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http://hdl.handle.net/10071/10311
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Title: How the U.S. capital markets volatility interacts with economic growth
Authors: Curto, J. D.
Marques, J
Keywords: Business cycle
Causal relationship
Growth
Issue Date: 2013
Publisher: Wuhan University Journal Press
Abstract: Empirical finance suggests that US capital markets' volatility has a negative relationship with economic growth. As the main focus is on the equity market volatility dynamics and less on other equally important asset types, in this paper we examine the dynamics between US money markets, government debt, corporate debt and equities volatilities, and a real GDP growth proxy, between 1963 and 2009. Results show that assets' volatility is essentially counter-cyclical of growth. However, this interaction changes when specific time subsamples are considered: in recessions, rising volatility leads the economic cycle, while in expansions its downward trend lags the business cycle.
Description: WOS:000328199600012 (Nº de Acesso Web of Science)
Peer reviewed: Sim
URI: https://ciencia.iscte-iul.pt/public/pub/id/12789
http://hdl.handle.net/10071/10311
ISSN: 1529-7373
Publisher version: The definitive version is available at: http://dx.doi.org/10.1002/hrdq.21212http://aeconf.com/Articles/Nov2013/aef140205.pdf
Appears in Collections:BRU-RI - Artigo em revista científica internacional com arbitragem científica

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