Boucher, Christophe; Derhy, Armand - In: Revue d'économie politique 118 (2008) 5, pp. 683-709
The Great Moderation and Stock Valuation Using quarterly data since 1953, we estimate a fundamental-based empirical model for the US real stock prices and earning-price ratio. Applying the VECM methodology instead of traditional VAR to explain low frequency movements of stock valuation, we...