메뉴 건너뛰기




Volumn 26, Issue 6, 2011, Pages 975-998

Factor analysis of permanent and transitory dynamics of the US economy and the stock market

Author keywords

[No Author keywords available]

Indexed keywords


EID: 80053071521     PISSN: 08837252     EISSN: 10991255     Source Type: Journal    
DOI: 10.1002/jae.1193     Document Type: Article
Times cited : (10)

References (44)
  • 3
    • 0000007521 scopus 로고
    • The dividend-price ratio and the expectations of future dividends and discount factors
    • Campbell JY, Shiller RJ. 1988b. The dividend-price ratio and the expectations of future dividends and discount factors. Review of Financial Studies 1: 195-227.
    • (1988) Review of Financial Studies , vol.1 , pp. 195-227
    • Campbell, J.Y.1    Shiller, R.J.2
  • 4
    • 80053086420 scopus 로고    scopus 로고
    • Valuation ratios and the long-run stock market outlook: an update. Cowles Foundation Discussion Paper No. 1295.
    • Campbell JY, Shiller RJ. 2001. Valuation ratios and the long-run stock market outlook: an update. Cowles Foundation Discussion Paper No. 1295.
    • (2001)
    • Campbell, J.Y.1    Shiller, R.J.2
  • 5
    • 0037862733 scopus 로고    scopus 로고
    • Stock market fluctuations and the business cycle
    • Chauvet M. 1998/1999. Stock market fluctuations and the business cycle. Journal of Economic and Social Measurement 25: 235-258.
    • (1998) Journal of Economic and Social Measurement , vol.25 , pp. 235-258
    • Chauvet, M.1
  • 6
    • 0039617693 scopus 로고    scopus 로고
    • Coincident and leading indicators of the stock market
    • Chauvet M, Potter S. 2000. Coincident and leading indicators of the stock market. Journal of Empirical Finance 7: 87-111.
    • (2000) Journal of Empirical Finance , vol.7 , pp. 87-111
    • Chauvet, M.1    Potter, S.2
  • 7
    • 0023472660 scopus 로고
    • The cycle component of the U.S. economic activity
    • Clark PK. 1987. The cycle component of the U.S. economic activity. Quarterly Journal of Economics 102: 797-814..
    • (1987) Quarterly Journal of Economics , vol.102 , pp. 797-814
    • Clark, P.K.1
  • 8
    • 84954974222 scopus 로고
    • Permanent and transitory components of GNP and stock prices
    • Cochrane JH. 1994. Permanent and transitory components of GNP and stock prices. Quarterly Journal of Economics 109: 241-263.
    • (1994) Quarterly Journal of Economics , vol.109 , pp. 241-263
    • Cochrane, J.H.1
  • 10
    • 80053088437 scopus 로고    scopus 로고
    • The U.S. stock market and fundamentals: a historical decomposition. Working paper, Bank of Canada.
    • Dupuis D, Tessier D. 2003. The U.S. stock market and fundamentals: a historical decomposition. Working paper, Bank of Canada.
    • (2003)
    • Dupuis, D.1    Tessier, D.2
  • 11
    • 0030356207 scopus 로고    scopus 로고
    • Efficient tests for an autoregressive unit root
    • Elliott G, Rothenberg TJ, Stock JH. 1996. Efficient tests for an autoregressive unit root. Econometrica 64: 813-836.
    • (1996) Econometrica , vol.64 , pp. 813-836
    • Elliott, G.1    Rothenberg, T.J.2    Stock, J.H.3
  • 12
    • 0039066423 scopus 로고    scopus 로고
    • Predicting U.S. recessions: financial variables as leading indicators
    • Estrella A, Mishkin FS. 1998. Predicting U.S. recessions: financial variables as leading indicators. Review of Economics and Statistics 80: 45-61.
    • (1998) Review of Economics and Statistics , vol.80 , pp. 45-61
    • Estrella, A.1    Mishkin, F.S.2
  • 13
    • 34250890715 scopus 로고
    • Business Conditions and Expected Returns on Stock and Bonds
    • Fama EF, French KR. 1989.. Business Conditions and Expected Returns on Stock and Bonds. Journal of Financial Economics 25: 23-49.
    • (1989) Journal of Financial Economics , vol.25 , pp. 23-49
    • Fama, E.F.1    French, K.R.2
  • 14
    • 38249009835 scopus 로고
    • Transitory variation in investment and output
    • Fama EF. 1992. Transitory variation in investment and output. Journal of Monetary Economics 30: 467-480.
    • (1992) Journal of Monetary Economics , vol.30 , pp. 467-480
