How important are fundamentals?-Evidence from a structural VAR model for the stock markets in the US, Japan and Europe [An article from: Journal of ... Financial Markets, Institutions & Money]

This digital document is a journal article from Journal of International Financial Markets, Institutions & Money, published by Elsevier in 2004. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
This paper presents a bivariate structural VAR model which includes growth rates of industrial production and stock prices. Analyzing data from 1960 to 1999 we find that real activity shocks only explain a small fraction of the variability in real stock prices in the US, Japan and an aggregate European economy since the early 1980s, while they explain a substantial proportion over the 1960s and 1970s in all areas. The results provide additional evidence for the existence of speculative bubbles over the 1980s and 1990s.