My research focuses on Macroeconometrics and Financial Econometrics, especially applying time series methods for business cycle, monetary policy, and financial markets analysis.
Christian Conrad, Julius Schölkopf and Nikoleta Tushteva
Long-Term Volatility Shapes the Stock Market’s Sensitivity to News
We show that the S&P 500’s instantaneous response to surprises in U.S. macroeconomic announcements depends on the level of long-term stock market volatility. When long-term volatility is high, stock returns are more sensitive to news, and there is a pronounced asymmetry in the response to good and bad news. We explain this by combining the Campbell-Shiller log-linear present value framework with a two-component volatility model for the conditional variance of cash flow news and allowing for volatility feedback. In our model, innovations to the long-term volatility component are the most important driver of discount rate news. Large announcement surprises lead to upward revisions in future required returns, which dampens/amplifies the effect of good/bad news.
Also published as AWI Discussion Paper No. 739 and Rimini Centre for Economic Analysis Working Paper 23-16.
Economic Expectations, Survey Data, and Experiments Workshop in Heidelberg (July 2022)*, University of Heidelberg (February 2023, June 2023), University of Sussex (March 2023)*, International Conference for Quantitative Finance and Financial Econometrics at the Aix-Marseille School of Economics (June 2023), Society of Financial Econometrics (SoFiE) European Summer School (June 2023), 10th HKMetrics Workshop in Karlsruhe (July 2023), Econometric Society European Meeting (August 2023), Verein für Socialpolitik Annual Conference (September 2023), Oxford Statistics and Machine Learning in Finance Seminar (November 2023)*, 17th BMRG Conference on Macro and Financial Econometrics (November 2023)*, Workshop on Economic and Financial Forecasting in Karlsruhe (December 2023), 4th HeiTüHo Workshop on International Financial Markets in Tübingen (December 2023), The Society for Nonlinear Dynamics and Econometrics Annual Symposium in Padova (March 2024)*, CIREQ-CMP Econometrics Conference in Honor of Eric Ghysels in Montreal (May 2024, scheduled)* and Rimini Centre for Economic Analysis International Conference on Economics, Econometrics and Finance at Brunel University London (May 2024, scheduled).
The * indicates a presentation by a co-author.
Christian Conrad, Julius Schölkopf, Michael Weber and Frank Brückbauer
Beyond the Numbers: Professional Forecasters’ Narratives about Inflation and Stock Market Performance
Abstract will follow.
ZEW Mannheim (June 2024, scheduled) and University of Heidelberg (July 2024, scheduled), 6th Behavioral Macroeconomics Workshop – Heterogeneity and Expectations in Macroeconomics and Finance (organised by IMK, Uni Heidelberg, Uni Bamberg and the Australian National University, July 2024, scheduled).
The * indicates a presentation by a co-author.
Christian Conrad, Zeno Enders, Julius Schölkopf
Heterogeneous Expectation Formation. Evidence from International Forecasts
