This paper studies the long-run and short-run dynamic effects of broad money supply (M2) and oil price on U.S. stock market (S&P500). Monthly data are employed from January, 1974 through April, 2006. Each variable is non-stationary in level with I (1) behavior. The above three variables depict a...

Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price returns with respect to the stance of the U.S. macroeconomy. We find that variables which contain information on current and future economic activity are helpful predictors for...