Stock Returns, Term Structure, Inflation and Real Activity: An International Perspective
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Canova, Fabio & Nicoló, Gianni De, 2000. "Stock Returns, Term Structure, Inflation, And Real Activity: An International Perspective," Macroeconomic Dynamics, Cambridge University Press, vol. 4(3), pages 343-372, September.
- Fabio Canova & Gianni de Nicolo, 1997. "Stock returns, term structure, inflation and real activity: An international perspective," Economics Working Papers 203, Department of Economics and Business, Universitat Pompeu Fabra.
References listed on IDEAS
- Jean-Pierre DANTHINE & John B. DONALDSON, 1994.
"Asset Pricing Implications of Real Market Frictions,"
Cahiers de Recherches Economiques du Département d'économie
9504, Université de Lausanne, Faculté des HEC, Département d’économie.
- Danthine, J.P. & Donaldson, J.B., 1994. "Asset Pricing Implications of Real Market Frictions," Papers 95-04, Columbia - Graduate School of Business.
- Backus, David K & Kehoe, Patrick J & Kydland, Finn E, 1992.
"International Real Business Cycles,"
Journal of Political Economy, University of Chicago Press, vol. 100(4), pages 745-775, August.
- David K. Backus & Patrick J. Kehoe & Finn E. Kydland, 1987. "International real business cycles," Working Papers 426, Federal Reserve Bank of Minneapolis.
- David K. Backus & Patrick J. Kehoe & Finn E. Kydland, 1991. "International real business cycles," Staff Report 146, Federal Reserve Bank of Minneapolis.
- Fama, Eugene F., 1990. "Term-structure forecasts of interest rates, inflation and real returns," Journal of Monetary Economics, Elsevier, vol. 25(1), pages 59-76, January.
- Sims, Christopher A., 1992.
"Interpreting the macroeconomic time series facts : The effects of monetary policy,"
European Economic Review, Elsevier, vol. 36(5), pages 975-1000, June.
- Christopher A. Sims, 1992. "Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy," Cowles Foundation Discussion Papers 1011, Cowles Foundation for Research in Economics, Yale University.
- Mishkin, Frederic S., 1990.
"What does the term structure tell us about future inflation?,"
Journal of Monetary Economics, Elsevier, vol. 25(1), pages 77-95, January.
- Frederic S. Mishkin, 1988. "What Does the Term Structure Tell Us About Future Inflation?," NBER Working Papers 2626, National Bureau of Economic Research, Inc.
- Mishkin, F.S., 1988. "What Does The Term Structure Tell Us About Future Inflation?," Papers fb-_88-29, Columbia - Graduate School of Business.
- 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.
- Bernanke, Ben S & Blinder, Alan S, 1992.
"The Federal Funds Rate and the Channels of Monetary Transmission,"
American Economic Review, American Economic Association, vol. 82(4), pages 901-921, September.
- Ben S. Bernanke & Alan S. Blinder, 1989. "The federal funds rate and the channels of monetary transmission," Working Papers 89-10, Federal Reserve Bank of Philadelphia.
- Ben Bernanke, 1990. "The Federal Funds Rate and the Channels of Monetary Transnission," NBER Working Papers 3487, National Bureau of Economic Research, Inc.
- Gerlach, Stefan & Smets, Frank, 1995.
"The Monetary Transmission Mechanism: Evidence from the G-7 Countries,"
CEPR Discussion Papers
1219, C.E.P.R. Discussion Papers.
- Stefan Gerlach & Frank Smets, 1995. "The monetary transmission mechanism: Evidence from the G-7 countries," BIS Working Papers 26, Bank for International Settlements.
- James, Christopher & Koreisha, Sergio & Partch, Megan, 1985. "A VARMA Analysis of the Causal Relations among Stock Returns, Real Output, and Nominal Interest Rates," Journal of Finance, American Finance Association, vol. 40(5), pages 1375-1384, December.
- Fama, Eugene F, 1990. "Stock Returns, Expected Returns, and Real Activity," Journal of Finance, American Finance Association, vol. 45(4), pages 1089-1108, September.
