Actions for Nonlinearity and Endogeneity in Macro-Asset Pricing [electronic resource]

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Nonlinearity and Endogeneity in Macro-Asset Pricing [electronic resource]

Author
Kramer, Charles Frederick
Published
Washington : International Monetary Fund March 1995
Additional Creators
Hiemstra, Craig
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Summary
Annotation We find nonlinear feedback between the stock market and certain macroeconomic factors. This evidence calls into question the adequacy of these factors as a basis for a linear pricing model. It also means that the interaction between the economy and the stock market is more complicated than given by the simple relationship in Chen, Roll and Ross (1986). It also suggests that the univariate evidence for nonlinear dynamics in the stock market may be due to the complicated relationship between the macroeconomy and the stock market.
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ISBN
9781455225132
1455225134 (E-Book)
View MARC record | catkey: 15220792