Sökning: "macroeconomic regimes"

Visar resultat 1 - 5 av 7 uppsatser innehållade orden macroeconomic regimes.

  1. 1. ATT STABILISERA ETT INSTABILT SYSTEM : En studie om svensk bankreglering efter finanskrisen 2008

    Uppsats för yrkesexamina på grundnivå, Umeå universitet/Statsvetenskapliga institutionen

    Författare :Martin Kantola; [2023]
    Nyckelord :regulation; macroeconomic regimes; capital requirements; MREL; resolution;

    Sammanfattning : The insights from the 2008 financial crisis were that the banking sector was in need of change of regulation. The period from 2008 and onwards has involved several changes, of which capital requirements, MREL requirements and the resolution tool are three main regulations which have been introduced. LÄS MER

  3. 2. PREDICITING BULL AND BEAR IN S&P500

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Dodou Saidy; Arash Saleh Tabari; [2017]
    Nyckelord :Factors; Stock indices; Stock Markets; Probability; Dynamic Static Probit; Business and Economics;

    Sammanfattning : This paper seeks to investigate if factors extracted from macroeconomic and financial variables can improve the forecast accuracy of the bull and bear market in the S&P500 stock index. The study extended the models constructed by Nyberg(2012) and Chen (2009) by augmenting their model with factors. LÄS MER

  4. 3. Factor Sensitivities to Alternative Macroeconomic Environments

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Olga Gladuniak; [2017]
    Nyckelord :smart beta; factor investing; Markov switching models; dynamic portfolios;

    Sammanfattning : In this thesis, we examine how different factors are exposed to alternative macroeconomic environments. We apply a range of different approaches in order to explore these relationships. Firstly, we analyse mean excess returns and Sharpe ratios of factors in different macroeconomic regimes. LÄS MER

  5. 4. Non-linear prediction in the presence of macroeconomic regimes

    Master-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Emmanuel Latim Okumu; [2016]
    Nyckelord :Markov Switching; Regime Switching; Smooth-transition; Time-varying parameters; Threshold model;

    Sammanfattning : This paper studies the predictive performance and in-sample dynamics of three regime switching models for Swedish macroeconomic time series. The models discussed are threshold autoregressive (TAR), Markov switching autoregressive (MSM-AR), and smooth-transition autoregressive (STAR) regime switching models. LÄS MER

  7. 5. The dynamics of stock market returns and macroeconomic indicators: An ARDL approach with cointegration

    Master-uppsats, KTH/Entreprenörskap och Innovation

    Författare :Rasmus Larsson; Sebastian Haq; [2016]
    Nyckelord :Autoregressive Distributed Lags; ARDL; Macroeconomics; S P500; Personal Spending; Initial Jobless Claims; M1 Money Supply; Building Permits; Michigan Consumers Sentiment index; ISM Manufacturing index; Autoregressive Distributed Lags; ARDL; Makroekonomi; S P500; Personal Spending; Initial Jobless Claims; M1 Money Supply; Building Permits; Michigan Consumers Sentiment index; ISM Manufacturing index;

    Sammanfattning : Macroeconomic indicators are amongst the most important and used tools for investors as they provide an outlook for the economy and thus improve the assessment of investments e.g. for asset allocation. LÄS MER