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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. |
URI: | http://www.sciencedirect.com/science/article/pii/S0161893808000483 http://bura.brunel.ac.uk/handle/2438/8431 |
DOI: | http://dx.doi.org/10.1016/j.jpolmod.2008.04.010 |
ISSN: | 0161-8938 |
Appears in Collections: | Economics and Finance Publications Dept of Economics and Finance Research Papers |
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