Investigating the links between growth and real stock price changes with empirical evidence from the G-7 economies

Hassapis, Christis; Kalyvitis, Sarantis

doi:10.1016/s1062-9769(01)00111-9

Cited by 75 publications

(47 citation statements)

References 14 publications

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“…At the same time, a series of papers indicate that stock prices are influenced by the real economic activity (Jefferis and Okeahalam, 2000;Shirai, 2004). A bilateral influence of stock prices and economic growth is documented by Nasseh and Strauss (2000) and Hassapis and Kalyvitis (2002). Similar results are reported by Panopoulou et al (2010) which uses non-parametric procedures to account for the impact of long-lagged observations and discover that correlation between growth and stock prices returns in the G7 countries is detected at larger horizons than those typically employed in parametric studies.…”

Section: Literature Reviewmentioning

confidence: 55%

Time–frequency relationship between US output with commodity and asset prices

Tiwari¹,

Albulescu

Gupta

2015

Applied Economics

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Commodity and asset prices have a well-documented effect on economic growth, manifested through various channels. At the same time, the business cycle influences the commodity and asset prices. Whereas empirical evidence on the effect of commodity and asset prices on the long-run economic growth is ambiguous, most of the previous researches highlight a positive correlation in the short-run. The aim of this paper is to disentangle the short-and long-run comovements between U.S. historical business cycles and commodity and asset prices, over the period . For this purpose we use a time-frequency approach and we test the historical influence of oil, gold, housing and stock prices, over the output growth. Different from other studies, we control for the effect of other prices and monetary conditions, using the wavelet partial coherency. In line with the previous works, we discover that comovements between economic growth and commodity and assets prices manifest especially in the short-run. We also find that stock returns and housing prices have a more powerful effect on the U.S. economic growth rate than the oil and gold prices. The long-run comovements are documented especially around the World War II. Finally, when controlling for the influence of the interest rate, inflation and other commodity and asset prices, comovements become weaker in the short-run. In general the oil and housing prices lead the GDP growth, the U.S. output lead the gold prices, while there is no clear causality direction between business cycle and stock prices.

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Section: Literature Reviewmentioning

confidence: 55%

Time–frequency relationship between US output with commodity and asset prices

Tiwari¹,

Albulescu

Gupta

2015

Applied Economics

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“…We include forward-looking financial variables -stock market returns, short-term interest rates and the dollar exchange rate -that are thought to embody future economic expectations. In the case of output growth, studies such as Barro (1990), Fama (1990), Lee (1992), Estrella and Mishkin (1998), Hassapis and Kalyvitis (2002), Hassapis (2003) and Panopoulou et al (2005) among others find that stock market returns improve forecasting ability. Stock market returns are not generally found to be useful in predicting future inflation, e.g.…”

Section: Introductionmentioning

confidence: 99%

15. Some Policy Implications

2017

Watch Your Back!

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We compare models for forecasting growth and inflation in the enlarged euro area. Forecasts are built from univariate autoregressive and single equation models. Aggregate forecasts are constructed by both employing aggregate variables and by aggregating country-specific forecasts. Using financial variables for country-specific forecasts tends to add little to the predictive ability of a simple AR model. However, they can help to predict EU aggregates. Furthermore, forecasts from pooling individual country models usually outperform those of the aggregate itself, particularly for EU25 grouping. This is particularly interesting from the perspective of the European Central Bank, who require forecasts of economic activity and inflation to formulate appropriate economic policy across the enlarged group.

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“…Studies on the relationship between stock prices and economic growth have been conducted by, among others, Lee (1982), Hassapis and Kalyvitis (2002), Kim and In (2003), Duca (2007), Panopoulou (2009), Tsouma (2009. Ritter (2005), Cole et al (2008), Zhou et al (2012), and Chun et al (2013).…”

Section: Introductionmentioning

confidence: 99%

A Model of the Dynamic of the Relationship between Stock Prices and Economic Growth of Indonesia

Adam¹

2015

AEF

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This study aimed to examine the dynamic of the relationship between stock prices and economic growth in Indonesia over the period from the first quarter 2004 to the fourth quarter 2013. The study analyzed two types of quarterly data, i.e., data about stock prices that referred to stock price index issued by Indonesian Stock Exchange and data of economic growth that referred to the percentage of changes in gross domestic product (GDP). To analyze the dynamic of the relationship, the general univariate causal model of LVAR was employed. Findings revealed that there was a significant dynamic of relationship between the two variables under investigation. The relationship was positive, meaning that when stock prices went up (went down), then the economic growth of Indonesia went up (went down) as well. Each 1% increase (decrease) in the stock prices was always followed by 0.09% increase (decrease) in Indonesian economic growth.

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Investigating the links between growth and real stock price changes with empirical evidence from the G-7 economies

Cited by 75 publications

References 14 publications

Time–frequency relationship between US output with commodity and asset prices

Time–frequency relationship between US output with commodity and asset prices

15. Some Policy Implications

A Model of the Dynamic of the Relationship between Stock Prices and Economic Growth of Indonesia

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