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

DOI10.2202/1558-3708.1001MaRDI QIDQ3368288zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

nonlinear modelinterest ratesoutputStock marketBlanchard model

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cites work

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

Cited in

(3)

• A MULTIVARIATE REGIME SWITCHING APPROACH TO THE RELATION BETWEEN THE STOCK MARKET, THE INTEREST RATE AND OUTPUT
• 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

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