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Long-run and short-run linkages between stock prices and interest rates in the G-7

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  • Simon Broome
  • Bruce Morley

Abstract

The paper investigates the nature of the relationship between stock prices and interest rates, using the cointegration and co-dependence techniques. Using data for the G-7 economies, the evidence suggests that in general stock prices and interest rates do not exhibit a long-run common trend, but rather follow a short-run cyclical pattern.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/135048500351474&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 7 (2000)
Issue (Month): 5 ()
Pages: 321-323

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Handle: RePEc:taf:apeclt:v:7:y:2000:i:5:p:321-323

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Cited by:
  1. Marco Corazza & A. Malliaris & Elisa Scalco, 2010. "Nonlinear Bivariate Comovements of Asset Prices: Methodology, Tests and Applications," Computational Economics, Society for Computational Economics, vol. 35(1), pages 1-23, January.

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