Pii: S0148-6195(00)00037-0
نویسنده
چکیده
In this paper, I examine the effects of money supply, aggregate spending, and aggregate supply shocks on real US stock prices in a structural vector autoregression framework. Overall, the empirical results indicate that each macro shock has important effects on real stock prices. The real stock price impulse responses to the various macro shocks conform to the standard present-value equity valuation model, and they shed considerable light on the well-known negative correlation between real stock returns and inflation. An historical decomposition indicates that the late 1990s surge in real stock prices is due to a series of favorable structural shocks emanating from different sectors of the US economy. © 2001 Elsevier Science Inc. All rights reserved. JEL classification: C32; E44; G12
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