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...

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Main Author: Kramer, Charles Frederick
Other Authors: Hiemstra, Craig
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 1995, 1995
Series:IMF Working Papers; Working Paper
Subjects:
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Summary: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
Physical Description:30 p.
ISBN:1451845081
9781451845082