Arbeitspapier

Asset co-movements: Features and challenges

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This paper documents and characterizes the time-varying structure of U.S. and international asset co-movements. Although some of the time variation could be genuine, the sampling uncertainty and time series properties of the series can distort significantly the underlying signal dynamics. We discuss examples that illustrate the pitfalls from drawing conclusions from local trends of asset prices. On a more constructive side, we find that the U.S. main asset classes and major international stock indices share a factor that is closely related to the business cycle. At even lower frequency, the common asset co-movement appears to be driven by demographic trends.

Language
Englisch

Bibliographic citation
Series: Working Paper ; No. 2017-11

Classification
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
Information and Market Efficiency; Event Studies; Insider Trading
Financial Forecasting and Simulation
Subject
cross-asset
within-asset and international asset co-movements
rolling correlation
time-variability
persistence
higher moments
risk factors
sampling frequency

Event
Geistige Schöpfung
(who)
Gospodinov, Nikolaj
Event
Veröffentlichung
(who)
Federal Reserve Bank of Atlanta
(where)
Atlanta, Ga.
(when)
2017

Handle
Last update
10.03.2025, 11:44 AM CET

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Object type

  • Arbeitspapier

Associated

  • Gospodinov, Nikolaj
  • Federal Reserve Bank of Atlanta

Time of origin

  • 2017

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