The Time-Varying Relation between Stock Returns and Monetary Variables
نویسندگان
چکیده
The nature of the relation between stock returns and three monetary variables interest rates (bond yields), inflation money supply growth, while oft studied, is one that remains unclear. We argue changes over time, this variation largely driven by shocks, with a change in risk associated each variable shifting pattern behaviour. show correlation returns. Notably, predominantly negative bond yields becomes positive, opposite true for growth. shift begins bursting dotcom bubble but exacerbated financial crisis. Results predictive regressions also indicate switch Predominantly power switches temporarily to positive around economic shocks. This suggests higher yields, growth typically depress support market during periods stress. However, after crisis, exhibit persistent suggest perception values.
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ژورنال
عنوان ژورنال: Journal of risk and financial management
سال: 2021
ISSN: ['1911-8074', '1911-8066']
DOI: https://doi.org/10.3390/jrfm15010009