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2010_26_ Exploring the finance-real economy link in U.S.: Empirical evidence from Panel Unit Root and Cointegration Analysis

Abstract

The aim of this article is to analyze the relationships between common
shocks affecting the real economy and those underlying co-fluctuations in U.S. financial
markets. In order to do this, we test for links between these common factors and
also use the econometric theory of non-stationary panel data to estimate the relationships.
The estimates prove the existence of significant relationships between financial
and macroeconomic factors. It is also shown that there are forces pulling U.S. financial
markets to move with the real economy, as seen through nearly instantaneous
adjustment to a new equilibrium.

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