Breakdowns and revivals: the long-run relationship between the stock market and real economic activity in the G-7 countries
AbstractUsing monthly observations of industrial production and stock market indices from January 1961 to May 2012, we analyse the long-run relationship between the stock markets and real economic activity in the G-7 countries. In particular, this analysis uses the Toda and Yamamoto (1995) approach with the leveraged bootstrap methodology that was proposed by Hacker and Hatemi-J (2006). Our results indicate that although the expected long-run relationship holds for most of the G-7 countries, a break in this relationship occurred in the 1980s, followed by a subsequent revival after 2001.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 43306.
Date of creation: 17 Dec 2012
Date of revision:
real economic activity; stock markets; G-7; long-run relationship;
Find related papers by JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- O50 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-01-07 (All new papers)
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