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Existence d’une relation d’équilibre entre variables économiques et variables financières sur le marché français

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  • Pras, Isabelle
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    Abstract

    Assets managers use financial institutions market studies to allocate assets. These studies show the evolution of financial and economic variables. These variables contribute to the determination of assets price. The purpose of this paper is to test the existence and the form of a relation on the French financial market between the equity or interest rates prices and the economic variables variations. Three long term equilibrium relations are enlighted. The French short term interest rates are linked to the French long term interest rates and the American short term interest rates. The French long term interest rates are linked to the domestic debt, the consumption prices, the industrial production and the American long term interest rates. Then the SBF 250 index with dividends is linked to the industrial production, the short and long term interest rates and the S&P 500 with dividends.

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    File URL: http://basepub.dauphine.fr/xmlui/bitstream/123456789/9843/1/cereg9905_PRAS-isabelle_Existence%20une%20relation%20equilibre%20entre%20variables.pdf
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    Bibliographic Info

    Paper provided by Paris Dauphine University in its series Economics Papers from University Paris Dauphine with number 123456789/9843.

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    Date of creation: 1999
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    Publication status: Published in Cahier de recherche du CEREG, 1999
    Handle: RePEc:dau:papers:123456789/9843

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    Keywords: variables économiques; prix des actifs financiers;

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    1. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    2. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
    3. 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.
    4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    5. Connor, Gregory & Korajczyk, Robert A, 1993. " A Test for the Number of Factors in an Approximate Factor Model," Journal of Finance, American Finance Association, vol. 48(4), pages 1263-91, September.
    6. Harvey, Campbell R, 1991. " The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-57, March.
    7. Louis K. C. Chan & Jason Karceski & Josef Lakonishok, 1997. "The Risk and Return from Factors," NBER Working Papers 6098, National Bureau of Economic Research, Inc.
    8. Harvey, Campbell R., 1988. "The real term structure and consumption growth," Journal of Financial Economics, Elsevier, vol. 22(2), pages 305-333, December.
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