Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data

DOI10.2202/1558-3708.1001zbMATH Open1080.91562OpenAlexW1990591107MaRDI QIDQ3368288FDOQ3368288

Authors: Carl Chiarella, Willi Semmler, Peiyuan Zhu, Stefan Mittnik 

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/5659

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zbMATH Keywords

nonlinear modelinterest ratesoutputStock marketBlanchard model

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

• Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models

Cited In (3)

• Stock market conditions and monetary policy in a DSGE model for the U.S.
• A dynamic general disequilibrium model of a sequential monetary production economy
• A MULTIVARIATE REGIME SWITCHING APPROACH TO THE RELATION BETWEEN THE STOCK MARKET, THE INTEREST RATE AND OUTPUT

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