November 25, 2019
On November 29th, M.Soc.Sc. (Economics) Annika Lindblad will defend her doctoral thesis “Evaluating macro-finance interactions using mixed frequency methods”. The dissertation examines how macroeconomic variables influence financial market volatility and correlations using mixed frequency time series methods.
Lindblad’s work contributes to the literature on empirical macroeconometrics by illuminating which economic variables influence the low-frequency component of volatilities and correlations, as well as examining various methods to improve long horizon forecasts for stock market volatility by utilising the information in macroeconomic data. Her work emphasises the importance of forward-looking economic variables for both modelling and forecasting volatility and highlights the usefulness of economic data for forecasting volatility during low volatility periods. Lindblad also identifies significant time-variation in the low-frequency correlation between exchange rate and equity returns, and for the US links this to two hypotheses suggested in the earlier literature, namely flight-to-quality and quantitative easing (QE) related search-for-yield.
Annika Lindblad works as an Economist at the Monetary Policy and Research Department of the Bank of Finland.