Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/8431
Full metadata record
DC FieldValueLanguage
dc.contributor.authorGregoriou, A-
dc.contributor.authorHunter, J-
dc.contributor.authorWu, F-
dc.date.accessioned2014-05-15T10:05:15Z-
dc.date.available2014-05-15T10:05:15Z-
dc.date.issued2009-
dc.identifier.citationJournal of Policy Modeling, 31(1), 133 - 143, 2009en_US
dc.identifier.issn0161-8938-
dc.identifier.urihttp://www.sciencedirect.com/science/article/pii/S0161893808000483en
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/8431-
dc.descriptionThis is the post-print version of the final paper published in the Journal of Policy Modeling. The published article is available from the link below. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. Copyright @ 2009 Elsevier B.V.en_US
dc.description.abstractUS asset prices are modelled in the short- and long-run with the use of a seemingly unrelated system using monthly data over the time period, 1983–2004. Once the shocks of 1987, 1997 and post-“9·11” have been accounted for, then volatility only affects the consumption and inflation equations. In the long run excess returns and inflation are driven by consumption growth. Money growth impacts excess returns and inflation via consumption. Income is super exogenous implying that policy can be made conditional on this variable and that in the long run investors are primarily concerned with income growth.en_US
dc.languageEnglish-
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.subjectARCHen_US
dc.subjectExcess returnsen_US
dc.subjectExogeneityen_US
dc.subjectLong-run returnsen_US
dc.subjectSUREen_US
dc.titleAn empirical investigation of the relationship between the real economy and stock returns for the United Statesen_US
dc.typeArticleen_US
dc.identifier.doihttp://dx.doi.org/10.1016/j.jpolmod.2008.04.010-
pubs.organisational-data/Brunel-
pubs.organisational-data/Brunel/Administration and Support Staff-
pubs.organisational-data/Brunel/Administration and Support Staff/Administration and Support Staff-
pubs.organisational-data/Brunel/Brunel Active Staff-
pubs.organisational-data/Brunel/Brunel Active Staff/School of Social Sciences-
pubs.organisational-data/Brunel/Brunel Active Staff/School of Social Sciences/Economics and Finance-
pubs.organisational-data/Brunel/Group Publication Pages-
pubs.organisational-data/Brunel/Leavers-
pubs.organisational-data/Brunel/University Research Centres and Groups-
pubs.organisational-data/Brunel/University Research Centres and Groups/Brunel Business School - URCs and Groups-
pubs.organisational-data/Brunel/University Research Centres and Groups/Brunel Business School - URCs and Groups/Centre for Research into Entrepreneurship, International Business and Innovation in Emerging Markets-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Arts - URCs and Groups-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Arts - URCs and Groups/Brunel Centre for Contemporary Writing-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute for Ageing Studies-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute of Cancer Genetics and Pharmacogenomics-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Centre for Systems and Synthetic Biology-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Information Systems, Computing and Mathematics - URCs and Groups-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Information Systems, Computing and Mathematics - URCs and Groups/Multidisclipary Assessment of Technology Centre for Healthcare (MATCH)-
Appears in Collections:Economics and Finance
Publications
Dept of Economics and Finance Research Papers

Files in This Item:
File Description SizeFormat 
Fulltext.pdf172.42 kBAdobe PDFView/Open


Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.