Gregoriou, Andros; Hunter, John; Wu, Feng - In: Journal of Policy Modeling 31 (2009) 1, pp. 133-143
US asset prices are modelled in the short- and long-run with the use of a seemingly unrelated system using monthly data over the time period, 1983-2004. Once the shocks of 1987, 1997 and post-"9·11" have been accounted for, then volatility only affects the consumption and inflation equations....