- Estrella, Arturo & Hardouvelis, Gikas A, 1991.
"The Term Structure as a Predictor of Real Economic Activity,"
Journal of Finance, American Finance Association, vol. 46(2), pages 555-576, June.
- Arturo Estrella & Gikas A. Hardouvelis, 1989. "The term structure as a predictor of real economic activity," Research Paper 8907, Federal Reserve Bank of New York.
- Harvey, Campbell R., 1988. "The real term structure and consumption growth," Journal of Financial Economics, Elsevier, vol. 22(2), pages 305-333, December.
- 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 1591-1603, September.
- Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-565, September.
- Gordon, David B & Leeper, Eric M, 1994.
"The Dynamic Impacts of Monetary Policy: An Exercise in Tentative Identification,"
Journal of Political Economy, University of Chicago Press, vol. 102(6), pages 1228-1247, December.
- David B. Gordon & Eric M. Leeper, 1992. "The dynamic impacts of monetary policy: an exercise in tentative identification," FRB Atlanta Working Paper 92-13, Federal Reserve Bank of Atlanta.
- David B. Gordon & Eric M. Leeper, 1993. "The dynamic impacts of monetary policy: an exercise in tentative identification," FRB Atlanta Working Paper 93-5, Federal Reserve Bank of Atlanta.
- Canzoneri, Matthew B & Vallés Liberal, Javier & Viñals, José, 1996.
"Do Exchange Rates Move to Address International Macroeconomic Imbalances?,"
CEPR Discussion Papers
1498, C.E.P.R. Discussion Papers.
- Matthew B. Canzoneri & Javier Vallés & José Viñals, 1996. "Do Exchange Rate Move to Address International Macroeconomic Imbalances?," Working Papers 9626, Banco de España.
- Plosser, Charles I. & Geert Rouwenhorst, K., 1994. "International term structures and real economic growth," Journal of Monetary Economics, Elsevier, vol. 33(1), pages 133-155, February.
- 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.
- Bekaert, Geert & Hodrick, Robert J, 1992.
"Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets,"
Journal of Finance, American Finance Association, vol. 47(2), pages 467-509, June.
- Geert Bekaert & Robert J. Hodrick, 1991. "Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets," NBER Working Papers 3790, National Bureau of Economic Research, Inc.
- John H. Cochrane & Lars Peter Hansen, 1992.
"Asset Pricing Explorations for Macroeconomics,"
NBER Chapters, in: NBER Macroeconomics Annual 1992, Volume 7, pages 115-182,
National Bureau of Economic Research, Inc.
- John H. Cochrane & Lars Peter Hansen, 1992. "Asset Pricing Explorations for Macroeconomics," NBER Working Papers 4088, National Bureau of Economic Research, Inc.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Christis Hassapis, 2003. "Financial variables and real activity in Canada," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 36(2), pages 421-442, May.
- Ekaterini Panopoulou, 2006. "The predictive content of financial variables: Evidence from the euro area," The Institute for International Integration Studies Discussion Paper Series iiisdp178, IIIS.
- Cremers, Martijn & Fleckenstein, Matthias & Gandhi, Priyank, 2021. "Treasury yield implied volatility and real activity," Journal of Financial Economics, Elsevier, vol. 140(2), pages 412-435.
- Nasseh, Alireza & Strauss, Jack, 2000. "Stock prices and domestic and international macroeconomic activity: a cointegration approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(2), pages 229-245.
- Panopoulou, Ekaterini, 2009. "Financial variables and euro area growth: A non-parametric causality analysis," Economic Modelling, Elsevier, vol. 26(6), pages 1414-1419, November.
- Erdenebat Bataa & Andrew Vivian & Mark Wohar, 2019.
"Changes in the relationship between short‐term interest rate, inflation and growth: evidence from the UK, 1820–2014,"
Bulletin of Economic Research, Wiley Blackwell, vol. 71(4), pages 616-640, October.
