Artikel
Macroeconomic variables and long-term stock market performance: A panel ARDL cointegration approach for G7 countries
Based on the present value model for stock prices, we utilise a pooled mean group estimator for panel ARDL cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We find a positive long-run relation between stock prices, industrial production and consumer prices as well as a negative relationship with real 10-year interest rates.
- Language
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Englisch
- Bibliographic citation
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Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 8 ; Year: 2020 ; Issue: 1 ; Pages: 1-7
- Classification
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Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financial Markets and the Macroeconomy
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
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cointegration
macroeconomy
stock market
- Event
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Geistige Schöpfung
- (who)
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Humpe, Andreas
McMillan, David G.
- Event
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Veröffentlichung
- (who)
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Taylor & Francis
- (where)
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Abingdon
- (when)
-
2020
- DOI
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doi:10.1080/23322039.2020.1816257
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Humpe, Andreas
- McMillan, David G.
- Taylor & Francis
Time of origin
- 2020
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