Macro shocks and real stock prices

By David E. Rapach. 2001

149 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/498092b2c960db58fc008814e29e58aed7c76fcb

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Helmut Lütkepohl
2. Pentti Saikkonen
3. Muhammad Shahbaz
4. Markku Lanne
5. Katarzyna Maciejowska
6. H. Luetkepohl
7. Mika Meitz
8. Theodore Panagiotidis

In Finance

1. Muhammad Shahbaz
2. Helmut Lütkepohl
3. H. Luetkepohl
4. Pentti Saikkonen
5. Markku Lanne
6. Mika Meitz
7. Katarzyna Maciejowska
8. Theodore Panagiotidis

Citations in the corpus

• Structural Vector Autoregressions With Nonnormal Residuals (2010, background): “For example, in an SVAR analysis Rapach (2001) finds that macro shocks have an important effect on real stock prices whereas Binswanger (2004) concludes from his analysis that real activity shocks explain only a small fraction of the real stock price variability in the U.S. for a period starting in…”
• Structural Vector Autoregressions with Markov Switching (2010, background): “For example, in an SVAR analysis Rapach (2001) finds that macro shocks have an important effect on real stock prices.”
• Identification and estimation of non-Gaussian structural vector autoregressions (2015, background): “Examples include Lastrapes (1998) and Rapach (2001) who rely on long-run restrictions for identification, Li et al. (2010) who use nonrecursive short-run restrictions, Bjørnland and Leitemo (2009) who consider identification by a combination of short-run and long-run restrictions, and Rigobon and…”