Do Japanese stock prices reflect macro fundamentals?

Arbeitspapier

This paper investigates to what extent the fundamentals of the real economy are reflected in the stock prices of Japan. A Markov switching VAR model with switching variances is used to test the structural identification scheme. Identification of fundamental and nonfundamental shocks is shown to be supported by the data. Based on the appropriate structural restriction, the historical stock prices are decomposed into fundamental components and nonfundamental components. The decomposition shows that the linkage between Japanese stock prices and real activity shocks became strengthened since the bubble collapsed in the beginning of 1990s.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SFB 649 Discussion Paper ; No. 2012-037

Classification and Topics

• Classification: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; Macroeconomics: Production
• Subject: Stock price ; real activity ; financial crisis ; structural restrictions ; Börsenkurs ; Aktienmarkt ; Konjunktur ; Finanzkrise ; Makroökonomischer Einfluss ; Japan

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Chen, Wenjuan ; Velinov, Anton
• Event: Veröffentlichung
• (who): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (where): Berlin
• (when): 2012

Further information

• Handle: http://hdl.handle.net/10419/79572
• Last update: 10.03.2025, 11:42 AM CET