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Project

Are returns and volatitilty on financial markets driven by macro-economical determinants?

In this project we research whether Financial variables, in particular the returns on financial assests and their volatility, are driven by macro economical determinants, possibly controlled for the institutional environment. More specifically research is done on how shocks in the macro economy transfer into financial variables like stock returns, interst rates, exchange rates and their volatility.

Date:1 Oct 2008 →  30 Sep 2012
Keywords:volatility, financial assets, macro-finance
Disciplines:Tourism, Applied economics, Macroeconomics and monetary economics, Microeconomics, Economic history