Stock market alphas help predict macroeconomic innovations

Macroeconomic Variables and Stock Market: US Review

This focus of this paper are the effect, implication, impact and realtionship between selected macroeconomic variables and wider US indices S&P 500 and industrial Dow Jones Industrial Average (DJIA). I Consider inflation, interest rates, money supply, producer price index, industrial production index, oil price and unemployment and their impact on selected stock indices in the USA between 1999 ...

Do macrofactors help forecasting stock market volatility?∗

This study examines several dynamic heteroskedastic factor model specifications to test for the confidence set of model parametrizations that best incorporate economy-wide information for forecasting stock market volatility. To this end, diffusion indices (i.e. factors) are distilled from two large sets of US excess stock returns and macroeconomic variables. Using 40 years of data, the main emp...

Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premia∗

This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents require to bear the risk of fluctuations in stock market volatility. We develop a model in which return volatility is stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate the model using data related to variance swaps, which ar...

Macroeconomic Policy and Real Estate, Stock Market Impact Analysis

This paper models a key aspect of real estate market uncertainty, i.e. the frequent mismatch between office demand and supply under the impact of the macro economy, macroeconomic policy and the domestic stock market. The dynamic interaction of this aspect of the office sector’s market uncertainty is structured under the demand-side and supply-side aspects. Prices in the form of office rents, to...

Influences of Macroeconomic Factors on the U.S. Stock Market