Show simple item record

2012-05-22Buch DOI: 10.18452/4410
Do Japanese Stock Prices Reflect Macro Fundamentals?
dc.contributor.authorChen, Wenjuan
dc.contributor.authorVelinov, Anton
dc.date.accessioned2017-06-16T00:40:30Z
dc.date.available2017-06-16T00:40:30Z
dc.date.created2012-06-11
dc.date.issued2012-05-22
dc.date.submitted2012-05-22
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5062
dc.description.abstractThis paper investigates to what extent the fundamentals of the real economy are re ected in the stock prices of Japan. A Markov switching VAR model with switching variances is used to test the structural identification scheme. Identification of fundamental and nonfundamental shocks is shown to be supported by the data. Based on the appropriate structural restriction, the historical stock prices are decomposed into fundamental components and nonfundamental components. The decomposition shows that the linkage between Japanese stock prices and real activity shocks became strengthened since the bubble collapsed in the beginning of 1990s.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectStock priceeng
dc.subjectreal activityeng
dc.subjectfinancial crisiseng
dc.subjectstructural restrictionseng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleDo Japanese Stock Prices Reflect Macro Fundamentals?
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100202456
dc.identifier.doihttp://dx.doi.org/10.18452/4410
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages28
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2012
local.edoc.container-issue37
local.edoc.container-year2012
local.edoc.container-erstkatid2195055-6

Show simple item record