Dynamic Stock Dependence and Monetary Variables in the United States (2000-2016): A Copula and Neural Network Approach
Por:
Sosa M., Bucio C., Calisto E.O.
Publicada:
1 ene 2022
Resumen:
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. © 2022 Universidad de Antioquia. All rights reserved.
Filiaciones:
Sosa M.:
Universidad Autónoma Metropolitana, Mexico
Bucio C.:
Universidad Autónoma del Estado de México, Mexico
Calisto E.O.:
Universidad Nacional Autónoma de México, Mexico
Green Submitted, gold, Gold
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