Dynamic analysis between the US stock returns and the macroeconomic variables
This study investigates the long-term and short-term relationships between the US stock price index (S&P 500) and six macroeconomic variables over the period 1975:1-1999:4. We observe that the stock prices negatively relate to the long-term interest rate, but positively relate to the money supply, industrial production, inflation, the exchange rate and the short-term interest rate. In the Granger causality sense, every macroeconomic variable causes the stock prices in the long-run but not in the short-run. Moreover, these results are also supported by the VDC, i.e. the stock prices are relatively exogenous in relation to other variables because almost 87% of its own variance is explained by its own stock even after 24 months.
Document Type: Research Article
Affiliations: 1: Faculty of Economics, Thammasat University, Bangkok 10200, Thailand 2: Department of Economics, Southern Illinois University, Carbondale, IL 62901-4515, USA
Publication date: 01 March 2007
- Editorial Board
- Information for Authors
- Subscribe to this Title
- Ingenta Connect is not responsible for the content or availability of external websites
- Access Key
- Free content
- Partial Free content
- New content
- Open access content
- Partial Open access content
- Subscribed content
- Partial Subscribed content
- Free trial content