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La grande modération et la valorisation des actions

Author

Listed:
  • Christophe Boucher

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, A.A.Advisors-QCG - ABN AMRO)

  • Armand Derhy

Abstract

The Great Moderation and Stock Valuation Using quarterly data since 1953, we estimate a fundamental-based empirical model for the US real stock prices and earning-price ratio. Applying the VECM methodology instead of traditional VAR to explain low frequency movements of stock valuation, we identify the determinants of the long run equity risk premium based on multivariate cointegration tests. Several determinants of the equity premium are tested in the longterm specification. Our results suggest that the "great moderation" of the GDP volatility and the level price inflation has driven much of the recent run-up in the US stock prices.

Suggested Citation

  • Christophe Boucher & Armand Derhy, 2008. "La grande modération et la valorisation des actions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00649156, HAL.
    • Handle: RePEc:hal:cesptp:hal-00649156
    as

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