Dynamic Interactions Among Interest Rates, Stock Market, Inflation, and Real Economic Activity
This paper examines the dynamic linkages among the equity market, economic activity, inflation and monetary policy since the 1970s. The main findings are as follows. First, bivariate results for the linkages between real stock returns and inflation confirm the surprising result of negative correlation between the two magnitudes for the 1970s and 1980s. Second, the bivariate and multivariate findings suggest a weak negative relationship between real stock returns and the federal funds rate for every decade. Third, the results for the real stock returns-real activity pair reveal a weak negative relationship in the 1970s and 1990s, a positive in the 1980s, but no significant relationship within the multivariate framework. Finally, our results seem to imply that there is no concrete and consistent dynamic relationship between monetary policy and the stock market and that the nature of such dynamics has been different in each decade
Year of publication: |
[2007]
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Authors: | Laopodis, Nikiforos T. |
Publisher: |
[2007]: [S.l.] : SSRN |
Description of contents: | Abstract [papers.ssrn.com] |
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