scholarly journals Stock Market Investment and Inflation: Evidence from the United States and Canada

2021 ◽  
Vol 13 (3) ◽  
pp. 339-365
Author(s):  
Janesh Sami
Keyword(s):  
United States ◽  
Stock Market ◽  
Stock Prices ◽  
The United States ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Goods Market ◽  
Stock Market Investment ◽  
Robust Evidence

This paper examines the long-run relationship between goods prices and stock prices to understand whether stock market investment can help hedge against inflation in the United States (US) and Canada. This study employed an autoregressive distributed lag (ARDL) cointegration test developed by Pesaran, Shin, and Smith (2001), and finds evidence of a positive long-run economic relationship between stock prices and goods prices in both economies over the sample period 1960 to 2019. The long-run elasticity is above one for both economies implying that the developments in the goods market significantly affect the stock market. We undertake a suite of sensitivity checks and find robust evidence that the stock market investment can help hedge against inflation in the United States and Canada.

The Impact of Monetary and Fiscal Policies on the Stock Market in the United States (U.S); Evidence from Linear ARDL Framework

2020 ◽  
Vol 11 (1) ◽  
pp. 132-132
Author(s):  
Aref Emamian
Keyword(s):  
United States ◽  
Stock Market ◽  
The United States ◽  
Real Effective Exchange Rate ◽  
Annual Data ◽  
Fiscal Policies ◽  
Long Run ◽  
The Us ◽  
Short Run ◽  
The Impact

This study examines the impact of monetary and fiscal policies on the stock market in the United States (US), were used. By employing the method of Autoregressive Distributed Lags (ARDL) developed by Pesaran et al. (2001). Annual data from the Federal Reserve, World Bank, and International Monetary Fund, from 1986 to 2017 pertaining to the American economy, the results show that both policies play a significant role in the stock market. We find a significant positive effect of real Gross Domestic Product and the interest rate on the US stock market in the long run and significant negative relationship effect of Consumer Price Index (CPI) and broad money on the US stock market both in the short run and long run. On the other hand, this study only could support the significant positive impact of tax revenue and significant negative impact of real effective exchange rate on the US stock market in the short run while in the long run are insignificant. Keywords: ARDL, monetary policy, fiscal policy, stock market, United States

scholarly journals A Natural Experiment in Monetary Policy Covering Three Episodes of Growth and Decline in the Economy and the Stock Market

2005 ◽  
Vol 19 (4) ◽  
pp. 145-150 ◽  
Author(s):  
Milton Friedman
Keyword(s):  
United States ◽  
Monetary Policy ◽  
Stock Market ◽  
Stock Prices ◽  
Natural Experiment ◽  
National Income ◽  
The United States ◽  
Monetary Policies ◽  
Rapid Economic Growth

The third of three episodes in a major natural experiment in monetary policy that started more than 80 years ago is just now coming to an end. The experiment consists in observing the effect on the economy and the stock market of the monetary policies followed during and after three very similar periods of rapid economic growth in response to rapid technological change: the booms of the 1920s in the United States, the 1980s in Japan and the 1990s in the United States. In this experiment, the quantity of money is the counterpart of the experimenter's input. The performance of the economy and the level of the stock market are the counterpart of the experimenter's output. The results of this natural experiment are clear, at least for major ups and downs: what happens to the quantity of money has a determinative effect on what happens to national income and to stock prices. The results strongly support Anna Schwartz's and my 1963 conjecture about the role of monetary policy in the Great Contraction. They also support the view that monetary policy deserves much credit for the mildness of the recession that followed the collapse of the U.S. boom in late 2000.

