Roza A. Arshakyan Transmission of Macroeconomic Shocks into the Structure of Investment Behavior

DOI: 10.38050/2078-3809-2026-18-3-137-156

Abstract

This article aims to identify indicators that make it possible to forecast the direction of changes in the yield curve and market interest rates, thereby assessing potential investment decisions. The study is based on an event-identification framework that captures financial market reactions to updates in macroeconomic conditions and isolates the surprise component as a behavioral signal. The transformation of the investment structure in financial assets is interpreted through the dynamics and volatility of key market segments: stock indices (as a proxy for risk appetite), government bond yields (as an indicator of risk-free rates), gold futures (as a safe haven asset), and USD/RUB currency futures (as a measure of demand for currency protection).

The results shown that changes in the returns of these assets simultaneously reflect a redistribution of capital between risky and risk-free instruments and signal shifts in behavioral attitudes regarding investment risk acceptance. The empirical part is implemented in an event-driven analysis format, where events are determined by extreme changes in commodity markets, and the robustness of the findings is confirmed by statistical significance tests. The obtained results support the hypothesis of behavioral transmission of macroeconomic signals and allow the use of the identified indicators in short-term forecasting of financial market reactions and investment behavior.

Keywords: behavioral transmission, macroeconomic shocks, investment behavior, yield curve, interest rates, event study, financial markets.

JEL: C100, G110.

For citation: Arshakyan, R.A. (2026) Transmission of Macroeconomic Shocks into the Structure of Investment Behavior. Scientific Research of Faculty of Economics. Electronic Journal, vol. 18, no. 3, pp. 137-156. DOI: 10.38050/2078-3809-2026-18-3-137-156.

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