Macroeconomic variables and long-term stock market performance: A panel ARDL cointegration approach for G7 countries

Based on the present value model for stock prices, we utilise a pooled mean group estimator for panel ARDL cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We find a positive long-run relation between stock prices, industrial production and consumer prices as well as a negative relationship with real 10-year interest rates.

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Year of publication:	2020
Authors:	Humpe, Andreas ; McMillan, David G.
Published in:	Cogent Economics & Finance. - ISSN 2332-2039. - Vol. 8.2020, 1, p. 1-7
Publisher:	Abingdon : Taylor & Francis
Subject:	cointegration \| macroeconomy \| stock market

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.1080/23322039.2020.1816257 [DOI] 1800133022 [GVK] hdl:10419/269972 [Handle] RePEc:taf:oaefxx:v:8:y:2020:i:1:p:1816257 [RePEc]
Classification:	C32 - Time-Series Models ; E44 - Financial Markets and the Macroeconomy ; G12 - Asset Pricing ; g7
Source:	EconStor

Persistent link: https://www.econbiz.de/10014001574