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Citations for " Causal Relations among Stock Returns, Interest Rates, Real Activity, and Inflation"

by Lee, Bong-Soo

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  1. Dungey, Mardi & Fry, Renee & Martin, Vance L., 2004. "Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002," Global Finance Journal, Elsevier, vol. 15(1), pages 81-102.
  2. Michael Funke & Michael Paetz & Ernest Pytlarczyk, 2010. "Stock market wealth effects in an estimated DSGE model for Hong Kong," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics 21009, Hamburg University, Department of Economics.
  3. Rangan GUPTA & Roula INGLESI-LOTZ, 2012. "Macro Shocks and Real US Stock Prices with Special Focus on the “Great Recession”," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 12(2).
  4. repec:usm:journl:aamjaf00811__93-113 is not listed on IDEAS
  5. Antonio Díaz & Francisco Jareño, 2013. "Inflation news and stock returns: market direction and flow-through ability," Empirical Economics, Springer, vol. 44(2), pages 775-798, April.
  6. Al-Sharkas, A.A., 2004. "Output Responses to Shocks to Interest Rates, Inflation, and Stock Returns: Evidence from Jordan," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 4(3).
  7. Tiong, Serena, 2013. "Pricing inflation-linked variable annuities under stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 77-86.
  8. Choudhry, Taufiq, 2001. "Inflation and rates of return on stocks: evidence from high inflation countries," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 11(1), pages 75-96, March.
  9. Jay Choi, Jongmoo & Hauser, Shmuel & Kopecky, Kenneth J., 1999. "Does the stock market predict real activity? Time series evidence from the G-7 countries," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1771-1792, December.
  10. Sadorsky, Perry, 2003. "The macroeconomic determinants of technology stock price volatility," Review of Financial Economics, Elsevier, Elsevier, vol. 12(2), pages 191-205.
  11. Mohamed Arouri & Aviral Kumar Tiwari & Arif Billah Dar & Niyati Bhanja & FrédéricTeulon, 2014. "Stock returns and Inflation in Pakistan," Working Papers 2014-108, Department of Research, Ipag Business School.
  12. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2009. "Inflation, monetary policy and stock market conditions: quantitative evidence from a hybrid latent-variable VAR," Working Papers 2008-012, Federal Reserve Bank of St. Louis.
  13. Alaganar, V. T. & Bhar, Ramaprasad, 2001. "Diversification gains from American depositary receipts and foreign equities: evidence from Australian stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 11(1), pages 97-113, March.
  14. Narayan, Paresh Kumar & Thuraisamy, Kannan S., 2013. "Common trends and common cycles in stock markets," Economic Modelling, Elsevier, vol. 35(C), pages 472-476.
  15. Saiti, Buerhan & Bacha, Obiyathulla & Masih, Mansur, 2014. "Is the global leadership of the US financial market over other financial markets shaken by 2007-2009 financial crisis? Evidence from Wavelet Analysis," MPRA Paper 57064, University Library of Munich, Germany.
  16. Martin Hoesli & Colin Lizieri & Bryan MacGregor, 2006. "The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach," Real Estate & Planning Working Papers rep-wp2006-01, Henley Business School, Reading University.
  17. Bjørnland, Hilde C. & Leitemo, Kai, 2009. "Identifying the interdependence between US monetary policy and the stock market," Journal of Monetary Economics, Elsevier, Elsevier, vol. 56(2), pages 275-282, March.
  18. Sadorsky, Perry, 1999. "Oil price shocks and stock market activity," Energy Economics, Elsevier, vol. 21(5), pages 449-469, October.
  19. Jean-Marie Dufour & David Tessier, 2006. "Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices," Working Papers 06-39, Bank of Canada.
  20. Zakamulin, Valeriy, 2013. "Forecasting the size premium over different time horizons," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1061-1072.
  21. Fung, Hung-Gay & Patterson, Gary A., 1999. "The dynamic relationship of volatility, volume, and market depth in currency futures markets," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 9(1), pages 33-59, January.
  22. Abdelaziz Rouabah, 2006. "L'identité de Fisher et l'interaction entre l'inflation et la rentabilité des actions: l'importance des régimes sous-jacents aux marchés boursiers," BCL working papers 18, Central Bank of Luxembourg.
  23. Sellin, Peter, 2001. " Monetary Policy and the Stock Market: Theory and Empirical Evidence," Journal of Economic Surveys, Wiley Blackwell, vol. 15(4), pages 491-541, September.
