This paper investigates the relationship between reel macroeconomic variables and stock prices in Turkey. Consumption expenditures, industrial production index, employment level and fixed investments are used as indicators of real economic activity and consumption price index as an indicator of...

This paper introduces a bubbly asset to a standard macroeconomic model with heterogeneous agents and borrowing constraints. In this tractable quantitative framework, I show the possibility of a return-preserving bubble that absorbs savings with no good investment opportunities. Analysis of the...

This paper analyzes the boom–bust cycle driven by rational bubbles in an overlapping generations economy that is subject to borrowing constraints. At the heart of the analysis is the interplay among savings, investment, and the interest rate. Bubbles are more likely to crowd investment in, the...

This paper quantifies the different impact of stock and house prices on consumption using data for 16 OECD countries. The analysis finds that the long-run impact of an increase in stock prices and house prices is in general higher in countries with a market-based financial system. The...

This paper documents that the increase in public debt can lead to higher dividend payout to shareholders, which suggests public debt can be a strong cash flow predictor which helps better predict future stock returns. Specifically, the higher public debt-to-GDP ratio can predict both higher...

We develop a production based asset pricing model with financially constrained firms to explain the observed high asset price volatility. Investment opportunities are scarce and firms face two shocks: classic productivity shocks and financial shocks that affect the tightness of the financial...

There is substantial consensus in the literature that positive uncertainty shocks predict a slowdown of economic activity. However, using U.S. data since 1950 we show that the macroeconomic response pattern to stock market volatility shocks has changed substantially over time. The negative...

The prime object of the study is to find the long run relationship between macroeconomic variables and prices of shares in Karachi stock exchange in Pakistan context. For this purpose the study considers the monthly data of several macroeconomic variables such as real foreign exchange rate,...

We implement a new approach for the identification of news shocks about future technology. In a VAR featuring a measure of aggregate technology and several forward-looking variables, we identify the news shock as the shock orthogonal to technology innovations that best explains future variation...

Most of the theoretical work in the news shock literature abstracts away from structural explanations, assuming instead that news is a pure signal giving agents advance notice that aggregate technology will undergo exogenous change at some future point. This paper proposes that a surprise...