Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies
研究美国、英国和德国的宏观金融变量如何影响爱尔兰和丹麦这两个小型开放经济体的股票收益，发现全球和区域变量在所有状态下都重要，而国内变量只在特定状态下起作用。
Abstract We examine the influence of US, UK and German macroeconomic and financial variables on the stock returns of two relatively small, open European economies, Ireland and Denmark. Within a nonlinear framework, we allow for time variation via regime switching using a smooth transition regression (STR) model. We find that US (global) and UK and German (regional) stock returns are significant determinants of returns in both markets. Further, global information represented by oil and US asset price movements drive changes between states in each market. Significantly, the role of country‐specific domestic variables is typically confined to a single state while global and regional variables pervade all states.