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  1. Time-varying stock return correlation, news shocks, and business cycles
    Author: Metiu, Norbert; Prieto, Esteban
    Published: [2023]
    Publisher:  Deutsche Bundesbank, Frankfurt am Main

    The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the... more

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    Location:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 12
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    The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some other widely used financial indicators. The macroeconomic effects of an innovation to stock return correlation in a vector autoregression are nearly identical to those of a news shock about future productivity. Thus, market-wide changes in return correlation contain information about changes in future technological developments.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9783957299369
    Other identifier:
    hdl: 10419/269866
    Edition: November 25, 2022
    Series: Discussion paper / Deutsche Bundesbank ; no 2023, 05
    Subjects: Business Cycles; News Shock; Stock Market; Uncertainty
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen