Kramer, Charles Frederick.
Nonlinearity and Endogeneity in Macro-Asset Pricing Charles Frederick Kramer. [electronic resource] / Charles Frederick Kramer. - Washington, D.C. : International Monetary Fund, 1995. - 1 online resource (30 p.) - IMF Working Papers; Working Paper ; No. 95/32 . - IMF Working Papers; Working Paper ; No. 95/32 .
We find nonlinear feedback between the stock market and certain macroeconomic factors. This evidence calls into question the adequacy of these factors as a basis for a linear pricing model. It also means that the interaction between the economy and the stock market is more complicated than given by the simple relationship in Chen, Roll and Ross (1986). It also suggests that the univariate evidence for nonlinear dynamics in the stock market may be due to the complicated relationship between the macroeconomy and the stock market.
1451845081 : 15.00 USD
1018-5941
10.5089/9781451845082.001 doi
Bonds
Granger Causality
Statistics
Stock Returns
Time Series
United States
Nonlinearity and Endogeneity in Macro-Asset Pricing Charles Frederick Kramer. [electronic resource] / Charles Frederick Kramer. - Washington, D.C. : International Monetary Fund, 1995. - 1 online resource (30 p.) - IMF Working Papers; Working Paper ; No. 95/32 . - IMF Working Papers; Working Paper ; No. 95/32 .
We find nonlinear feedback between the stock market and certain macroeconomic factors. This evidence calls into question the adequacy of these factors as a basis for a linear pricing model. It also means that the interaction between the economy and the stock market is more complicated than given by the simple relationship in Chen, Roll and Ross (1986). It also suggests that the univariate evidence for nonlinear dynamics in the stock market may be due to the complicated relationship between the macroeconomy and the stock market.
1451845081 : 15.00 USD
1018-5941
10.5089/9781451845082.001 doi
Bonds
Granger Causality
Statistics
Stock Returns
Time Series
United States