The Japanese stock market and the macroeconomy: An empirical investigation

Manabu Asai, Tsunemasa Shiba

研究成果: Article査読

6 被引用数 (Scopus)

抄録

We investigate the relationship between macroeconomic variables, such as the industrial production index, interest rate and inflation rate, and the stock market, using Toda and Yamamoto (1995)'s vector autoregressions (VAR) specification. The major findings are: (1) macroeconomic variables do Granger cause the stock market variable, while reverse is not so clear. (2) The lagged stock market variable affects its current value but its impact tend to diminish in the long-run. Policy implication we draw is that the price keeping operation by the Japanese government would not work, but appropriate macroeconomic policies would benefit not only the real market but also the stock market.

本文言語English
ページ(範囲)259-267
ページ数9
ジャーナルFinancial Engineering and the Japanese Markets
2
3
DOI
出版ステータスPublished - 1995 10
外部発表はい

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)

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