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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SFB 649 Discussion Paper ; No. 2012-037

Klassifikation und Themen

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

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Chen, Wenjuan ; Velinov, Anton
• Ereignis: Veröffentlichung
• (wer): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (wo): Berlin
• (wann): 2012

Weitere Informationen

• Handle: http://hdl.handle.net/10419/79572
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