Dynamic interactions between Main Street and Wall Street

Quarterly Review of Economics and Finance

Volumn 42, Issue 4, 2002, Pages 803-815

  Laopodis, Nikiforos T ^a   Sawhney, Bansi L ^b  

^a FAIRFIELD UNIVERSITY   (United States)

^b UNIVERSITY OF BALTIMORE   (United States)

Author keywords

Dow Jones industrial index; Error correction; Stock price

Indexed keywords

EID: 0036387120     PISSN: 10629769     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1062-9769(01)00118-1     Document Type: Article

References (24)

1. Akaike, H. (1969). Statistical predictor identification. Annals of the Institute of Statistical Mathematics, 21, 243-247.
2. Bianco, J. A. (1999). Forget inflation. The stock market's the biggest threat to interest rates, and vice versa. Barron's, 7, 1-3.
3. Birinyi, L. Jr., & Miller, K. (1987). The wealth effect. Salomon Brothers Equity Market Analysis. New York: Salomon Bros.
4. Blanchard, O., Rhee, C., & Summers, L. H. (1993). The stock market, profit and investment. Quarterly Journal of Economics, 108(1), 115-136.
5. Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427-431.
6. Engle, R. F., & Granger, C. W. J. (1987). Cointegration and error-correction: Representation, estimation, and testing. Econometrica, 55, 251-276.
7. Engle, R. F., & Yoo, B. S. (1987). Forecasting and testing in cointegrating systems. Journal of Econometrics, 35, 143-159.
8. Fair, R. C. (2000a). Events that shook the market. Business Economics, 1, 15-25.
9. Fair, R. C. (2000). Fed Policy and the effects of a stock market crash on the economy. Business Economics, 4, 7-14.
10. Fama, E. (1990). Stock returns, expected returns and real activity. Journal of Finance, 45, 1089-1108.
11. Fama, E. (1991). Efficient capital markets. Journal of Finance, 46, 1575-1617.
12. Fuller, W. A. (1976). Introduction to statistical time series. New York: Wiley.
13. Geske, R., & Roll, R. (1983). The fiscal and monetary linkage between stock returns and inflation. Journal of Finance, 38, 1-33.
14. Jorion, P. (1990). The exchange rate exposure of U.S. multinationals. Journal of Business, 63, 331-345.
15. Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54, 159-178.
16. Kwon, C. S., & Shin, T. S. (1999). Cointegration and causality between macroeconomic variables and stock market returns. Global Finance Journal, 10(1), 71-81.
17. Ludvigson, S., & Steindel, C. (1999). How important is the stock market effect on consumption? FRBNY Economic Policy Review, 7, 29-51.
18. Malkiel, B. G. (1998). Wall Street moves Main Street. June 23, The Wall Street Journal.
19. Morck, R., Shleifer, A., & Vishny, R. W. (1990). The stock market and investment: Is the market a sideshow? Brookings Papers on Economic Activity, 2, 157-202.
20. Phillips, P. C. B. (1986). Understanding spurious regressions in econometrics. Journal of Econometrics, 33, 311-340.
21. Poterba, J. M., & Samwick, A. A. (1995). Stock ownership patterns, stock market fluctuations, and consumption. Brookings Papers on Economic Activity, 2, 295-357.
22. Shiller, R. (1995). Comment on Poterba and Samwick's (1995) paper: Stock ownership patterns, stock market fluctuations, and consumption. Brookings Papers on Economic Activity, 2, 359-364.
23. Starr-McCluer, M. (1998). Stock market wealth effect and consumer spending. Board of Governors of the Federal Reserve System, April.
24. Stock, J. H., & Watson, W. M. (1990). Business cycle properties of selected U.S. economic time series, 1959-1988. Working paper 3376. Cambridge, MA: National Bureau of Economic Research (June).