IDEAS home Printed from https://ideas.repec.org/p/red/sed010/374.html

Long-Term Asset Price Volatility and Macroeconomic Fluctuations

Author

Listed:
  • Manuel S. Santos

    (University of Miami)

  • Miguel A. Iraola

    (ITAM (CIE))

Abstract

Price markups are highly correlated with stock market values, whereas other financial measures of profitability exhibit much less variability and are weakly correlated with stock values. We propose a variant of the neoclassical growth model to study the role of innovation, price markups, and leverage as main determinants of stock market volatility. The model confers a rather limited role to other macroeconomic forces such as TFP shocks, adjustment costs, interest rate policies, input costs, taxes, and labor and financial frictions. We develop some numerical methods to provide a variance decomposition of stock market values.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Manuel S. Santos & Miguel A. Iraola, 2010. "Long-Term Asset Price Volatility and Macroeconomic Fluctuations," 2010 Meeting Papers 374, Society for Economic Dynamics.
    • Handle: RePEc:red:sed010:374
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Comin, Diego & Mestieri, Martí, 2014. "Technology Diffusion: Measurement, Causes, and Consequences," Handbook of Economic Growth, in: Philippe Aghion & Steven Durlauf (ed.), Handbook of Economic Growth, edition 1, volume 2, chapter 2, pages 565-622, Elsevier.
    2. Mariano Max Croce, 2010. "Tax Uncertainty, Leverage and Asset Prices," 2010 Meeting Papers 1084, Society for Economic Dynamics.
    3. Ryo Jinnai, 2015. "Innovation, Product Cycle, and Asset Prices," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 18(3), pages 484-504, July.
    4. Luigi Bocola & Nils M. Gornemann, 2013. "Risk, economic growth and the value of U.S. corporations," Working Papers 13-10, Federal Reserve Bank of Philadelphia.
    5. Nicolae Gârleanu & Stavros Panageas & Jianfeng Yu, 2012. "Technological Growth and Asset Pricing," Journal of Finance, American Finance Association, vol. 67(4), pages 1265-1292, August.
    6. Diego Comin & Ana Maria Santacreu & Mark Gertler & Phuong Ngo, 2018. "Stock Price Fluctuations and Productivity Growth," 2018 Meeting Papers 1147, Society for Economic Dynamics.

    More about this item

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    Statistics

    Access and download statistics

    Corrections

    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:red:sed010:374. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Christian Zimmermann (email available below). General contact details of provider: https://edirc.repec.org/data/sedddea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.