This paper studies the signalling effect of the consumption-wealth ratio (cay) on German stock returns via vector error correction models (VECMs). The effect of cay on U.S. stock returns has been recently confirmed by Lettau and Ludvigson with a two-stage method. In this paper, performance of...

This paper studies the signalling effect of the consumption-wealth ratio (cay) on German stock returns via vector error correction models (VECMs). The effect of cay on U.S. stock returns has been recently confirmed by Lettau and Ludvigson with a two-stage method. In this paper, performance of...

During recent years, large trade- and budget deficits have accumulated especially in advanced economies. This study examines if this coincidence actually reflects a causal relation. Economic theory and previously documented findings on causality between trade and government balances are...

Evidence on the causality between finance and growth is largely inconclusive. In this study, a large cross-sectional data set of 74 economies for the period between 1975 and 2005 is examined. We summarise evidence from in-sample and out-of-sample causality tests based on rolling estimation...

The balanced growth and stochastic growth theory implies stable investment-output and consumption-output ratios. Our analysis supports cointegration between investment and output (IO-model) as well as consumption and output (CO-model) for single countries. Pooling the data we find cointegration...

The balanced growth and stochastic growth theory implies stable investment-output and consumption-output ratios. Our analysis supports cointegration between investment and output (IO-model) as well as consumption and output (CO-model) for single countries. Pooling the data we find cointegration...