Semantic Scholar Open Access 2021 21 sitasi

On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities

M. Karanasos S. Yfanti

Lihat Sumber DOI

Abstrak

Abstract We reveal the macroeconomic determinants of the dynamic correlations between three global asset markets: equities, real estate, and commodities. Conditional equicorrelations, computed by the GJR-GARCH-DECO model, are explained by the macro-financial proxies of economic policy and financial uncertainty, credit conditions, economic activity, business and consumer confidence, and geopolitical risk. Our results suggest that elevated cross-asset correlations are associated with higher uncertainty, tighter credit conditions, and lower geopolitical risk, while lower correlations are related to stronger economic activity, business, and consumer confidence. We further focus on economic policy uncertainty (EPU) as a potent catalyst of the asset markets integration process and conclude that EPU magnifies all macro-effects across all correlations. Lastly, we investigate the global financial crisis effect on the time-varying impact of the correlations’ macro-drivers. The crisis structural break amplifies the influence that all determinants exert on the evolution of correlations apart from the geopolitical risk upshot, which is alleviated after the crisis advent.

Topik & Kata Kunci

Economics

Penulis (2)

M. Karanasos

S. Yfanti

Format Sitasi

APA MLA BibTeX

Karanasos, M., Yfanti, S. (2021). On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities. https://doi.org/10.1016/J.INTFIN.2021.101292

Akses Cepat

Lihat di Sumber doi.org/10.1016/J.INTFIN.2021.101292

Informasi Jurnal

Tahun Terbit: 2021
Bahasa: en
Total Sitasi: 21×
Sumber Database: Semantic Scholar
DOI: 10.1016/J.INTFIN.2021.101292
Akses: Open Access ✓