Long-run and short-run linkages between stock prices and interest rates in the G-7
AbstractThe 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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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 7 (2000)
Issue (Month): 5 ()
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Web page: http://www.tandfonline.com/RAEL20
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- 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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