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Do stock prices and interest rates possess a common trend?

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  • Amaresh Das
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    Abstract

    This paper empirically captures the interrelationships between the stock markets and interest rates for a set of Asian markets by means of a new technique called co-dependence. It uses a set of data for three countries in Asia ? India, Pakistan and Bangladesh, over a time period spanning from 1985 to 2003.

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    Bibliographic Info

    Article provided by De Boeck Université in its journal Recherches économiques de Louvain.

    Volume (Year): 71 (2005)
    Issue (Month): 4 ()
    Pages: 383-390

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    Handle: RePEc:cai:reldbu:rel_714_0383

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    Web page: http://www.cairn.info/revue-recherches-economiques-de-louvain.htm

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    1. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    2. Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing specification errors in stochastic discount factor models," Staff Report 167, Federal Reserve Bank of Minneapolis.
    3. Robert F. Engle & Sharon Kozicki, 1990. "Testing For Common Features," NBER Technical Working Papers 0091, National Bureau of Economic Research, Inc.
    4. Blanchard, Olivier J, 1981. "Output, the Stock Market, and Interest Rates," American Economic Review, American Economic Association, vol. 71(1), pages 132-43, March.
    5. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
    6. 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.
    7. 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.
    8. Lars Peter Hansen & John Heaton & Erzo Luttmer, 1993. "Econometric Evaluation of Asset Pricing Models," NBER Technical Working Papers 0145, National Bureau of Economic Research, Inc.
    9. Engle, Robert F. & Issler, Joao Victor, 1995. "Estimating common sectoral cycles," Journal of Monetary Economics, Elsevier, vol. 35(1), pages 83-113, February.
    10. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 393-95, October.
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