Dynamic Stock Dependence and Monetary Variables in the United States (2000- 2016): A Copula and Neural Network Approach
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1 juin 2022
- handle: 10670/1.luf82t
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10.17533/udea.le.n96a345321
info:eu-repo/semantics/openAccess
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Miriam Sosa et al., « Dynamic Stock Dependence and Monetary Variables in the United States (2000- 2016): A Copula and Neural Network Approach », Lecturas de Economía, ID : 10670/1.luf82t
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: 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. JEL Classification: C45, C58, D53, E49, G15.