  24. Fung, Hung-Gay & Patterson, Gary A., 1999. "Volatility linkage among currency futures markets during US trading and non-trading periods," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 9(2), pages 129-153, March.
  25. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2008. "Inflation, Monetary Policy and Stock Market Conditions," NBER Working Papers 14019, National Bureau of Economic Research, Inc.
  26. Gjerde, Oystein & Saettem, Frode, 1999. "Causal relations among stock returns and macroeconomic variables in a small, open economy," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 9(1), pages 61-74, January.
  27. Kim, Jeong-Ryeol, 2003. "The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity," Economics Letters, Elsevier, vol. 80(2), pages 155-160, August.
  28. Díaz, Antonio & Jareño, Francisco, 2009. "Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case," Research in International Business and Finance, Elsevier, Elsevier, vol. 23(3), pages 349-368, September.
  29. Ely, David P. & Robinson, Kenneth J., 1997. "Are stocks a hedge against inflation? International evidence using a long-run approach," Journal of International Money and Finance, Elsevier, Elsevier, vol. 16(1), pages 141-167, February.
  30. Lee, Bong Soo, 2010. "Stock returns and inflation revisited: An evaluation of the inflation illusion hypothesis," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1257-1273, June.
  31. Craig Ebert, 1994. "The indicator role of asset prices," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 57, September.
  32. Khil, Jaeuk & Lee, Bong-Soo, 2000. "Are common stocks a good hedge against inflation? Evidence from the Pacific-rim countries," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 8(3-4), pages 457-482, July.
  33. Patricia Fraser & Nicolaas Groenewold, 2003. "US Share Prices and Real Supply and Demand Shocks," Economics Discussion / Working Papers 03-19, The University of Western Australia, Department of Economics.
  34. Wang, Hao, 2010. "Sparse seemingly unrelated regression modelling: Applications in finance and econometrics," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 54(11), pages 2866-2877, November.
  35. Dirk Brounen & Melissa Porras Prado & Marno Verbeek, 2010. "Real Estate in an ALM Framework: The Case of Fair Value Accounting," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(4), pages 775-804, Winter.
  36. Los, Cornelis A., 2006. "System identification in noisy data environments: An application to six Asian stock markets," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 1997-2024, July.
  37. Binswanger, Mathias, 2000. "Stock market booms and real economic activity: Is this time different?," International Review of Economics & Finance, Elsevier, vol. 9(4), pages 387-415, October.
  38. Hassapis, Christis & Kalyvitis, Sarantis, 2002. "Investigating the links between growth and real stock price changes with empirical evidence from the G-7 economies," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 42(3), pages 543-575.
  39. Ozlem Goktas & Aycan Hepsag, 2011. "Do stock returns lead real economic activity? Evidence from seasonal cointegration analysis," Economics Bulletin, AccessEcon, vol. 31(3), pages 2117-2127.
  40. Hassapis, Christis & Kalyvitis, Sarantis, 2002. "On the propagation of the fluctuations of stock returns on growth: is the global effect important?," Journal of Policy Modeling, Elsevier, Elsevier, vol. 24(5), pages 487-502, August.
  41. Massimo Guidolin & Sadayuki Ono, 2005. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Working Papers 2005-056, Federal Reserve Bank of St. Louis.
  42. Efrem Castelnuovo & Salvatore Nisticò, 2010. "Stock Market Conditions and Monetary Policy in a DSGE Model for the U.S," "Marco Fanno" Working Papers 0107, Dipartimento di Scienze Economiche "Marco Fanno".
  43. Sellin, Peter, 1998. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Working Paper Series 72, Sveriges Riksbank (Central Bank of Sweden).
  44. Siti Muliana Samsi & Zarinah Yusof & Kee-Cheok Cheong, 2012. "Linkages Between the Real Sector and the Financial Sector: The Case of Malaysia," Asian Academy of Management Journal of Accounting and Finance, Penerbit Universiti Sains Malaysia, vol. 8(Supp. 1), pages 93-113.
  45. Jiao, T. & Mertens, G.M.H. & Roosenboom, P.G.J., 2007. "Industry Valuation Driven Earnings Management," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2007-069-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  46. Tan, Pei P. & Galagedera, Don U.A. & Maharaj, Elizabeth A., 2012. "A wavelet based investigation of long memory in stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(7), pages 2330-2341.
  47. Heimonen, Kari, 2010. "Money and equity returns in the Euro area," Global Finance Journal, Elsevier, vol. 21(2), pages 152-169.
