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Long-run and short-run linkages between stock prices and interest rates in the G-7

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  • Simon Broome
  • Bruce Morley

Abstract

The paper investigates the nature of the relationship between stock prices and interest rates, using the cointegration and co-dependence techniques. Using data for the G-7 economies, the evidence suggests that in general stock prices and interest rates do not exhibit a long-run common trend, but rather follow a short-run cyclical pattern.

Suggested Citation

  • Simon Broome & Bruce Morley, 2000. "Long-run and short-run linkages between stock prices and interest rates in the G-7," Applied Economics Letters, Taylor & Francis Journals, vol. 7(5), pages 321-323.
    • Handle: RePEc:taf:apeclt:v:7:y:2000:i:5:p:321-323
    DOI: 10.1080/135048500351474
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    Cited by:

    1. Jammazi, Rania & Ferrer, Román & Jareño, Francisco & Hammoudeh, Shawkat M., 2017. "Main driving factors of the interest rate-stock market Granger causality," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 260-280.
    2. Marco Corazza & A. Malliaris & Elisa Scalco, 2010. "Nonlinear Bivariate Comovements of Asset Prices: Methodology, Tests and Applications," Computational Economics, Springer;Society for Computational Economics, vol. 35(1), pages 1-23, January.
    3. Umar, Zaghum & Yousaf, Imran & Aharon, David Y., 2021. "The relationship between yield curve components and equity sectorial indices: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    4. Bruce Morley, 2002. "Output, consumption and the stock market: implications for European convergence," Applied Economics, Taylor & Francis Journals, vol. 34(3), pages 317-323.

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