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Citations for "Macro shocks and real stock prices"

by Rapach, David E.

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  1. Wenjuan Chen & Anton Velinov, 2012. "Do Japanese Stock Prices Reflect Macro Fundamentals?," SFB 649 Discussion Papers SFB649DP2012-037, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Bjørnland, Hilde C. & Leitemo, Kai, 2009. "Identifying the interdependence between US monetary policy and the stock market," Journal of Monetary Economics, Elsevier, vol. 56(2), pages 275-282, March.
  3. Anton Velinov & Wenjuan Chen, 2014. "Are There Bubbles in Stock Prices?: Testing for Fundamental Shocks," Discussion Papers of DIW Berlin 1375, DIW Berlin, German Institute for Economic Research.
  4. Rangan Gupta & Roula Inglesi-Lotz, 2012. "Macro Shocks and Real US Stock Prices with Special Focus on the "Great Recession"," Working Papers 201208, University of Pretoria, Department of Economics.
  5. Binswanger, Mathias, 2004. "How do stock prices respond to fundamental shocks?," Finance Research Letters, Elsevier, vol. 1(2), pages 90-99, June.
  6. Narayan, Paresh Kumar & Thuraisamy, Kannan S., 2013. "Common trends and common cycles in stock markets," Economic Modelling, Elsevier, vol. 35(C), pages 472-476.
  7. Alessi, Lucia & Kerssenfischer, Mark, 2016. "The response of asset prices to monetary policy shocks: stronger than thought," Working Paper Series 1967, European Central Bank.
  8. Raghavan, Mala & Dungey, Mardi, 2014. "Should ASEAN-5 Monetary Policymakers Act Pre-emptively Against Stock Market Bubbles?," Working Papers 2014-04, University of Tasmania, Tasmanian School of Business and Economics, revised 2014.
  9. Hui Hong & Fergal O'Brien & James Ryan, 2014. "Inflation And The Subsequent Timing Of The Chinese Stock Market," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 10(2), pages 13-35.
  10. Nikolaos Giannellis & Athanasios Papadopoulos & Angelos Kanas, 2008. "Asymmetric Volatility Spillovers Î’etween Stock Market and Real Activity: Evidence from UK and US," Working Papers 0807, University of Crete, Department of Economics.
  11. 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.
  12. David Beckworth & Kenneth P. Moon & J. Holland Toles, 2012. "Can Monetary Policy Influence Long-Term Interest Rates? It Depends," Economic Inquiry, Western Economic Association International, vol. 50(4), pages 1080-1096, October.
  13. Norbert Funke & Akimi Matsuda, 2006. "Macroeconomic News and Stock Returns in the United States and Germany," German Economic Review, Verein für Socialpolitik, vol. 7, pages 189-210, 05.
  14. Saiti, Buerhan & Bacha, Obiyathulla & Masih, Mansur, 2014. "Is the global leadership of the US financial market over other financial markets shaken by 2007-2009 financial crisis? Evidence from Wavelet Analysis," MPRA Paper 57064, University Library of Munich, Germany.
  15. Velinov, Anton, 2016. "On the importance of testing structural identification schemes and the potential consequences of incorrectly identified models," Annual Conference 2016 (Augsburg): Demographic Change 145581, Verein für Socialpolitik / German Economic Association.
  16. Helmut Lütkepohl & Anton Velinov, 2014. "Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity," Discussion Papers of DIW Berlin 1356, DIW Berlin, German Institute for Economic Research.
  17. Du, Ding, 2006. "Monetary policy, stock returns and inflation," Journal of Economics and Business, Elsevier, vol. 58(1), pages 36-54.
  18. Markku Lanne & Mika Meitz & Pentti Saikkonen, 2015. "Identification and estimation of non-Gaussian structural vector autoregressions," CREATES Research Papers 2015-16, Department of Economics and Business Economics, Aarhus University.
  19. Jiranyakul, Komain, 2009. "Economic Forces and the Thai Stock Market, 1993-2007," MPRA Paper 45582, University Library of Munich, Germany.
  20. Dungey, Mardi & Fry, Renee & Martin, Vance L., 2004. "Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002," Global Finance Journal, Elsevier, vol. 15(1), pages 81-102.
  21. Giovanni Ganelli & Nour Tawk, 2016. "Spillovers from Japan’s Unconventional Monetary Policy to Emerging Asia; a Global VAR approach," IMF Working Papers 16/99, .
  22. Challe, Edouard & Giannitsarou, Chryssi, 2011. "Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach," CEPR Discussion Papers 8387, C.E.P.R. Discussion Papers.
  23. Fraser, Patricia & Groenewold, Nicolaas, 2006. "US share prices and real supply and demand shocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(1), pages 149-167, February.
  24. Velinov, Anton & Chen, Wenjuan, 2015. "Do stock prices reflect their fundamentals? New evidence in the aftermath of the financial crisis," Journal of Economics and Business, Elsevier, vol. 80(C), pages 1-20.
  25. Lanne, Markku & Lütkepohl, Helmut & Maciejowska, Katarzyna, 2010. "Structural vector autoregressions with Markov switching," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 121-131, February.
