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Table 13 Quarterly Regression with Business-cycle Related Variables Controlled

From: Timing the market: the economic value of price extremes

PML F t BM t BM t+1 PML F t DE t DEtt+1 PML F t DFY t DFYt+1 PML F t DP t DPt+1
0.292***            
0.285*** 0.030   0.290*** 0.017   0.277*** 2.815**   0.287*** 0.021  
0..234*** 1.158*** -1.150*** 0.310*** 0.095** -0.087** 0.310*** 6.973*** -4.833* 0.248*** 0.851*** 0.851***
PML F t DY t D t+1 P ML F t EP t EP t+1 PML F t INFL t INFL t+1 PML F t LTR t LTR t+1
0.301*** 0.023*   0.291*** 0.011   0.292*** 0.000   0.294*** 0.212**  
0.440*** 0.252** -0.231** 0.239*** 0.195*** -0.196*** 0.294*** 0.304 -0.513 0.295*** 0.212** -0.018
PML t F LT Y t LTY t+1 PML t F NTIS t NTIS t+1 PML t F SVAR t SVAR t+1 PML t F T BL t T BL t+1
0.288*** 0.123   0.290*** -0.440   0.261*** 0.784   0.291*** 0.015  
0.284*** 0.665 -0.550 0.286*** -0.128 -0.335 0.280*** 1.720*** -2.435*** 0.289*** 0.257 -0.252
PML t F TMS t TMS t+1 PML t F CAY t CAY t+1 PML t F IK t IKt+1    
0.297*** 0.396   0.305*** 0.691***   0.302*** -1.544     
0.296*** 0.126 0.319 0.315*** 4.026*** -3.414*** 0.295*** 5.067 -6.779    
  1. Note. Our benchmark model is PMGFt+1=C+PMLtFt+1, where PMGF and PMLF are filtered observations. Filtered observations are used to alleviate the contamination of autocorrelations in PMG and PML. Regression with business-cycle related variables controlled is presented as follows,
  2. \( {\displaystyle \begin{array}{l}{{PMG^F}_t}_{+1}=C+\alpha {PML_t}^F+{\upbeta}_1{M}_t+{\upvarepsilon}_{\mathrm{t}+1,}\\ {}{{PMG_t}^F}_{+1}=C+{PML_t}^F+{\upbeta}_1{M}_t+{\upbeta}_2{M}_{t+1}+{\upvarepsilon}_{\mathrm{t}+1},\end{array}} \)
  3. where Mt represents business-cycle related variable. The constant C is not reported in the table for space-saving. ***, **, * mean respectively significance at the level of 1%, 5% and 10%