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The impact of three-month libor rate changes on gold and S&P 500 returns: a machine learning forecasting approach
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Resumo(s)
This study examines the dynamics of the U.S. three-month LIBOR rate and its influence on
financial markets, specifically focusing on its impact on the returns of financial assets such as the
S&P 500 and gold, from 1990 to 2024. Employing machine learning models, regression and
LSTM, the research aims to predict future asset returns under different economic conditions. The
research focuses on two different scenarios: falling rates from October 2008 to October 2009, and
rising rates from January 2023 to March 2024, comparing the predictive capabilities and
constraints of both models in these contexts.
Descrição
Palavras-chave
Financial markets Asset pricing Three-Month U.S. libor rate S&P 500 returns Gold returns Machine learning Regression analysis Long short-term memory model