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How do bond, equity and commodity cycles interact?
journal contribution
posted on 2017-05-01, 00:00 authored by Paresh Narayan, Kannan ThuraisamyKannan Thuraisamy, N F WagnerWe 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 lettersVolume
21Pagination
151 - 156Publisher
ElsevierLocation
Amsterdam, The NetherlandsPublisher DOI
ISSN
1544-6123Language
engPublication classification
C1 Refereed article in a scholarly journal; C Journal articleCopyright notice
2016, ElsevierUsage metrics
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No categories selectedKeywords
Asset pricingCross-market dependenceGranger causalityFinancial cyclesTime-varying risk premiumCommodity marketsGoldOilMarket volatilitySocial SciencesBusiness, FinanceBusiness & Economicsasset pricing; cross-market dependence; Granger causality; financial cycles; time-varying risk premium; commodity markets; gold; oil; market volatility
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