Do Japanese Stock Prices Reflect Macro Fundamentals?
dc.contributor.author | Chen, Wenjuan | |
dc.contributor.author | Velinov, Anton | |
dc.date.accessioned | 2017-06-16T00:40:30Z | |
dc.date.available | 2017-06-16T00:40:30Z | |
dc.date.created | 2012-06-11 | |
dc.date.issued | 2012-05-22 | |
dc.date.submitted | 2012-05-22 | |
dc.identifier.issn | 1860-5664 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/5062 | |
dc.description.abstract | This 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.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject | Stock price | eng |
dc.subject | real activity | eng |
dc.subject | financial crisis | eng |
dc.subject | structural restrictions | eng |
dc.subject.ddc | 310 Sammlungen allgemeiner Statistiken | |
dc.subject.ddc | 330 Wirtschaft | |
dc.title | Do Japanese Stock Prices Reflect Macro Fundamentals? | |
dc.type | workingPaper | |
dc.identifier.urn | urn:nbn:de:kobv:11-100202456 | |
dc.identifier.doi | http://dx.doi.org/10.18452/4410 | |
local.edoc.pages | 28 | |
local.edoc.type-name | Diskussionspapier | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
local.edoc.container-year | 2012 | |
dc.identifier.zdb | 2195055-6 | |
bua.series.name | Sonderforschungsbereich 649: Ökonomisches Risiko | |
bua.series.issuenumber | 2012,37 |