Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/152949 
Erscheinungsjahr: 
2005
Schriftenreihe/Nr.: 
ECB Working Paper No. 515
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
This paper assesses the possible contemporaneous relationship between stock index prices, earnings and long-term government bond yields for a large number of countries and over a time period that spans several decades. In a cointegration framework, our analysis looks at three hypotheses. First, is there a long-term contemporaneous relationship between earnings, stock prices and government bond yields? Second, does a deviation from this possible long-run equilibrium impact stock prices such that the equilibrium is restored? Third, do government bond yields play a significant role in the long-run relationship or does the latter only involve stock prices and earnings? We also study the short-term impact of changes in long-term government bond yields on stock prices and discuss our short-term and long-term results in light of the recent developments regarding the so-called Fed model.
Schlagwörter: 
earnings
inflation
Interest Rates
long-run relationships
market valuation
stock indexes
JEL: 
C13
C22
F31
G14
Dokumentart: 
Working Paper

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