developments imply bivariate cointegration among stock prices, dividends, output and consumption where independent models identify … stock prices, dividends, output and consumption, although not necessarily linked by a single common stochastic trend; each … series responds to disequilibrium with greater evidence of a reaction from dividends and consumption – of note, output …

cointegration between the log stock prices and the log dividends. However, our empirical results also show that the cointegrating … on instability tests recently proposed in Kejriwal and Perron (2008, 2010) as well as the cointegration tests developed …

cointegration between the log stock prices and the log dividends. However, our empirical results also show that the cointegrat- ing … on instability tests recently proposed in Kejriwal and Perron (2008, 2010) as well as the cointegration tests developed …

cointegration between the log stock prices and the log dividends. However, our empirical results also show that the cointegrat- ing … on instability tests recently proposed in Kejriwal and Perron (2008, 2010) as well as the cointegration tests developed …

variables analyzed (product, consumption, private investment, public investment, and terms of trade). Secondly, to analyze the …, consumption, private investment, and public investment. This result appears more pronounced as the time horizon approaches the …

This paper studies the correlation between output growth and lagged stock returns in a panel of emerging market … economies. Asset prices therefore contain valuable information to forecast output also in emerging market economies. Moreover …, the paper finds that the strength of the correlation between output growth and lagged stock returns is significantly …

is agnostic about the particular theoretical underpinnings. We apply tests for stationarity and cointegration and find …

output and the equality of its distribution across the regions. There is little analysis of this issue in the literature. We …. We subject this model to a number of policy shocks and assess the effects on regional disparities in per capita output …, on the one hand, and on aggregate output on the other to investigate the trade-off. We also consider income and welfare …

This paper investigates the causal relationship between asset prices and per capita output across 50 US states and the … of real house prices, real stock prices and real per capita personal income (proxying output), which allows us to account …. Empirical results reveal the existence of a unidirectional causality running from both asset prices to output. This confirms the …