee Markets: Evidence from Zambia and Tanzania

Effects of Policy Reforms on Price Transmission and Price Volatility in Coffee Markets: Evidence from Zambia and Tanzania Aus dem Insiu für Ernährung und Verbrauchslehre der Chrisian-Albrechs- Universiä zu Kiel Effecs of Policy Reforms on Price Transmission and Price Volailiy in Coffee Markes: Evidence from Zambia and Tanzania

More information

Lack of Credibility, Inflation Persistence and Disinflation in Colombia

Lack of Credibility, Inflation Persistence and Disinflation in Colombia Lack of Credibility, Inflation Persistence and Disinflation in Colombia Second Monetary Policy Workshop, Lima Andrés González G. and Franz Hamann Banco de la República http://www.banrep.gov.co Banco de

More information

STOCHASTIC LONG MEMORY IN TRADED GOODS PRICES

STOCHASTIC LONG MEMORY IN TRADED GOODS PRICES STOCHASTIC LONG MEMORY IN TRADED GOODS PRICES John T. Barkoulas Department of Economics Boston College Chestnut Hill, MA 02167 USA tel. 617-552-3682 fax 617-552-2308 email: barkoula@bcaxp1.bc.edu Christopher

More information

Final Exam Financial Data Analysis (6 Credit points/imp Students) March 2, 2006

Final Exam Financial Data Analysis (6 Credit points/imp Students) March 2, 2006 Dr. Roland Füss Winter Term 2005/2006 Final Exam Financial Data Analysis (6 Credit points/imp Students) March 2, 2006 Note the following important information: 1. The total disposal time is 60 minutes.

More information

Pitfalls for the Construction of a Welfare Indicator: An Experimental Analysis of the Better Life Index

Pitfalls for the Construction of a Welfare Indicator: An Experimental Analysis of the Better Life Index Clemens Hetschko, Louisa von Reumont & Ronnie Schöb Pitfalls for the Construction of a Welfare Indicator: An Experimental Analysis of the Better Life Index University Alliance of Sustainability Spring

More information

Ethyl Carbamate Production Kinetics during Wine Storage

Ethyl Carbamate Production Kinetics during Wine Storage Ehyl Carbamae Producion Kineics during Wine Sorage J. Xue,*, F. Fu, M. Liang, C. Zhao, D. Wang, Y. Wu * () China Naional Research Insiue for Food and Fermenaion Indusries, Beijing 7, China () Deparmen

More information

Burgers. get 1. case BIG BUCK$ free! up to. Buy 2. cases. $5 per $ Need a Bit More Inspiration? Merchandising Ideas! Savings & ( Menu Ideas

Burgers. get 1. case BIG BUCK$ free! up to. Buy 2. cases. $5 per $ Need a Bit More Inspiration? Merchandising Ideas! Savings & ( Menu Ideas Big Reurns Buy 2 cases ge 1 free! Purchase 2 cases of any qualifying producs lised on back and riden will reimburse he value of 1 case up o $70.00. rebae valid on 2 case purchase only 1. Complee he rebae

More information

Table A.1: Use of funds by frequency of ROSCA meetings in 9 research sites (Note multiple answers are allowed per respondent)

Table A.1: Use of funds by frequency of ROSCA meetings in 9 research sites (Note multiple answers are allowed per respondent) Appendix Table A.1: Use of funds by frequency of ROSCA meetings in 9 research sites (Note multiple answers are allowed per respondent) Daily Weekly Every 2 weeks Monthly Every 3 months Every 6 months Total

More information

BORDEAUX WINE VINTAGE QUALITY AND THE WEATHER ECONOMETRIC ANALYSIS

BORDEAUX WINE VINTAGE QUALITY AND THE WEATHER ECONOMETRIC ANALYSIS BORDEAUX WINE VINTAGE QUALITY AND THE WEATHER ECONOMETRIC ANALYSIS WINE PRICES OVER VINTAGES DATA The data sheet contains market prices for a collection of 13 high quality Bordeaux wines (not including

More information

Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities

Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities risks Article Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities Zaghum Umar 1, * and Tahir Suleman 2 1 Suleman Dawood School of Business, Lahore University of Management

More information

Imputation of multivariate continuous data with non-ignorable missingness

Imputation of multivariate continuous data with non-ignorable missingness Imputation of multivariate continuous data with non-ignorable missingness Thais Paiva Jerry Reiter Department of Statistical Science Duke University NCRN Meeting Spring 2014 May 23, 2014 Thais Paiva, Jerry

More information

This appendix tabulates results summarized in Section IV of our paper, and also reports the results of additional tests.

