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Threshold adjustment in the long-run relationship between stock prices and economic activity


  • Steven Cook


In recent years a large literature has emerged considering the relationship between financial and macroeconomic variables. The present article extends this research via consideration of threshold adjustment in the relationship between stock prices and economic activity in the UK. The results obtained show that use of momentum threshold autoregressive cointegration testing uncovers previously undetected asymmetry in the long-run relationship between the stock market and economic activity.

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  • Steven Cook, 2007. "Threshold adjustment in the long-run relationship between stock prices and economic activity," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(4), pages 243-246.
  • Handle: RePEc:taf:apfelt:v:3:y:2007:i:4:p:243-246 DOI: 10.1080/17446540601018931

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    References listed on IDEAS

    1. Choudhry, Taufiq, 1997. "Stochastic Trends in Stock Prices: Evidence from Latin American Markets," Journal of Macroeconomics, Elsevier, vol. 19(2), pages 285-304, April.
    2. Chowdhury, Abdur R., 1994. "Stock market interdependencies: Evidence from the asian NIEs," Journal of Macroeconomics, Elsevier, vol. 16(4), pages 629-651.
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