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Asset prices and output growth volatility: the effects of financial crises

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  • Caporale, Guglielmo Maria
  • Spagnolo, Nicola

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  • Caporale, Guglielmo Maria & Spagnolo, Nicola, 2003. "Asset prices and output growth volatility: the effects of financial crises," Economics Letters, Elsevier, vol. 79(1), pages 69-74, April.
    • Handle: RePEc:eee:ecolet:v:79:y:2003:i:1:p:69-74
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    References listed on IDEAS

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    1. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(1), pages 122-150, February.
    2. William Poole, 1969. "Optimal choice of monetary policy instruments in a simple stochastic macro model," Special Studies Papers 2, Board of Governors of the Federal Reserve System (U.S.).
    3. Ben S. Bernanke & Mark Gertler, 1999. "Monetary policy and asset price volatility," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 77-128.
    4. Batini, Nicoletta & Nelson, Edward, 2001. "Optimal horizons for inflation targeting," Journal of Economic Dynamics and Control, Elsevier, vol. 25(6-7), pages 891-910, June.
    5. William Poole, 1970. "Optimal Choice of Monetary Policy Instruments in a Simple Stochastic Macro Model," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 84(2), pages 197-216.
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    Cited by:

    1. Alanoud Al-Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2017. "Spillovers between food and energy prices and structural breaks," International Economics, CEPII research center, issue 150, pages 1-18.
    2. Mr. Cyril Pouvelle, 2012. "Bank Credit, Asset Prices and Financial Stability: Evidence From French Banks," IMF Working Papers 2012/103, International Monetary Fund.
    3. Ciccarone Giuseppe & Giuli Francesco & Marchetti Enrico, 2020. "Prospect Theory and sentiment-driven fluctuations," The B.E. Journal of Macroeconomics, De Gruyter, vol. 20(1), pages 1-25, January.
    4. Michael Frömmel & Torsten Schmidt, 2006. "Bank Lending and Asset Prices in the Euro Area," RWI Discussion Papers 0042, Rheinisch-Westfälisches Institut für Wirtschaftsforschung.
    5. Mercan Hatipoglu, . "Revisiting Linkages between Stock Prices and Real Activity in OECD Countries: Does Finance Respond to Changing Situation of Economy?," Prague Economic Papers, University of Economics, Prague, vol. 0, pages 1-20.
    6. Karunanayake, Indika & Valadkhani, Abbas & O’Brien, Martin, 2012. "GDP Growth and the Interdependency of Volatility Spillovers," MPRA Paper 50398, University Library of Munich, Germany.
    7. Pasquale Foresti & Oreste Napolitano, 2016. "On the Stock Markets’ Reactions to Taxation and Public Expenditure," LEQS – LSE 'Europe in Question' Discussion Paper Series 115, European Institute, LSE.
    8. Grégory Levieuge, 2005. "Politique monétaire et prix d'actifs," Revue de l'OFCE, Presses de Sciences-Po, vol. 93(2), pages 317-355.
    9. Frömmel, Michael & Schmidt, Torsten, 2006. "Bank Lending and Asset Prices in the Euro Area," Hannover Economic Papers (HEP) dp-342, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    10. Talla M Aldeehani, 2019. "Have Stock Markets Become Less Volatile After the Great Recession?," Research in World Economy, Research in World Economy, Sciedu Press, vol. 10(3), pages 10-25, December.
    11. Mercan Hatipoglu, 2020. "Revisiting Linkages between Stock Prices and Real Activity in OECD Countries: Does Finance Respond to Changing Situation of Economy?," Prague Economic Papers, Prague University of Economics and Business, vol. 2020(1), pages 105-126.
    12. Eun Ahn & Jin Man Lee, 2006. "Volatility relationship between stock performance and real output," Applied Financial Economics, Taylor & Francis Journals, vol. 16(11), pages 777-784.
    13. Nguyen, Trang & Chaiechi, Taha & Eagle, Lynne & Low, David, 2020. "Dynamic transmissions between main stock markets and SME stock markets: Evidence from tropical economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 308-324.
    14. repec:zbw:rwidps:0042 is not listed on IDEAS
    15. Habibullah, M.S. & Baharom, A.H. & Fong, Kin Hing, 2009. "Predictive Content of Output and Inflation For Stock Returns and Volatility: Evidence from Selected Asian Countries," MPRA Paper 14114, University Library of Munich, Germany.
    16. Alexandros Kontonikas & Alberto Montagnoli & Nicola Spagnolo, 2006. "Stock Returns and Inflation: The Impact of Inflation Targeting," Working Papers 2005_11, Business School - Economics, University of Glasgow.
    17. Abbas Valadkhani & George Chen, 2014. "An empirical analysis of the US stock market and output growth volatility spillover effects on three Anglo-Saxon countries," International Review of Applied Economics, Taylor & Francis Journals, vol. 28(3), pages 323-335, May.
    18. Jin Guo, 2015. "Causal relationship between stock returns and real economic growth in the pre- and post-crisis period: evidence from China," Applied Economics, Taylor & Francis Journals, vol. 47(1), pages 12-31, January.

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