    • Fama, E.F.1
  • 16
    • 84936823605 scopus 로고
    • Permanent and temporary components of stock prices
    • Fama EF, French KR. 1988a. Permanent and temporary components of stock prices. Journal of Political Economy 96: 246-273.
    • (1988) Journal of Political Economy , vol.96 , pp. 246-273
    • Fama, E.F.1    French, K.R.2
  • 18
    • 84977331295 scopus 로고
    • The plucking model of business fluctuations revisited
    • Friedman M. 1993. The plucking model of business fluctuations revisited. Economic Inquiry 31: 171-177..
    • (1993) Economic Inquiry , vol.31 , pp. 171-177
    • Friedman, M.1
  • 19
    • 0001342006 scopus 로고
    • A new approach to the economic analysis of nonstationary time series and business cycles
    • Hamilton JD. 1989. A new approach to the economic analysis of nonstationary time series and business cycles. Econometrica 57: 357-384.
    • (1989) Econometrica , vol.57 , pp. 357-384
    • Hamilton, J.D.1
  • 22
    • 0002634803 scopus 로고
    • Dynamic linear models with Markov-switching
    • Kim CJ. 1994. Dynamic linear models with Markov-switching. Journal of Econometrics 60: 1-22.
    • (1994) Journal of Econometrics , vol.60 , pp. 1-22
    • Kim, C.J.1
  • 23
    • 1842711928 scopus 로고    scopus 로고
    • Friedman's plucking model of business fluctuations: tests and estimates of permanent and transitory components
    • Kim CJ, Nelson CR. 1999. Friedman's plucking model of business fluctuations: tests and estimates of permanent and transitory components. Journal of Money, Credit and Banking 31: 317-334.
    • (1999) Journal of Money, Credit and Banking , vol.31 , pp. 317-334
    • Kim, C.J.1    Nelson, C.R.2
  • 24
    • 0036742682 scopus 로고    scopus 로고
    • Common stochastic trends, common cycles, and asymmetry in economic fluctuations
    • Kim CJ, Piger J. 2002. Common stochastic trends, common cycles, and asymmetry in economic fluctuations. Journal of Monetary Economics 49: 1189-1211.
    • (2002) Journal of Monetary Economics , vol.49 , pp. 1189-1211
    • Kim, C.J.1    Piger, J.2
  • 25
    • 33847335478 scopus 로고    scopus 로고
    • The dynamic relationship between permanent and transitory components of U.S. business cycles
    • Kim CJ, Piger J, Startz R. 2007. The dynamic relationship between permanent and transitory components of U.S. business cycles. Journal of Money, Credit and Banking 39: 187-204.
    • (2007) Journal of Money, Credit and Banking , vol.39 , pp. 187-204
    • Kim, C.J.1    Piger, J.2    Startz, R.3
  • 28
    • 34247480179 scopus 로고
    • 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?
    • Kwiatkowski D, Phillips PCB, Schmidt P, Shin Y. 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? Journal of Econometrics 54: 159-178.
    • (1992) Journal of Econometrics , vol.54 , pp. 159-178
    • Kwiatkowski, D.1    Phillips, P.C.B.2    Schmidt, P.3    Shin, Y.4
  • 29
    • 0001843717 scopus 로고
    • The present-value relation: tests based on implied variance bounds
    • LeRoy SF, Porter RD. 1981. The present-value relation: tests based on implied variance bounds. Econometrica 49: 555-574.
    • (1981) Econometrica , vol.49 , pp. 555-574
    • LeRoy, S.F.1    Porter, R.D.2
  • 30
    • 0012462939 scopus 로고    scopus 로고
    • Consumption, aggregate wealth and expected stock returns
    • Lettau M, Ludvigson S. 2001. Consumption, aggregate wealth and expected stock returns. Journal of Finance 56: 815-849.
    • (2001) Journal of Finance , vol.56 , pp. 815-849
    • Lettau, M.1    Ludvigson, S.2
  • 31
    • 0000118629 scopus 로고    scopus 로고
    • Output fluctuations in the United States: what has changed since the early 1980s?
    • McConnell MM, Perez-Quiros G. 2000. Output fluctuations in the United States: what has changed since the early 1980s? American Economic Review 90: 1464-1476.
    • (2000) American Economic Review , vol.90 , pp. 1464-1476
    • McConnell, M.M.1    Perez-Quiros, G.2
  • 32
    • 0038015668 scopus 로고    scopus 로고
    • Why are the Beveridge-Nelson and unobserved-components decompositions of GDP so different?
