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How do bond, equity and commodity cycles interact?

Narayan, Paresh, Thuraisamy, Kannan and Wagner, Niklas F. 2016, How do bond, equity and commodity cycles interact?, Finance research letters, In Press, pp. 1-6, doi: 10.1016/

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Title How do bond, equity and commodity cycles interact?
Author(s) Narayan, Paresh
Thuraisamy, Kannan
Wagner, Niklas F.
Journal name Finance research letters
Season In Press
Start page 1
End page 6
Total pages 6
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2016
ISSN 1544-6123
Keyword(s) Asset pricing
Cross-market dependence
Granger causality
Financial cycles
Time-varying risk premium
Commodity markets
Market volatility
Summary We address bond, equity, gold as well as oil markets, and examine their lagged interactions including market volatility and consumer prices. Apart from considering returns, we also address the cyclic component of price levels. Study of the monthly lag structure during January 1950 to June 2015 reveals: (i) U.S. cycles and returns show a consistent pattern of predictability, (ii) the bond-equity interaction has self-enforcing and dampening dynamic components, (iii) equity prices negatively react to shocks in uncertainty and slowly build a positive risk premium, (iv) lagged cross-market pricing transmission occurs from gold to bonds to oil and finally to inflation.
Language eng
DOI 10.1016/
Field of Research 150299 Banking, Finance and Investment not elsewhere classified
1502 Banking, Finance And Investment
Socio Economic Objective 970115 Expanding Knowledge in Commerce
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2016, Elsevier
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Document type: Journal Article
Collection: Department of Economics
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