Do stock market returns predict changes to output? Evidence from a nonlinear panel data model

被引：4

作者：

Henry O.T. ^{[1
]}

Olekalns N. ^{[1
]}

Thong J. ^{[1
]}

机构：

[1] Department of Economics, University of Melbourne, Melbourne

来源：

Empirical Economics | 2004年 / 29卷 / 3期

关键词：

Current depth of recession; Panel data; Stock returns;

D O I：

10.1007/s00181-003-0182-4

中图分类号：

学科分类号：

摘要：

Recent empirical work suggests a predictive relationship between stock returns and output growth. We employ quarterly data from a panel of 27 countries to test whether stock returns as useful in predicting growth. Unlike previous research, our approach allows for the possible non-linear effect of recessions on the growth-return relationship. There is strong evidence to suggest that a linear model would be misspecified and provide potentially misleading inference. Using a switching regression approach, we find evidence that returns are most useful in predicting growth when the economy is in recession. © Springer-Verlag 2004.

引用

页码：527 / 540

页数：13

共 35 条

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