Assessing the impact of macroeconomic news on the U.S. forest products industry portfolio across business cycles: 1963–2010

Yang Wan, Michael L. Clutter, Jacek P. Siry and Bin Mei

Forest Policy and Economics, 2013, vol. 28, issue C, 15-22

Abstract: Macroeconomic news is viewed as the source of systematic risk in financial markets. This study investigated the impact of macroeconomic news on the returns and volatilities of the lumber and paper industry portfolios in the United States over 1963–2010. Using ARMA-EGARCH models, we examined the impact of consumer price index (CPI), industrial production (IP), and unemployment (UNEMP) on daily industry portfolios. Empirical results indicated the existence of volatility clustering and leverage effect in the industry portfolios. The same macroeconomic news had different impacts on the lumber and paper industry portfolios. The lumber industry was more responsive to the IP and UNEMP news, whereas the paper industry was more responsive to the CPI news. The impact of macroeconomic news on industry portfolio returns and volatilities varied across business cycles. Negative shocks had greater impact on portfolio volatilities in recessions than in expansions.

Keywords: ARMA–EGARCH; Business cycle; Forest products industry; Leverage effect; Macroeconomic news; Volatility clustering (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:forpol:v:28:y:2013:i:c:p:15-22

DOI: 10.1016/j.forpol.2012.12.005

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