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Thursday, July 30, 2020 | History

2 edition of measure of comovement for economic variables found in the catalog.

measure of comovement for economic variables

Christophe Croux

measure of comovement for economic variables

theory and empirics

by Christophe Croux

  • 20 Want to read
  • 1 Currently reading

Published by Centre for Economic Policy Research in London .
Written in English

    Subjects:
  • Econometrics.,
  • Correlation (Statistics),
  • Time-series analysis.,
  • Business cycles.

  • Edition Notes

    StatementChristophe Croux, Mario Forni and Lucrezia Reichlin.
    SeriesDiscussion paper series / Centre for Economic Policy Research -- no.2339, Discussion paper series -- no.2339., Discussion paper (Centre for Economic Policy Research) -- no. 2339.
    ContributionsForni, Mario., Reichlin, Lucrezia., Centre for Economic Policy Research.
    The Physical Object
    Pagination22 p. ;
    Number of Pages22
    ID Numbers
    Open LibraryOL18392389M

    This study aims to examine the co-movement of stock market volatility between China and ASEAN-5 countries from the year to This study applies the standard linear GARCH (1, 1) model where these models estimate using monthly price data from year to for China, Malaysia, Singapore, Thailand, Indonesia and Size: 3MB.   An alternate measure of comovement is the R 2 from this regression, which captures the correlation between a stock's return and the return of all other stocks in the index. Panel A of Figure 2 plots equal-weighted index beta, β EWN , against overweighting, OW t – by:

      Second and more importantly, the CAPM beta has been the standard measure in the return comovement literature and is widely used in many other applications, which allows us to better gauge the economic impact of our results. The results from using the ‘super‐portfolio’ beta are very similar and are reported in the online by: Most economists believe that real economic variables and nominal economic variables behave independently of each other in the long run. For example, an increase in the money supply, a _____ (real,nominal) variable, will cause the price level, a _____(real,nominal) variable, to increase but will have no long-run effect on the quantity of goods and services the economy can produce, a _____(real.

    Foundations of Economic Value Added, Second Edition shows how the EVA measure can be used as a prism to cast a revealing perspective on individual securities, portfolios, and even macro-economic valuations. If you want to stay up to date on the EVA revolution, this book is for you.3/5(3). momentum comovement structure and their return premia, they leave unexplained a significant portion of both. Put simply, we find interesting correlations between value and momentum and these economic variables, but the economic magnitudes are too small to offer a full explanation for these phenomena. One possibility is that measurement error.


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Measure of comovement for economic variables by Christophe Croux Download PDF EPUB FB2

A Measure Of Comovement For Economic Variables: Theory And Empirics Article (PDF Available) in Review of Economics and Statistics 83(2) February with Reads How we measure. "A measure of co-movement for economic variables: theory and empirics," ULB Institutional Repository /, ULB -- Universite Libre de Bruxelles.

Croux, Christophe & Forni, Mario & Reichlin, Lucrezia, "A Measure of Comovement for Economic Variables: Theory and Empirics," CEPR Discussion PapersC.E.P.R. Discussion Papers. Christophe Croux & Mario Forni & Lucrezia Reichlin, "A Measure Of Comovement For Economic Variables: Theory And Empirics," The Review of Economics and Statistics, MIT.

A Measure Of Comovement For Economic Variables: Theory And Empirics. Christophe Croux, Mario Forni and Lucrezia Reichlin ().

The Review of Economics and Statistics,vol. 83, issue 2, Abstract: This paper proposes a measure of dynamic comovement between (possibly many) time series and names it cohesion.

The measure is defined in the frequency domain and is appropriate for Cited by: Trade integration implies BC-comovement of countries. Is this good or bad.

It is an important question given globalization, economic measure of comovement for economic variables book of European Union etc. Positives Gains from increased specialization and trade. Economic upturn of one country propagates to others. Negatives Harder to achieve risk Size: KB.

The key variables to measure economic development are as contained in the human development index. In the UN Human Development Index, income, education (literacy) and health factors are included. Future firm-level research linking return comovement to other variables, such as analyst following, foreign ownership, corporate structure, and corporate culture, would benefit from also considering interactions with broader and more transitory economic conditions.