Globalization of Stock Market, Economic Growth, and Geopolitical Risk

2021 ◽  
pp. 157-168
Author(s):  
Ecenur Ugurlu Yildirim
Keyword(s):  
Economic Growth ◽  
Stock Market ◽  
Foreign Investors ◽  
Dynamic Correlation ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Market Economic ◽  
Short Run ◽  
International Investors

Although the significance of the foreign investors constructing the significant magnitude of GDP increases for the emerging markets, their equity markets' attractiveness is affected by their vulnerability to geopolitical risk. The purpose of this study is to empirically investigate the effect of the stock market globalization on the correlation between economic growth and geopolitical risk in Brazil. After the dynamic correlation between economic growth and the geopolitical risk in Brazil is obtained by DCC-GARCH(1,1) methodology, the nonlinear autoregressive distributed lag (NARDL) model is employed to examine the asymmetric relationship among variables. The findings demonstrate while the changes in the globalization of the stock market decrease the connection between economic growth and geopolitical risk in the long-run, the positive changes in the participation of foreign investors make economic growth and geopolitical risk more connected the in short-run. Moreover, this impact is asymmetric. This chapter provides valuable implications for international investors and policymakers.

scholarly journals The Role of Gold Prices and Interest Rate in Stock Index: Insights from Vietnam by Using the Autoregressive Distributed Lag Approach

2020 ◽  
Vol 12 (1) ◽  
pp. 178
Author(s):  
Le Thi Minh Huong ◽  
Phan Minh Trung
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Interest Rates ◽  
Stock Index ◽  
Stock Market Index ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Market Index ◽  
Long Run ◽  
Short Run

This study aimed to determine the impact of domestic gold prices, interest rates in the stock market index (VNI) in Vietnam for the period of January 2009 to December 2018. This study employed the Autoregressive Distributed Lag (ARDL) to check the association of Independent variable gold prices and the interest rate on the dependent variable stock market index. The results show a close correlation together in the long-run. The Vietnam stock index is adversely affected by fluctuations in the credit market in the short-run. We observed that domestic gold prices and interest rates have one-way causal relations to the stock price index. Similarly, interest rates were causal for gold prices and still not yet had any particular direction. The adjustment in the short-run moves the long-run equilibrium, although the change is quite slow.

scholarly journals Coronavirus: Impact on Stock Prices and Growth Expectations

2020 ◽  
Vol 10 (4) ◽  
pp. 574-597 ◽  
Author(s):  
Niels Joachim Gormsen ◽  
Ralph S J Koijen
Keyword(s):  
United States ◽  
European Union ◽  
Lower Bound ◽  
Stock Market ◽  
Stock Prices ◽  
The United States ◽  
The Novel ◽  
The European Union ◽  
Fiscal Stimulus ◽  
Novel Coronavirus

Abstract We use data from aggregate stock and dividend futures markets to quantify how investors’ expectations about economic growth evolved across horizons following the outbreak of the novel coronavirus (COVID-19) and subsequent policy responses until July 2020. Dividend futures, which are claims to dividends on the aggregate stock market in a particular year, can be used to directly compute a lower bound on growth expectations across maturities or to estimate expected growth using a forecasting model. We show how the actual forecast and the bound evolve over time. As of July 20th, our forecast of annual growth in dividends points to a decline of 8% in both the United States and Japan and a 14% decline in the European Union compared to January 1. Our forecast of GDP growth points to a decline of 2% in the United States and Japan and 3% in the European Union. The lower bound on the change in expected dividends is -17% in the United States and Japan and -28% in the European Union at the 2-year horizon. News about U.S. monetary policy and the fiscal stimulus bill around March 24 boosted the stock market and long-term growth but did little to increase short-term growth expectations. Expected dividend growth has improved since April 1 in all geographies.

scholarly journals Are Cryptocurrencies a Backstop for the Stock Market in a COVID-19-Led Financial Crisis? Evidence from the NARDL Approach

2021 ◽  
Vol 9 (3) ◽  
pp. 33
Author(s):  
Ahmed Jeribi ◽  
Sangram Keshari Jena ◽  
Amine Lahiani
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Safe Haven ◽  
Crisis Period ◽  
Fund Managers ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
The Relationship ◽  
Nonlinear Autoregressive

