Dynamic Stock Dependence and Monetary Variables in the United States (2000-2016): A Copula and Neural Network Approach
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Published:2022-02-14
Issue:96
Volume:
Page:201-234
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ISSN:2323-0622
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Container-title:Lecturas de Economía
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language:
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Short-container-title:Lect. Econ.
Author:
Sosa Castro Magnolia MiriamORCID,
Bucio Pacheco ChristianORCID,
Ortiz Calisto Edgar
Abstract
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 London Interbank Offered Rate LIBOR rate.
Publisher
Universidad de Antioquia
Subject
Economics and Econometrics,General Business, Management and Accounting,Statistics, Probability and Uncertainty,Finance,Social Sciences (miscellaneous)