These measures differ from one another by the variables they measure and by the variables excluded from measurements. The measurable variables in economics are quantity, quality and distribution. Excluding variables from measurement makes it possible to better focus the measurement on a given variable, yet, this means a more narrow approach.

Granger causality tests have been used frequently to investigate the relationship among economic variables and financial variables, such as Hsiao (), Tsani (), Bu (), Dagher and Yacoubian (). However, the discussions regarding the comovement of individual asset prices by using complex networks via Granger causality tests remain Author: Hui Bu, Wenjin Tang, Junjie Wu.

causal comovement, on a sample of component stocks in the CSI Index of the Chinese stock market from Jan. 1, to Dec. 31, Our results reveal that stocks with a high systematic risk, book-to-market ratio, liquidity and profitability, but low price volatility, tend to Granger cause otherFile Size: 1MB.

Economic Versus Accounting Measures of Cost and Profit. The discipline of accounting provides guidelines for the measurement of revenue, cost, and profit. Having analyses based on generally accepted principles is important for making exchanges in our economy. Start studying Chapter Measuring The Economy's Performance.

Learn vocabulary, terms, and more with flashcards, games, and other study tools. WELCOME, LET THE FUN BEGIN. Get e-Books "The Comovement In Commodity Prices" on Pdf, ePub, Tuebl, Mobi and Audiobook for are more than 1 Million Books that have been enjoyed by people from all over the world.

Always update books hourly, if not looking, search in the book search column. Enjoy % FREE. Other notes Chapter 8 Book notes • Business cycle history-National Bureau of Economic Research: first to investigate business cycle • The business cycle (5 main points) 1) Aggregate economic activity: measures GDP and other indicators such as employment & financial market variables 2) Expansions & contractions: contraction = recession, when severe becomes a depressions; expansion- peak.

The price-to-economic book value ("Price-to-EBV") ratio measures the difference between the market's expectations for future profits and the no-growth value of the : David Trainer. size (Pindyck and Rotemberg ), book-to-market (Bekaert, Hodrick and Zhang ), momentum (Asness, Moskowitz and Pedersen ) and industry ((Campbell, et al.

), (Irvine and Pontiff ), and (Brandt, et al. )) proxy for common sources of systematic variance that generate price comovement between by: 3. Pricing deviation, misvaluation comovement, and macroeconomic conditions Eric C. Changa,⇑, Yan Luob,1, Jinjuan Renc,2 a Faculty of Business and Economics, The University of Hong Kong, Pokfulam Road, Hong Kong bSchool of Management, Fudan University, No.

Guoshun Road, ShanghaiPR China cFaculty of Business Administration, University of Macau, Av. Padre Tomás. contagion. The excess comovement is defined as the comovement, or correlation, between normally uncorrelated assets, that can not be explained by economic fundamentals and financial contagion is the occurrence of excess comovement.

Excess comovement has been observed on several stock markets by economic researchers in different countries and the.

In particular, the regional component for (pre-European Union) Europe explains only 2 percent of the variation in the three economic variables (output, consumption and investment). The regional component for North American countries, on the other hand, explains a larger proportion of output variation than that for Europe, roughly equal to the.

One mean of determining the size and strength of a country's economy is through nominal Gross Domestic Product (GDP). The Economics Glossary defines GDP as "the gross domestic product for a region, wherein the GDP is "the market value of all the goods and services produced by labor and property located in" the region, usually a : Mike Moffatt.

Economic book value (EBV) is our measure of the no-growth value of a stock. PEBV Formula: Price per share/Economic book value per share = PEBV.

When stock prices are much higher than EBVs, the market predicts the economic profitability (distinct from accounting profitability) of the company will meaningfully increase – resulting in a high PEBV.basic measure of a nation's economic growth rate is the percentage change of real GDP over a given period of time GDP and population growth in order to account for population increases in an economy, economists use a measurement of real GDP divided by the total population, real GDP per capita is considered the best measure of a nation's.In our empirical analysis, we measure return comovement by how much a stock’s return comoves with that of a portfolio of lottery-like (i.e., high LIDX) stocks after accounting for the fundamental sources of comovement.

We use a large number of control variables to account for the fundamentals-based comovement in by: