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US share prices and real supply and demand shocks

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  • Fraser, Patricia
  • Groenewold, Nicolaas
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    Bibliographic Info

    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 46 (2006)
    Issue (Month): 1 (February)
    Pages: 149-167

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    Handle: RePEc:eee:quaeco:v:46:y:2006:i:1:p:149-167

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    Web page: http://www.elsevier.com/locate/inca/620167

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    References

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    1. Blanchard, Olivier Jean, 1989. "A Traditional Interpretation of Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 79(5), pages 1146-64, December.
    2. Jonathan A. Parker, 1999. "Spendthrift in America? On Two Decades of Decline in the U.S. Saving Rate," NBER Working Papers 7238, National Bureau of Economic Research, Inc.
    3. Lee, Bong-Soo, 1992. " Causal Relations among Stock Returns, Interest Rates, Real Activity, and Inflation," Journal of Finance, American Finance Association, vol. 47(4), pages 1591-603, September.
    4. Olivier Blanchard & Changyong Rhee & Lawrence Summers, 1990. "The Stock Market, Profit and Investment," NBER Working Papers 3370, National Bureau of Economic Research, Inc.
    5. Liam A. Gallagher & Mark P. Taylor, 2002. "Permanent and Temporary Components of Stock Prices: Evidence from Assessing Macroeconomic Shocks," Southern Economic Journal, Southern Economic Association, vol. 69(2), pages 345-362, October.
    6. Rapach, David E., 2001. "Macro shocks and real stock prices," Journal of Economics and Business, Elsevier, vol. 53(1), pages 5-26.
    7. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-73, September.
    8. Mullins, M. & Wadhwani, S., 1988. "The Effect Of The Stock Market On Investment: A Comparative Study," Papers 329, London School of Economics - Centre for Labour Economics.
    9. Robert J. Barro, 1989. "The Stock Market and Investment," NBER Working Papers 2925, National Bureau of Economic Research, Inc.
    10. Huntley Schaller & Robert Chirinko, 1993. "Bubbles, Fundamentals, and Investment: A Multiple Equation Testing Strategy," Carleton Economic Papers 93-08, Carleton University, Department of Economics, revised Aug 1996.
    11. Helmut Lütkepohl & Pentti Saikkonen & Carsten Trenkler, 2001. "Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 8.
    12. Bernanke, Ben S., 1986. "Alternative explanations of the money-income correlation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 49-99, January.
    13. Gallagher, Liam A. & Taylor, Mark P., 2002. "The stock return-inflation puzzle revisited," Economics Letters, Elsevier, vol. 75(2), pages 147-156, April.
    14. James M. Poterba & Andrew A. Samwick, 1995. "Stock Ownership Patterns, Stock Market Fluctuations, and Consumption," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 26(2), pages 295-372.
    15. Cheung, Yin-Wong & Ng, Lilian K., 1998. "International evidence on the stock market and aggregate economic activity," Journal of Empirical Finance, Elsevier, vol. 5(3), pages 281-296, September.
    16. James M. Poterba, 2000. "Stock Market Wealth and Consumption," Journal of Economic Perspectives, American Economic Association, vol. 14(2), pages 99-118, Spring.
    17. Gali, Jordi, 1992. "How Well Does the IS-LM Model Fit Postwar U.S. Data," The Quarterly Journal of Economics, MIT Press, vol. 107(2), pages 709-38, May.
    18. Martha Starr-McCluer, 1998. "Stock market wealth and consumer spending," Finance and Economics Discussion Series 1998-20, Board of Governors of the Federal Reserve System (U.S.).
    19. Hess, Patrick J & Lee, Bong-Soo, 1999. "Stock Returns and Inflation with Supply and Demand Disturbances," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1203-18.
    20. Christopher A. Sims, 1986. "Are forecasting models usable for policy analysis?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 2-16.
    21. Romer, Christina D, 1990. "The Great Crash and the Onset of the Great Depression," The Quarterly Journal of Economics, MIT Press, vol. 105(3), pages 597-624, August.
    22. Chung, Heetaik & Lee, Bong-Soo, 1998. "Fundamental and nonfundamental components in stock prices of Pacific-Rim countries," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 321-346, August.
    23. Gjerde, Oystein & Saettem, Frode, 1999. "Causal relations among stock returns and macroeconomic variables in a small, open economy," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(1), pages 61-74, January.
    24. repec:nbr:nberre:0126 is not listed on IDEAS
    25. Lee, Bong-Soo, 1998. "Permanent, Temporary, and Non-Fundamental Components of Stock Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(01), pages 1-32, March.
    26. Rapach, David E., 1998. "Macro Shocks and Fluctuations," Journal of Economics and Business, Elsevier, vol. 50(1), pages 23-38, January.
    27. Randall Morck & Andrei Shleifer & Robert W. Vishny, 1990. "The Stock Market and Investment: Is the Market a Sideshow?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 21(2), pages 157-216.
    28. Gallagher, Liam A. & Taylor, Mark P., 2000. "Measuring the temporary component of stock prices: robust multivariate analysis," Economics Letters, Elsevier, vol. 67(2), pages 193-200, May.
    29. Taylor, John B, 1980. "Aggregate Dynamics and Staggered Contracts," Journal of Political Economy, University of Chicago Press, vol. 88(1), pages 1-23, February.
    30. Liam Gallagher, 1999. "A multi-country analysis of the temporary and permanent components of stock prices," Applied Financial Economics, Taylor & Francis Journals, vol. 9(2), pages 129-142.
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    Cited by:
    1. Mohammad Joarder & Monir Ahmed & Tahsina Haque & Syed Hasanuzzaman, 2014. "An empirical testing of informational efficiency in Bangladesh capital market," Economic Change and Restructuring, Springer, vol. 47(1), pages 63-87, February.
    2. Araújo, Eurilton, 2008. "Macroeconomic Shocks and the Co-movement of Stock Returns in Latin America," Insper Working Papers wpe_113, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    3. Luo, Robin & Visaltanachoti, Nuttawat, 2010. "Real exchange rates, asset prices and terms of trade: A theoretical analysis," Economic Modelling, Elsevier, vol. 27(1), pages 143-151, January.
    4. Huang, Ying Sophie & Wang, Yizhong, 2013. "Asset price, risk transfer and economic activities: Firm-level evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 663-676.

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