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Title: An empirical investigation of the relationship between the real economy and stock returns for the United States
Authors: Gregoriou, A
Hunter, J
Wu, F
Keywords: ARCH;Excess returns;Exogeneity;Long-run returns;SURE
Issue Date: 2009
Publisher: Elsevier
Citation: Journal of Policy Modeling, 31(1), 133 - 143, 2009
Abstract: US asset prices are modelled in the short- and long-run with the use of a seemingly unrelated system using monthly data over the time period, 1983–2004. Once the shocks of 1987, 1997 and post-“9·11” have been accounted for, then volatility only affects the consumption and inflation equations. In the long run excess returns and inflation are driven by consumption growth. Money growth impacts excess returns and inflation via consumption. Income is super exogenous implying that policy can be made conditional on this variable and that in the long run investors are primarily concerned with income growth.
Description: This is the post-print version of the final paper published in the Journal of Policy Modeling. The published article is available from the link below. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. Copyright @ 2009 Elsevier B.V.
ISSN: 0161-8938
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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