Big Events
- Global Financial Crsis
Rates Market
- Oil Crisis (1973)
- US 10Y Rates peak (15.8%)
- Volcker Fed Chair
- LTCM + Tech Bubble 1998
- Fed Rates Cut: Jun03
- Oct 10: EU Debt Crises
- May 13: Taper Tantrum
- Apr 15: Bund Tantrum
FX Market
- 98: LTCM
- Oct 10: EU Debt Crsis
- 14/15: USD Strengthen
Macro-economic
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Business Cycle
- productivity (culture, ecosystem, politics, technology) + Long-term and short-term debt cycle from Ray Dailo
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Discrepancies between fundamental data and market outlook
* -
Correlation cross-markets (eg. Equity vs Bond)
- equity bond pos
- DCF Model
- equity bond neg
- US Gov bond counter-cyclical (performs good during recessions)
- no clear historical conclusion - not static
- Multi-factor Model(Baele, 2010)macro economic environment, fundamental factors, liquidity proxies (play an very important role)
- equity risk premium not static
- depends on shock from which market
- equity bond pos