Are stock returns a leading indicator for real macroeconomic developments?
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More about this item
KeywordsStock returns; stock market efficiency; leading indicators; macroeconomic variables; vector error correction models;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-07-21 (All new papers)
- NEP-FIN-2002-07-21 (Finance)
- NEP-MAC-2002-07-21 (Macroeconomics)
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