Bubbles, fundamentals, and investment: A multiple equation testing strategy

Journal of Monetary Economics

Volumn 38, Issue 1, 1996, Pages 47-76

  Chirinko, Robert S ^a,b   Schaller, Huntley ^c  

^a EMORY UNIVERSITY   (United States)

^b FEDERAL RESERVE BANK OF KANSAS CITY   (United States)

^c CARLETON UNIVERSITY   (Canada)

Author keywords

Investment; Real financial interactions; Stock market; Testing

Indexed keywords

EID: 0030210947     PISSN: 03043932     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-3932(96)01267-6     Document Type: Article

References (28)

1. Blanchard, J. Olivier, Changyong Rhee, and Lawrence H. Summers, 1993, The stock market, profit and investment, Quarterly Journal of Economics CVIII, 115-134.
2. Blanchard, J. Olivier and Mark Watson, 1982, Bubbles, rational expectations and financial markets, in: P. Wachtel, ed., Crises in the economic and financial structure (Lexington, Lexington, MA).
3. Blundell, Richard, Stephen Bond, Michael Devereux, and Fabio Schiantarelli, 1992, Investment and Tobin's Q, Journal of Econometrics 51, 233-257.
4. Bosworth, Barry P., 1975, The stock market and the economy, Brookings Papers on Economic Activity 2, 257-290.
5. Chirinko, Robert S., 1993, Business fixed investment spending: Modeling strategies, empirical results, and policy implications, Journal of Economic Literature 31, 1875-1911.
6. Chirinko, Robert S. and Steven M. Fazzari, 1988, Tobin's Q, non-constant returns to scale, and imperfectly competitive product markets, Recherches Economiques de Louvain 54, 259-275.
7. Chirinko, Robert S. and Huntley Schaller, 1995, Why does liquidity matter in investment equations?, Journal of Money, Credit, and Banking 27, 527-548.
8. Cutler, David M., James M. Poterba, and Lawrence H. Summers, 1989, What moves stock prices?, Journal of Portfolio Management 15, 4-12.
9. De Long, J. Bradford, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann, 1990, Noise trader risk in financial markets, Journal of Political Economy 98, 703-738.
10. Durlauf, Steven N. and Robert E. Hall, 1990, Bounds on the variances of specification errors in models with expectations (University of Wisconsin, Madison, WI).
11. Eichenbaum, Martin S., Lars Peter Hansen, and Kenneth J. Singleton, 1988, A time series analysis of representative agent models of consumption and leisure choice under uncertainty, Quarterly Journal of Economics 103, 51-78.
12. Fischer, Stanley and Robert C. Merton, 1984, Macroeconomics and finance: The role of the stock market, in: Karl Brunner and Allan H. Meltzer, eds., Essays on macroeconomic implications of financial and labor markets and political processes, Carnegie-Rochester Conference Series on Public Policy 21, 57-108.
13. Galeotti, Marzio and Fabio Schiantarelli, 1994, Stock market volatility and investment: Do only fundamentals matter?, Economica 61, 147-165.
14. Gallant, Ronald A. and Dale W. Jorgenson, 1979, Statistical inference for a system of simultaneous nonlinear, implicit equations in the context of instrumental variables estimation, Journal of Econometrics 11, 275-302.
15. Gordon, Robert J., 1969, $45 billion of U.S. private investment has been mislaid, American Economic Review 60, 221-238.
16. Hansen, Lars Peter, 1982, Large sample properties of generalized method of moments estimators, Econometrica 50, 1029-1054.
17. Hayashi, Fumio, 1982, Tobin's marginal q and average q: A neoclassical interpretation, Econometrica 50, 213-224.
18. Loughran, Tim and Jay R. Ritter, 1995, The new issues puzzle, Journal of Finance 50, 23-51.
19. Morck, Randall, Andrei Shleifer, and Robert W. Vishny, 1990, The stock market and investment: Is the market a sideshow?, Brookings Papers on Economic Activity 2, 157-202.
20. Newey, Whitney K. and Kenneth D. West, 1987, Hypothesis testing with efficient method of moments estimation, International Economic Review 28, 777-787.
21. Poterba, James M. and Lawrence H. Summers, 1988, Mean reversion in stock prices: Evidence and implications, Journal of Financial Economics 22, 27-59.
22. Rhee, Changyong and Wooheon Rhee, 1991, Fundamental value and investment: Micro data evidence, Center Economic Research working paper no. 282 (University of Rochester, Rochester, NY).
23. Shiller, Robert, 1984, Stock prices and social dynamics, Brookings Papers on Economic Activity 2, 457-498.
24. Summers, L.H., 1986, Does the stock market rationally reflect fundamental values?, Journal of Finance XLI, 591-603.
25. Tauchen, George, 1986, Statistical properties of generalized method-of-moments estimators of structural parameters obtained from financial market data, Journal of Business and Economic Statistics 4, 397-416.
26. Tirole, J., 1982, On the possibility of speculation under rational expectations, Econometrica 50, 1163-1181.
27. Tirole, J., 1985, Asset bubbles and overlapping generations, Econometrica 53, 1071-1100.
28. West, Kenneth D., 1987, A specification test for speculative bubbles, Quarterly Journal of Economics 102, 553-580.