IDEAS home Printed from https://ideas.repec.org/a/eee/joecas/v31y2025ics1703494925000155.html
   My bibliography  Save this article

Explaining the asymmetric S&P 500 equity index in five themes: The success and failure of macro narratives

Author

Listed:
  • Malliaris, A.G.
  • Malliaris, Mary
  • Rzepczynski, Mark S.

Abstract

Economists often use narratives that focus on a limited number of variables to describe stock market behavior. We use a neural network methodology to evaluate the appropriateness of five common narratives. Four narratives address the themes of monetary policy and financial conditions, the real macroeconomy, the global economy, and the stock market fundamentals. The fifth is a unified theme combining the best features from the previous four-macro narratives. Theme based neural network models highlight the successes and periodic failures of macro factor narratives. This paper confirms the usefulness of the narrative themes proposed to explain the asymmetric behavior of the S&P 500 Index. The monetary and unified themes perform the best.

Suggested Citation

  • Malliaris, A.G. & Malliaris, Mary & Rzepczynski, Mark S., 2025. "Explaining the asymmetric S&P 500 equity index in five themes: The success and failure of macro narratives," The Journal of Economic Asymmetries, Elsevier, vol. 31(C).
    • Handle: RePEc:eee:joecas:v:31:y:2025:i:c:s1703494925000155
    DOI: 10.1016/j.jeca.2025.e00415
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1703494925000155
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.jeca.2025.e00415?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Asymmetry of stock market returns; Business cycles; Monetary policy; Real economy; Fundamentals; Neural networks;
    All these keywords.

    JEL classification:

    • E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:joecas:v:31:y:2025:i:c:s1703494925000155. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: https://www.journals.elsevier.com/the-journal-of-economic-asymmetries/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.