Stock returns and real activity: the dynamic conditional lagged correlation approach
AbstractUsing dynamic conditional correlations (DCCs), we estimate the time-varying relationship between stock market returns and output growth based on monthly data for the US over the 1964:01 to 2012:07 time period. We demonstrate that in general, this relationship is positive and present during the entire study period. Furthermore, our findings suggest that this relationship is strengthened during recessions.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 43307.
Date of creation: 17 Dec 2012
Date of revision:
stock market returns; real activity; dynamic conditional lagged correlations; recessions;
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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-01-07 (All new papers)
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