Resumo

SOSA, Miriam; BUCIO, Christian  e  CALISTO, Edgar Ortiz. Dynamic Stock Dependence and Monetary Variables in the United States (2000- 2016): A Copula and Neural Network Approach. Lect. Econ. [online]. 2022, n.96, pp.201-234.  Epub 05-Maio-2022. ISSN 0120-2596.  https://doi.org/10.17533/udea.le.n96a345321.

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.

JEL Classification: C45, C58, D53, E49, G15.

Palavras-chave : stock market dependence; monetary variables; Copula approach; artificial neural network.

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