![]() ![]() Our time-varying results suggest that the predictive power of firm-level business uncertainty is concentrated during the early part of the sample associated with the U.S.-China trade war and towards the end of our data coverage in the wake of the outbreak of the COVID-19 pandemic. Unlike standard models, our predictive framework adopts a time-varying approach due to the existence of multiple structural breaks in the relationship between volatility and the predictors in the model, which in turn leads to statistically insignificant causal effects in a constant parameter set-up. 1750 business executives from 50 states for the realized variance (sum of daily squared log-returns over a month) of the S&P500 index over the monthly period of September 2016 to July 2021. In this paper, we analyze the predictive role of firm-level business expectations and uncertainties derived from a panel survey of U.S. ![]()
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