Browsing by Author "Valckx, Nico"

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  • Valckx, Nico (2001)
    Suomen Pankin keskustelualoitteita; Bank of Finland. Discussion papers 13/2001
    This paper examines what factors move US and European stock and bond markets, extending earlier work by Campbell and Ammer (1993). Inflation news is incorporated into the stock and bond decomposition and explicit attention is given to different horizons over which expectations are formed.Sensitivities to monetary policy instruments and fundamental factors are examined. The data are monthly.For the euro area, a unique data set is constructed.The results illuminate a number of widely-held pre-conceptions and confirm that inflation news volatility is a non-trivial factor in the stock and bond return decompositions. Key words: stock prices; bond prices; return decompositions, fundamental factors
  • Annaert, Jan; De Ceuster, Marc J.K.; Valckx, Nico (2001)
    Suomen Pankin keskustelualoitteita 14/2001
    It is commonly agreed that the term spread and stock returns are useful in predicting recessions.We extend these empirical findings by examining interest rate and stock market volatility as additional recession indicators.Both risk-return analysis and the theory of investment under uncertainty provide a rationale for this extension.The results for the United States, Germany and Japan show that interest rate and stock return volatility contribute significantly to the forecasting of future recessions.This holds in particular for short term predictions.Key words: business cycles, stock market volatility, interest rate volatility, probit model