  48. Esref Savas BASCI & Süleyman Serdar KARACA, 2013. "The Determinants of Stock Market Index: VAR Approach to Turkish Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 3(1), pages 163-171.
  49. Filis, George, 2010. "Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations?," Energy Economics, Elsevier, vol. 32(4), pages 877-886, July.
  50. Angela Black & Patricia Fraser & Nicolaas Groenewold, 2001. "How Big is the Speculative Component in Australian Share Prices?," Economics Discussion / Working Papers 01-14, The University of Western Australia, Department of Economics.
  51. Gallegati, Marco, 2008. "Wavelet analysis of stock returns and aggregate economic activity," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 52(6), pages 3061-3074, February.
  52. Black, Angela & Fraser, Patricia & Groenewold, Nicolaas, 2003. "U.S. stock prices and macroeconomic fundamentals," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 345-367.
  53. Chih-Chuan Yeh & Ching-Fang Chi, 2009. "The Co-Movement and Long-Run Relationship between Inflation and Stock Returns: Evidence from 12 OECD Countries," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 5(2), pages 167-186, July.
  54. Binswanger, Mathias, 2004. "Stock returns and real activity in the G-7 countries: did the relationship change during the 1980s?," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 44(2), pages 237-252, May.
  55. Tsouma, Ekaterini, 2009. "Stock returns and economic activity in mature and emerging markets," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 49(2), pages 668-685, May.
  56. Patricia Fraser & Nicolaas Groenewold, 2004. "US share prices and real demand and supply shocks," Money Macro and Finance (MMF) Research Group Conference 2003 31, Money Macro and Finance Research Group.
  57. Lee, Bong-Soo & Rui, Oliver M., 2002. "The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 51-78, January.
  58. Hauser, Shmuel & Kraizberg, Elli & Dahan, Ruth, 2003. "Price behavior and insider trading around seasoned equity offerings: the case of majority-owned firms," Journal of Corporate Finance, Elsevier, Elsevier, vol. 9(2), pages 183-199, March.
  59. Mohammad Joarder & Monir Ahmed & Tahsina Haque & Syed Hasanuzzaman, 2014. "An empirical testing of informational efficiency in Bangladesh capital market," Economic Change and Restructuring, Springer, vol. 47(1), pages 63-87, February.
  60. L. Baele & R. Vander Vennet & A. Van Landschoot, 2004. "Bank Risk Strategies and Cyclical Variation in Bank Stock Returns," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration 04/217, Ghent University, Faculty of Economics and Business Administration.
  61. Fuerst, Michael E., 2006. "Investor risk premia and real macroeconomic fluctuations," Journal of Macroeconomics, Elsevier, Elsevier, vol. 28(3), pages 540-563, September.
  62. Schotman, Peter C. & Schweitzer, Mark, 2000. "Horizon sensitivity of the inflation hedge of stocks," Journal of Empirical Finance, Elsevier, Elsevier, vol. 7(3-4), pages 301-315, November.
  63. Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc.
  64. Lajeri, Fatma & Dermine, Jean, 1999. "Unexpected inflation and bank stock returns: The case of France 1977-1991," Journal of Banking & Finance, Elsevier, vol. 23(6), pages 939-953, June.
  65. Hess, Martin K., 2004. "Dynamic and asymmetric impacts of macroeconomic fundamentals on an integrated stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 14(5), pages 455-471, December.
  66. Ewing, Bradley T., 2001. "Cross-Effects of Fundamental State Variables," Journal of Macroeconomics, Elsevier, Elsevier, vol. 23(4), pages 633-645, October.
  67. Guo, Shaojun & Ling, Shiqing & Zhu, Ke, 2013. "Factor double autoregressive models with application to simultaneous causality testing," MPRA Paper 51570, University Library of Munich, Germany.
  68. Fraser, Patricia & Groenewold, Nicolaas, 2006. "US share prices and real supply and demand shocks," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 46(1), pages 149-167, February.
  69. Lee, Bong-Soo & Rui, Oliver Meng & Wang, Steven Shuye, 2004. "Information transmission between the NASDAQ and Asian second board markets," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1637-1670, July.
  70. Ronald K. Chung & Hung-Gay Fung & Gene C. Lai & Robert C. Witt, 1994. "Causal Relationships Between Premiums and Losses, and Causes of the Underwriting Cycles," Risk and Insurance, EconWPA 9407008, EconWPA.
  71. Domian, Dale L. & Louton, David A., 1997. "A threshold autoregressive analysis of stock returns and real economic activity," International Review of Economics & Finance, Elsevier, vol. 6(2), pages 167-179.