This appendix tabulates results summarized in Section IV of our paper, and also reports the results of additional tests. Internet Appendix for Mutual Fund Trading Pressure: Firm-level Stock Price Impact and Timing of SEOs, by Mozaffar Khan, Leonid Kogan and George Serafeim. * This appendix tabulates results summarized in

More information

The R&D-patent relationship: An industry perspective

The R&D-patent relationship: An industry perspective Université Libre de Bruxelles (ULB) Solvay Brussels School of Economics and Management (SBS-EM) European Center for Advanced Research in Economics and Statistics (ECARES) The R&D-patent relationship: An

More information

Relationships Among Wine Prices, Ratings, Advertising, and Production: Examining a Giffen Good

Relationships Among Wine Prices, Ratings, Advertising, and Production: Examining a Giffen Good Relationships Among Wine Prices, Ratings, Advertising, and Production: Examining a Giffen Good Carol Miu Massachusetts Institute of Technology Abstract It has become increasingly popular for statistics

More information

Return to wine: A comparison of the hedonic, repeat sales, and hybrid approaches

Return to wine: A comparison of the hedonic, repeat sales, and hybrid approaches Return to wine: A comparison of the hedonic, repeat sales, and hybrid approaches James J. Fogarty a* and Callum Jones b a School of Agricultural and Resource Economics, The University of Western Australia,

More information

wine 1 wine 2 wine 3 person person person person person

wine 1 wine 2 wine 3 person person person person person 1. A trendy wine bar set up an experiment to evaluate the quality of 3 different wines. Five fine connoisseurs of wine were asked to taste each of the wine and give it a rating between 0 and 10. The order

More information

Appendix A. Table A.1: Logit Estimates for Elasticities

Appendix A. Table A.1: Logit Estimates for Elasticities Estimates from historical sales data Appendix A Table A.1. reports the estimates from the discrete choice model for the historical sales data. Table A.1: Logit Estimates for Elasticities Dependent Variable:

More information

AJAE Appendix: Testing Household-Specific Explanations for the Inverse Productivity Relationship

AJAE Appendix: Testing Household-Specific Explanations for the Inverse Productivity Relationship AJAE Appendix: Testing Household-Specific Explanations for the Inverse Productivity Relationship Juliano Assunção Department of Economics PUC-Rio Luis H. B. Braido Graduate School of Economics Getulio

More information

What does radical price change and choice reveal?

What does radical price change and choice reveal? What does radical price change and choice reveal? A project by YarraValley Water and the Centre for Water Policy Management November 2016 CRICOS Provider 00115M latrobe.edu.au CRICOS Provider 00115M Objectives

More information

Liquidity and Risk Premia in Electricity Futures Markets

Liquidity and Risk Premia in Electricity Futures Markets Liquidity and Risk Premia in Electricity Futures Markets IAEE Conference, Singapore, June 2017 Ivan Diaz-Rainey Associate Professor of Finance & Co-Director of the Otago Energy Research Centre (OERC) With

More information

Valuation in the Life Settlements Market

Valuation in the Life Settlements Market Valuation in the Life Settlements Market New Empirical Evidence Jiahua (Java) Xu 1 1 Institute of Insurance Economics University of St.Gallen Western Risk and Insurance Association 2018 Annual Meeting

More information

What s Hot, 2014 Culinary Forecast, National Restaurant Association.