- Bataa, Erdenebat & Wohar, Mark & Vivian, Andrew, 2015. "Changes in the relationship between short-term interest rate, inflation and growth: Evidence from the UK, 1820-2014," MPRA Paper 72422, University Library of Munich, Germany.
- Guidolin, Massimo & Ono, Sadayuki, 2006.
"Are the dynamic linkages between the macroeconomy and asset prices time-varying?,"
Journal of Economics and Business, Elsevier, vol. 58(5-6), pages 480-518.
- Massimo Guidolin & Sadayuki Ono, 2005. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Working Papers 2005-056, Federal Reserve Bank of St. Louis.
- David G. McMillan, 2021. "Predicting GDP growth with stock and bond markets: Do they contain different information?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3651-3675, July.
- Hibiki Ichiue, 2004.
"Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with an Affine Term Structure Model,"
Bank of Japan Working Paper Series
04-E-11, Bank of Japan.
- Hibiki Ichiue, 2004. "Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model," Econometric Society 2004 Far Eastern Meetings 581, Econometric Society.
- James H. Stock & Mark W.Watson, 2003.
"Forecasting Output and Inflation: The Role of Asset Prices,"
Journal of Economic Literature, American Economic Association, vol. 41(3), pages 788-829, September.
- James H. Stock & Mark W. Watson, 2001. "Forecasting output and inflation: the role of asset prices," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- James H. Stock & Mark W. Watson, 2001. "Forecasting Output and Inflation: The Role of Asset Prices," NBER Working Papers 8180, National Bureau of Economic Research, Inc.
- Sellin, Peter, 1998. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Working Paper Series 72, Sveriges Riksbank (Central Bank of Sweden).
- Domian, Dale L. & Louton, David A., 1997. "A threshold autoregressive analysis of stock returns and real economic activity," International Review of Economics & Finance, Elsevier, vol. 6(2), pages 167-179.
- Mili, Mehdi & Sahut, Jean-Michel & Teulon, Frédéric, 2012. "Non linear and asymmetric linkages between real growth in the Euro area and global financial market conditions: New evidence," Economic Modelling, Elsevier, vol. 29(3), pages 734-741.
- Najand, Mohammad & Noronha, Gregory, 1998. "Causal relations among stock returns, inflation, real activity, and interest rates: Evidence from Japan," Global Finance Journal, Elsevier, vol. 9(1), pages 71-80.
- Edward N. Gamber, 1996. "The policy content of the yield curve slope," Review of Financial Economics, John Wiley & Sons, vol. 5(2), pages 163-179.
- Peter Sellin, 2001. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Journal of Economic Surveys, Wiley Blackwell, vol. 15(4), pages 491-541, September.
- Hamilton, James D & Kim, Dong Heon, 2002.
"A Reexamination of the Predictability of Economic Activity Using the Yield Spread,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(2), pages 340-360, May.
- Hamilton, James Douglas & Kim, Dong Heon, 2000. "A Re-examination of the Predictability of Economic Activity Using the Yield Spread," University of California at San Diego, Economics Working Paper Series qt69v8p1m9, Department of Economics, UC San Diego.
- James D. Hamilton & Dong Heon Kim, 2000. "A Re-examination of the Predictability of Economic Activity Using the Yield Spread," NBER Working Papers 7954, National Bureau of Economic Research, Inc.
- Panopoulou, Ekaterini, 2007. "Predictive financial models of the euro area: A new evaluation test," International Journal of Forecasting, Elsevier, vol. 23(4), pages 695-705.
- Kim, Kenneth A. & Limpaphayom, Piman, 1997. "The effect of economic regimes on the relation between term structure and real activity in Japan," Journal of Economics and Business, Elsevier, vol. 49(4), pages 379-392.
- Nicolas de Roos & Bill Russell, 1996. "Towards an Understanding of Australia’s Co-movement with Foreign Business Cycles," RBA Research Discussion Papers rdp9607, Reserve Bank of Australia.
More about this item
Keywords
Business Cycles; Financial Markets; International Stock Returns; Transmission;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cpr:ceprdp:1614. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://www.cepr.org .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.