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

Miriam Sosa (), Christian Bucio () and Edgar Ortiz Calisto ()
Additional contact information
Miriam Sosa: Universidad Autónoma Metropolitana
Christian Bucio: Universidad Autónoma del Estado de México
Edgar Ortiz Calisto: Universidad Nacional Autónoma de México

Lecturas de Economía, 2022, issue 96, 201-234

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.

Keywords: stock market dependence; monetary variables; Copula approach; artificial neural network. (search for similar items in EconPapers)
JEL-codes: C45 C58 D53 E49 G15 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://revistas.udea.edu.co/index.php/lecturasdeeconomia/article/view/345321 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:lde:journl:y:2022:i:96:p:201-234

Ordering information: This journal article can be ordered from
Lecturas de Economía, Departamento de Economía, Calle 67, 53-108, Medellin 050010, Colombia.

DOI: 10.17533/udea.le.n96a345321

Access Statistics for this article

Lecturas de Economía is currently edited by Carlos Andrés Vasco Correa

More articles in Lecturas de Economía from Universidad de Antioquia, Departamento de Economía Contact information at EDIRC.
Bibliographic data for series maintained by Carlos Andrés Vasco Correa ().