Nonlinearity and Endogeneity in Macro-Asset Pricing:
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...
Gespeichert in:
1. Verfasser: | |
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Washington, D.C
International Monetary Fund
1995
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Schriftenreihe: | IMF Working Papers
Working Paper No. 95/32 |
Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
Zusammenfassung: | 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 |
Beschreibung: | 1 Online-Ressource (30 p) |
ISBN: | 1451845081 9781451845082 |
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spelling | Kramer, Charles Frederick Verfasser aut Nonlinearity and Endogeneity in Macro-Asset Pricing Kramer, Charles Frederick Washington, D.C International Monetary Fund 1995 1 Online-Ressource (30 p) txt rdacontent c rdamedia cr rdacarrier 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 Online-Ausg Hiemstra, Craig Sonstige oth http://elibrary.imf.org/view/IMF001/04966-9781451845082/04966-9781451845082/04966-9781451845082.xml Verlag URL des Erstveröffentlichers Volltext |
spellingShingle | Kramer, Charles Frederick Nonlinearity and Endogeneity in Macro-Asset Pricing |
title | Nonlinearity and Endogeneity in Macro-Asset Pricing |
title_auth | Nonlinearity and Endogeneity in Macro-Asset Pricing |
title_exact_search | Nonlinearity and Endogeneity in Macro-Asset Pricing |
title_exact_search_txtP | Nonlinearity and Endogeneity in Macro-Asset Pricing |
title_full | Nonlinearity and Endogeneity in Macro-Asset Pricing Kramer, Charles Frederick |
title_fullStr | Nonlinearity and Endogeneity in Macro-Asset Pricing Kramer, Charles Frederick |
title_full_unstemmed | Nonlinearity and Endogeneity in Macro-Asset Pricing Kramer, Charles Frederick |
title_short | Nonlinearity and Endogeneity in Macro-Asset Pricing |
title_sort | nonlinearity and endogeneity in macro asset pricing |
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