Lecturas de Economía (Feb 2022)

Dynamic Stock Dependence and Monetary Variables in the United States (2000-2016): A Copula and Neural Network Approach

  • Magnolia Miriam Sosa Castro,
  • Christian Bucio Pacheco,
  • Edgar Ortiz Calisto

DOI
https://doi.org/10.17533/udea.le.n96a345321
Journal volume & issue
no. 96
pp. 201 – 234

Abstract

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This paper investigates dynamic dependence between the American Stock Market (S&P 500) and the World Share Market (MSCIW) and examines whether key monetary variables (short and long-term interest rates, interest rate spreads, and exchange rate) explain changes in this relation, during the period January 2000 - June 2016. The methodology includes a Dynamic Copula approach and a Multilayer Perceptron Network. Results suggest that there is interdependence between the American and global stock market and that the dynamic dependence is mainly explained by the short-term interest rate spread, 3-month T-bill's rate and 3-month London Interbank Offered Rate LIBOR rate.

Keywords