Do stock prices and interest rates possess a common trend?
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Hansen, Lars Peter & Jagannathan, Ravi, 1997.
"Assessing Specification Errors in Stochastic Discount Factor Models,"
Journal of Finance, American Finance Association, vol. 52(2), pages 557-590, June.
- Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing specification errors in stochastic discount factor models," Staff Report 167, Federal Reserve Bank of Minneapolis.
- Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing Specification Errors in Stochastic Discount Factor Models," NBER Technical Working Papers 0153, National Bureau of Economic Research, Inc.
- Blanchard, Olivier J, 1981. "Output, the Stock Market, and Interest Rates," American Economic Review, American Economic Association, vol. 71(1), pages 132-143, March.
- Engle, Robert F & Kozicki, Sharon, 1993.
"Testing for Common Features,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 369-380, October.
- Robert F. Engle & Sharon Kozicki, 1990. "Testing For Common Features," NBER Technical Working Papers 0091, National Bureau of Economic Research, Inc.
- Hansen, Lars Peter & Heaton, John & Luttmer, Erzo G J, 1995.
"Econometric Evaluation of Asset Pricing Models,"
The Review of Financial Studies, Society for Financial Studies, vol. 8(2), pages 237-274.
- Lars Peter Hansen & John Heaton & Erzo G.J. Luttmer, 1993. "Econometric Evaluation of Asset Pricing Models," NBER Technical Working Papers 0145, National Bureau of Economic Research, Inc.
- Matiur Rahman & Muhammad Mustafa, 1997. "Dynamic linkages and Granger causality between short-term US corporate bond and stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 4(2), pages 89-91.
- Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
- Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Engle, Robert F. & Issler, Joao Victor, 1995. "Estimating common sectoral cycles," Journal of Monetary Economics, Elsevier, vol. 35(1), pages 83-113, February.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Andrew Phiri, 2018.
"Has the South African Reserve Bank responded to equity returns since the sub-prime crisis? An asymmetric convergence approach,"
International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 10(3), pages 205-225.
- Andrew Phiri, 2017. "Has the South African Reserve Bank responded to equity returns since the sub-prime crisis? An asymmetric convergence appraoch," Working Papers 1709, Department of Economics, Nelson Mandela University, revised Aug 2017.
- Phiri, Andrew, 2017. "Has the South African Reserve Bank responded to equity prices since the sub-prime crisis? An asymmetric convergence approach," MPRA Paper 76542, University Library of Munich, Germany.
- Ferrer, Román & Bolós, Vicente J. & Benítez, Rafael, 2016. "Interest rate changes and stock returns: A European multi-country study with wavelets," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 1-12.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Amaresh Das, 2005. "Do stock prices and interest rates possess a common trend?," Recherches économiques de Louvain, De Boeck Université, vol. 71(4), pages 383-390.
- Issler, Joao Victor & Vahid, Farshid, 2001. "Common cycles and the importance of transitory shocks to macroeconomic aggregates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 449-475, June.
- Norman J. Morin, 2006. "Likelihood ratio tests on cointegrating vectors, disequilibrium adjustment vectors, and their orthogonal complements," Finance and Economics Discussion Series 2006-21, Board of Governors of the Federal Reserve System (U.S.).
- Guillén, Osmani Teixeira & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2015.
"Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 862-875.
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2013. "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 742, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2015. "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 763, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2014. "Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 753, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Athanasopoulos, George & Issler, João Victor & Guillen, Osmani Teixeira Carvalho, 2005.
"Forecasting accuracy and estimation uncertainty using VAR models with short- and long-term economic restrictions: a Monte-Carlo study,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
589, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2006. "Forecasting Accuracy and Estimation Uncertainty using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," IBMEC RJ Economics Discussion Papers 2006-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
- Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2005. "Forecasting Accuracy and Estimation Uncertainty Using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," Monash Econometrics and Business Statistics Working Papers 15/05, Monash University, Department of Econometrics and Business Statistics.
- Claire G.Gilmore & Brian Lucey & Ginette M.McManus, 2005. "The Dynamics of Central European Equity Market Integration," The Institute for International Integration Studies Discussion Paper Series iiisdp069, IIIS.
- Osmani Teixeira de Carvalho de Guillén & Carlos Hamilton Vasconcelos Araújo, 2005. "O Mecanismo De Transmissão Da Taxa De Câmbio Para Índices De Preços: Uma Análise Vecm Para O Brasil," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting] 034, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Malkamäki, Markku, 1992. "Cointegration and causality of stock markets in two small open economies and their major trading partner nations," Bank of Finland Research Discussion Papers 16/1992, Bank of Finland.
