Nonlinearity and Endogeneity in Macro-Asset Pricing /
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...
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| Natura: | Periodico |
| Lingua: | English |
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Washington, D.C. :
International Monetary Fund,
1995.
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| Serie: | IMF Working Papers; Working Paper ;
No. 1995/032 |
| Accesso online: | Full text available on IMF |