This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

SWITCHING EQUILIBRIA. The Present Value Model for Stock Prices Revisited

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Maria Jose Gutierrez () (Departamento de Fundamentos del Analisis Economico, Universidad del Pais Vasco, Spain)
Jesus Vazquez () (Departamento de Fundamentos del Analisis Economico, Universidad del Pais Vasco, Spain)

Additional information is available for the following registered author(s):

Abstract

This paper analyzes the different dynamic features displayed by alternative RE equilibria and how these features change for small perturbations of the dividend process parameters. Using historical US data and structural estimation we test for the presence of feedback from stock prices to dividends. In addition, we empirically study whether the excess of volatility in stock prices is due to (i) regime-switching in the dividend process studied by Driffill and Sola (1998), (ii) switching equilibria suggested by Timmermann (1994) or (iii) a combination of these two possibilities. The empirical results provide evidence of a small but very significant presence of feedback from stock prices to dividends. Moreover, when analyzing different subsamples we find evidence of both regime-switching in the dividend process and switching equilibria.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.ea3.ehu.es/s0038-con/es/contenidos/informacion/00038_biltoki/es_00038_bi/adjuntos/dt200006.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística) in its series BILTOKI with number 200006.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 19 Apr 2000
Date of revision:
Handle: RePEc:ehu:biltok:200006

Contact details of provider:
Postal: Avda. Lehendakari, Aguirre, 83, 48015 Bilbao
Phone: + 34 94 601 3740
Fax: + 34 94 601 3754
Email:
Web page: http://www.ea3.ehu.es
More information through EDIRC

Order Information:
Postal: Dpto. de Econometría y Estadística, Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain
Email:

For technical questions regarding this item, or to correct its listing, contact: (Ainhoa Zarraga).

Related research
Keywords: Multiple RE Equilibria; Feedback and Stock Price Volatility.;

Other versions of this item:

Find related papers by JEL classification:
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
C62 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Existence and Stability Conditions of Equilibrium

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
    Other versions:
  2. Fama, Eugene F. & French, Kenneth R., 2001. "Disappearing dividends: changing firm characteristics or lower propensity to pay?," Journal of Financial Economics, Elsevier, vol. 60(1), pages 3-43, April. [Downloadable!] (restricted)
    Other versions:
  3. Smith, A A, Jr, 1993. "Estimating Nonlinear Time-Series Models Using Simulated Vector Autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S63-84, Suppl. De. [Downloadable!] (restricted)
  4. Lucas, Robert E, Jr, 1973. "Some International Evidence on Output-Inflation Tradeoffs," American Economic Review, American Economic Association, vol. 63(3), pages 326-34, June.
  5. Broze, Laurence & SZAFARZ, Ariane, . "The econometric analysis of non-uniqueness in rational expectations models," ULB Institutional Repository info:hdl:2013/649, ULB -- Universite Libre de Bruxelles.
  6. Lee, Bong-Soo & Ingram, Beth Fisher, 1991. "Simulation estimation of time-series models," Journal of Econometrics, Elsevier, vol. 47(2-3), pages 197-205, February. [Downloadable!] (restricted)
  7. Kenneth D. West, 1988. "Dividend Innovations and Stock Price Volatility," NBER Working Papers 1833, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  8. Bennett T. McCallum, 1983. "On Non-Uniqueness in Rational Expectations Models: An Attempt at Perspective," NBER Working Papers 0684, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  9. Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S85-118, Suppl. De. [Downloadable!] (restricted)
    Other versions:
  10. Froot, Kenneth A & Obstfeld, Maurice, 1991. "Intrinsic Bubbles: The Case of Stock Prices," American Economic Review, American Economic Association, vol. 81(5), pages 1189-214, December. [Downloadable!] (restricted)
    Other versions:
  11. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-88, October. [Downloadable!] (restricted)
    Other versions:
  12. Evans, Martin D D, 1998. "Dividend Variability and Stock Market Swings," Review of Economic Studies, Blackwell Publishing, vol. 65(4), pages 711-40, October. [Downloadable!] (restricted)
    Other versions:
  13. Driffill, John & Sola, Martin, 1998. "Intrinsic bubbles and regime-switching," Journal of Monetary Economics, Elsevier, vol. 42(2), pages 357-373, July. [Downloadable!] (restricted)
  14. Lucy F. Ackert & William C. Hunter, 1999. "Intrinsic Bubbles: The Case of Stock Prices: Comment," American Economic Review, American Economic Association, vol. 89(5), pages 1372-1376, December. [Downloadable!] (restricted)
    Other versions:
  15. Chow, Gregory C, 1989. "Rational versus Adaptive Expectations in Present Value Models," The Review of Economics and Statistics, MIT Press, vol. 71(3), pages 376-84, August. [Downloadable!] (restricted)
    Other versions:
  16. John H. Cochrane, 1992. "Volatility Tests and Efficient Markets: A Review Essay," NBER Working Papers 3591, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Ramón Maria-Dolores & Jesus Vazquez, 2006. "The relative importance of Term Spread, Policy Inertia and Persistent Monetary Policy Shocks in Monetary Policy Rules," Computing in Economics and Finance 2006 6, Society for Computational Economics. [Downloadable!]
  2. Maria-Josée Gutierrez & Jésus Vasquez, 2002. "Present Value Models with Feedback: Dynamic Properties of Alternative RE Equilibria," Annales d'Economie et de Statistique, ADRES, issue 67-68, pages 06, Juillet-D. [Downloadable!]
  3. Jesús Vázquez, 2006. "The Importance of Stock Market Returns in Estimated Monetary Policy Rules," DFAEII Working Papers 200606, University of the Basque Country - Department of Foundations of Economic Analysis II, revised 08 Apr 2008. [Downloadable!]
  4. Ramón María-Dolores & Jesús Vázquez, 2005. "How Does the New Keynesian Monetary Model Fit in the U.S. and the Eurozone?," DFAEII Working Papers 200513, University of the Basque Country - Department of Foundations of Economic Analysis II, revised 08 Apr 2008. [Downloadable!]
  5. Juan M. Londoño & Marta Regulez & Jesús Vázquez, 2008. "Another Look to the Price-Dividend Ratio: A Markov-Switching Approach," DFAEII Working Papers 200809, University of the Basque Country - Department of Foundations of Economic Analysis II. [Downloadable!]
Statistics
Access and download statistics

Did you know? Springer Verlag was the first commercial publisher to be listed on RePEc.

This page was last updated on 2009-11-20.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.