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:	Magnolia Miriam Sosa Castro, Christian Bucio Pacheco, Edgar Ortiz Calisto
Formato:	article
Lenguaje:	EN ES
Publicado:	Universidad de Antioquia 2021
Materias:	stock market dependence monetary variables Copula approach artificial neural network Economic history and conditions HC10-1085 Economics as a science HB71-74
Acceso en línea:	https://doaj.org/article/174c70ba1d7d4e97ae190dc3c9153623
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spelling	oai:doaj.org-article:174c70ba1d7d4e97ae190dc3c91536232021-12-04T04:08:38ZDynamic Stock Dependence and Monetary Variables in the United States (2000-2016): A Copula and Neural Network Approach10.17533/udea.le.n96a3453210120-25962323-0622https://doaj.org/article/174c70ba1d7d4e97ae190dc3c91536232021-12-01T00:00:00Zhttps://revistas.udea.edu.co/index.php/lecturasdeeconomia/article/view/345321https://doaj.org/toc/0120-2596https://doaj.org/toc/2323-0622 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. Magnolia Miriam Sosa CastroChristian Bucio PachecoEdgar Ortiz CalistoUniversidad de Antioquiaarticlestock market dependencemonetary variablesCopula approachartificial neural networkEconomic history and conditionsHC10-1085Economics as a scienceHB71-74ENESLecturas de Economía, Iss 96 (2021)
institution	DOAJ
collection	DOAJ
language	EN ES
topic	stock market dependence monetary variables Copula approach artificial neural network Economic history and conditions HC10-1085 Economics as a science HB71-74
spellingShingle	stock market dependence monetary variables Copula approach artificial neural network Economic history and conditions HC10-1085 Economics as a science HB71-74 Magnolia Miriam Sosa Castro Christian Bucio Pacheco Edgar Ortiz Calisto Dynamic Stock Dependence and Monetary Variables in the United States (2000-2016): A Copula and Neural Network Approach
description	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.
format	article
author	Magnolia Miriam Sosa Castro Christian Bucio Pacheco Edgar Ortiz Calisto
author_facet	Magnolia Miriam Sosa Castro Christian Bucio Pacheco Edgar Ortiz Calisto
author_sort	Magnolia Miriam Sosa Castro
title	Dynamic Stock Dependence and Monetary Variables in the United States (2000-2016): A Copula and Neural Network Approach
title_short	Dynamic Stock Dependence and Monetary Variables in the United States (2000-2016): A Copula and Neural Network Approach
title_full	Dynamic Stock Dependence and Monetary Variables in the United States (2000-2016): A Copula and Neural Network Approach
title_fullStr	Dynamic Stock Dependence and Monetary Variables in the United States (2000-2016): A Copula and Neural Network Approach
title_full_unstemmed	Dynamic Stock Dependence and Monetary Variables in the United States (2000-2016): A Copula and Neural Network Approach
title_sort	dynamic stock dependence and monetary variables in the united states (2000-2016): a copula and neural network approach
publisher	Universidad de Antioquia
publishDate	2021
url	https://doaj.org/article/174c70ba1d7d4e97ae190dc3c9153623
work_keys_str_mv	AT magnoliamiriamsosacastro dynamicstockdependenceandmonetaryvariablesintheunitedstates20002016acopulaandneuralnetworkapproach AT christianbuciopacheco dynamicstockdependenceandmonetaryvariablesintheunitedstates20002016acopulaandneuralnetworkapproach AT edgarortizcalisto dynamicstockdependenceandmonetaryvariablesintheunitedstates20002016acopulaandneuralnetworkapproach
_version_	1718373015606001664

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

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