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La grande modération et la valorisation des actions


  • Christophe Boucher
  • Armand Derhy


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," Revue d'économie politique, Dalloz, vol. 118(5), pages 683-709.
  • Handle: RePEc:cai:repdal:redp_185_0683

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    References listed on IDEAS

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