    • Morley JC, Nelson CR, Zivot E. 2003. Why are the Beveridge-Nelson and unobserved-components decompositions of GDP so different? The Review of Economics and Statistics 85: 235-243.
    • (2003) The Review of Economics and Statistics , vol.85 , pp. 235-243
    • Morley, J.C.1    Nelson, C.R.2    Zivot, E.3
  • 33
    • 0000631178 scopus 로고
    • A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics
    • Osterwald-Lenum M. 1992. A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics. Oxford Bulletin of Economics and Statistics 54: 461-471.
    • (1992) Oxford Bulletin of Economics and Statistics , vol.54 , pp. 461-471
    • Osterwald-Lenum, M.1
  • 34
    • 74949129238 scopus 로고    scopus 로고
    • Technological revolutions and stock prices
    • Pastor L, Veronesi P. 2009. Technological revolutions and stock prices. American Economic Review 99: 1451-1483.
    • (2009) American Economic Review , vol.99 , pp. 1451-1483
    • Pastor, L.1    Veronesi, P.2
  • 35
    • 0040803847 scopus 로고
    • Variations in the mean and volatility of stock returns around turning points of the business cycle
    • Knight J., Satchell S (eds.). Butterworth-Heinemann: Oxford
    • Perez-Quiros G, Timmermann A. 1995. Variations in the mean and volatility of stock returns around turning points of the business cycle. In Forecasting Volatility in the Financial Markets, Knight J., Satchell S (eds.). Butterworth-Heinemann: Oxford; 287-306.
    • (1995) Forecasting Volatility in the Financial Markets , pp. 287-306
    • Perez-Quiros, G.1    Timmermann, A.2
  • 36
    • 0000899296 scopus 로고
    • The great crash, the oil shock and the unit root hypothesis
    • Perron P. 1989. The great crash, the oil shock and the unit root hypothesis. Econometrica 57: 1361-1401.
    • (1989) Econometrica , vol.57 , pp. 1361-1401
    • Perron, P.1
  • 37
    • 70349112613 scopus 로고    scopus 로고
    • Let's take a break: trends and cycles in U.S. real GDP
    • Perron P, Wada T. 2009. Let's take a break: trends and cycles in U.S. real GDP. Journal of Monetary Economics 56: 749-765.
    • (2009) Journal of Monetary Economics , vol.56 , pp. 749-765
    • Perron, P.1    Wada, T.2
  • 39
    • 0000893807 scopus 로고
    • Do stock prices move too much to be justified by subsequent changes in dividends?
    • Shiller RJ. 1981. Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review 71: 421-436.
    • (1981) American Economic Review , vol.71 , pp. 421-436
    • Shiller, R.J.1
  • 40
    • 0004179594 scopus 로고    scopus 로고
    • Princeton University Press: Princeton, NJ.
    • Shiller RJ. 2005. Irrational Exuberance. Princeton University Press: Princeton, NJ.
    • (2005) Irrational Exuberance
    • Shiller, R.J.1
  • 41
    • 84924508526 scopus 로고
    • Does the stock market rationally reflect fundamental values?
    • Summers LH. 1986. Does the stock market rationally reflect fundamental values? Journal of Finance 41: 591-601.
    • (1986) Journal of Finance , vol.41 , pp. 591-601
    • Summers, L.H.1
  • 42
    • 0000076932 scopus 로고
    • New indexes of coincident and leading economic indicators
    • 4. MIT Press: Cambridge, MA.
    • Stock J, Watson M. 1989. New indexes of coincident and leading economic indicators. Macroeconomics Annual, Vol. 4. MIT Press: Cambridge, MA.
    • (1989) Macroeconomics Annual
    • Stock, J.1    Watson, M.2
  • 43
    • 80053056768 scopus 로고    scopus 로고
    • Predictability of stock returns and assocation under structural breaks. UCSD Working paper
    • Timmermann A, Pettenuzzo D. 2005. Predictability of stock returns and asset allocation under structural breaks. UCSD Working paper..
    • (2005)
    • Timmermann, A.1    Pettenuzzo, D.2
  • 44
    • 0036058647 scopus 로고    scopus 로고
    • A guide to U.S. chain aggregated NIPA data
    • Whelan K. 2002. A guide to U.S. chain aggregated NIPA data. Review of Income and Wealth 48: 217-233.
    • (2002) Review of Income and Wealth , vol.48 , pp. 217-233
    • Whelan, K.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.