On the economic link between asset prices and real activity

Publication:
On the economic link between asset prices and real activity

dc.affiliation.dpto	UC3M. Departamento de Economía de la Empresa	es
dc.contributor.author	Peña, Juan Ignacio
dc.contributor.author	Rodríguez, Rosa
dc.date.accessioned	2006-11-07T11:27:08Z
dc.date.available	2006-11-07T11:27:08Z
dc.date.issued	2006-05
dc.description.abstract	This paper presents a model linking two financial markets (stocks and bonds) with the real business cycle, in the framework of the Consumption Capital Asset Pricing Model with Generalized Isoelastic Preferences. Besides interest rate term spread, the model includes a new variable to forecast economic activity: stock market term spread, which constitutes the slope of expected stock market returns. The empirical evidence documented in this paper suggests systematic relationships between the state of the business cycle and the shapes of two yield curves (interest rates and expected stock returns). Results are robust to changes in measures of economic growth, stock prices, interest rates and expectation-generating mechanisms.
dc.format.extent	333474 bytes
dc.format.mimetype	application/pdf
dc.identifier.repec	wb063209
dc.identifier.uri	https://hdl.handle.net/10016/124
dc.language.iso	eng
dc.language.iso	eng
dc.relation.ispartofseries	Workings Paper. Bussiness Economics
dc.relation.ispartofseries	2006-09
dc.rights.accessRights	open access
dc.subject.eciencia	Empresa
dc.title	On the economic link between asset prices and real activity
dc.type	working paper	*
dspace.entity.type	Publication

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