  26. Nikolaos Antonakakis & Rangan Gupta & Aviral K. Tiwari, 2016. "Time-Varying Correlations between Inflation and Stock Prices in the United States over the Last Two Centuries," Working Papers 201605, University of Pretoria, Department of Economics.
  27. Helmut Lütkepohl & Aleksei Netsunajev, 2014. "Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market," Discussion Papers of DIW Berlin 1388, DIW Berlin, German Institute for Economic Research.
  28. Mohammad Joarder & Monir Ahmed & Tahsina Haque & Syed Hasanuzzaman, 2014. "An empirical testing of informational efficiency in Bangladesh capital market," Economic Change and Restructuring, Springer, vol. 47(1), pages 63-87, February.
  29. Anton Velinov, 2013. "Can Stock Price Fundamentals Properly be Captured?: Using Markov Switching in Heteroskedasticity Models to Test Identification Schemes," Discussion Papers of DIW Berlin 1350, DIW Berlin, German Institute for Economic Research.
  30. Binswanger, Mathias, 2004. "How important are fundamentals?--Evidence from a structural VAR model for the stock markets in the US, Japan and Europe," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 185-201, April.
  31. Valcarcel, Victor J., 2012. "The dynamic adjustments of stock prices to inflation disturbances," Journal of Economics and Business, Elsevier, vol. 64(2), pages 117-144.
  32. Tim Berg, 2012. "Did monetary or technology shocks move euro area stock prices?," Empirical Economics, Springer, vol. 43(2), pages 693-722, October.
  33. Jean Louis, Rosmy & Eldomiaty, Tarek, 2010. "How do stock prices respond to fundamental shocks in the case of the United States? Evidence from NASDAQ and DJIA," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 310-322, August.
  34. Pirovano, Mara, 2012. "Monetary policy and stock prices in small open economies: Empirical evidence for the new EU member states," Economic Systems, Elsevier, vol. 36(3), pages 372-390.
  35. Majumdar, Raju, 2013. "On the alternative proxies for estimating firm growth in empirical corporate finance literature: Evidence from Indian manufacturing sector," MPRA Paper 44874, University Library of Munich, Germany.
  36. Cassola, Nuno & Morana, Claudio, 2002. "Monetary policy and the stock market in the euro area," Working Paper Series 0119, European Central Bank.
  37. Filis, George, 2010. "Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations?," Energy Economics, Elsevier, vol. 32(4), pages 877-886, July.
  38. Zulkefly Abdul Karim & Mohd Azlan Shah Zaidi, 2015. "Monetary Policy, Firm Size and Equity Returns in An Emerging Market: Panel Evidence of Malaysia," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 11(2), pages 29-55.
  39. Laopodis, Nikiforos T., 2009. "Are fundamentals still relevant for European economies in the post-Euro period?," Economic Modelling, Elsevier, vol. 26(5), pages 835-850, September.
  40. Patricia Fraser & Nicolaas Groenewold, 2003. "US Share Prices and Real Supply and Demand Shocks," Economics Discussion / Working Papers 03-19, The University of Western Australia, Department of Economics.
  41. Lee, Bong Soo & Ryu, Doojin, 2012. "Stock returns and implied volatility: A new VAR approach," Economics Discussion Papers 2012-51, Kiel Institute for the World Economy (IfW).
  42. Araújo, Eurilton, 2009. "Macroeconomic shocks and the co-movement of stock returns in Latin America," Emerging Markets Review, Elsevier, vol. 10(4), pages 331-344, December.
  43. Patricia Fraser & Nicolaas Groenewold, 2004. "US share prices and real demand and supply shocks," Money Macro and Finance (MMF) Research Group Conference 2003 31, Money Macro and Finance Research Group.
  44. Beckworth David & Hendrickson Josh, 2012. "Great Spending Crashes," The B.E. Journal of Macroeconomics, De Gruyter, vol. 12(1), pages 1-28, September.
  45. Binswanger, Mathias, 2004. "Stock returns and real activity in the G-7 countries: did the relationship change during the 1980s?," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 237-252, May.
  46. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2008. "Inflation, Monetary Policy and Stock Market Conditions," NBER Working Papers 14019, National Bureau of Economic Research, Inc.
  47. Gallegati, Marco, 2008. "Wavelet analysis of stock returns and aggregate economic activity," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3061-3074, February.
  48. Kryzanowski, Lawrence & Rahman, Abdul H., 2009. "Generalized Fama proxy hypothesis: Impact of shocks on Phillips curve and relation of stock returns with inflation," Economics Letters, Elsevier, vol. 103(3), pages 135-137, June.
  49. Stefano Neri, 2004. "Monetary policy and stock prices: theory and evidence," Temi di discussione (Economic working papers) 513, Bank of Italy, Economic Research and International Relations Area.
  50. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2009. "Inflation, monetary policy and stock market conditions: quantitative evidence from a hybrid latent-variable VAR," Working Papers 2008-012, Federal Reserve Bank of St. Louis.
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