December 2011
Intermediate to advanced
208 pages
3h 14m
English
Monetary factors include interest rates, bond prices, spreads between interest rates, and credit. I test several of these monetary indicators to see if a moving average crossover system can be developed using their data for market timing. As always, with any method using market prices, a protective stop and trailing stop rule are applied from optimization of the in-sample data.
As the Fed’s stock market model suggests in Chapter 5, “Corporate Indicators,” many analysts believe that the stock market is affected by interest rates, not only as a competing investment to stocks, but also as an indicator of increased economic activity. Generally, higher interest rates reflect increased borrowing costs for plant ...