TY  - BOOK
AU  - Kramer,Charles Frederick
AU  - Hiemstra,Craig
AU  - Kramer,Charles Frederick
TI  - Nonlinearity and Endogeneity in Macro-Asset Pricing
T2  - IMF Working Papers; Working Paper
SN  - 1451845081 :
SN  - 1018-5941
PY  - 1995///
CY  - Washington, D.C.
PB  - International Monetary Fund
KW  - Bonds
KW  - imf
KW  - Granger Causality
KW  - Statistics
KW  - Stock Returns
KW  - Time Series
KW  - United States
N2  - 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
UR  - http://elibrary.imf.org/view/IMF001/04966-9781451845082/04966-9781451845082/04966-9781451845082.xml
UR  - http://www.imfbookstore.org/IMFORG/9781451845082
ER  -