Asymmetric Effects of Macroeconomic shocks on the Stock Returns of the G-7 Countries: The Evidence from the NARDL Approach
Bibliographic record
Abstract
The aim of the paperis to investigate the asymmetric effects of changes in industrial production,real exchange rate, consumer price index, interest rate, and the World oilprice index on the stock market returns in G-7 countries by using the NARDLmodel and monthly data from the period of 1999:01 to 2017:12. The study,overall, finds that the effects of the changes in independent domestic andexternal variables on stock returns are significant and asymmetric withexpected signs for the G-7 countries. Also, the effects of the changes in theindustrial production index on stock market returns are asymmetrical only inEuro area countries. The effects of the changes in the real exchange rate onstock market returns are asymmetrical for all countries, except Japan.Interestingly, while the real appreciation of the currency causes stock returnsto increase in the Anglo-Saxon countries, the opposite occurs in Euro areacountries. The effects of the changes in the consumer price index on stockmarket returns are asymmetrical only in Canada and France. The effects of thechanges in the interest rate on stock market returns are asymmetrical for allcountries, except for the UK and the USA. Additionally, there exist inelasticinterest elasticity of stock returns in all countries, except Japan. Empiricalresults suggest that the policymakers as well as the market participants shouldconsider asymmetry between selected macroeconomic variables and stock returnswhen they evaluate any policy.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.001 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.001 |
| Science and technology studies | 0.000 | 0.001 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.002 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".