Can Stock Market Booms during the 1980s and 1990s Be Explained by Fundamentals? - Evidence for the US, Japan and Europe from a Structural VAR Model
نویسنده
چکیده
The paper presents a bivariate SVAR model including growth rates of industrial production and of stock prices. Imposing a long-run restriction à la Blanchard and Quah (1989) that excludes long-run influences of the stock market on real activity allows to decompose stock prices in a fundamental and a nonfundamental component. The results of the forecast error variance decompositions as well as of historical decompositions of stock prices in the US, Japan and an aggregate European economy show that fundamental shocks only explain a very small fraction of the variability of real stock prices since the early 1980s. JEL-Classification: E44; G12
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