01612cas a2200253 a 4500 AALejournalIMF004470 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451845082 1018-5941 BD-DhAAL BD-DhAAL Kramer, Charles. Nonlinearity and Endogeneity in Macro-Asset Pricing / Charles Kramer, Craig Hiemstra. Washington, D.C. : International Monetary Fund, 1995. 1 online resource (30 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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 the simple relationship in Chen, Roll and Ross (1986). It also suggests that the univariate evidence for nonlinear dynamics in the stock market may be due to the complicated relationship between the macroeconomy and the stock market. Mode of access: Internet Hiemstra, Craig. IMF Working Papers; Working Paper ; No. 1995/032 Full text available on IMF http://elibrary.imf.org/view/journals/001/1995/032/001.1995.issue-032-en.xml IMF e-Library