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 perio...
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| Autores principales: | , , |
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| Formato: | article |
| Lenguaje: | EN ES |
| Publicado: |
Universidad de Antioquia
2021
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| Materias: | |
| Acceso en línea: | https://doaj.org/article/174c70ba1d7d4e97ae190dc3c9153623 |
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| Sumario: | 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 Libor rate.
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