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Causality from real stock returns to real activity: Evidence of regime-dependence

Kanas, Angelos, Ioannidis, Christos (2010) Causality from real stock returns to real activity: Evidence of regime-dependence. International Journal of Finance and Economics, 15 (2). pp. 180-197. ISSN 1076-9307. (doi:10.1002/ijfe.383) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1002/ijfe.383

Abstract

10.1002/ijfe.383.absWe find strong evidence of regime switching in the relation between real stock prices and real activity for the UK over the period 1946-2002. Furthermore, there is evidence that the causality pattern from real stock returns to the IP growth rate varies across regimes: causality exists only in the low stock market volatility regime, while it does not exist in the high stock market volatility regime. As the latter largely refers to the period of inflation targeting in the UK, this finding uncovers the importance of monetary policy in insulating the real economy from unexpected financial market effects during periods of financial instability. Additional evidence of regime-dependence is uncovered using impulse response analysis. Finally, the US stock market is found to exercise significant regime-independent effects on the UK relation as a whole as well as on the future UK IP growth. © 2008 John Wiley & Sons, Ltd.

Item Type: Article
DOI/Identification number: 10.1002/ijfe.383
Additional information: Unmapped bibliographic data: AD - Department of Economics, University of Crete, Greece [Field not mapped to EPrints] AD - University of Bath, United Kingdom [Field not mapped to EPrints] JA - Int. J. Financ. Econ. [Field not mapped to EPrints]
Uncontrolled keywords: Stock returns; real activity; regime switching; regime-dependent causality; UK
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Tracey Pemble
Date Deposited: 22 May 2014 11:54 UTC
Last Modified: 29 May 2019 12:36 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41132 (The current URI for this page, for reference purposes)
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