- Elizabeth Wakerly & Byron Scott & James Nason, 2006.
"Common trends and common cycles in Canada: who knew so much has been going on?,"
Canadian Journal of Economics, Canadian Economics Association, vol. 39(1), pages 320-347, February.
- Elizabeth C. Wakerly & Byron G. Scott & James M. Nason, 2006. "Common trends and common cycles in Canada: who knew so much has been going on?," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 39(1), pages 320-347, February.
- James M. Nason & Byron G. Scott & Elizabeth C. Wakerly, 2004. "Common trends and common cycles in Canada: who knew so much has been going on?," FRB Atlanta Working Paper 2004-5, Federal Reserve Bank of Atlanta.
- Kim Liow & Wei Chen, 2013. "Is There Volatility Convergence in Asia-Pacific Securitized Real Estate Markets?," The Journal of Real Estate Finance and Economics, Springer, vol. 47(2), pages 370-390, August.
- Carlos Enrique Carrasco Gutiérrez & Reinaldo Castro Souza & Osmani Teixeira de Carvalho Guillén, 2007.
"Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features,"
Working Papers Series
139, Central Bank of Brazil, Research Department.
- Carrasco Gutierrez, Carlos Enrique & Castro Souza, Reinaldo & Teixeira de Carvalho Guillén, Osmani, 2009. "Selection of optimal lag length in cointegrated VAR models with weak form of common cyclical features," MPRA Paper 22550, University Library of Munich, Germany.
- Carrasco Gutierrez, Carlos Enrique & Castro Souza, Reinaldo & Teixeira de Carvalho Guillén, Osmani, 2009. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," MPRA Paper 66065, University Library of Munich, Germany, revised 2009.
- Carlos Enrique Carrasco Gutierrez & Reinaldo Castro Souza & Osmani Teixeira de Carvalho Guillén, 2009. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," Fucape Working Papers 16, Fucape Business School.
- Chun, Rodney M., 2000. "Compensation vouchers and equity markets: Evidence from Hungary," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1155-1178, July.
- Jim Lee, 1999. "Inflation Targeting In Practice: Further Evidence," Contemporary Economic Policy, Western Economic Association International, vol. 17(3), pages 332-347, July.
- Carlos Enrique Carrasco Gutierrez & Fábio Augusto Reis Gomes, 2006. "Evidence About Mercosur’S Business Cycle," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 179, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Neri, Marcelo Côrtes, 2014. "Brazil's middle classes," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 759, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Sharma, Subhash C. & Wongbangpo, Praphan, 2002. "Long-term trends and cycles in ASEAN stock markets," Review of Financial Economics, Elsevier, vol. 11(4), pages 299-315.
- Corradi, Valentina & Swanson, Norman R., 2006.
"The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test,"
Journal of Econometrics, Elsevier, vol. 132(1), pages 195-229, May.
- Valentina Corradi & Norman R. Swanson, 2003. "The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test," Departmental Working Papers 200322, Rutgers University, Department of Economics.
- Robert Dixon & David Shepherd, 2001.
"Trends and Cycles in Australian State and Territory Unemployment Rates,"
The Economic Record, The Economic Society of Australia, vol. 77(238), pages 252-269, September.
- Dixon, R. & Shepherd, D., 2000. "Trends and Cycles in Australian State and Territory Unemployment Rates," Department of Economics - Working Papers Series 730, The University of Melbourne.
- Lindenberg, Nannette & Westermann, Frank, 2012.
"Common trends and common cycles among interest rates of the G7-countries,"
Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1125-1140.
- Nannette Lindenberg & Frank Westermann, 2009. "Common Trends and Common Cycles among Interest Rates of the G7-Countries," IEER Working Papers 77, Institute of Empirical Economic Research, Osnabrueck University.
- Nannette Lindenberg & Frank Westermann, 2009. "Common Trends and Common Cycles among Interest Rates of the G7-Countries," CESifo Working Paper Series 2532, CESifo.
- Francisco Barillas & Christoph Schleicher, 2003.
"Common Trends and Common Cycles in Canadian Sectoral Output,"
Staff Working Papers
03-44, Bank of Canada.
- Christoph Schleicher & Francisco Barillas, 2005. "Common Trends and Common Cycles in Canadian Sectoral Output," Computing in Economics and Finance 2005 214, Society for Computational Economics.
More about this item
Keywords
Cointegration; co-movement; co-dependence; serial correlation common feature;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
Statistics
Access and download statisticsCorrections
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:ctl:louvre:2005042. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Sebastien SCHILLINGS (email available below). General contact details of provider: https://edirc.repec.org/data/iruclbe.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.