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Does the stock market predict real activity? Time series evidence from the G-7 countries

  • Jay Choi, Jongmoo
  • Hauser, Shmuel
  • Kopecky, Kenneth J.

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File URL: http://www.sciencedirect.com/science/article/B6VCY-3XYG5GG-4/2/82d52a356f63adfdcb6450d6b42a20ae
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 23 (1999)
Issue (Month): 12 (December)
Pages: 1771-1792

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Handle: RePEc:eee:jbfina:v:23:y:1999:i:12:p:1771-1792
Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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  1. Barro, Robert J, 1990. "The Stock Market and Investment," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 115-31.
  2. Gallinger, George W, 1994. "Causality Tests of the Real Stock Return-Real Activity Hypothesis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(2), pages 271-88, Summer.
  3. Geske, Robert & Roll, Richard, 1983. " The Fiscal and Monetary Linkage between Stock Returns and Inflation," Journal of Finance, American Finance Association, vol. 38(1), pages 1-33, March.
  4. Lee, Bong-Soo, 1992. " Causal Relations among Stock Returns, Interest Rates, Real Activity, and Inflation," Journal of Finance, American Finance Association, vol. 47(4), pages 1591-603, September.
  5. Ashley, R & Granger, C W J & Schmalensee, R, 1980. "Advertising and Aggregate Consumption: An Analysis of Causality," Econometrica, Econometric Society, vol. 48(5), pages 1149-67, July.
  6. Fama, Eugene F, 1990. " Stock Returns, Expected Returns, and Real Activity," Journal of Finance, American Finance Association, vol. 45(4), pages 1089-1108, September.
  7. Canova, Fabio & De Nicolo', Gianni, 1995. "Stock returns and real activity: A structural approach," European Economic Review, Elsevier, vol. 39(5), pages 981-1015, May.
  8. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  9. Anders Loflund & Kim Nummelin, 1997. "On stocks, bonds and business conditions," Applied Financial Economics, Taylor & Francis Journals, vol. 7(2), pages 137-146.
  10. Granger, C. W. J., 1980. "Testing for causality : A personal viewpoint," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 329-352, May.
  11. Kaul, Gautam, 1987. "Stock returns and inflation : The role of the monetary sector," Journal of Financial Economics, Elsevier, vol. 18(2), pages 253-276, June.
  12. Bittlingmayer, George, 1992. " Stock Returns, Real Activity, and the Trust Question," Journal of Finance, American Finance Association, vol. 47(5), pages 1701-30, December.
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