Date of Award
Dr. Angeline Lavin
Dr. Michael Allgrunn
Dr. David Carr
sector ETF, consumer staples, consumer discretionary, macroeconomic variables, regression
This study seeks to identify effective models for explaining past price volatility of a consumer staples sector ETF and a consumer discretionary sector ETF. The econometric models are constructed using Ordinary Least Squares with the sector ETF price as the dependent variable and the macroeconomic variables as the independent variables. The variables that were gathered are monthly and from the time period of January 1999 to December 2012. Several macroeconomic variables are considered, including the quarter, unemployment rate, interest rate, trade balance, oil prices, money supply, inflation, and real disposable income. A linear, quadratic, and lagged model are constructed and tested for each of the sectors. A standard deviation analysis and ratio analysis are conducted in order to test the effectiveness of the models in addition to consideration of the R2 values and RESET test results. These two analyses allow for the examination of the model results in a business cycle context. In conclusion, the linear model was identified as the most effective model for the consumer staples sector ETF while there was no clear result for the most effective model for the consumer discretionary ETF.
Guericke, Jill, "EFFECTS OF MACROECONOMIC VARIABLES ON CONSUMER STAPLES AND CONSUMER DISCRETIONARY SECTORS" (2014). Honors Thesis. 175.