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Switching equilibria: the present value model for stock prices revisited

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  • Gutierrez, Maria-Jose
  • Vazquez, Jesus

Abstract

Also published as DFAE-II Working Paper 2002-26 and as an article in: Journal of Economic Dynamics and Control, 2004, vol. 28, issue 11, pages 2297-2325

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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 28 (2004)
Issue (Month): 11 (October)
Pages: 2297-2325

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Handle: RePEc:eee:dyncon:v:28:y:2004:i:11:p:2297-2325
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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Find related papers by JEL classification:
  • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
  • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium

References listed on IDEAS
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  1. Cochrane, John H., 1991. "Volatility tests and efficient markets : A review essay," Journal of Monetary Economics, Elsevier, vol. 27(3), pages 463-485, June.
  2. Martin D.D. Evans, 1995. "Dividend Variability and Stock Market Swings," Working Papers 95-13, New York University, Leonard N. Stern School of Business, Department of Economics.
  3. Campbell, John & Shiller, Robert, 1987. "Cointegration and Tests of Present Value Models," Scholarly Articles 3122490, Harvard University Department of Economics.
  4. Smith, A A, Jr, 1993. "Estimating Nonlinear Time-Series Models Using Simulated Vector Autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S63-84, Suppl. De.
  5. Chow, G.C., 1988. "Rational Versus Adaptive Expectations In Present Value Models," Papers 328, Princeton, Department of Economics - Econometric Research Program.
  6. West, Kenneth D, 1988. "Dividend Innovations and Stock Price Volatility," Econometrica, Econometric Society, vol. 56(1), pages 37-61, January.
  7. Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S85-118, Suppl. De.
  8. Driffill, John & Sola, Martin, 1998. "Intrinsic bubbles and regime-switching," Journal of Monetary Economics, Elsevier, vol. 42(2), pages 357-373, July.
  9. Lee, Bong-Soo & Ingram, Beth Fisher, 1991. "Simulation estimation of time-series models," Journal of Econometrics, Elsevier, vol. 47(2-3), pages 197-205, February.
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Cited by:

  1. Vázquez Pérez, Jesús & Regúlez Castillo, Marta & Londoño Yarce, Juan Miguel, 2008. "Another Look to the Price-Dividend Ratio: A Markov-Switching Approach," DFAEII Working Papers 2008-09, University of the Basque Country - Department of Foundations of Economic Analysis II.
  2. María-Dolores Ramón & Vázquez Jesús, 2006. "How Does the New Keynesian Monetary Model Fit in the U.S. and the Eurozone? An Indirect Inference Approach," The B.E. Journal of Macroeconomics, De Gruyter, vol. 6(2), pages 1-51, September.
  3. Ramón Maria-Dolores & Jesus Vazquez, 2006. "The relative importance of Term Spread, Policy Inertia and Persistent Monetary Policy Shocks in Monetary Policy Rules," Computing in Economics and Finance 2006 6, Society for Computational Economics.
  4. Fredj Jawadi, 2009. "Essay in dividend modelling and forecasting: does nonlinearity help?," Applied Financial Economics, Taylor & Francis Journals, vol. 19(16), pages 1329-1343.
  5. Londono, Juan M. & Regúlez, Marta & Vázquez, Jesús, 2015. "An alternative view of the US price–dividend ratio dynamics," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 291-307.

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