The US stock market leads the federal funds rate and treasury bond yields

PLoS ONE

Volumn 6, Issue 8, 2011, Pages

  Guo, Kun ^a   Zhou, Wei Xing ^a,b,c   Cheng, Si Wei ^b   Sornette, Didier ^d,e  

^a INSTITUTE OF GEOLOGY AND GEOPHYSICS   (China)

^b EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

^c EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

^d ETH ZURICH   (Switzerland)

^e UNIVERSITY OF GENEVA   (Switzerland)

Author keywords

[No Author keywords available]

Indexed keywords

ANALYTIC METHOD; ARTICLE; BOOTSTRAPPING; CONTROLLED STUDY; CORRELATION ANALYSIS; ECONOMIC ASPECT; FINANCIAL MANAGEMENT; GOVERNMENT REGULATION; INCOME; MATHEMATICAL COMPUTING; MATURITY; RISK MANAGEMENT; SOCIAL PROBLEM; STOCK MARKET; THERMAL OPTIMAL PATH METHOD; TIME SERIES ANALYSIS; UNITED STATES; ALGORITHM; ECONOMICS; HUMAN; INVESTMENT; MARKETING; ORGANIZATION AND MANAGEMENT; STATISTICAL MODEL;

ALGORITHMS; FINANCIAL MANAGEMENT; FINANCING, GOVERNMENT; HUMANS; INVESTMENTS; MARKETING; MODELS, ECONOMIC; UNITED STATES;

EID: 80051527412     PISSN: None     EISSN: 19326203     Source Type: Journal    
DOI: 10.1371/journal.pone.0022794     Document Type: Article

References (29)

1. Fama FE, (1981) Stock returns, real activity inflation, and money. Amer Econ Rev 71: 545-565.
2. Arestis P, Demetriades PO, Luintel KB, (2001) Financial development and economic growth: The role of stock markets. J Money, Credit, and Banking 33: 16-41.
3. Estrella A, Mishkim FC, (1998) Predicting U.S. recessions: Financial variables as leading indicators. Rev Econ Stat 80: 45-61.
4. Forni M, Hallin M, Lippi M, Reichlin L, (2003) Do financial variables help forecasting inflation and real activity in the euro area? J Monet Econ 50: 1243-1255.
5. Alfaro L, Chanda A, Kalmli-Ozcan S, Sayek S, (2004) FDI and economic growth: The role of local financial markets. J Int Econ 64: 89-112.
6. Gilchrist S, Yankov V, Zakrajvšek E, (2009) Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets. J Monet Econ 56: 471-493.
7. Schwert GW, (1990) Stock returns and real activity: A century of evidence. J Financ 45: 1237-1257.
8. Pan X, (2007) The linear dependence and feedback spectra between stock market and economy. Int J Theoret Appl Financ 10: 473-447.
9. Tobin J, (1969) A general equilibrium approach to monetary theory. J Money, Credit, and Banking 1: 15-29.
10. Rigobon R, Sack B, (2004) The impact of monetary policy on asset prices. J Monet Econ 51: 1553-1575.
11. Bernanke BS, Kuttner KN, (2005) What explains the stock market's reaction to Federa Reserve policy. J Financ 60: 1221-1257.
12. Bjørnland HC, Leitemo K, (2009) Identifying the interdependence between US monetary policy and the stock market. J Monet Econ 56: 275-282.
13. Zhou WX, Sornette D, (2004) Causal slaving of the U.S. treasury bond yield antibubble by the stock market antibubble of August 2000. Physica A 337: 586-608.
14. Sornette D, Zhou WX, (2005) Non-parametric determination of real-time lag structure between two time series: The "optimal thermal causal path" method. Quant Financ 5: 577-591.
15. Zhou WX, Sornette D, (2006) Non-parametric determination of real-time lag structure between two time series: The "optimal thermal causal path" method with application to economic data. J Macroecon 28: 195-224.
16. Zhou WX, Sornette D, (2007) Lead-lag cross-sectional structure and detection of correlatedanticorrelated regime shifts: Application to the volatilities of inflation and economic growth rates. Physica A 380: 287-296.
17. Reinhart CM, Rogoff KS, (2009) The aftermath of financial crises. Amer Econ Rev 99: 466-472.
18. Dooley M, Hutchison M, (2009) Transmission of the U.S. subprime crisis to emerging markets: Evidence on the decoupling-recoupling hypothesis. J Int Money Financ 28: 1331-1349.
19. Wang XH, Havlin S, Schwartz M, (2000) Directed polymers at finite temperatures in 1+1 and 2+1 dimensions. J Phys Chem B 104: 3875-3880.
20. Beran R, (1988) Prepivoting test statistics: a bootstrap view of asymptotic refinements. J Am Stat Assoc 83: 687-697.
21. Dickey DA, Fuller WA, (1981) Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica 49: 1057-1072.
22. Phillips PCB, Perron P, (1988) Testing for a unit root in time series regression. Biometrika 75: 335-346.
23. Kwiatkowski D, Phillips PCB, Schmidt P, Shin YC, (1992) Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? J Econometrics 54: 159-178.
24. Werner RA, (2005) New Paradigm in Macroeconomics Basingstoke Palgrave Macmillan.
25. Baeriswyl R, Cornand C, (2010) The signaling role of policy actions. J Monet Econ 57: 682-695.
26. Haugh LD, (1976) Checking the independence of two covariance-stationary time series: A univariate residual cross-correlation approach. J Am Stat Assoc 71: 378-385.
27. Fatum R, Hutchison M, (1999) Is internention a signal of future monetary policy? Evidence from the Federal Funds futures market. J Money, Credit, and Banking 31: 54-69.
28. Brissimis SN, Magginas NS, (2006) Forward-looking information in VAR models and the price puzzle. J Monet Econ 53: 1225-1234.
29. Warnock FE, Warnock VC, (2009) International capital flows and U.S. interest rates. J Int Money Financ 28: 903-919.