Nonlinearity and Endogeneity in Macro-Asset Pricing /

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...

Full description

Bibliographic Details
Main Author: Kramer, Charles
Other Authors: Hiemstra, Craig
Format: Journal
Language:English
Published: Washington, D.C. : International Monetary Fund, 1995.
Series:IMF Working Papers; Working Paper ; No. 1995/032
Online Access:Full text available on IMF