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Dynamic Stock Dependence and Monetary Variables in the United States (2000- 2016) - A Copula and Neural Network Approach

Author

Listed:
  • Miriam Sosa

    (Universidad Autónoma Metropolitana)

  • Christian Bucio

    (Universidad Autónoma del Estado de México)

  • Edgar Ortiz Calisto

    (Universidad Nacional Autónoma de México)

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.

Suggested Citation

  • Miriam Sosa & Christian Bucio & Edgar Ortiz Calisto, 2022. "Dynamic Stock Dependence and Monetary Variables in the United States (2000- 2016) - A Copula and Neural Network Approach," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 96, pages 201-234, January-J.
    • Handle: RePEc:lde:journl:y:2022:i:96:p:201-234
    DOI: 10.17533/udea.le.n96a345321
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    stock market dependence; monetary variables; Copula approach; artificial neural network.;
    All these keywords.

    JEL classification:

    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • E49 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Other
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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