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dc.contributor.authorBEKIROS, Stelios D.
dc.contributor.authorHUSSAIN, Syed J.
dc.contributor.authorARREOLA HERNANDEZ, Jose
dc.contributor.authorREHMAN, Mobeen U.
dc.date.accessioned2018-01-09T08:28:02Z
dc.date.available2018-01-09T08:28:02Z
dc.date.issued2018
dc.identifier.citationEconomic modelling, 2018, Vol. 69, pp. 301-312en
dc.identifier.issn0264-9993
dc.identifier.urihttp://hdl.handle.net/1814/49806
dc.descriptionPublished online: 17 October 2017en
dc.description.abstractWe examine the nonlinear dependence structure and causal nexus between business cycles, stock market returns and asset return volatility for the US economy. We implement two novel methodologies, namely quantile-on-quantile analysis and cross-quantilogram to account for tail dependence and spillovers across quantile ranges. We find evidence of statistically significant spillover effects from extreme equity market returns and their corresponding volatility to specific stages of business cycles. The sensitivity of returns and volatility to business cycle shocks is only evident for extreme quantiles. These findings indicate the importance of modeling the nonlinearity and tail behaviour when analyzing the relationships between equity markets and business cycles. Financial and monetary policy regulators may use the dynamics of spillover predictability and influence between the equity market returns, their volatility and business cycles to exert some degree of control upon business cycle formation and development.en
dc.language.isoenen
dc.publisherElsevieren
dc.relation.ispartofEconomic modellingen
dc.subjectBusiness cyclesen
dc.subjectStock marketsen
dc.subjectQuantile-on-quantile analysisen
dc.subjectCross-quantilogramen
dc.subjectSpillover predictabilityen
dc.subjectB26en
dc.subjectE32en
dc.subjectG15en
dc.titleDirectional predictability and time-varying spillovers between stock markets and economic cyclesen
dc.typeArticleen
dc.identifier.doi10.1016/j.econmod.2017.10.003
dc.identifier.volume69
dc.identifier.startpage301
dc.identifier.endpage312
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