Search results for "Returns"

Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?

2017

This paper investigates the presence of time-varying causal linkages in mean and variance between oil price changes and stock returns for six major oil-importing countries (France, Germany, Italy, Spain, the UK and the US) in a multiscale framework that combines wavelet analysis and a modified version of the dynamic causality test of Lu, Hong, Wang, Lai, and Liu (2014). The results show significant bidirectional causal relations between oil and stock markets at the different time horizons for all countries. The causal links tend to be stronger at coarser scales and in periods of financial turmoil, mainly during the recent global financial and European sovereign debt crises. This evidence pr…

The evolution of returns to education in Spain 1980-1991

1998

STT Working Paper, n°01-99 (Université d'Orléans), janvier 1999; Based on data from the 1980 and 1990 Household Surveys, we analyze educational expansion in Spain and estimate earnings equations for male family heads ; then rates of return to education in both years are compared. Furthermore we decompose the over-all average earnings differential over time to verify to what extent the magnitude of changes is due to variations in the characteristics of the working population during the 1980-1991 period, and how much of that differential is explained by differences in the pay structure.

A wavelet analysis of the ripple effect in UK regional housing markets

2021

Abstract The paper aims at gaining insights on the spatio-temporal mechanism of house price spillovers, also known as ripple effect, among 12 UK regional housing markets, over the period 1973–2018. From a policy perspective, it is essential to discriminate if the effects of a shock decay more slowly along the geographical dimension as compared to the decay along the time dimension. We enter the debate in a novel manner by using some wavelet analysis tools (wavelet coherence and phase differences amongst others) which reveal the spectral characteristics of a series and show how different periodic components of housing returns evolve over time. Results are interesting. Spillovers from London …

Nonlinear dynamics of interest rate and inflation

2004

According to several empirical studies, US inflation and nominal interest rates, as well as the real interest rate, can be described as unit root processes. These results imply that nominal interest rates and expected inflation do not move one-for-one in the long run, which is not consistent with the theoretical models. In this paper we introduce a nonlinear bivariate mixture autoregressive model that seems to fit quarterly US data (1952 Q1 – 2000 Q2) reasonably well. It is found that the three-month treasury bill rate and inflation share a common nonlinear component that explains a large part of their persistence. The real interest rate is devoid of this component, indicating one-for-one m…

Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region

2010

In this article, we examine the presence of volatility spillovers between nominal exchange rates and stock returns in three MENA countries: Egypt, Morocco and Turkey. The multivariate GARCH model we use does not produce evidence of cross-market effects for the general stock indices returns. Nevertheless, bidirectional shock and volatility spillovers between exchange rates and stock returns exist at the industry sector level. These findings are more pronounced in Egypt and Turkey. The different results are due to the different exchange rate regimes/policies adopted by the three countries. While exchange rates in Egypt and Turkey were allowed to float, Morocco followed a more tightly managed…

THe Verdoorn law at regional level: Evidence from Europe

2014

Interest rate changes and stock returns in Spain: A wavelet analysis

2015

This paper investigates the relationship between changes in interest rates and the Spanish stock market at the industry level over the period from January 1993 to December 2012 using a wavelet-based approach. The empirical results indicate that Spanish industries exhibit, in general, a significant interest rate sensitivity, although the degree of interest rate exposure differs considerably across industries and depending on the time horizon under consideration. In particular, regulated industries such as Utilities, highly indebted industries such as Real Estate, Utilities or Technology and Telecommunications, and the Banking industry emerge as the most vulnerable to interest rates. Further,…

Back to School : Labor-Market Returns to Higher Vocational Schooling

2019

This paper examines the labor-market returns to a new form of postsecondary vocational education: vocational master's degrees. We use individual fixed effects models on a matched sample of students and non-students from Finland to capture any time-invariant differences across individuals. We find that attendance in vocational master's programs leads to an earnings increase of more than seven percent five years after entry. The estimated effect remains positive even if selection on unobservables is twice as strong as selection on observables. Earnings gains are similar by gender and age, but they are marginally higher for those in the health sector than for those in the business or technolog…

Identità e territori, abbandoni e ritorni

2020

Il contributo riflette sulle identità dei territori, e su come queste siano in grado di orientare certe dinamiche all’interno delle comunità, sul fenomeno dello spopolamento e degli abbandoni – problema che negli ultimi tempi, soprattutto nel Meridione italiano, è al centro del dibattito politico e scientifico – e sul caso specifico di Mamoiada, comune della Sardegna interna che, sino agli anni Novanta del secolo scorso, ha scontato un importante decremento della popolazione e una forte disgregazione sociale dovuti in massima parte ai fatti criminali che si sono succeduti per più di trent’anni e oggi, come la quasi totalità dei comuni delle aree interne, si confronta con la denatalità, l’in…

Is Big Brother Watching Us? Google, Investor Sentiment and the Stock Market

2013

International audience; This paper proposes a novel measure of French investor sentiment based on the volume of internet search reported by Google Trends. We find that our sentiment indicator correlates well with alternative sentiment measures often used in the literature. Furthermore, we find that investor sentiment influences the behavior of mutual fund investors. The results also reveal evidence about short-run predictability in return. An increase in our sentiment index leads to short-term return reversal. The reversal pattern is more pronounced for smaller firms than larger firms, consistent with the predictions of noise trader's models.