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dc.contributor.authorCaporale, Guglielmo Maria
dc.contributor.authorGil Alana, Luis A. 
dc.contributor.authorPoza Lara, Carlos 
dc.date.accessioned2022-09-13T08:12:02Z
dc.date.available2022-09-13T08:12:02Z
dc.date.issued2022
dc.identifier.issn1062-9769spa
dc.identifier.urihttp://hdl.handle.net/10641/3094
dc.description.abstractThis paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966-December 2020 and then a recursive approach is taken to examine whether or not persistence has changed during the following pandemic period (up to February 2021). We find that the unit root hypothesis cannot be rejected for stock prices while for bond yields the results differ depending on the maturity date and the specification of the error term. In general, bond yields appear to be more persistent, although there is evidence of mean reversion in case of 1-year yields under the assumption of autocorrelated errors. The recursive analysis shows no impact of the Covid-19 pandemic on the persistence of stock prices, whilst there is an increase in the case of both 10- and 1- year bond yields but not of their spread.spa
dc.language.isoengspa
dc.publisherThe Quarterly Review of Economics and Financespa
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subjectStock market pricesspa
dc.subjectUS bondsspa
dc.subjectPersistencespa
dc.subjectFractional integrationspa
dc.subjectCovid-19spa
dc.titleThe COVID-19 pandemic and the degree of persistence of US stock prices and bond yields.spa
dc.typejournal articlespa
dc.type.hasVersionSMURspa
dc.rights.accessRightsopen accessspa
dc.description.extent201 KBspa
dc.identifier.doi10.1016/j.qref.2022.06.007spa
dc.relation.publisherversionhttps://www.sciencedirect.com/science/article/pii/S1062976922000771?via%3Dihubspa


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