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Stock returns and real activity: the dynamic conditional lagged correlation approach

Author

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  • Lyócsa, Štefan
  • Baumöhl, Eduard
  • Výrost, Tomáš

Abstract

Using 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.

Suggested Citation

  • Lyócsa, Štefan & Baumöhl, Eduard & Výrost, Tomáš, 2012. "Stock returns and real activity: the dynamic conditional lagged correlation approach," MPRA Paper 43307, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:43307
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    stock market returns; real activity; dynamic conditional lagged correlations; recessions;
    All these keywords.

    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

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