The study investigates the safe haven properties and sustainability of the top five cryptocurrencies (Bitcoin, Ethereum, Dash, Monero, and Ripple) and gold for BRICS stock markets during the COVID-19 crisis period from 31 January 2020 to 17 September 2020 in comparison to the precrisis period from 1 January 2016 to 30 January 2020, in a nonlinear and asymmetric framework using Nonlinear Autoregressive Distributed Lag (NARDL) methodology. Our results show that the relationship dynamics of stock market and cryptocurrency returns both in the short and long run are changing during the COVID-19 crisis period, which justifies our study using the nonlinear and asymmetric model. As far as a sustainable safe haven is concerned, Dash and Ripple are found to be a safe haven for all the five markets before the pandemic. However, all five cryptocurrencies are found to be a safe haven for three emerging markets, such as Brazil, China, and Russia, during the financial crisis. In a comparative framework, gold is found to be a suitable safe haven only for Brazil and Russia. The results have implications for index fund managers of BRICS markets to include Dash and Ripple in their portfolio as safe haven assets to protect its value during a stock market crisis.

Effect of economic crisis on suicide cases: An ARDL bounds testing approach

2019 ◽  
Vol 66 (1) ◽  
pp. 34-40 ◽  
Author(s):  
Şenol Demirci ◽  
Murat Konca ◽  
Birol Yetim ◽  
Gülnur İlgün
Keyword(s):  
United States ◽  
Economic Crisis ◽  
Economic Recession ◽  
The United States ◽  
Bounds Testing ◽  
Short Term ◽  
Independent Variables ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag

Background: Suicide events observed in various groups, community or countries, especially in the periods of economic recession. It is thought that suicide cases increase when people’s income decreases dramatically and they lose their jobs. Aim/Objective: In this study, it was aimed to investigate whether the 2008 economic crisis had any effect on suicides in the United States. Methods: Autoregressive distributed lag method was used. For the purpose of the study, the number of suicide-related deaths was taken as the dependent variable, while unemployment rates and 2008 economic crisis were taken as independent variables. Findings: The short-term and long-term relationships obtained within the scope of the study indicated that the 2008 economic crisis had a statistically significant effect on suicide cases in the United States. Results and Conclusion: It can be said that the results of this study are consistent with the information which emphasizes that economic crises increase suicide cases in the literature.

scholarly journals Are China and India decoupling from the United States?

2018 ◽  
Vol 65 (1) ◽  
pp. 65-78
Author(s):  
Kıvanç Arıç ◽  
Serkan Taştan
Keyword(s):  
United States ◽  
The United States ◽  
Economic Literature ◽  
Bounds Testing ◽  
China And India ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Advanced Economies ◽  
Ardl Bounds Testing Approach

After the 2008 global economic crisis, there has been an attention on decoupling conditions between emerging and advanced economies in the economic literature. There have been different conclusions about decoupling. In this study, we analyzed the conditions decoupling China and India from the United States. We used the autoregressive distributed lag (ARDL) bounds testing approach for the period of 1960-2014. According to the results of the analysis, the U.S. gross domestic product (GDP), export, and import indicators have no long-term relationship with China?s and India?s GDP.

scholarly journals How Does Stock Prices Respond to Various Macroeconomic Factors? A Case Study of Pakistan

2014 ◽  
Vol 1 (4) ◽  
pp. 25-30
Author(s):  
Ayaz Khan
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Correction Term ◽  
Macroeconomic Factors ◽  
Market Prices ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Long Run

Over the time everything flourished, at the same token the interrelationship among the stock market prices, returns and macroeconomic factors got attendance of the researchers in the field of finance and economics around the world. In this respect current study is an attempt to investigate the response of various macroeconomic factors (GDP, Money Supply, inflation, exchange rate and Size of firm) toward stock market prices in case of Karachi stock exchange over a period of 1971 to 2012. The study utilizes Autoregressive Distributed lag model (ARDL) technique. The results shows that in long run each factor significantly contribute to the stock price while in shot run some factors were significant while some were not but the error correction term shows significant convergence toward equilibrium. The findings of study suggest that for smoothness of stock market the current factors must be targeted.

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