《Stock market liquidity and economic cycles: A non-linear approach》

此篇论文发表在2016年Economic Modelling上。 作者使用马尔可夫结构转换波动模型和平滑转换自回归模型来分析商业周期以及市场流动性 之间的关系。

要点
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Examines the relationship between business cycles and market wide liquidity

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Uses non-linear switching regime approaches

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Finds very weak evidence that liquidity fundamentals act as leading indicators of future economic conditions

简介

This paper examines the relationship between business cycles and market wide liquidity using a non-linear approach to capture the dynamics of macroeconomic time series. Applying both the Markov switching-regime and the smooth-transition autoregressive models and various proxies for liquidity, this study presents weak evidence that liquidity fundamentals act as leading indicators of future economic conditions. Whether stock market aggregate liquidity can be exploited to predict the future state of the economy remains an open question.