What s Hot, 2014 Culinary Forecast, National Restaurant Association. Bies Burgers & BIG BUCK$ Savings & ( Menu Ideas Big Flavor Our global recipes show how easy i is o use Triden s susainable seafood o spice up your menu. We ve included sharable, sree-inspired small plaes,

More information

The Sources of Risk Spillovers among REITs: Asset Similarities and Regional Proximity

The Sources of Risk Spillovers among REITs: Asset Similarities and Regional Proximity The Sources of Risk Spillovers among REITs: Asset Similarities and Regional Proximity Zeno Adams EBS Business School Roland Füss EBS Business School ZEW Mannheim Felix Schinder ZEW Mannheim Steinbeis University

More information

Internet Appendix. For. Birds of a feather: Value implications of political alignment between top management and directors

Internet Appendix. For. Birds of a feather: Value implications of political alignment between top management and directors Internet Appendix For Birds of a feather: Value implications of political alignment between top management and directors Jongsub Lee *, Kwang J. Lee, and Nandu J. Nagarajan This Internet Appendix reports

More information

The Roles of Social Media and Expert Reviews in the Market for High-End Goods: An Example Using Bordeaux and California Wines

The Roles of Social Media and Expert Reviews in the Market for High-End Goods: An Example Using Bordeaux and California Wines The Roles of Social Media and Expert Reviews in the Market for High-End Goods: An Example Using Bordeaux and California Wines Alex Albright, Stanford/Harvard University Peter Pedroni, Williams College

More information

Online Appendix to Voluntary Disclosure and Information Asymmetry: Evidence from the 2005 Securities Offering Reform

Online Appendix to Voluntary Disclosure and Information Asymmetry: Evidence from the 2005 Securities Offering Reform Online Appendix to Voluntary Disclosure and Information Asymmetry: Evidence from the 2005 Securities Offering Reform This document contains several additional results that are untabulated but referenced

More information

Gail E. Potter, Timo Smieszek, and Kerstin Sailer. April 24, 2015

Gail E. Potter, Timo Smieszek, and Kerstin Sailer. April 24, 2015 Supplementary Material to Modelling workplace contact networks: the effects of organizational structure, architecture, and reporting errors on epidemic predictions, published in Network Science Gail E.

More information

Variation and Its Distribution in Wild Cacao Populations from the Brazilian Amazon

Variation and Its Distribution in Wild Cacao Populations from the Brazilian Amazon 507 Vol.46, n. 4 : pp. 507-514, December 003 ISSN 1516-8913 Prined in Brazil BRAZILIAN ARCHIVES OF BIOLOGY AND TECHNOLOGY AN INTERNATIONAL JOURNAL Variaion and Is Disribuion in Wild Cacao Populaions from

More information

Internet Appendix for Does Stock Liquidity Enhance or Impede Firm Innovation? *

Internet Appendix for Does Stock Liquidity Enhance or Impede Firm Innovation? * Internet Appendix for Does Stock Liquidity Enhance or Impede Firm Innovation? * This Internet Appendix provides supplemental analyses and robustness tests to the main results presented in Does Stock Liquidity

More information

1. Expressed in billions of real dollars, seasonally adjusted, annual rate.

1. Expressed in billions of real dollars, seasonally adjusted, annual rate. ROUTPUT -- Real GNP/GDP 1. Expressed in billions of real dollars, seasonally adjusted, annual rate. 2. First Monthly Vintage: 1965:M11 First Quarterly Vintage: 1965:Q4 3. First Observation: 1947:Q1 4.

More information

Systemic risk and macroeconomic shocks: Evidence from the crude oil market and G7 countries Lu Yang a Kaiji Motegi b Shigeyuki Hamori c

Systemic risk and macroeconomic shocks: Evidence from the crude oil market and G7 countries Lu Yang a Kaiji Motegi b Shigeyuki Hamori c Systemic risk and macroeconomic shocks: Evidence from the crude oil market and G7 countries Lu Yang a Kaiji Motegi b Shigeyuki Hamori c a School of Finance, Zhongnan University of Economics and Law, 182#

More information