美国动态股票依赖与货币变量（2000-2016）：Copula和神经网络方法

IF 0.3 Q4 ECONOMICS

Lecturas de Economia Pub Date : 2022-02-14 DOI:10.17533/udea.le.n96a345321

Magnolia Miriam Sosa Castro, Christian Bucio Pacheco, Edgar Ortiz Calisto

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引用次数: 0

摘要

本文研究了2000年1月至2016年6月期间，美国股市（标准普尔500指数）和世界股市（MSCIW）之间的动态相关性，并考察了关键货币变量（短期和长期利率、利差和汇率）是否解释了这种关系的变化。该方法包括动态Copula方法和多层感知器网络。研究结果表明，美国和全球股市之间存在相互依存关系，这种动态依存关系主要由短期利差、3个月期国债利率和3个月伦敦银行同业拆放利率来解释。

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Dynamic Stock Dependence and Monetary Variables in the United States (2000-2016): A Copula and Neural Network Approach

This paper investigates dynamic dependence between the American Stock Market (S&P 500) and the World Share Market (MSCIW) and examines whether key monetary variables (short and long-term interest rates, interest rate spreads, and exchange rate) explain changes in this relation, during the period January 2000 - June 2016. The methodology includes a Dynamic Copula approach and a Multilayer Perceptron Network. Results suggest that there is interdependence between the American and global stock market and that the dynamic dependence is mainly explained by the short-term interest rate spread, 3-month T-bill's rate and 3-month London Interbank Offered Rate LIBOR rate.

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来源期刊

Lecturas de Economia Social Sciences-Social Sciences (miscellaneous)

CiteScore

1.20

自引率

0.00%

发文量

审稿时长

21 weeks