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On the economic link between asset prices and real activity

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorPeña, Juan Ignacio
dc.contributor.authorRodríguez López, Rosa
dc.date.accessioned2011-11-30T12:32:56Z
dc.date.available2011-11-30T12:32:56Z
dc.date.issued2007-07
dc.description.abstractThis paper presents a model linking two financial markets (stocks and bonds) with 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. This is the slope of expected stock market returns. The empirical evidence documented in this paper suggests systematic relationships between business cycle’s state 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 expectations generating mechanisms.
dc.description.sponsorshipThe authors are from Universidad Carlos III de Madrid. Partial financial support was provided by DGICYT grants PB98-0030, BEC2002-0279 and SEC2003-06457. Seminar participants at various universities and conferences provided useful comments. The authors thank the anonymous referee who provided astute comments that considerably improved the study. The usual disclaimer applies. (Paper received March 2005, revised version accepted August 2006. Online publication December 2006)
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationJournal of business finance & accounting, vol. 34, n. 5/6, , jun./jul. 2007, pp. 889-916
dc.identifier.doi10.1111/j.1468-5957.2006.00659.x
dc.identifier.issn0306-686X (print)
dc.identifier.issn1468-5957 (online)
dc.identifier.publicationfirstpage889
dc.identifier.publicationissue5/6
dc.identifier.publicationtitleJournal of business finance & accounting
dc.identifier.publicationvolume4
dc.identifier.urihttps://hdl.handle.net/10016/12672
dc.language.isoeng
dc.publisherWiley-Blackwell
dc.relation.publisherversionhttp://onlinelibrary.wiley.com/doi/10.1111/jbfa.2007.34.issue-5-6/issuetoc
dc.relation.publisherversionhttp://dx.doi.org/10.1111/j.1468-5957.2006.00659.x
dc.rights©Blackwell
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.subject.otherStock market
dc.subject.otherInterest rates
dc.subject.otherEconomic growth
dc.subject.otherTerm structure
dc.titleOn the economic link between asset prices and real activity
dc.typeresearch article*
dc.type.hasVersionVoR*
dspace.entity.typePublication
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