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How do bond, equity and commodity cycles interact?

Version 2 2024-06-04, 01:15
Version 1 2017-01-09, 12:00
journal contribution
posted on 2024-06-04, 01:15 authored by PK Narayan, Kannan ThuraisamyKannan Thuraisamy, NF Wagner
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.

History

Journal

Finance research letters

Volume

21

Pagination

151-156

Location

Amsterdam, The Netherlands

ISSN

1544-6123

Language

eng

Publication classification

C1 Refereed article in a scholarly journal, C Journal article

Copyright notice

2016, Elsevier

Publisher

Elsevier