An unobserved component model of asset pricing across financial markets

Impact of global health crisis and oil price shocks on stock markets in the GCC

“…There are several advantages in using the Kalman filter and the unexpected component through the expectations generating process. First, the forming of expectations is a learning process in which market agents update their expectations recursively, as more information becomes available ( Cowan and Joutz, 2006 ). Second, the Kalman filter can estimate the expectations series and generate any unanticipated component by signal extraction.…”

Regime switches between dividend and bond yields

“…Lim, Gallo, and Swanson (2000) provide evidence for strong interrelations among the international bond and stock market. Cowan and Joutz (2004) find that equity returns reflect macroeconomic variables, well known to affect bond markets as well, such as industrial production and unanticipated inflation movements. Furthermore, Jones, Lin, and Masih (2004) find cointegration relations among the UK's short rates, gilts and equities.…”

Estimations of the natural rate of interest in Colombia

“…The unobserved components models have been used in different economic applications, for estimating the natural level of the labor supply (Bull and Frydman [1983]), for modeling credibility of the monetary authority (Weber [1991]), for analyzing the GDP (Luginbuhl and Vos [1999], Morley et al [2003]), the Purchasing Power Parity (PPP) (Kleijn and van Dijk [2001]), consumption (Elwood [1998]), unemployment (Chung and Harvey [2000], Berger and Everaert [2009]), for modeling tax revenues (Koopman and Ooms [2003]), cycles (Chambers and McGarry [2002]) and for analyzing financial series (Cowan and Joutz [2006]), among others.…”